MSCI Launches Next Generation of Equity Factor Models

Rhea-AI Summary

MSCI Inc. has launched a new generation of Equity Factor Models aimed at aiding investors in managing portfolio risk and performance amid changing market conditions. The models incorporate three innovative factors: Sustainability, which includes ESG and Carbon Efficiency metrics; Crowding, assessing stock pricing relative to history; and Machine Learning, utilizing data science for evaluating stock return variables. These models enhance portfolio construction and analysis, including pre-merger SPAC evaluations, and are distributed via various platforms.

Positive

• Introduction of advanced Equity Factor Models with sustainability and machine learning aspects.
• Improved risk measurement tools responding to investor needs.
• Enhanced portfolio transparency and capabilities for managing IPOs and industry exposure.

Negative

• None.

Models feature new crowding, machine-learning, and sustainability factors alongside risk forecasting tools designed to adapt to market volatility

NEW YORK--(BUSINESS WIRE)-- MSCI Inc. (NYSE: MSCI), a leading provider of critical decision support tools and services for the global investment community, today announces the launch of the next generation of MSCI Equity Factor Models.

Designed to help investors better understand the factors that drive portfolio risk and performance as market conditions change, the models feature three new factors:

• Sustainability includes both an ESG factor and a Carbon Efficiency factor that measures a company’s emissions relative to its size
• Crowding uses multiple measures to assess how a stock is priced relative to its own history
• Machine Learning leverages data science and natural language processing to evaluate the relationships between different variables that impact a stock’s returns

Building on MSCI’s five decades of factor research and developed in consultation with some of the world’s largest investors, the latest models allow institutional investors to construct portfolios across new and familiar factor dimensions; run comparisons to industry peers and benchmarks; and provide enhanced transparency into portfolio characteristics through improved handling of IPOs, improved coverage, and dynamic industry exposure analysis.

The four new models include the MSCI Global Equity Factor Model and the MSCI USA Equity Factor Model, which are designed for long-term investors. The MSCI Global Equity Factor Trading Model and the MSCI USA Equity Factor Trading Model are for investors managing strategies with shorter investment horizons. The new models will be available through multiple distribution channels, including Snowflake’s Data Cloud, select third-party partners and from MSCI directly via the proprietary Barra Portfolio Manager and BarraOne® platforms.

The new MSCI Equity Factor Models also evaluate pre-merger Special Purpose Acquisition Corporations (SPACs), expanding the investment opportunity set for investors as well as improving the calculation of some existing factors.

Mark Carver, Head of Equity Portfolio Management and Equity Factors at MSCI, said: “Investors have told us repeatedly that the new risk measures in these models, combined with the introduction of sustainability factors, are crucial for an evolving investment landscape. We are excited to introduce these innovative models and believe they enable clients to better understand the drivers of their portfolio risk and return, construct differentiated portfolios, and effectively respond to changing market dynamics.”

About MSCI Inc.

MSCI is a leading provider of critical decision support tools and services for the global investment community. With over 50 years of expertise in research, data, and technology, we power better investment decisions by enabling clients to understand and analyze key drivers of risk and return and confidently build more effective portfolios. We create industry-leading research-enhanced solutions that clients use to gain insight into and improve transparency across the investment process.

This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. Forward-looking statements relate to future events or performance and involve risks that may cause actual results or performance differ materially and you should not place undue reliance on them. Risks that could affect results or performance are in MSCI’s Annual Report on Form 10-K for the most recent fiscal year ended on December 31 that is filed with the SEC. MSCI does not undertake to update any forward-looking statements. No information herein constitutes investment advice or should be relied on as such. MSCI grants no right or license to use its products or services without an appropriate license. MSCI MAKES NO EXPRESS OR IMPLIED WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE OR OTHERWISE WITH RESPECT TO THE INFORMATION HEREIN AND DISCLAIMS ALL LIABILITY TO THE MAXIMUM EXTENT PERMITTED BY LAW.

View source version on businesswire.com: https://www.businesswire.com/news/home/20220615005438/en/

Media Inquiries

PR@msci.com

Sam Wang +1 212 804 5244

Melanie Blanco +1 212 981 1049

Laura Hudson +44 (0) 207 336 9653

MSCI Global Client Services

EMEA Client Service + 44 20 7618.2222

Americas Client Service +1 888 588 4567 (toll free)

Asia Pacific Client Service + 852 2844 9333

Source: MSCI Inc.

FAQ

What are the new features of MSCI's Equity Factor Models?

The new models feature sustainability metrics, crowding assessments, and machine learning to analyze stock return variables.

How will the new models benefit MSCI investors?

Investors will gain enhanced tools for managing portfolio risk and performance, allowing for better construction of differentiated portfolios.

When was the new MSCI Equity Factor Models launch announced?

The launch was announced on a recent date in the press release.

Which platforms will offer MSCI's new Equity Factor Models?

The models will be available through Snowflake’s Data Cloud, select third-party partners, and MSCI's proprietary platforms.