MSCI launches factor indexes

Index provider MSCI Barra has launched the MSCI Europe Momentum Tilt Index and the Europe Value Tilt Index, which are designed to be weighted towards stocks that are exposed to fundamental factors. The indexes are designed to be licensed as the basis of index-linked investments such as structured products and ETFs.

The indexes are based on the MSCI Europe Index and the Barra Europe equity risk model. The Momentum Tilt index uses a Barra Momentum Factor, which aims to identify stocks that have been recently successful based on historic alpha (five-year beta regression) and price behavior in the market, measured by 12-month cumulative excess returns. Signals used to identify momentum are the logarithm rate of excess return over the last 12 months and historical alpha. The country and industry exposure must

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here