Index Review User Guide

Transcription

1 Introduction The MSCI Global Investable Market Indices are maintained with the objective of reflecting the evolution of the underlying equity markets and segments on a timely basis. In particular, the index reviews involve: Semi-Annual Index Review (SAIRs) in May and November of the size segment and Global Value and Growth Indices, which include*: Updating the indices on the basis of a fully refreshed Equity Universe Taking buffer rules into consideration for migration of securities across size and style segments Updating Foreign Inclusion Factors (FIFs) and Number of Shares (NOS) Quarterly Index Reviews (QIRs) in February and August of the Size Segment Indices aimed at*: - Including significant new eligible securities (such as IPOs which were not eligible for earlier inclusion) in the index - Allowing for significant moves of companies within the Size Segment Indices, using wider buffers than in the SAIR - Reflecting the impact of significant market events on FIFs and updating NOS Index Subscriber Information Subscribers to MSCI data have the option to receive index announcements via , which notify them, amongst other things, when the results of index reviews will be announced. The client index review announcement contains the user name and password, which is activated at a specific time and date. Once subscribers log into the subscriber site, subscribers will see information similar to the below (note that there are separate subscriber sites for DM Standard Indices, EM Standard Indices, DM Small Cap Indices, EM Small Cap Indices etc). The example below is for the MSCI Developed Market (DM) Standard Indices: * You can find more information on the index reviews in the MSCI Global Investable Market Indices Methodology MSCI Barra. All rights reserved. 1 of 6

2 Additional reports provided to MSCI clients on the MSCI subscriber sites include: 1. Comparison Report The Index Review Comparison Report incorporates all of the changes resulting from the Index Review and provides the basis for the analysis in all of the other Index Review files and materials. 2. Comparison Report Refreshed This is the updated snapshot of the proforma index. While the Comparison Report reflects prices and market capitalizations as of the index review analysis date, the Comparison Report Refreshed reflects all corporate events with the ex-date prior to the rebalance date, which have been announced since the analysis date. The Comparison Report Refreshed also reflects updated price and market capitalization data. 3. MSCI Global Summary This document contains an in-depth analysis of the index review including the following: a) Methodology highlights b) Analysis of the MSCI Global Investable Market Indices c) Index Review of additions and deletions for the MSCI Global Standard indices d) Index review of additions and deletions for the MSCI Global Small Cap Indices e) MSCI Global Value and Growth Indices only during Semi-Annual Index Reviews f) Index turnover resulting from the index review 4. Composite Reports (for selected regions) a) Compares Proforma Indices vs. Current Indices b) Top weight changes, additions and deletions from the MSCI Regional indices c) Market Capitalization Structure, GICS Composition and largest index weights d) Summary by country 5. Country Reports a) Compares Proforma vs. Current Indices b) Top weight changes, additions to and deletions from the MSCI Country Indices c) Market Capitalization structure, GICS Composition and largest index weights 2009 MSCI Barra. All rights reserved. 2 of 6

3 Calculation of a proforma security weight using the comparison file The index review data is available in either PDF or txt format. The txt file is delimited and may be opened easily in Microsoft Excel or similar programs. A key is located at the back of this document in the appendix. To create a proforma index you need to follow the below steps**; Filter 1) Add Auto filter to the Comparison File Country/Region Highlight row 2 Select: Data Filter; Autofilter. 2) Country Filter for desired countries Size Segment Index 3) For Large Cap indices Filter for 1 under Proforma Large Cap 4) For Mid Cap indices Filter for 1 under Proforma Mid Cap 5) For Standard Indices Copy stages 3 and 4 into a worksheet Determining Proforma Weights P roforma Index Market Cap( USD MM ) 100 P roforma Index Market Cap ( USD MM ) Additions and Removals To determine which companies should be added or removed from the index please filter the changes using the Family Change Status Column where; I New addition to MSCI indices O Removal from MSCI indices Blank no change for an existing underlying company **Please note that the weights are based on prices from the analysis date, and not necessarily indicative of what the weights will be on the rebalance date. For more detailed information, please refer to the Advance Corporate Event file MSCI Barra. All rights reserved. 3 of 6

4 Appendix as of April 2009 Column Name Column Description Cty Code Country code Country Country name MSCI Security Code MSCI Security Code MSCI Time series MSCI "time series" security identification code Sedol SEDOL code Bloomberg Code Bloomberg security ticker Security Name Name of the security Family Change Status Type of change I = Added to MSCI Standard Global Indices O = Removed from MSCI Standard Global Indices Security Change Status Type of change F = Change in FIF S = Change in Number of Shares G = Change in GICS L = Change in FOL I = Change in LIF Proforma Large Flag Securities that have 1 in this column will be included in the Large Cap size segment of the proforma Pro forma Mid Flag Securities that have 1 in this column will be included in the Mid Cap size segment of the proforma Pro forma Market Cap (USD mm) The market capitalization of the security used in the calculation of the pro forma MSCI Global Standard Indices. Includes the effect of the pro forma Foreign Inclusion Factor (FIF) and the pro forma shares outstanding Pro forma FIF The security's pro forma Foreign Inclusion Factor (FIF), which is used to adjust the constituent's market capitalization for free float and other investment restrictions Pro forma Number of Shares The security's pro forma shares outstanding, used in calculating the market capitalization of the security in the pro forma Pro forma FOL The pro forma Foreign Ownership Limit for the security. If none exists, this column will show a "1" Pro forma LIF The pro forma Limited Investibility Factor. If none exists, this column will show a "1" Pro forma GICS Code Pro forma Global Industry Classification Standard code Pro forma GICS Industry Group Name Pro forma Global Industry Classification Standard Industry Group name Current Large Flag Securities that have a 1 in this column are included in the Large Cap size segment of the current Current Mid Flag Securities that have a 1 in this column are included in the Mid Cap size segment of the current Current Market Cap (USD mm) The market capitalization of the security used in the calculation of the current MSCI Global Standard Indices. Includes the effect of the current Foreign Inclusion Factor (FIF) and the current shares outstanding Current FIF The security's current Foreign Inclusion Factor (FIF), which is used to adjust the constituent's market capitalization for free float and other investment restrictions Current Number of Shares The security's current shares outstanding used in calculating the market capitalization of the security in the current Current FOL The current Foreign Ownership Limit for the security. If none exists, this column will show a "1" Current LIF The current Limited Investibility Factor. If none exists, this column will show a "1" Current GICS Code Current Global Industry Classification Standard code Local Price Closing price in local currency FX Rate (vs USD) Local currency to USD exchange rate Proforma Company Full Mcap (USD mm) The full market capitalization of the company includes all listed, unlisted number of shares and prices 2009 MSCI Barra. All rights reserved. 4 of 6

5 Contact Information Americas Americas Atlanta Boston Chicago Montreal New York San Francisco Sao Paulo Stamford Toronto (toll free) Europe, Middle East & Africa Amsterdam Cape Town Frankfurt London Madrid Milan Paris Zurich (toll free) Asia Pacific China Netcom China Telecom Hong Kong Singapore Sydney Tokyo (toll free) (toll free) MSCI Barra. All rights reserved. 5 of 6

6 Notice and Disclaimer This document and all of the information contained in it, including without limitation all text, data, graphs, charts (collectively, the Information ) is the property of MSCl Inc. ( MSCI ), Barra, Inc. ( Barra ), or their affiliates (including without limitation Financial Engineering Associates, Inc.) (alone or with one or more of them, MSCI Barra ), or their direct or indirect suppliers or any third party involved in the making or compiling of the Information (collectively, the MSCI Barra Parties ), as applicable, and is provided for informational purposes only. The Information may not be reproduced or redisseminated in whole or in part without prior written permission from MSCI or Barra, as applicable. The Information may not be used to verify or correct other data, to create indices, risk models or analytics, or in connection with issuing, offering, sponsoring, managing or marketing any securities, portfolios, financial products or other investment vehicles based on, linked to, tracking or otherwise derived from any MSCI or Barra product or data. Historical data and analysis should not be taken as an indication or guarantee of any future performance, analysis, forecast or prediction. None of the Information constitutes an offer to sell (or a solicitation of an offer to buy), or a promotion or recommendation of, any security, financial product or other investment vehicle or any trading strategy, and none of the MSCI Barra Parties endorses, approves or otherwise expresses any opinion regarding any issuer, securities, financial products or instruments or trading strategies. None of the Information, MSCI Barra indices, models or other products or services is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. The user of the Information assumes the entire risk of any use it may make or permit to be made of the Information. NONE OF THE MSCI BARRA PARTIES MAKES ANY EXPRESS OR IMPLIED WARRANTIES OR REPRESENTATIONS WITH RESPECT TO THE INFORMATION (OR THE RESULTS TO BE OBTAINED BY THE USE THEREOF), AND TO THE MAXIMUM EXTENT PERMITTED BY LAW, MSCI AND BARRA, EACH ON THEIR BEHALF AND ON THE BEHALF OF EACH MSCI BARRA PARTY, HEREBY EXPRESSLY DISCLAIMS ALL IMPLIED WARRANTIES (INCLUDING, WITHOUT LIMITATION, ANY IMPLIED WARRANTIES OF ORIGINALITY, ACCURACY, TIMELINESS, NON-INFRINGEMENT, COMPLETENESS, MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE) WITH RESPECT TO ANY OF THE INFORMATION. Without limiting any of the foregoing and to the maximum extent permitted by law, in no event shall any of the MSCI Barra Parties have any liability regarding any of the Information for any direct, indirect, special, punitive, consequential (including lost profits) or any other damages even if notified of the possibility of such damages. The foregoing shall not exclude or limit any liability that may not by applicable law be excluded or limited, including without limitation (as applicable), any liability for death or personal injury to the extent that such injury results from the negligence or wilful default of itself, its servants, agents or sub-contractors. Any use of or access to products, services or information of MSCI or Barra or their subsidiaries requires a license from MSCI or Barra, or their subsidiaries, as applicable. MSCI, Barra, MSCI Barra, EAFE, Aegis, Cosmos, BarraOne, and all other MSCI and Barra product names are the trademarks, registered trademarks, or service marks of MSCI, Barra or their affiliates, in the United States and other jurisdictions. The Global Industry Classification Standard (GICS) was developed by and is the exclusive property of MSCI and Standard & Poor s. Global Industry Classification Standard (GICS) is a service mark of MSCI and Standard & Poor s MSCI Barra. All rights reserved. About MSCI Barra MSCI Barra is a leading provider of investment decision support tools to investment institutions worldwide. MSCI Barra products include indices and portfolio risk and performance analytics for use in managing equity, fixed income and multi-asset class portfolios. The company s flagship products are the MSCI International Equity Indices, which include over 120,000 indices calculated daily across more than 70 countries, and the Barra risk models and portfolio analytics, which cover 56 equity and 46 fixed income markets. MSCI Inc. is headquartered in New York, with research and commercial offices around the world. Morgan Stanley, a global financial services firm, is the controlling shareholder of MSCI Barra MSCI Barra. All rights reserved. 6 of 6