Factor models are financial tools that help investors identify and manage investment characteristics that influence the risks and returns of stocks and portfolios. While the mathematics of factor models may be unfamiliar to some, the underlying concepts are straightforward. Factor models help investors classify and estimate equity risk and assess the relationships between securities and returns to help guide investment decisions. The models are commonly used to construct portfolios by targeting specific dimensions and to attribute investment performance across multiple factor characteristics.
Equity Factor Models by MSCI
The next generation Barra factor models are here — where deep research, comprehensive data and computational power convene to solve modern investing’s most pressing challenges. MSCI factor models enable investors to build more adaptive and resilient portfolios by understanding and managing risk and return through a modern investing lens, including factors such as sustainability, crowding and machine learning. These models help investors implement and measure factor-based strategies and communicate their performance showcasing a differentiated approach. Informed by decades of factor research and developed with our clients, these innovative models are built on the Barra legacy of factor models.
Our Snowflake Distribution
MSCI's Factor Models via Snowflake offering allows clients to access MSCI’s rich factor model data via Snowflake, in addition to the usual distribution channels like BarraOne, Barra PortfolioManager and Models Direct. Distribution via Snowflake enables seamless delivery of MSCI Factor Model data to clients with minimal implementation efforts. This data can be used for further analysis and can be easily integrated into existing workflows.
Tables included:
- Asset Exposures
- Asset Market Data
- Asset Descriptors
- Factor Returns
- Factor Covariance
Fields Included:
- Date of data
- Model
- Exposure
- Descriptor (Std/Raw)
- Market data fields (Price, Daily return)
- Return of factor
- Covariance between factors