Transcription of MSCI Barra Factor Indexes Methodology
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MSCI Barra Factor Indexes Methodology
JUNE 2017 INDEX Methodology JUNE 2017 MSCI Barra Factor Indexes Methodology June 2017 | PAGE 2 OF 25 2017 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document. MSCI Barra Factor Indexes Methodology | JUNE 2017 1 Introduction ..3 2 Main Characteristics of MSCI Long-Short Barra Factor Indexes ..4 3 Constructing the MSCI Long-Short Barra Factor Indexes ..5 Specifying the Parent Index, Benchmark and the Barra Equity Model for optimization ..5 Specifying the Target Factor and optimization objectives ..6 Specifying the optimization constraints ..6 Calculating the optimized 4 Maintaining the MSCI Barra Factor Indexes ..8 Monthly index reviews ..8 Ongoing event related changes.
The index review of the MSCI Barra Factor Indexes is scheduled for the beginning of each month following the release by Barra to its clients of the monthly updates of the security exposure data and factor co-variance data of the relevant Barra Equity Model. The rebalancing date for the MSCI Barra Factor Indexes is as specified in Appendix III (the
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