MSCI FaCSTM and MSCI Factor Box
MSCI FaCSTM is a classification standard and framework for evaluating, implementing and reportingstyle factors in equity portfolios.
Factor Box provides the visual representation of MSCI FaCS™

Factors are important drivers of risk and return. Factor Investing is transforming the way investors construct andmanage portfolios. The increasing popularity of Factor Investing creates the need for standards.
MSCI FaCS™, a Factor classification standard and its visual representation, the MSCI Factor Box, are designed toprovide investors the essential tools and common language for implementing Factor Investing strategies.

Key features

Key benefits• Standard framework and tools for investors to easily analyze,compare, implement and report Factor Investing strategies• Analyze equity portfolio exposures at a holdings level acrossstyle Factor dimensions• Based on the MSCI Barra Global Equity Factor Model(GEMLT), benefiting from MSCI’s 40+ years of Factor
experience• Compare factor exposures vs. a factor index as a way toevaluate manager insight or skill• MSCI FaCS™ provides a consistent and comprehensive
security level Factor view for 70,000+ global equities• Report factor exposures as a source of differentiation toattract investor interest• MSCI Factor Box provides the visualization to easily compare
Factor exposures between funds and benchmarks

What is MSCI FaCS™?
• MSCI FaCS™ is a standard method for evaluating and reporting the Factor characteristics of equity portfolios• MSCI FaCS™ consists of 8 Factor Groups that have been extensively documented in academic literature and validated byMSCI Research as key drivers of risk and return• The 8 Factor Groups are constructed by aggregating 16 Factors from the latest Barra global equity factor risk model, GEMLT,
designed to make fund comparisons transparent and intuitive for use• MSCI FaCS™ is the Factor classification standard that powers Factor Box

MSCI FaCSTM and MSCI Factor Box | msci.com

Based on MSCI’s Global Equity Factor Structure, MSCI FaCS™ includes 8 Factor Groups, and 16 Factors

VOLATILITY

Beta

MOMENTUM

VALUE

Momentum

Book-to-priceMid cap

Investment quality

Earnings yieldSize

Earnings variability

Reversal

YIELDDividend yield

Residual volatility

QUALITY

Leverage

SIZE

GROWTH

GrowthLIQUIDITY

Liquidity

Earnings quality
Profitability

How does Factor Box work?

Underweight

NeutralOverweight

The Factor Box is powered by MSCI FaCS™ and includes Factorsthat MSCI has identified that historically provided a return

VALUE

premium (MSCI Research – Foundation of Factor Investing,2013). On the vertical axis the Factor Groups are displayed andLOW SIZE

the horizontal axis displays the Factor exposure, overweightor underweight, compared to a benchmark. The design of theFund exposure

MOMENTUM

Factor Box allows investors to compare Factor exposures inthree different visuals:

Benchmark exposure
QUALITY• Bars shows the fund exposure across each factor• Circle shows the Factor exposure of chosen benchmark(ex. MSCI USA Index)• Distance between circle and bar shows difference
between fund exposure and benchmark exposure =Active Factor exposure

YIELD

LOW VOLATILITY* MSCI Factor Box neutral line (Exposure = 0) is based on the Global Equity
Universe determined by MSCI IMIAbout MSCIMSCI is a leading provider of critical decision support tools and services for the global investment community. With over 45 years ofexpertise in research, data and technology, we power better investment decisions by enabling clients to understand and analyze key
drivers of risk and return and confidently build more effective portfolios. We create industry-leading research-enhanced solutions
that clients use to gain insight into and improve transparency across the investment process.
To learn more, please visit www.msci.com.
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MSCI FaCSTM and MSCI Factor Box | msci.com