Morgan Stanley (NYSE: MS) announced today that it has licensed a new quantitative index called StyleSelect on MSCI US. This new index is a dynamic basket of stocks developed by Morgan Stanley to capture an attractive combination of style properties relative to the broad U.S. market. Such properties are modeled by Morgan Stanley using MSCI’s Value and Growth enhanced style classification system. The quantitative methodology is developed by the Quantitative and Derivative Strategies (QDS) group at Morgan Stanley. Applying this quantitative screen to the MSCI US Index, MSCI then calculates this custom index and rebalances it monthly.
“StyleSelect on MSCI US joins the StyleSelect on MSCI Europe and on MSCI Japan in our successful family of StyleSelect indices. The indices aim to provide investors access to a disciplined and transparent quantitative stock selection process determined by Morgan Stanley – an active strategy in a passive shell,” said Simon Emrich, North American Head of Quantitative and Derivative Strategies at Morgan Stanley. StyleSelect on MSCI US is based on the selective exclusion of MSCI US constituents, based on their value and growth characteristics. It is subject to strict industry group representation and diversification criteria, as well as turnover control.
“StyleSelect indices form an innovative underlyer for our new suite of structured products,” said Kevin Woodruff, Head of North American Equity Derivatives at Morgan Stanley. “StyleSelect indices on MSCI US, Japan, Europe and other markets are gaining interest from a variety of our clients. This new offering is driven by investor demand and will help both our institutional and retail clients find alternative opportunities to enhance performance.”
“We are delighted Morgan Stanley has chosen us as their preferred supplier for this customized family of indices,” added David Brierwood, Chief Operating Officer of MSCI Barra. “This index customization further reinforces the breadth and depth of index customizations that we can offer our clients - from simple geographic or sector modifications to complex screening using client-defined criteria. We have seen considerable growth in this area as investors look for more targeted or specialized investment opportunities and benchmarks that are more representative of their investment set.”
The StyleSelect on MSCI US can be used as an active strategy in outright or overlay form. Its historical tracking risk has been approximately 1.4 percent per annum. It is differentiated from existing fundamental indices and other stock-screen based indices, which typically exhibit sector and other concentrated style biases.
The price level of StyleSelect on MSCI US is available on Bloomberg at MSQISSUS Index <GO>.
For more information about StyleSelect please contact Simon Emrich +1 212 761 8254, Yazid Sharaiha +44 20 7425 6045 or Baron Law +81 3 5424 5526 at the QDS group or your Morgan Stanley sales representative.
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