MSCI Launches New Quality Mix Indices
Indices Represent Combined Performance of Quality, Value and Low Volatility Strategies
LONDON--(BUSINESS WIRE)-- MSCI Inc. (NYS: MSCI) , a leading provider of investment decision support tools worldwide, has launched the MSCI Quality Mix Indices, which combine the MSCI Quality, MSCI Value Weighted and MSCI Minimum Volatility Indices into one diversified risk premia index.
"We are delighted to bring to the market a set of new indices designed to reflect the beta represented by combining quality with value and low volatility strategies," said Baer Pettit, Managing Director and Global Head of the MSCI Index Business. "The new MSCI Quality Mix Indices are another example of our ability to deliver innovative index tools to meet the increasingly sophisticated needs of our clients."
Many active strategies emphasize quality, value and low volatility as important factors in their security selection and portfolio construction. Whilst these active strategies typically go beyond passive exposure to quality, value and low volatility securities to include active stock selection and the use of leverage, their beta component could be represented by the quality, value and low volatility risk premia. Recent empirical academic research has shown that stocks with high quality, value and low volatility characteristics have historically provided higher long-term risk-adjusted return (for example, see the analysis between 1976-2011 in a study by Frazzini, Kabiller and Pedersen, published in 2012, titled 'Buffett's Alpha').
The MSCI Quality Mix Indices aim to represent the performance of quality, value and low volatility risk premia strategies across global markets in a single composite index. Between 1988 and 2013, based on simulated historical index data, the MSCI World Quality Mix Index delivered an annualized total return of 9.8% versus 7.3% for the MSCI World Index, with a total risk1 of 13.2% versus 15.4% for the MSCI World Index, resulting in a better long-term risk-adjusted return for the MSCI World Quality Mix Index during this time period. The risk and return characteristics of the MSCI Quality Mix Indices, including the factor exposures, can be found on msci.com.
The following MSCI Quality Mix Indices are now available:
1. MSCI ACWI Quality Mix Index
2. MSCI World ex USA Quality Mix Index
3. MSCI Emerging Markets Quality Mix Index
4. MSCI Europe Quality Mix Index
5. MSCI World Quality Mix Index
6. MSCI USA Quality Mix Index
7. MSCI AC Asia ex Japan Quality Mix Index
8. MSCI UK Quality Mix Index
9. MSCI Japan Quality Mix Index
The MSCI Quality Mix Indices are constructed according to a transparent index methodology which equally weights the three component indices: the MSCI Quality Index, the MSCI Value Weighted Index and the MSCI Minimum Volatility Index. They may be licensed for use as benchmarks or as the basis for financial products such as exchange traded funds and structured products.
1 as measured by the annualized standard deviation of monthly returns
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 indices, portfolio risk and performance analytics, and governance tools.
The company's flagship product offerings are: the MSCI indices with close to USD 7 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, indices and analytics; MSCI ESG (environmental, social and governance) Research screening, analysis and ratings; ISS governance research and outsourced proxy voting and reporting services; 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 September 30, 2012, as published by eVestment, Lipper and Bloomberg on January 31, 2013
For further information on MSCI, please visit our web site atwww.msci.com
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Information containing any historical information, data or analysis should not be taken as an indication or guarantee of any future performance, analysis, forecast or prediction. Past performance does not guarantee future results.
None of the Information constitutes an offer to sell (or a solicitation of an offer to buy), any security, financial product or other investment vehicle or any trading strategy.
You cannot invest in an index. MSCI does not issue, sponsor, endorse, market, offer, review or otherwise express any opinion regarding any investment or financial product that may be based on or linked to the performance of any MSCI index.
MSCI's indirect wholly-owned subsidiary Institutional Shareholder Services, Inc. ("ISS") is a Registered Investment Adviser under the Investment Advisers Act of 1940. Except with respect to any applicable products or services from ISS (including applicable products or services from MSCI ESG Research, which are provided by ISS), neither MSCI nor any of its products or services recommends, endorses, approves or otherwise expresses any opinion regarding any issuer, securities, financial products or instruments or trading strategies and neither MSCI nor any of its products or services is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such.
The MSCI ESG Indices use ratings and other data, analysis and information from MSCI ESG Research. MSCI ESG Research is produced by ISS or its subsidiaries. Issuers mentioned or included in any MSCI ESG Research materials may be a client of MSCI, ISS, or another MSCI subsidiary, or the parent of, or affiliated with, a client of MSCI, ISS, or another MSCI subsidiary, including ISS Corporate Services, Inc., which provides tools and services to issuers. MSCI ESG Research materials, including materials utilized in any MSCI ESG Indices or other products, have not been submitted to, nor received approval from, the United States Securities and Exchange Commission or any other regulatory body.
Any use of or access to products, services or information of MSCI requires a license from MSCI. MSCI, Barra, RiskMetrics, IPD, ISS, FEA, InvestorForce, and other MSCI brands and product names are the trademarks, service marks, or registered trademarks of MSCI or its subsidiaries in the United States and other jurisdictions. The Global Industry Classification Standard (GICS) was developed by and is the exclusive property of MSCI and Standard & Poor's. "Global Industry Classification Standard (GICS)" is a service mark of MSCI and Standard & Poor's.
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