MSCI Index Calculation Methodology
Index MethodologyMSCI Index Calculation MethodologyIndex Calculation Methodology for the MSCI Equity IndicesMay 2012msci.com
Index MethodologyMSCI Index Calculation MethodologyMay 2012ContentsContents . 2Introduction . 5MSCI Equity Indices. 6Section 1: MSCI Price Index Methodology. 71.1. Price Index Level.71.1.1. Index Market Capitalization .71.1.2. Example of calculation . 101.2. Price Index Level (Alternative Calculation Formula – ContributionMethod) . 111.2.1. Security Contribution to the Index . 111.2.2. Today’s Initial Security Weight. 111.2.3. Security Daily Price Return . 131.2.4. Example of calculation using contribution . 151.3. Next Day Initial Security Weight . 161.4. Closing Index Market Capitalization Today USD (Unadjusted MarketCap Today USD) . 171.5. Security Index Of Price In Local . 181.6. Note on Index Calculation In Local Currency . 191.7. Conversion of Indices Into Another Currency. 202. Section 2: MSCI Daily Total Return (DTR) IndexMethodology. 222.1. Calculation Methodology . 222.1.1. Dividend Impact. 232.1.2. DTR Index Level from Security Information (Security DTR). 232.1.3. Security Contribution to the Index . 232.1.4. Security Daily Total Return. 242.1.4.1. Security Daily Gross Return . 242.1.4.2. Security Daily Net Return. 252.1.5. Initial Security Weight . 27MSCI Data Operations & Technology 2012 MSCI Inc. All rights reserved.Please refer to the disclaimer at the end of this documentmsci.com2
Index MethodologyMSCI Index Calculation MethodologyMay 20122.1.6. Currency . 292.1.7. Number Of Shares And Index Weighting Factor. 292.2. Reinvestment Methodology. 292.2.1. Timing of reinvestment . 302.2.2. Reinvestment Rules. 302.2.3. Dividends Resulting in a Reinvestment Only . 302.2.4. Dividends Resulting in a Reinvestment or in a Price Adjustment . 312.2.5. Dividends Resulting in a Price Adjustment Only. 322.3. Processing Rules. 332.3.1. Dividend Data . 332.3.2. Corporate Actions . 332.3.3. Corrections . 332.3.4. Payment Default . 342.3.5. Late Dividends . 342.3.6. Country Exceptions . 342.3.7. Taxes On Dividends. 352.3.7.1. Tax Credit . 352.3.7.2. Withholding Tax . 362.3.7.2.1. Country Exception . 362.3.8. Definitions . 38Appendix I: Sunday Index Calculation . 40Appendix II: Annualized Traded Value Ratio (ATVR) andAnnual Traded Value . 43Appendix III: Exchange Rates. 46Appendix IV: Singapore & Malaysia – A History of Inclusion inthe Emerging and Developed Markets Indices . 47Appendix V: Singapore and Singapore Free . 50Appendix VI: Withholding Tax Rates. 51Appendix VII: Closing Prices Policy . 54Appendix VIII: Country Composition of MSCI SelectedRegional Indices . 65Appendix IX: MSCI Real Time Indices . 75MSCI Data Operations & Technology 2012 MSCI Inc. All rights reserved.Please refer to the disclaimer at the end of this documentmsci.com3
Index MethodologyMSCI Index Calculation MethodologyMay 2012Appendix X: Index Calculation Methodology Using IndexDivisors . 77MSCI Index Calculation Methodology Book Tracked Changes91Client Service Information is Available 24 Hours a Day . 99Notice and Disclaimer. 99About MSCI. 99MSCI Data Operations & Technology 2012 MSCI Inc. All rights reserved.Please refer to the disclaimer at the end of this documentmsci.com4
Index MethodologyMSCI Index Calculation MethodologyMay 2012IntroductionThis methodology book describes MSCI’s general Index calculation methodology for the MSCI EquityIndices.MSCI provides two ways of calculating MSCI Equity Indices, either by using the Price Adjustment Factor(PAF) or the Index Divisors (Index Divisors methodology available as an appendix).These policies and guidelines affect all securities across the MSCI Equity Indices and products. Unlessotherwise stated the policies and guidelines apply therefore to all securities in the MSCI Equity universe.Please note that the index construction methodology and other guiding principles for the MSCI StandardIndices can be found in MSCI Global Investable Market Indices Methodology Indices document, availableat www.msci.com.MSCI Data Operations & Technology 2012 MSCI Inc. All rights reserved.Please refer to the disclaimer at the end of this documentmsci.com5
Index MethodologyMSCI Index Calculation MethodologyMay 2012MSCI Equity IndicesThe MSCI Equity Indices measure the performance of a set of equity securities over time. The MSCIEquity Indices are calculated using the Laspeyres’ concept of a weighted arithmetic average togetherwith the concept of chain-linking.MSCI country and regional equity Indices are calculated in “local currency” as well as in USD, with price,gross and net returns.Index levels are also available in several other currencies such as AUD, BRL, CAD, CHF, CNY, EUR, GBP,HKD, INR, JPY, KRW, RUB and SGD.While the local currency series of regional indices cannot be replicated in the real world, it representsthe theoretical performance of an index without any impact from foreign exchange fluctuations — acontinuously hedged portfolio.Indices are calculated 5 days a week, from Monday to Friday with the exception of a selection of indicesthat have a Sunday calculation available.In certain cases, where there are no qualifying securities, it is possible for MSCI Indices to be emptyfollowing a security deletion or GICS change. If an index becomes empty it would be dynamicallydiscontinued or ‘ruptured’. It is then possible for the index to be re-started once a new security qualifiesfor the index, and this index level would be rebased to an appropriate level at that time.MSCI Data Operations & Technology 2012 MSCI Inc. All rights reserved.Please refer to the disclaimer at the end of this documentmsci.com6
Index MethodologyMSCI Index Calculation MethodologyMay 2012Section 1: MSCI Price Index MethodologyPrice indices measure the market prices performance for a selection of securities. They are calculateddaily and, for some of them, on a real time basis. Each index captures the market capitalization weightedreturn of all constituents included in the index.1.1.Price Index LevelAs a general principle, today’s index level is obtained by applying the change in the market performanceto the previous period index level.PriceIndex LevelUSDt PriceIndex LevelUSDt 1 *IndexAdjus tedMarketCapUSDtIndexIniti alMarketCapUSDtPriceIndex LevelLocalt PriceIndex LevelLocalt 1 *IndexAdjus tedMarketCapForLocaltIndexIniti alMarketCapUSDtWhere: PriceIndex LevelUSDt 1 is the Price Index level in USD at time t-1 IndexAdjus tedMarketCapUSDt is the Adjusted Market Capitalization of the index in USD attime t IndexIniti alMarketCapUSDt is the Initial Market Capitalization of the index in USD at time t PriceIndex LevelLocalt 1 is the Price Index level in local currency at time t-1 IndexAdjus tedMarketCapForLocalt is the Adjusted Market Capitalization of the index inUSD converted using FX rate as of t-1 and used for local currency index at time tNote: IndexIniti alMarketCapUSD was previously called IndexUnadjustedMarketCapPreviousUSD1.1.1. Index Market CapitalizationIndexAdjus tedMarketCapUSDt EndOfDayNumberOfShares t 1 * PricePerSh aret * InclusionF actort * PAFtFXrate ts I ,t MSCI Data Operations & Technology 2012 MSCI Inc. All rights reserved.Please refer to the disclaimer at the end of this documentmsci.com7
Index MethodologyMSCI Index Calculation MethodologyMay 2012IndexAdjus tedMarketCapForLocal t (s I ,tEndOfDayNumberOfShares t 1 * PricePerSh aret * InclusionF actort * PAFt ICI t*)FXrate t 1ICI t 1IndexIniti alMarketCapUSDt EndOfDayNumberOfShares t 1 * PricePerSh aret 1 * InclusionF actortFXrate t 1s I ,t Where: EndOfDayNumberOfShares t 1 is the number of shares of security s at the end of day t-1. PricePerSh aret is the price per share of the security s at time t. PricePerSh aret 1 is the price per share of security s at time t-1. InclusionFactort is the inclusion factor of the security s at time t. The inclusion factor can beone or the combination of the following factors: Foreign Inclusion Factor, Domestic InclusionFactor, Growth Inclusion Factor, Value Inclusion Factor, Index Inclusion Factor (*). PAFt is the Price Adjustment Factor of the security s at time t. FXrate t is the FX rate of the price currency of security s vs USD at time t. It is the value of 1USD in foreign currency. FXrate t 1 is the FX rate of the price currency of security s vs USD at time t-1. It is the value of 1USD in foreign currency. ICI t is the Internal Currency Index of price currency at time t. The ICI is different than 1 when acountry changes the internal value of its currency (e.g. from Turkish Lira to New Turkish Lira – ICI 1,000,000). ICI t 1 is the Internal Currency Index of price currency at time t-1.(*) From June 1 2007 to May 31 2008, to calculate the standard or small cap index market capitalization(except for FM countries and China A), the security market cap should be multiplied by the Standard orSmall Cap Index Inclusion Factor.From September 1 2009 to November 30 2009, to calculate the China A and related indices marketscapitalization, the China A securities market cap should be multiplied by the Standard Index InclusionFactor.The ‘Standard Index Inclusion Factor’ is solely used for the computation of the MSCI Standard Indices,and not for the Large Cap, Mid Cap and Provisional Indices, as these are all constructed using the GlobalInvestable Market Indices methodology and were not subject to the transition methodology.MSCI Data Operations & Technology 2012 MSCI Inc. All rights reserved.Please refer to the disclaimer at the end of this documentmsci.com8
Index MethodologyMSCI Index Calculation MethodologyMay 2012The ‘Small Cap Index Inclusion Factor’ is not used for the computation of the MSCI Emerging Marketsand AC Small Cap Indices, MSCI Small Cap Value and Growth, MSCI Provisional Small Cap and MSCI SmallCap Sectors Indices, as these are all constructed using the Global Investable Market Indicesmethodology and were not subject to the transition methodology.Note:The only difference in the formulas between USD and local currency indices calculation is that the sameexchange rate is used in the numerator and denominator for local currency, which means that there isno impact of currency change in the performance. Time variant exchange rates are used for the USDcalculation.MSCI Data Operations & Technology 2012 MSCI Inc. All rights reserved.Please refer to the disclaimer at the end of this documentmsci.com9
Index MethodologyMSCI Index Calculation MethodologyMay 20121.1.2. Example of calculationExample of index calculation.Day 1NumberOfShares t1PricePer PricePerShare t Share t-1InclusionFactor tIndexAdjustedIndexAdjusted IndexInitialMar MarketCapForFXrate FXrate MarketCapUSD ketCapUSD tLocal t (seePAF ttt-1t (see 1.1.1)(see 1.1.1)1.1.1)Security 1711,521,812Security 244,211Security C2900001592.601603.500.601 125.00 125.502,216,8992,223,1792,208,067Security ,00070,558,59570,366,63370,646,0901.501.50Total Indextt-1 daily perfPriceIndexLevelUSD (see 1.1)100.273100.0000.27%PriceIndexLevelLocal (see 1.1)100.397100.0000.40%Day 2Security C is ex Right issue 1 : 1 @ 1300NumberOfShares t1PricePer PricePerShare t Share t-1InclusionFactor tIndexAdjustedIndexAdjusted IndexInitialMar MarketCapForFXrate FXrate MarketCapUSD ketCapUSD tLocal t (seePAF ttt-1t (see 1.1.1)(see 1.1.1)1.1.1)Security 0012,000,000Security 47,826Security C2900001450.001592.600.60 1.1034 124.50 125.002,236,1452,216,8992,227,200Security 9,987,97170,558,59570,435,0260.8511.511.50Total Indextt-1 daily perfPriceIndexLevelUSD (see 1.1)99.462100.273-0.81%PriceIndexLevelLocal (see 1.1)100.221100.397-0.18%Day 3Security C has an increase of number of shares follow ing the right issue ex on Day 2NumberOfShares t1PricePer PricePerShare t Share t-1InclusionFactor tIndexAdjustedIndexAdjusted IndexInitialMar MarketCapForFXrate FXrate MarketCapUSD ketCapUSD tLocal t (seePAF ttt-1t (see 1.1.1)(see 1.1.1)1.1.1)Security 3012,293,046Security 286,207Security C5800001545.001450.000.601 124.45 124.504,320,2894,053,0124,318,554Security ,63673,225,95671,804,83972,802,443Total Indext1.51t-1 daily perfPriceIndexLevelUSD (see 1.1)101.43099.4621.98%PriceIndexLevelLocal (see 1.1)101.614100.2211.39%MSCI Data Operations & Technology 2012 MSCI Inc. All rights reserved.Please refer to the disclaimer at the end of this document1.50msci.com10
Index MethodologyMSCI Index Calculation MethodologyMay 20121.2. Price Index Level (Alternative Calculation Formula – ContributionMethod)Another way to calculate the index level would be to use the initial weight and price return of theindividual securities included in the index:PriceIndex LevelUSDt PriceIndex LevelUSDt -1 * (1 SecurityPr iceContrib utionToIndexUSDt )s I ,tPriceIndex LevelLocalt PriceIndex LevelLocalt 1 * (1 SecurityPr iceContrib utionToIndexLocal t )s I ,t1.2.1. Security Contribution to the IndexSecurityPr iceContrib utionToIndexUSDt InitialSec urityWeigh t t * SecurityDa ilyPriceRe turnUSDtSecurityPr iceContrib utionToIndexLocal t InitialSec urityWeigh t t * SecurityDa ilyPriceRe turnLocaltWhere: SecurityDa ilyPriceRe turnUSDt is the price return in USD of security s at time t. SecurityDa ilyPriceRe turnLocalt is the price return of security s at time t converted using FXrate as of t-1 and used for local currency calculation at time t.1.2.2. Today’s Initial Security WeightMSCI Data Operations & Technology 2012 MSCI Inc. All rights reserved.Please refer to the disclaimer at the end of this documentmsci.com11
Index MethodologyMSCI Index Calculation MethodologyMay 2012InitialSec urityWeigh t t EndOfDayNumberOfShares t 1 * PricePerSh aret 1* InclusionF actortFXrate t 1* 100 EndOfDayNumberOfShares t 1 * PricePerSh aret 1* InclusionF actort ) (FXrate t 1s I,tSecurityIn itialFullM arketCapUSDt * InclusionF actort (SecurityI nitialFull MarketCapUSDs I,tt* 100 * InclusionF actort )SecurityIn itialMarketCapUSDt* 100IndexIniti alMarketCapUSDtWhere: EndOfDayNumberOfShares t 1 is the number of shares of security s at the end of day t-1. PricePerSh aret 1 is the price per share of security s at time t-1. InclusionFactort is the inclusion factor of security s at time t. The inclusion factor can be oneor the combination of the following factors: Foreign Inclusion Factor, Domestic Inclusion Factor,Growth Inclusion Factor, Value Inclusion Factor, Index Inclusion Factor (*). FXrate t 1 is the FX rate of the price currency of security s vs USD at time t-1. It is the value of 1USD in foreign currency.(*) From June 1 2007 to May 31 2008, to calculate the standard or small cap index market capitalization(except for FM Countries and China A), the security market cap should be multiplied by the Standard orSmall Cap Index Inclusion Factor.From September 1 2009 to November 30 2009, to calculate the China A and related indices marketscapitalization, the China A securities market cap should be multiplied by the Standard Index InclusionFactor.The ‘Standard Index Inclusion Factor’ is solely used for the computation of the MSCI Standard Indices,and not for the Large Cap, Mid Cap and Provisional Indices, as these are all constructed using the GlobalInvestable Market Indices methodology and were not subject to the transition methodology.The ‘Small Cap Index Inclusion Factor’ is not used for the computation of the MSCI Emerging Marketsand AC Small Cap Indices, MSCI Small Cap Value and Growth, MSCI Provisional Small Cap and MSCI SmallCap Sectors Indices, as these are all constructed using the Global Investable Market Indicesmethodology and were not subject to the transition methodology.MSCI Data Operations & Technology 2012 MSCI Inc. All rights reserved.Please refer to the disclaimer at the end of this documentmsci.com12
Index MethodologyMSCI Index Calculation MethodologyMay 2012Note: The SecurityIn itialFullM arketCapInSecurityPr iceCurrencyt is also available in the securityfiles and corresponds to the SecurityIn itialFullM arketCapUSDt multiplied by the FXrate t 1The EndOfDayNumberOfShares t 1 used to calculate today’s initial weight, available in the MSCIproducts dated day t , is shown as “Number of Shares (Today Index)”.1.2.3. Security Daily Price Return SecurityAd justedMarketCapUSDt SecurityDa ilyPriceRe turnUSDt 1 *100 SecurityIn itialMarketCapUSDt SecurityAd justedMarketCapForLocal t SecurityDa ilyPriceRe turnLocalt 1 *100SecurityIn itialMarketCapUSDt SecurityAd justedMarketCapForLocal t EndOfDayNumberOfShares t 1 * PricePerSh aret * InclusionF actort * PAFt ICI t*FXrate t 1ICI t 1SecurityAd justedMarketCapUSDt EndOfDayNumberOfShares t 1 * PricePerSh aret * InclusionF actort * PAFtFXrate tSecurityIn itialMarketCapUSDt EndOfDayNumberOfShares t 1 * PricePerSh aret 1 * InclusionF actortFXrate t 1Where: SecurityAd justedMarketCapForLocal t is the Adjusted Market Capitalization of security s inUSD converted using FX rate as of t-1 SecurityAd justedMarketCapUSDt is the Adjusted Market Capitalization of security s in USDconverted using FX rate as of t SecurityIn itialMarketCapUSDt is the Initial Market Capitalization of security s in USD at time tMSCI Data Operations & Technology 2012 MSCI Inc. All rights reserved.Please refer to the disclaimer at the end of this documentmsci.com13
Index MethodologyMSCI Index Calculation MethodologyMay 2012 EndOfDayNumberOfShares t 1 is the number of shares of security s at the end of day t-1. PricePerSh aret is the price per share of security s at time t. PricePerSh aret 1 is the price per share of security s at time t-1. InclusionFactort is the inclusion factor of security s at time t. The inclusion factor can be one orthe combination of the following factors: Foreign Inclusion Factor, Domestic Inclusion Factor,Growth Inclusion Factor, Value Inclusion Factor, Index Inclusion Factor (*). PAFt is the Price Adjustment Factor of security s at time t. FXrate t is the FX rate of the price currency of security s vs USD at time t. It is the value of 1USD in foreign currency. FXrate t 1 is the FX rate of the price currency of security s vs USD at time t-1. It is the value of 1USD in foreign currency. ICI t is the Internal Currency Index of price currency at time t. The ICI is different than 1 when acountry changes the internal value of its currency (e.g. from Turkish Lira to New Turkish Lira – ICI 1,000,000). ICI t 1 is the Internal Currency Index of price currency at time t-1.(*) From June 1 2007 to May 31 2008, to calculate the standard or small cap index market capitalization(except for FM Countries and China A), the security market cap should be multiplied by the Standard orSmall Cap Index Inclusion Factor.From September 1 2009 to November 30 2009, to calculate the China A and related indices marketscapitalization, the China A securities market cap should be multiplied by the Standard Index InclusionFactor.The ‘Standard Index Inclusion Factor’ is solely used for the computation of the MSCI Standard Indices,and not for the Large Cap, Mid Cap and Provisional Indices, as these are all constructed using the GlobalInvestable Market Indices methodology and were not subject to the transition methodology.The ‘Small Cap Index Inclusion Factor’ is not used for the computation of the MSCI Emerging Marketsand AC Small Cap Indices, MSCI Small Cap Value and Growth, MSCI Provisional Small Cap and MSCI SmallCap Sectors Indices, as these are all constructed using the Global Investable Market Indicesmethodology and were not subject to the transition methodology.MSCI Data Operations & Technology 2012 MSCI Inc. All rights reserved.Please refer to the disclaimer at the end of this documentmsci.com14
Index MethodologyMSCI Index Calculation MethodologyMay 20121.2.4. Example of calculation using contributionDay 1NumberOfShares t1PricePer PricePerShare t Share t-1InclusionFactor tSecurityDaily SecurityPrice SecurityDaily SecurityPriceInitialSecuri Price Return contributionTo Price Return contributionToFXrate FXrate tyWeight t USD t (seeIndexUSD Local t (seeIndexLocalPAF ttt-1 (see 1.2.2)1.2.3)(see 1.2.1)1.2.3)(see 1.2.1)Security -0.91%-0.15%Security 29%-0.21%Security C2900001592.601603.500.601 125.00 125.503.16%-0.28%-0.01%-0.68%-0.02%Security 1.501.50Total Index100.00%t0.27%0.40%t-1 daily perfPriceIndexLevelUSD (see 1.2)100.273100.0000.27%PriceIndexLevelLocal (see 1.2)100.397100.0000.40%Day 2Security C is ex Right issue 1 : 1 @ 1300NumberOfShares t1PricePer PricePerShare t Share t-1InclusionFactor tSecurityDaily SecurityPrice SecurityDaily SecurityPriceInitialSecuri Price Return contributionTo Price Return contributionToFXrate FXrate tyWeight t USD t (seeIndexUSD Local t (seeIndexLocalPAF ttt-1 (see 1.2.2)1.2.3)(see 1.2.1)1.2.3)(see 1.2.1)Security 85%0.79%Security 6%-0.11%Security C2900001450.001592.60Security D360000265.00268.000.60 1.1034 124.50 125.000.8511.511.50Total .12%-0.87%100.00%t-0.81%-0.18%t-1 daily perfPriceIndexLevelUSD (see 1.2)99.462100.273-0.81%PriceIndexLevelLocal (see 1.2)100.221100.397-0.18%Day 3Security C has an increase of number of shares follow ing the right issue ex on Day 2NumberOfShares t1PricePer PricePerShare t Share t-1InclusionFactor tSecurityDaily SecurityPrice SecurityDaily SecurityPriceInitialSecuri Price Return contributionTo Price Return contributionToFXrate FXrate tyWeight t USD t (seeIndexUSD Local t (seeIndexLocalPAF ttt-1 (see 1.2.2)1.2.3)(see 1.2.1)1.2.3)(see 1.2.1)Security 13%0.52%Security 0.22%Security C5800001545.001450.000.601 124.45 124.505.64%6.59%0.37%6.55%0.37%Security Total Index1.501.51100.00%tPriceIndexLevelUSD (see 1.2)101.43099.4621.98%PriceIndexLevelLocal (see 1.2)101.614100.2211.39%MSCI Data Operations & Technology 2012 MSCI Inc. All rights reserved.Please refer to the disclaimer at the end of this document1.98%1.39%t-1 daily perfmsci.com15
Index MethodologyMSCI Index Calculation MethodologyMay 20121.3. Next Day Initial Security WeightInitialSec urityWeigh t t 1 EndOfDayNumberOfShares t * PricePerSh aret* InclusionF actort 1FXrate t* 100 EndOfDayNumberOfShares t * PricePerSh aret* InclusionF actort 1 ) (FXrate ts I,t 1SecurityIn itialFullM arketCapUSDt 1 * InclusionF actort 1 (SecurityI nitialFull MarketCapUSDs I,t 1t 1* 100 * InclusionF actort 1 )SecurityIn itialMarketCapUSDt 1* 100IndexIniti alMarketCapUSDt 1Where: EndOfDayNumberOfShares t is the number of shares of security s at the end of day t. PricePerSh aret is the price per share of the security s at time t. InclusionFactort 1 is the inclusion factor of the security s at time t 1. The inclusion factor canbe one or the combination of the following factors: Foreign Inclusion Factor, Domestic InclusionFactor, Growth Inclusion Factor, Value Inclusion Factor, Index Inclusion Factor (*). FXrate t is the FX rate of the price currency of security s vs USD at time t. It is the value of 1USD in foreign currency.(*) From June 1 2007 to May 31 2008, to calculate the standard or small cap index market capitalization(except for FM Countries and China A), the security market cap should be multiplied by the Standard orSmall Cap Index Inclusion Factor.From September 1 2009 to November 30 2009, to calculate the China A and related indices marketscapitalization, the China A securities market cap should be multiplied by the Standard Index InclusionFactor.The ‘Standard Index Inclusion Factor’ is solely used for the computation of the MSCI Standard Indices,and not for the Large Cap, Mid Cap and Provisional Indices, as these are all constructed using the GlobalInvestable Market Indices methodology and were not subject to the transition methodology.The ‘Small Cap Index Inclusion Factor’ is not used for the computation of the MSCI Emerging Marketsand AC Small Cap Indices, MSCI Small Cap Value and Growth, MSCI Provisional Small Cap and MSCI SmallMSCI Data Operations & Technology 2012 MSCI Inc. All rights reserved.Please refer to the disclaimer at the end of this documentmsci.com16
Index MethodologyMSCI Index Calculation MethodologyMay 2012Cap Sectors Indices, as these are all constructed using the Global Investable Market Indicesmethodology and were not subject to the transition methodology.The list of index constituents as of time t 1 is considered in the calculation.Notes:The SecurityIn itialFullM arketCapInSecurityPr iceCurrencyt 1 is also available in the security filesand corresponds to the SecurityIn itialFullM arketCapUSDt 1 multiplied by the FXrate tThe EndOfDayNumberOfShares t used to calculate next day’s initial weight, available in the MSCIproducts dated day t , is shown as “Number of Shares (Next Day Index)”.1.4. Closing Index Market Capitalization Today USD (Unadjusted MarketCap Today USD)The value of the index market capitalization as of the close of a day is calculated as follows:IndexClosi ngMarketCapUSDt ClosingNumberOfSharest * PricePerSh aret * InclusionF actortFXrate ts I ,t Where ClosingNumberOfSharest is the number of shares of security s at the close of t. PricePerSh aret is the security price per share of security s at time t. InclusionFactort is the inclusion factor of the security s at time t. The inclusion factor can beo
is the FX rate of the price currency of security s vs USD at time t-1. It is the value of 1 USD in foreign currency. ICI t is the Internal Currency Index of price currency at time t. The ICI is different than 1 when a country changes the internal value of its currency (e.g. from Turkish Lira to New Turkish Lira - ICI 1,000,000). ICI t 1
implementation of corporate events affecting securities across all the MSCI Equity Indices and products. While each MSCI Indices has its own separate index construction and maintenance methodology, MSCI endeavors to develop and maintain a set of corporate event implementation rules that are as generic as
MSCI ACWI 3.06 2.75 5.39 17.11 20.02 MSCI EAFE 2.44 2.98 0.60 8.99 11.53 MSCI EAFE Growth 2.76 2.54 2.31 9.35 13.24 MSCI EAFE Value 2.11 3.43 (1.24) 8.25 9.49 . 5 15 25 35 45 55 65 75 85 95 VOLATILITY (VIX) ECONOMIC UPD
the Tin Crisis of 1985 when the price of Nickel went vertical, up 250% in 24 hours . World Consumer Staples Index / S&P/ASX 200 Consumer Staples Index, Consumer Discretionary is MSCI World Consumer Discretionary Index / S&P/ASX 200 . International Equities is MSCI World ex Australia Index, European Equities is MSCI Europe Index, UK Equities .
MSCI ESG KLD STATS: 1991-2014 DATA SETS JUNE 2015 INTRODUCTION MSCI ESG KLD STATS (STATS) is an annual data set of positive and negative environmental, social, and governance (ESG) performance indicators applied to a universe of publicly traded companies. The MSCI ESG KLD STATS data set was
MSCI Emerging Market s Net Total Return Index MSCI World Index UBS Until further notice NASDAQ 100 Total Return Index NASDAQ 100 Index UBS Until further notice Nexi S.p.A. FTSE MIB EUR Index UBS January 2023 NINTENDO NIKKEI 225 Index UBS Until further notice Nordea Bank ABP (Listing in Finland) Nordea Bank ABP (Listing in Sweden)
fundamental data. The book demonstrates MSCI’s use of fundamental data to calculate financial ratios and indicators at both the security and index level. Additionally, this book demonstrates how MSCI uses fundamental data in connection with corporate events.
Low Carbon Target Indexes can be constructed on any market capitalization weighted MSCI . represent an investor's participation in an event based on relevant deal terms and pre-event weighting of the index constituents that are involved. Further, changes in index market . to the Parent Index during intermediate Index Reviews will be .
Asset Class BlackRock Fund Allocations . EAFE Small Cap Index NL E EM Index Non-Lendable F EM Small Cap NL Fund E MSCI Eq Index NL Fd - Canada MSCI Canada Small Cap Eq NL Fund Commodities Commodity Index Daily Fund E Global Real Estate Developed Real . EAFE Large Cap EAFE Equity Index Fund F 6.70% 8.88% 11.83% 14.69% 17.37% 19.64% 20.98% 21 .
