MSCI Barra released a set of eight long/short factor-based indexes that combine MSCI indexes and Barra risk models, according to a news release.
The indexes reflect single-risk factors in U.S. and European equities, targeting Barra Momentum, Value, Volatility, Earnings Yield and Leverage risk models.
“By combining MSCI's considerable index construction and risk modeling expertise, we have been able to develop unique (indexes) that aim to reflect high factor returns within the European and U.S. equity markets,” said David Brierwood, MSCI Barra chief operating officer, in the release.
“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 (indexes) provides institutional investors with a valuable analytical tool for factor-based hedging and investment strategies.”
The new indexes expand on the MSCI Europe Momentum Tilt index and the MSCI Europe Value Tilt index, released on March 25.