MSCI Unveils Long/Short Indexes

MSCI Barra has launched a range of long/short factor indexes based on MSCI indexes and Barra risk models.

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