MSCI Launches Two MSCI Market Neutral Barra Factor Indices Licensed to J.P. Morgan

MSCI Inc. announced that it has launched two new MSCI Market Neutral Barra Factor Indices targeting two fundamental Barra style factors: Momentum and Volatility. Created in…

consultation with, and licensed to, J.P. Morgan, the new indices are designed to reflect the performance of a theoretically “pure” single factor return for a given region, while remaining investable, replicable and with controlled turnover.
The MSCI Europe Market Neutral Barra Momentum Index targets high exposure to the momentum factor across European developed markets, with low exposure to all other market factors including country, industry and other style factors (such as size, value, growth and more). Similarly, the MSCI Europe Market Neutral Barra Volatility Index   targets high exposure to the volatility factor, with low exposure to all other factors.
“We are pleased to have had J.P. Morgan’s input in developing these new indices,” said Baer Pettit, Managing Director and Global Head of the MSCI Index Business. “By leveraging the combined strengths of our MSCI index and Barra analytics products, MSCI can provide institutional investors with a unique set of tools in an environment where they are increasingly observing style factors as important drivers of equity market risk and return.”
Rui Fernandes, Managing Director and head of Equity Derivatives Structuring at J.P. Morgan said, “We are excited to license these indices to create products that fill an important product gap, allowing investors to access Barra style factors in an investable format.”

Source: ETFWorld – MSCI Inc