Changes to MSCI US Equity Indices and MSCI Standard Index Series
MSCI Barra has announced changes to both the MSCI US Equity Indices and the MSCI Standard Series Index with effect from 30 November, 2005.
These changes result from the November 2005 Semi-Annual Index Review and the full list of additions to and deletions as well as an updated methodology book have been posted on MSCI's web site at http://www.msci.com/us.
Eight securities will be added to the MSCI US Large Cap 300 Index -- the five largest additions being XTO Energy Inc, Marvell Technology Group Ltd, Williams Companies Inc, Chicago Mercantile Exchange Holdings Inc and Starwood Hotels & Resorts Worldwide. Three securities will also be deleted from the MSCI
US Large Cap 300 Index.
Twenty-four securities will be added to the MSCI US Mid Cap 450 Index -- the five largest additions are AutoZone Inc, Mattel Inc, Southwestern Energy Co, Lexmark International Inc Class A and Arch Coal Inc. There will also be 16 securities deleted from the MSCI US Mid Cap 450 Index.
Some 117 securities will added to the MSCI US Small Cap 1750 Index -- the five largest being Capitol Federal Financial, TRW Automotive Holdings Corp, Wilmington Trust Corp, Nasdaq Stock Market Inc and Northeast Utilities -- while 69 securities will be deleted.
There will be 124 securities added to the MSCI US Micro Cap Index -- the five largest being Lincoln Educational Services Corporation, DexCom Inc, Universal Truckload Services Inc, Mesa Air Group Inc and Specialty Laboratories Inc, while 60 securities will be deleted.
For the MSCI US Investable Market Value Index, 217 additions will be made or upward changes in Value Inclusion Factors (VIFs), and 179 deletions or downward changes in VIFs. For the MSCI US Investable Market Growth Index, there will be 237 additions or upward changes in Growth Inclusion Factors (GIFs), and 211 deletions or downward changes in GIFs. The VIFs and the GIFs represent the proportion of a security's free float-adjusted market capitalization that is allocated to the value and/or growth indices.
The largest weight increases in the MSCI US Equity Value Indices are Tyco International Ltd (Large Cap), Fisher Scientific International Inc (Mid Cap) and Northeast Utilities (Small Cap), while the largest weight increases in the MSCI US Equity Growth Indices are Motorola Inc (Large Cap), Peabody Energy Corp (Mid Cap) and Nasdaq Stock Market Inc (Small Cap).
In addition, there will be changes for certain constituents resulting from significant changes in free float estimates and updates in number of shares. These changes will also be effective as of the close of 30 November 2005.
With regard to the MSCI Standard Index Series, seven securities will be added but no securities will be deleted. The additions bring the representation of their respective industry groups in their respective countries closer to MSCI's target of 85 per cent of free float-adjusted market capitalization and are: Alltel Corporation (USA); Kuehne & Nagel International (Switzerland); Kungsleden (Sweden); Central European Media Enterprises (Czech Republic); Cyrela Brazil Realty (Brazil); EDP- Energias do Brazil (Brazil) and Infrastructure Development Finance Company (India).
Additionally, Dialog Telekom Limited (Sri Lanka) will be added to the MSCI Sri Lanka Index, which is a stand-alone MSCI Index.
MSCI's quarterly review of free float estimates has also resulted in changes in Foreign Inclusion Factors (FIFs) for 32 securities in 21 countries. FIFs adjust the market capitalization of securities for free float available to foreign investors and these changes reflect the evolution of shareholdings, changes in Foreign Ownership Limits (FOLs), changes in Limited Investability Factors (LIFs) or the reclassification of certain shareholders. Overall, the impact of these changes in the indices is minimal.
MSCI has also concluded its consultation on PartyGaming, which is now part of the UK universe of securities that are eligible for consideration for index inclusion.
Pan- Euro and Euro Indices, as well as the Semi-Annual Index Review for the MSCI US REIT Index, the MSCI Small Cap Index Series, the MSCI Global Value and Growth Index Series, the MSCI Kokunai Indices and the MSCI China A Index have also been posted on MSCI's web site at www.msci.com.
The updated methodology book includes a revised Appendix I (Country Classification of Securities). All changes in this newly released methodology book are effective immediately.
Click here to download the full hedgeweek report on index based investments
- Special Reports
- By Location
- Asian Hedge Funds
- BVI Hedge Fund Services
- Bermuda Hedge Fund Services
- Canada Hedge Fund Services
- Cayman Hedge Fund Services
- Channel Islands Stock Exchange
- Future of offshore funds
- Gibraltar Hedge Fund Services
- Guernsey Hedge Fund Services
- Hedge Funds in Germany
- Hong Kong Hedge Fund Services
- Ireland Hedge Fund Services
- Isle of Man Hedge Fund Services
- Jersey Hedge Fund Services
- Jersey Private Equity Services
- Latin American Hedge Funds
- London Hedge Fund Services
- Luxembourg Hedge Fund Services
- Malta Hedge Fund Services
- Middle East Hedge Fund Services
- Singapore Hedge Fund Services
- South African Hedge Fund Services
- Spanish Hedge Funds 2008
- Switzerland Hedge Funds
- US East Coast Hedge Fund Services
- US Hedge Fund Services
- By Subject
- Conference reports
Latest Special Report
- By Location
- How to set up a hedge fund