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MSCI Factor Indexes

MSCI Factor Indexes are designed to capture the return of factors which have historically demonstrated excess market returns over the long run. These rules-based, transparent indexes target stocks with favorable factor characteristics – as backed by robust academic findings and empirical results – and are designed for simple implementation, replicability, and use for both traditional passive and active mandates. The MSCI Factor Indexes are rules-based indexes that capture the returns of systematic factors that have historically earned a persistent premium over long periods of time—such as Value, Low Size, Low Volatility, High Yield, Quality and Momentum.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 14960 companies and 920 indices. Factor and Weighted indices are from various countries, including Australia, Brazil, Canada, Chile, China, Columbia, Europe, Far East, France, Germany, India, Italy, etc.

Some of the data items available include:

  • Company Items – Adjustment Factor, Adjustment Value, Alternate Security Listing Flag, Bloomberg Ticker, Classification Description, Closing Number of Shares, Corporate Actions Event Description, Corporate Actions Event Type Code, Dividend Ex Date, Dividend Per Share Gross/Net, Dividend Points, Domestic Inclusion Factor, Domestic Net Return , Exchange Rate, Free Float Factor, Gross Return, Group Entity Code, Index Code, Index of Price in Local Currency, Industry Code, Investable Factor, Investable Market Value in US Dollars, Investable Weight, Market Identifier Code, Market Value, MSCI Code, Net Return, Opening Investable Market Value in US Dollars, Opening Investable Weight in Index, Opening Market Value, Price Return, Reuters Identification Code (RIC), Sector Code, Sector Description, Security Adjusted Investable Market Value in US Dollars, Security Adjusted Market Capitalization in US Dollars, Share Class, Shares Outstanding, Unadjusted Price, Value of Quotation Lot Size, etc.
  • Index Items – 12 Months Forward Earnings per Share, 12 Months Trailing Earnings per Share, 3 year Earnings Per Share Trend, 3 Year Sales Per Share Trend, Adjusted Market Capitalization in Local Currency, Average Dividend Per Share Growth 1 Year, Average Dividend Per Share Growth 5 Year, Capital Growth Index , Capital Returns Index , Current Internal Growth Rate (V/G), Dividend Payout Ratio, Estimated Daily Yield, Gross Index, Long Term Forward EPS Growth Rate (V/G), Long Term Historical Earnings per Share Growth Trend (V/G), Long Term Historical Sales Per Share Growth Trend (V/G), Market Capitalization, Net Index, Number of Constituents, Number of Group Entities, Number of Issuers, Opening Market Capitalization, Price Index, Price to Book Value per Share, Price to Cash Earnings, Price to Earnings per Share Ratio, Price to Earnings per Share Ratio 12 Month Forward, Return on Equity, Short Term Forward Earnings per Share Growth Rate (V/G), Year On Year Growth Forward/Trailing Earnings per Share, etc.

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