Inc. (NYSE:MSCI), a leading provider of investment decision support
tools worldwide, announced today that it has completed a research
mandate for Japan's
Government Pension Investment Fund (GPIF) that examines uses of
factor-based indexes in large institutional portfolios and evaluates
passive implementation of factor strategies alongside traditional
passive and active mandates.
"We are happy to have been recognized by some of the world's largest
asset owners, including GPIF and Norway's
Ministry of Finance, for our expertise in factor indexes," said Baer
Pettit, Managing Director and Global Head of MSCI's index business. "The
study commissioned by GPIF reveals that passive factor strategies, which
are made possible through newly developed factor indexes, and active
management are not mutually exclusive. As a result, sophisticated
institutional investors may increasingly make an independent allocation
to passive factor investments, in parallel to their existing active and
Chin Ping Chia, Head of Index Applied Research for MSCI in Asia Pacific,
added, "As factor-based investing becomes more common among
institutional investors, there is a growing need to understand ho it
can be best integrated into the existing investment process. In this
research we studied the historical performance of investable factor
indexes and observed that passive factor strategies can be implemented
as a potential 'third bucket' alongside the traditional active and
For the purposes of the research, MSCI created a series of factor
indexes designed for large-scale asset owners and managers, for whom
investability is a critical consideration. These indexes reweighted all
the constituents of a market cap index based on six systematic factors -
Value, Low Size, Low Volatility, High Yield, Quality and Momentum. MSCI
also analyzed various multi-factor indexes to show the different
historical performance characteristics of different combinations.
In April, GPIF announced that it had selected the MSCI
Japan Index for a core Japanese equity passive fund. The MSCI
Japan Small Cap Index was also selected for one of the index-based
strategies in GPIF's domestic equity program. Additionally, GPIF has
announced that it intends to introduce a factor allocation in addition
to its existing active and passive mandates.
Equity factor investing was pioneered in the 1970s based on research,
data and analytics created by Barra - today an MSCI company. In recent
years, MSCI has developed a range of indexes that provide institutional
investors with a basis for implementing a transparent and efficient
passive approach to seeking the excess returns historically obtained
over long time horizons through active factor investing. In 2008, MSCI
introduced the industry's first Minimum Volatility Index. More than USD
90 billion in assets are benchmarked to MSCI Factor Indexes1.
1As of March 31, 2014, according to eVestment,
Lipper and Bloomberg.
MSCI Inc. is a leading provider of investment decision support tools to
investors globally, including asset managers, banks, hedge funds and
pension funds. MSCI products and services include indexes, portfolio
risk and performance analytics, and ESG data and research.
The company's flagship product offerings are: the MSCI indexes with over
USD 9 trillion estimated to be benchmarked to them on a worldwide basis1;
Barra multi-asset class factor models, portfolio risk and performance
analytics; RiskMetrics multi-asset class market and credit risk
analytics; IPD real estate information, indexes and analytics; MSCI ESG
(environmental, social and governance) Research screening, analysis and
ratings; and FEA valuation models and risk management software for the
energy and commodities markets. MSCI is headquartered in New York, with
research and commercial offices around the world.
1As of March 31, 2014, as reported in June 2014 by
eVestment, Lipper and Bloomberg.
For further information on MSCI, please visit our web site at www.msci.com.
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