What’s in your benchmark?
A factor analysis of major market indexes. December 2018
We examine the factor exposures of several popular market capitalization indexes and how they vary over time. We find that most market capitalization weight indexes are effectively exposed to only two or three factors, with value and momentum being increasingly dominant. Use the dropdown boxes below to compare the factor exposure of major equity market benchmarks.
Past performance is not a reliable indicator of future results. It is not possible to invest directly in an index.
Sources: BlackRock, with data from Barra, and MSCI, December 2018.
Notes: The analysis breaks down the style factor exposure of each benchmark index using stock-by-stock style scores derived from the Barra equity risk model. We then seek to mimic the style factor exposure of the benchmark index as closely as possible with a hypothetical portfolio composed of the following five MSCI style indexes: Enhanced Value, Momentum, Mid-Cap Equal Weighted (size), Minimum Volatility and Sector Neutral Quality. For further details on the methodology see the paper : “What’s in Your Benchmark? A Factor Analysis of Major Market Indexes”
. by Ang, Madhavan and Sobczyk (2017). For illustrative purposes only.