The growth-factor premium: Seeking a systematic approach for capturing it
Authors: Mehdi Alighanbari, Executive Director, Factor Strategist, Core Equity Research, MSCI; Dimitris Melas, Managing Director and Global Head of Core Equity Research, MSCI; Shubhangi Sharma, Associate, Core Equity Research, MSCI
Growth investing is a well-known strategy in active management. Growth is also a factor in most fundamental equity risk models. The growth factor, however, has not made it to mainstream factor investing. While various indexes are offered to capture a suite of other factors, such as value, momentum and volatility, the growth factor has been conspicuously absent.
In this paper, MSCI’s Mehdi Alighanbari, Dimitris Melas and Shubhangi Sharma explore why and offer a way to capture this factor with a systematic, rules-based approach.