MSCI Unveils Long/Short Indexes
The new indexes are designed to reflect the returns of a single Barra risk factor and a designated market in a replicable manner. They target the Barra Momentum, Value, Volatility, Earnings Yield, and Leverage risk factors.
“Factors such as Volatility and Leverage can play a significant role in determining portfolio risk and performance, and the availability of these long/short factor indices provides institutional investors with a valuable analytical tool for factor-based hedging and investment strategies,”said David Brierwood, chief operating officer at MSCI Inc., in a news release.
Designed for use by institutional investors in U.S. and European equities, the eight new factor indexes are:
- MSCI Europe Barra Momentum Index
- MSCI Europe Barra Low Leverage Index
- MSCI Europe Barra Low Volatility Index
- MSCI Europe Barra Value Index
- MSCI USA Barra Momentum Index
- MSCI USA Barra Low Leverage Index
- MSCI USA Barra Low Volatility Index
- MSCI USA Barra Earnings Yield Index
The new indexes use an optimization process that is based on specified constraints and aims to achieve a specified high level of exposure to a single Barra factor, very low exposure to other factors and low tracking error to the corresponding MSCI index.
More information is available at www.mscibarra.com.