MSCI Inc. is a leading provider of investment decision support tools, including equity indexes, risk models, and factor investing research. Headquartered in New York. Originally Morgan Stanley Capital International; Barra was acquired in 2004 and merged into MSCI Barra (later simplified back to MSCI).
Role in factor investing
MSCI plays a dual role in factor investing:
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Factor indexes — the MSCI Factor Index family (Value Weighted, Momentum, Minimum Volatility, Quality, Equal Weighted, High Dividend Yield) provides transparent, investable benchmarks for the six canonical equity risk premia. These indexes are widely used as benchmarks for smart beta ETFs and factor strategies.
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Risk models — the Barra GEM family of holdings-based risk models is the industry standard for portfolio risk management. The lineage runs from Rosenberg (1974) through GEM2 (2008, built by Menchero), GEM3 (2012), GEMLT (2016), to the next-generation Global Equity Factor Model (2022) with Crowding, Machine Learning, and Sustainability factors.
Key contributions in the collection
- Bender, Briand, Melas & Subramanian (2013), “Foundations of Factor Investing” — foundational practitioner survey of factor investing rationale, factor index construction, cyclicality, and diversification. Identifies six equity risk premia factors. See factor-investing-overview.
- GEM3 methodology, GEMLT, and next-gen model documentation. See msci-barra-gem.
Key people
- Dimitris Melas — Global Head of Research, co-author of the foundations paper
- Remy Briand — former Head of Index and ESG Research
- Jennifer Bender — factor research
- Jose Menchero — Managing Director, built GEM2 and GEM3 (later moved to Bloomberg to build MAC3)
Related pages
- msci-barra-gem — Barra GEM model family
- factor-investing-overview — synthesis of MSCI and other factor investing surveys
- smart-beta-disruption — Kahn & Lemmon used Barra GEM3 factors in their analysis
- jose-menchero — key risk model architect who worked at MSCI