Please find below a list of definitions for a selected range of regional MSCI Equity Indices and variant types.
Country membership for the MSCI International Equity Indices can be found here.
MSCI Regional Equity Indices
MSCI All Country (AC) Asia ex Japan Index
MSCI AC Far East ex Japan Index
MSCI AC Pacific Index
MSCI ACWI Index
MSCI Asia APEX 50 Index
MSCI BRIC Index
MSCI EAFE Index
MSCI EM Europe, Middle East and Africa Index
MSCI EM Latin America Index
MSCI Emerging Markets (EM) Index
MSCI EMU Index
MSCI Europe Index
MSCI Frontier Markets Index
MSCI KOKUSAI Index
MSCI Pacific Index
MSCI World Index
MSCI Index Variants
MSCI Global Standard Indices
MSCI Global Small Cap Indices
MSCI Global Value and Growth Indices
MSCI Price Indices
MSCI Total Return Indices
MSCI Gulf Cooperation Council (GCC) Countries
Definition of Terms for MSCI Equity Indices
Country Indices
Regional and Composite Indices
All Country (AC)
Developed Markets (DM), Emerging Markets (EM) and Frontier Markets (FM) Coverage
Free
Provisional Indices
Pro Forma Data
MSCI Regional Equity Indices
The MSCI AC (All Country) Asia ex Japan Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of Asia, excluding Japan. As of January 2009 the MSCI AC Asia ex Japan Index consisted of the following 10 developed and emerging market country indices: China, Hong Kong, India, Indonesia, Korea, Malaysia, Philippines, Singapore, Taiwan, and Thailand.
The MSCI AC (All Country) Far East ex Japan Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of the Far East, excluding Japan. As of March 2008 the MSCI AC Far East ex Japan Index consisted of the following 9 developed and emerging market country indices: China, Hong Kong, Indonesia, Korea, Malaysia, Philippines, Singapore, Taiwan, and Thailand.
The MSCI AC (All Country) Pacific Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of the developed and emerging markets in the Pacific region. As of June 2007, the MSCI AC Pacific Free Index consisted of the following 12 developed and emerging market countries: Australia, China, Hong Kong, Indonesia, Japan, Korea, Malaysia, New Zealand, Philippines, Singapore, Taiwan, and Thailand.
The MSCI ACWI (All Country World Index) Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. As of June 2009 the MSCI ACWI consisted of 45 country indices comprising 23 developed and 22 emerging market country indices. The developed market country indices included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The emerging market country indices included are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Israel, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey.
The MSCI Asia APEX 50 Index is a free float-adjusted, market capitalization weighted index. The index aims to serve as a liquid proxy to the broader MSCI AC Asia ex Japan Index, a benchmark index widely followed by investors investing in Asia. The index captures the performance of the 50 largest stocks in the Asia ex Japan region and is optimized for tradability. The MSCI Asia APEX 50 Index was created to serve as the basis for investment products such as exchange traded and OTC derivative contracts, exchange traded funds and other passive vehicles.
The MSCI BRIC Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of the following four emerging market country indices: Brazil, Russia, India and China.
The MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. As of June 2007 the MSCI EAFE Index consisted of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom.
The MSCI EM (Emerging Markets) Europe, Middle East and Africa Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of the emerging market countries of Europe, the Middle East & Africa. As of November 2008, the MSCI EM EMEA Index consisted of the following 9 emerging market country indices: Czech Republic, Hungary, Poland, Russia, Turkey, Israel, Egypt, Morocco, and South Africa.
The MSCI EM (Emerging Markets) Latin America Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of emerging markets in Latin America. As of June 2007 the MSCI EM Latin America Index consisted of the following 5 emerging market country indices: Brazil, Chile, Colombia, Mexico, and Peru.
The MSCI EMU (European Economic and Monetary Union) Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of countries within EMU. As of June 2007 the MSCI EMU Index consisted of the following 11 developed market country indices: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, the Netherlands, Portugal, and Spain.
The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. As of June 2009 the MSCI Emerging Markets Index consisted of the following 22 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Israel, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey.
The MSCI Europe Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of the developed markets in Europe. As of June 2007, the MSCI Europe Index consisted of the following 16 developed market country indices: Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland, and the United Kingdom.
The MSCI Frontier Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of frontier markets. As of June 2009 the MSCI Frontier Markets Index consisted of the following 25 frontier market country indices: Argentina, Bahrain, Bulgaria, Croatia, Estonia, Jordan, Kenya, Kuwait, Lebanon, Lithuania, Kazakhstan, Mauritius, Nigeria, Oman, Pakistan, Qatar, Romania, Serbia, Slovenia, Sri Lanka, Tunisia, Trinidad & Tobago, Ukraine, United Arab Emirates, and Vietnam. The MSCI Saudi Arabia Index is currently not included in the MSCI Frontier Markets Index but is part of the MSCI Gulf Cooperation Council (GCC) Countries Index. The MSCI Bangladesh Index, the MSCI Botswana Index, the MSCI Ghana Index, and the MSCI Jamaica Index are currently stand-alone country indices and are not included in the MSCI Frontier Markets Index. The addition of these country indices to the MSCI Frontier Markets Index is under consideration.
The MSCI KOKUSAI Index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets excluding Japan. As of June 2007 the MSCI KOKUSAI Index consisted of the following 22 developed market country indices: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States.
The MSCI Pacific Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of the developed markets in the Pacific region. As of June 2007, the MSCI Pacific Index consisted of the following 5 Developed Market countries: Australia, Hong Kong, Japan, New Zealand, and Singapore.
The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. As of June 2007 the MSCI World Index consisted of the following 23 developed market country indices: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States.
MSCI Index Variants
The MSCI Global Standard Indices are divided into large and mid cap segments and provide exhaustive coverage of these size segments by targeting a coverage range around 85% of free float-adjusted market capitalization in each market. The Large Cap Indices target a coverage range around 70% of free float-adjusted market capitalization in each market while the Mid Cap Indices include all companies in the Global Standard Indices that are not included in the Large Cap Indices.
The MSCI Global Small Cap Indices offer an exhaustive representation of this size segment by targeting companies that are in the Investable Market Index but not in the Standard Index in a particular market. The indices include 45 Developed and Emerging Markets as well as Value and Growth style indices and industry indices based on the Global Industry Classification Standard (GICS®).
The MSCI Global Value and Growth Indices cover the full range of developed, emerging and All Country MSCI International Equity Indices across all size segmentations. MSCI Barra uses a two dimensional framework for style segmentation in which value and growth securities are categorized using a multi-factor approach, which uses three variables to define the value investment style characteristics and five variables to define the growth investment style characteristics including forward looking variables. The objective of the index design is to divide constituents of an underlying MSCI Equity Index into respective value and growth indices, each targeting 50% of the free float adjusted market capitalization of the underlying market index.
The MSCI Price Indices measure only the price performance of markets. Dividends are not considered in price indices. Each index measures the sum of the free float-weighted market capitalization price returns of all its constituents on a given day.
The MSCI Total Return Indices measure the market performance, including both price performance and income from dividend payments. The MSCI Daily Total Return (DTR) Methodology reinvests dividends in the indices on the day the security is quoted ex-dividend (xd-date).
The following MSCI Total Return Indices are calculated:
- With Gross Dividends:
This series approximates the maximum possible dividend reinvestment. The amount reinvested is the entire dividend distributed to individuals resident in the country of the company, but does not include tax credits. - With Net Dividends:
This series approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. MSCI Barra uses withholding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates.
Definition of Terms for MSCI Indices
Country Indices
To construct a country index, every listed security in the market is identified. Securities are free float adjusted, classified in accordance with the Global Industry Classification Standard (GICS®), and screened by size, liquidity and minimum free float.
Regional and Composite Indices
MSCI Barra maintains a consistent index construction and maintenance methodology for all of its international equity indices enabling the aggregation of the country indices into regional and global indices. Maintaining a consistent policy in both the developed and emerging markets is crucial in the calculation of combined emerging and developed market indices like the All Country series.
Indices are built at a country market level and then aggregated into regional and other composites. In the case of MSCI Provisional Europe Index alone, the index is constructed by treating Europe as a single market. The securities in all DM countries in Europe are aggregated into a single market for index construction purposes and the MSCI Provisional Europe Index is built first. Subsequently, individual DM Europe country indices within the MSCI Provisional Europe Index are derived from the constituents of the MSCI Provisional Europe Index.
MSCI Barra also offers indices calculated on GDP weights, indices hedged to the various currencies, custom indices, as well as sector and industry indices.
All Country (AC)
MSCI All Country Indices represent both the developed and the emerging markets for a particular region. For example, the MSCI All Country Far East Index includes both developed markets such as Hong Kong and Singapore and emerging markets such as Indonesia and Thailand. The MSCI All Country World Index includes 45 markets.
Developed Markets (DM), Emerging Markets (EM) and Frontier Markets (FM) Coverage
MSCI Barra covers 23 developed, 22 emerging and 29 frontier markets. If there is no designation (such as "EM" or "AC") before a regional or composite index, the index consists of developed markets only.
Free
All MSCI International Equity Indices are fully adjusted for free float as defined in the MSCI Methodology Book and all MSCI International Equity Indices, regardless of 'Free' branding, are constructed and managed with a view to being fully investable from the perspective of international institutional investors.
To reflect this, MSCI Barra renamed all regional Emerging Market and All Country Indices that had the suffix Free by deleting the word "Free", as of the close of January 29, 2004:
For example, the following indices were renamed:
| FROM | TO |
|---|---|
| Emerging Markets Free (EMF) | Emerging Markets (EM) |
| EMF Latin America | EM Latin America |
| All Country World Index Free | All Country World Index |
| All Country Far East Free ex Japan | All Country Far East ex Japan |
MSCI Barra intends to maintain the branding of all Developed Market Indices including: Singapore Free, EAFE Free, World Free, Pacific Free, Pacific Free ex Japan, and Far East Free.
The continued "Free" branding for certain Developed Market Indices recognizes that these indices have histories different from the similar index that does not have the suffix "Free". Otherwise, these indices have the same current constituents and current performance. For example, the MSCI EAFE and EAFE Free Indices now have exactly the same constituents and performance. However, due to investment restrictions on foreign investors in the past, in Singapore, Switzerland, Sweden, Norway and Finland, which were recognized in EAFE Free, but not in EAFE, the history of the two indices is different.
Historically, the MSCI Free indices reflected investable opportunities for global investors by taking into account local market restrictions on share ownership by foreigners. These restrictions may have assumed several forms: (1) specific classes of shares excluded from foreign investment; (2) specific securities or classes of shares for an individual company may have had limits for foreign investors; (3) the combination of regulations governing qualifications for investment, repatriation of capital and income, and low foreign ownership limits may have created a difficult investment environment for the foreign investor; and (4) specific industries, or classes of shares within a specific industry, may have been restricted to foreign investors.
Provisional Indices
To facilitate client transition to the MSCI Global Investable Market Indices (GIMI) Methodology, MSCI Barra provided Provisional Standard and Provisional Developed Market Small Cap Indices. The Provisional indices reflected the performance of the MSCI Standard and Developed Market Small Cap Indices had they been maintained according to the rules of the MSCI Global Investable Market Indices Methodology during the transition. The Provisional indices helped clients to compare the characteristics of indices constructed under the enhanced GIMI Methodology with those of the Standard Methodology. They also provided clients with the flexibility to transition to the enhanced GIMI Methodology at any point in advance of the second and final phase of the transition of the MSCI Standard and Developed Small Cap Indices to the MSCI GIMI Methodology, which took place as of close of May 30, 2008.
The Provisional indices were discontinued as of July 1, 2008, with the last day of calculation for the Provisional indices being June 30, 2008. Note that Provisional indices were not available for Emerging Markets or All Country (AC) Small Cap indices, or for Developed, Emerging Market or All Country Large, Mid, SMID and IMI capitalization indices, as these indices did not exist prior to June 2007.
Pro Forma Data
When MSCI Barra announces the changes that will be made to the MSCI indices as a result of the Quarterly and Semi-Annual Index Reviews, we also provide pro forma data to core module subscribers. The pro forma data is provided to help investors to understand the anticipated changes in the indices on the rebalancing date. The pro forma data reflects the scheduled changes due to the Quarterly and Semi-Annual Index Reviews as if they were implemented on the date of announcement.
Actual index characteristics as well as weights of securities in an index following rebalancings may vary from pro forma data due to various factors, including price movements, capital changes, and corporate events that take place between the release of the pro forma data and the implementation of the rebalancing.
Pro forma data, including market capitalization, number of securities, as well as composition by industry group and country is made available for many MSCI indices, including all major regional indices. In addition, pro forma weights are provided for the largest additions to the indices, as well as the largest increases and decreases in security weights.
