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Finding Historical MSCI Factor Index Returns Without Paid Data Access

Article Quant Q&A · Author: Richi Wa
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Summary

The document asks how to obtain long-run daily or weekly returns for MSCI factor indices, including momentum, minimum volatility, small cap, and enhanced value. The replies explain that index providers commonly restrict benchmark data, so full historical index series may require a paid data subscription or access through a service such as Bloomberg. They suggest using returns from ETFs or mutual funds that track the benchmarks as a free or more accessible proxy.

This approach has limits: fund returns include fees and tracking differences, so they do not exactly reproduce index performance. The document does not identify specific funds, explain how closely they track the requested indices, or establish whether the suggested data source offers the full desired history or frequency. It is a practical access overview, not a detailed data-gathering method.

Key ideas

  • MSCI benchmark histories may be restricted or available only through paid data services.
  • ETF or mutual fund returns can serve as accessible proxies for factor index performance.
  • Fund returns may differ from their benchmark because of fees and tracking error.
  • The replies do not establish that a proxy will provide the requested daily history.

Tags

EquitiesFactor investing
Full text
# Retrieval of MSCI factor index performance data from the web


# Retrieval of MSCI factor index performance data from the web












I hope this question is on-topic. What is a convenient way to get MSCI index performance data from the web? I would be interested in daily performance data of the factor indices momentum, minvol, small cap and enhanced value.

I know that I can download files from MSCI end of day index data search. It is just not conveniant. If I take longer periods I can only use monthly data. But I would like to have at least weekly, preferable daily data. I don't have direct access to Bloomberg at the moment. But can I use the web site of BB to scrape the data? Qandl doesn't offer what I need and I have not seen the data on google finance. Do I have to switch to investable ETFs to get the data? I would like to have the last 10 years.

## Answer by pyCthon (score 1)

https://quant.stackexchange.com/a/37019

Index providers typically don't make their data publicly available and you would have to look at the ETFs or mutual funds that track these benchmarks or pay for the index data.

## Answer by Jared M (score 0)

https://quant.stackexchange.com/a/40863

Unfortunately, unless you're willing to pay or can get to Bloomberg, you'll likely have to be satisfied with the ETF data. I use the free and very easy to use AlphaVantage API.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.