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Remy Briand By Beverly Chandler, Opalesque London:

MSCI has published "Harvesting Risk Premia with Strategy Indices", an extensive study on the role of equity risk premia as drivers of long-term portfolio performance. The paper provides a rigorous analytical framework for understanding the growing array of investment strategy indices - sometimes referred to as alternatively weighted indices - and opens up fresh lines of inquiry into their potential investment applications. The company also announced that it has expanded its range of MSCI Risk Premia Indices to now cover the MSCI ACWI IMI universe.

"Harvesting Risk Premia with Strategy Indices" is based on a comprehensive and systematic examination of the characteristics of various risk premia strategy indices - such as value weighted, risk weighted, equal weighted and minimum volatility - from a uniquely long-term global perspective using over 20 years of data. The paper also elaborates on how these risk premia strategy indices can be combined for potential diversification benefits at the portfolio level.

"While systematic risk premia may account for a substantial part of long-term portfolio performance, the current institutional asset allocation process still tends to pay much more attention to the selection of active managers than to the selection and combination of risk premia exposures," said Remy Briand, Managing Director and Head of MSCI Index Research. "We believe that institutional a......................

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