A Framework for Implementing Factor-Based Equity Allocations

Presented by

Brendan Maton, Dimitris Melas, PhD, CFA, Roger Urwin

About this talk

The theory and practice of factor-based investing continues to be a subject of lively discussion among academics, institutional investors, product providers and index providers alike. As a result, incorporating equity factors—such as value, momentum, low size, low volatility, quality and high yield—in the asset allocation process necessarily involves several layers of critical decision points. In this webinar, MSCI explores how to allocate to and across factors in the context of the institutional portfolio. We also provide a framework for evaluating and refining candidate factors for the plan, and selecting appropriate factor indices based on the investor’s various objectives and constraints. Agenda Topics: • Assessing the role of factor investing in the context of a plan’s objectives • Determining the appropriate factors for the plan • Choosing an index to capture the selected factors • Factor performance metrics

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