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
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