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MSCI on Datastream, Issue 5 Morgan Stanley Capital International on Datastream www.thomson.com/financial © Thomson Financial Limited, 2002 - 2005 Datastream and IBES are the trade marks of Thomson Financial Limited MSCI is a service mark of Morgan Stanley Capital International Inc. Windows is a trademark of the Microsoft Corporation. All Thomson Financial's services, databases (including the data contained therein), programs, facilities, publications, manuals and user guides ("Proprietary Information"), are proprietary and confidential and may not be reproduced, re-published, redistributed, resold or loaded on to a commercial network (e.g. Internet) without the prior written permission of Thomson Financial Limited ("Thomson Financial"). Data contained in Thomson Financial's databases has been compiled by Thomson Financial in good faith from sources believed to be reliable, but no representation or warranty express or implied is made as to its accuracy, completeness or correctness. All data obtained from Thomson Financial's databases is for the assistance of users but is not to be relied upon as authoritative or taken in substitution for the exercise of judgement or financial skills by users. Your use of Thomson Financial’s services and Thomson Financial’s liability to you is subject to the terms of your subscriber agreement. About this pdf This Adobe Acrobat pdf file has been generated with Acrobat 6. It has been saved for compatibility with Acrobat 5. This means that all essential features will be usable with Acrobat Reader 5 or later. To ensure that you are able to use all features and extract maximum value from the file, we recommend that you install Acrobat Reader 6. Acrobat Reader is distributed free. You can download the latest version of the Acrobat Reader from the Adobe web site: http://www.adobe.com/products/acrobat/ Contents Morgan Stanley Capital International on the Datastream Research Service 3 MSCI indices 5 Country and regional indices 5 Value and Growth indices 5 GDP indices 6 Hedged indices 6 Small Cap indices 6 All Country Sector (ACS) indices module – Global Industrial Classification Standard (GICS) 7 10/40 indices 7 Hedge Fund indices 7 US Equity indices 8 MSCI modules on Datastream 9 MSCI modules on Datastream - a summary 9 Core Developed Markets module 10 Core Emerging Markets module 10 All Country indices 10 Core Asia Pacific module 11 Small Cap module 11 Enhanced index module 11 All Country Sector indices module 11 Core Value and Growth Plus modules 11 MSCI 10/40 indices 11 MSCI exchange rates and currency conversion 13 MSCI index constituent lists 15 Regional and world index constituents 15 Regional index constituents 15 MSCI stock constituent lists 17 Monthly constituent lists 17 Historical month end constituent lists 17 Daily constituent lists 18 Historical daily constituent lists 18 Next day constituent lists 18 Value/Growth constituent lists 19 All Country Sector (ACS) constituent lists 19 Country coverage lists 19 Total Universe lists 20 Proforma lists 21 MSCI company-level data 23 Type of data available 23 Stocks dropped from MSCI coverage 24 Using MSCI data in the Datastream Research service 25 Accessing the data 25 Updates 25 Downloading data from Datastream 27 Reports 30 Searching 33 Graphics and functions 35 Weightings analysis 37 Further information 41 About MSCI 41 About Datastream 41 Issue 5 1 Contents Reference 43 Index mnemonics and base dates 45 Developed Market indices 46 Emerging Market indices 50 All Country indices 52 Hedged indices 54 Lists of MSCI indices, exchange rates, and countries covered 55 Constituent indices of Regional and World indices 56 All Country Sector (ACS) indices: GICS classification 59 Hedge Fund indices 68 10/40 indices 69 US Equity indices 71 Global Industrial Classification Standard 72 Datatypes 83 Country & currency codes, exchange rate mnemonics, country coverage and total universe lists 101 Proforma list mnemonics 104 MSCI indices: historical changes 105 Implementation of the Free Float Methodology 106 CII (Industrial Indices) Discontinuation 106 Changes to Developed/Emerging Classifications, Standalone Indices and Market Weightings 106 Small Cap Historical Changes 108 Discontinuation of Non Free Indices 109 Changes to Total Return Datatypes 109 Renaming of MSCI Emerging Market and All Country Indices 110 Provisional Indices Based on the Removal of the LIF Applied to MSCI Taiwan 111 MSCI quarterly structural changes 111 Definition of terms for MSCI indices 114 Index 117 2 Morgan Stanley Capital International on Datastream Morgan Stanley Capital International on the Datastream Research Service Thomson Financial and Morgan Stanley Capital International provide access to MSCI’s index and company-level modules on a co-operative basis. In this way Thomson Financial and MSCI retain strong relationships with joint customers, enabling both companies to deliver an extremely high-quality service. Our strength stems primarily from having integrated all data with Datastream’s functionality: searching and screening, graphing, data download for customised analysis, user-index creation and our extensive range of functions and expressions are all available to joint customers taking the appropriate level of services. Integration extends to native Datastream data, as well as data available from other sources: take data from MSCI’s universe, add in IBES Summary Consensus Estimates or IBES Global Aggregates, and Worldscope’s International Company Accounts data. All are available via Datastream’s open and flexible functionality. It gives you full access to the data that you require, and enables you to decide the best way of using it to assist in investment decisions. Comprehensive details about the data content of MSCI’s products on the Datastream Research Service can be obtained directly from MSCI. A list of offices and contact numbers can be found by typing HELP MSCI? at the Datastream prompt. Licence agreement MSCI will maintain control over licence agreements with and payments from customers. Thomson Financial will provide customers with access to specific modules upon notification from MSCI that agreements are in place. Thomson Financial and MSCI customer services operations will maintain their current service levels, and will maintain close liaison where necessary. Please contact MSCI directly for details of applicable charges. Issue 5 3 Morgan Stanley Capital International on the Datastream Research Service 4 Morgan Stanley Capital International on Datastream MSCI indices The Morgan Stanley Capital International (MSCI) indices measure the performance of 50 stock markets around the world. In addition to country and regional indices, MSCI calculates global sector and industry indices based on the MSCI/S&P Global Industrial Classification Standard (GICS). The indices are calculated daily in US dollars and in local currency, and are available in 72 additional currencies. Valuation ratios (P/E, P/CE, P/BV, Return on Equity and Dividend Yield) are calculated monthly. Market Value is calculated daily. MSCI’s well-known regional indices include EAFE© (Europe, Australasia and the Far East), the World index, EMF, Kokusai (World ex Japan) and Combined Far East Free ex Japan. Country and regional indices MSCI provide country indices for 50 markets (23 developed markets and 27 emerging markets). The combined market capitalisation of companies in these indices represents approximately 85% of the free float adjusted market capitalisation in each industry group, in each country. Over 130 regional indices are available, covering developed and emerging market regions plus combined all country regional indices. Value and Growth indices The MSCI Growth and Value indices are a sub-set of the MSCI Standard Indices. Up to May 2003, the value and growth indices were based on price to book value which was used to used to divide the MSCI standard country and regional market indices into value and growth style indices. Whilst the original methodology was appropriate at the time when these indices were launched in 1997, it become apparent that investors are using more complex variables for style- based investing hence the review of the MSCI methodology which lead to changes in the MSCI value and growth indices at the end of May 2003. At the end of May 2003, the methodology for the Value and Growth indices was enhanced so that eight variables (three for value and five for growth) are used to more accurately reflect value and growth style. An inclusion factor is used to determine how much of the security should be attributed to a growth or value index. As a result of these changes, a constituent of a standard index may be represented in both the value index and a growth index at a partial weight or indeed not at all. The value factors used are: • Book value to price ratio • 12-month forward earnings to price ratio • Dividend yield The growth factors used are: • Long-term forward earnings per shares growth rate • Short term forward EPS growth rate • Current internal growth rate • Long-term historical EPS growth trend • Long-term historical sales per share growth trend Data available covers the existing Developed, Emerging and Asia Pacific country and regional index series, in both US$ and local currency. Monthly price history for Developed markets generally starts on 1st January 1975, with daily price history and market value statistics from 1st January 1997. Emerging market data begins on 1st January 1997. Issue 5 5 MSCI indices GDP indices GDP weighted indices emphasise the size of the country’s economy rather than the size of its equity market. On a long-term basis, while equity markets have pronounced peaks and troughs, GDP figures do not. Therefore, GDP weighted indices can track the evolution of the country’s economy independent of market fluctuations. GDP weighted indices are calculated for EAFE, Europe, EMU and the World index. The weights are based on previous year GDP estimations, using year-end exchange rates. Hedged indices Exchange rate movements represent a major factor in global portfolio performance. For those investors concerned with the effects of currency fluctuation, MSCI calculates a series of hedged indices.
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