MSCI Barra has launched the MSCI Global Currency Indices, which may be licensed for use for portfolio management and benchmarking purposes, and to serve as the basis of structured products
MSCI Barra has launched the MSCI Global Currency Indices, which may be licensed for use for portfolio management and benchmarking purposes, and to serve as the basis of structured products and other index-linked investment vehicles such as exchange-traded funds.
The MSCI Global Currency Indices reflect the performance of both the currency and interest rate returns of developed and emerging market currencies in regional or composite MSCI equity indices. The weights of each currency are the same as the relevant country weight in the corresponding MSCI equity index.
According to MSCI Barra, this index construction methodology enables institutional investors to measure the total investment performance of foreign currencies within a portfolio tracking an MSCI equity index.
For example, an investor managing an emerging markets portfolio could use the MSCI Emerging Markets Currency Index to understand the impact of currency and interest rate returns on the performance of the MSCI Emerging Markets Index, or to hedge currency exposure via financial products linked to the index.
‘MSCI Barra is committed to providing innovative indices that reflect the performance of the opportunity set for particular investment themes or strategies,’ says chief operating officer David Brierwood.
‘The MSCI Global Currency Indices and the MSCI Short & Leveraged Indices are the latest products in the MSCI Thematic & Strategy Indices family to come to market, following the recent launch of the Global Minimum Volatility Indices, the Commodity Producers Indices and the Agriculture & Food Chain Indices.’
The Short & Leveraged Indices aim to reflect the actual investment process of managers that employ short and leveraged trading strategies by taking into account the main performance components, capital gains, cash dividends and interest. The MSCI Short Indices also incorporate stock borrowing costs.
Both the Global Currency Indices and the Short & Leveraged Indices are now available to eligible clients. Flagship indices for the Short & Leveraged Indices were added to the existing MSCI equity index products on July 1, and flagship indices for the Global Currency Indices will be added to the existing equity index products at a later date.
Launched last week, the MSCI Agriculture & Food Chain Indices are based on the Global Industry Classification Standard and aim to measure the opportunity set represented by listed companies in the agriculture and food chain.
The new indices include food distributors and producers of agricultural products, fertilisers and agricultural chemicals, and packaged foods and meats. They are designed as equity benchmarks for fund managers, pension funds and other institutional investors following an equity-based agriculture and food chain strategy, and can be used for performance attribution, performance measurement and manager evaluation, as well as to create structured products and investment vehicles such as ETFs.
‘There is growing interest from leading investors who want to slice and dice the equity universe into long term investment themes,’ Brierwood says. ‘Our aim is to provide institutional investors with a global and consistently constructed index family, designed to support their analytical processes and which can also be used as the basis of index-linked products.’
The flagship Agriculture & Food Chain Indices are now available to eligible clients and will be added to the existing MSCI equity index products before the end of the year. Additional indices can be calculated on client request. In addition to a free float-adjusted market capitalisation weighting scheme, a sector-capped version is also available for institutional investors preferring a more balanced sector distribution.
New York-based MSCI Barra, whose controlling shareholder is Morgan Stanley, is a provider of investment decision support tools to investment institutions including indices and portfolio risk and performance analytics for use in managing equity, fixed-income and multi-asset class portfolios. Its flagship products are the MSCI International Equity Indices, which are estimated to have more than USD3trn benchmarked to them, and the Barra risk models and portfolio analytics, which cover 56 equity and 46 fixed-income markets.