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M2USDM MSCI USA Small Cap Diversified Multiple-Factor Index

The Index is composed of U.S. small-capitalization stocks that have favorable exposure to target style factors subject to constraints. The Index is constructed by optimizing the underlying parent index using a Barra Equity Model to maximize the index-level exposure to the targeted style factors (value, quality, momentum, and low size) while maintaining market risk similar to the parent index.

As of 09/21/2023

Index Information
Provider:     MSCI
Category1:  US Equity
Category2:  Broad market
Category3:  Small cap
Country:      USA
Currency:    USD
Inception date:  02/17/2015
Backtesting data exists:   No
Weighting methodology:   Composite scores
Factsheet:  Read PDF
Number of holdings:  550  (as of 10/31/2017)
Rebalanced:  Semi-annually

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