MSCI's Multi-Asset Class Factor Models provide investors with a comprehensive framework to identify and analyze key drivers of risk and return across various asset classes. These models offer a consistent approach to factor-based asset allocation, enabling investors to simplify complex exposures, capture systematic strategies, and communicate portfolio insights at different levels of granularity. The models support the shift towards outcome-oriented strategies and help balance risk profiles with return targets. By integrating factors across equities, fixed income, commodities, and currencie...
Vendor
MSCI
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The MSCI Multi-Asset Class Factor Model is a comprehensive analytical tool designed to help investors navigate the complexities of multi-strategy, outcome-oriented, and balanced funds. It provides a framework for factor-based asset allocation, allowing investors to identify and target key drivers of risk and return across various asset classes. The model's unique approach simplifies the analysis of thousands of exposures into a manageable set of factors, making it easier to communicate portfolio exposures and make informed investment decisions.
Key Features
Integrated Factor Framework The model offers a consistent, integrated framework for analyzing factors across multiple asset classes.
- Provides high to low granularity in factor analysis
- Supports factor-based asset allocation across asset classes
Systematic Strategy Identification Introduces systematic strategy factors beyond equities to capture a broader range of investment approaches.
- Distinguishes factor betas from alpha and traditional beta
- Covers equities, fixed income, commodities, and currencies
Multi-Tiered Structure Offers multiple levels of granularity to suit different reporting needs and audience requirements.
- Aligns factor granularity with reporting for maximum effectiveness
- Enables consistent risk and return attribution
Benefits
Enhanced Portfolio Management Improves the ability to construct and manage complex, multi-asset class portfolios.
- Simplifies thousands of exposures to key risk and return drivers
- Enables targeting of risk factors with historical positive risk premia
Improved Communication Facilitates clearer communication of portfolio exposures at different levels of detail.
- Provides detailed exposures for portfolio managers
- Offers core exposures for asset class managers
- Presents global exposures for asset allocators
Consistent Cross-Asset Analysis Allows for a unified approach to factor analysis across different asset classes.
- Links asset class decisions to manager and security selection
- Supports better integration of alternative assets into multi-asset portfolios