MSCI Index Calculation Methodologies

Total Page:16

File Type:pdf, Size:1020Kb

MSCI Index Calculation Methodologies MSCI Index Calculation Methodologies Index Calculation Methodology for the MSCI Equity Indices January 2011 MSCI Index Calculation Methodologies January 2011 Table of Contents Introduction ............................................................................................................................................ 4 MSCI Equity Indices .............................................................................................................................. 5 Section 1: MSCI Price Index Methodology ............................................................................................ 6 1.2 PRICE INDEX LEVEL ........................................................................................................................................... 6 1.2.1 Index Market Capitalization ........................................................................................................................... 6 1.2.2 Example of calculation ................................................................................................................................... 9 1.3 PRICE INDEX LEVEL (ALTERNATIVE CALCULATION FORMULA – CONTRIBUTION METHOD) ......................... 10 1.3.1 Security Contribution to the Index ................................................................................................................ 10 1.3.2 Today’s Initial Security Weight ..................................................................................................................... 11 1.3.3 Security Daily Price Return ........................................................................................................................... 12 1.3.4 Example of calculation using contribution ................................................................................................... 14 1.4 NEXT DAY INITIAL SECURITY WEIGHT ............................................................................................................ 15 1.5 CLOSING INDEX MARKET CAPITALIZATION TODAY USD (UNADJUSTED MARKET CAP TODAY USD) .............. 16 1.6 SECURITY INDEX OF PRICE IN LOCAL............................................................................................................... 17 1.7 NOTE ON INDEX CALCULATION IN LOCAL CURRENCY .................................................................................... 19 1.8 CONVERSION OF INDICES INTO ANOTHER CURRENCY ..................................................................................... 19 Section 2: MSCI Daily Total Return (DTR) Index Methodology ........................................................ 21 2.1 CALCULATION METHODOLOGY ........................................................................................................................ 21 2.1.1 Dividend Impact ...........................................................................................................................................22 2.1.2 DTR Index Level from Security Information (Security DTR) ......................................................................22 2.1.3 Security Contribution to the Index ................................................................................................................22 2.1.4 Security Daily Total Return ...........................................................................................................................23 2.1.4.1 Security Daily Gross Return ...................................................................................................................................................................... 23 2.1.4.2 Security Daily Net Return .......................................................................................................................................................................... 24 2.1.5 Initial Security Weight ...................................................................................................................................26 2.1.6 Currency ........................................................................................................................................................28 2.1.7 Number of Shares and Index Weighting Factor ...........................................................................................28 2.2 REINVESTMENT METHODOLOGY ..................................................................................................................... 28 2.2.1 Timing of re-investment ................................................................................................................................29 2.2.2 Re-Investment Rules .....................................................................................................................................29 2.2.3 Dividends Resulting in a Reinvestment Only ...............................................................................................29 2.2.4 Dividends Resulting in a Reinvestment or in a Price Adjustment ................................................................30 2.2.5 Dividends Resulting in a Price Adjustment Only .......................................................................................... 31 2.3 PROCESSING RULES .......................................................................................................................................... 32 2.3.1 Dividend Data ...............................................................................................................................................32 2.3.2 Corporate Actions ..........................................................................................................................................32 2.3.3 Corrections ....................................................................................................................................................32 2.3.4 Payment Default ............................................................................................................................................33 2.3.5 Late Dividends ..............................................................................................................................................33 2.3.6 Country Exceptions .......................................................................................................................................33 2.3.7 Taxes on Dividends .......................................................................................................................................34 2.3.7.1 Tax Credit ..................................................................................................................................................................................................... 35 2.3.7.2 Withholding Tax .......................................................................................................................................................................................... 35 2.3.7.2.1 Country Exception: Australian Dividends ........................................................................................................................................ 36 2.3.8 Definitions .....................................................................................................................................................37 Section 3: Gross Domestic Products (GDP) Weighted Indices ........................................................... 38 3.1 ANNUAL INDEX REVIEW AND COUNTRY WEIGHTS .......................................................................................... 38 3.2 SECURITY LEVEL WEIGHTS ............................................................................................................................... 39 Appendix I: Sunday Index Calculation ................................................................................................. 41 Appendix II: Annualized Traded Value Ratio (ATVR) and Annual Traded Value ............................ 44 Appendix III: Exchange Rates............................................................................................................. 47 MSCI Data Operations & Technology January 2011 Please refer to the disclaimer at the end of this document 2 MSCI Index Calculation Methodologies January 2011 Appendix IV: Singapore & Malaysia – A History of Inclusion in the Emerging and Developed Markets Indices .................................................................................................................................... 48 Appendix V: Singapore and Singapore Free ........................................................................................ 52 Appendix VI: Withholding Tax Rates .................................................................................................. 53 Appendix VII: Closing Prices Policy .................................................................................................... 55 Appendix VIII: Country Composition of MSCI Selected Regional Indices ....................................... 66 Appendix IX: MSCI Real Time Indices ............................................................................................... 77 Appendix X: Index Calculation Methodology Using Index Divisors .................................................. 80 MSCI Index Calculation Methodology Book Tracked Changes ......................................................... 95 MSCI Data Operations & Technology January 2011 3 Please refer to the disclaimer at the end of this document MSCI Index Calculation Methodologies January 2011 Introduction This methodology book describes
Recommended publications
  • Preparing a Venture Capital Term Sheet
    Preparing a Venture Capital Term Sheet Prepared By: DB1/ 78451891.1 © Morgan, Lewis & Bockius LLP TABLE OF CONTENTS Page I. Purpose of the Term Sheet................................................................................................. 3 II. Ensuring that the Term Sheet is Non-Binding................................................................... 3 III. Terms that Impact Economics ........................................................................................... 4 A. Type of Securities .................................................................................................. 4 B. Warrants................................................................................................................. 5 C. Amount of Investment and Capitalization ............................................................. 5 D. Price Per Share....................................................................................................... 5 E. Dividends ............................................................................................................... 6 F. Rights Upon Liquidation........................................................................................ 7 G. Redemption or Repurchase Rights......................................................................... 8 H. Reimbursement of Investor Expenses.................................................................... 8 I. Vesting of Founder Shares..................................................................................... 8 J. Employee
    [Show full text]
  • Dividend Reinvestment Plan Prospectus
    Prospectus Supplement (To Prospectus dated August 3, 2012) Common Stock ($1.00 Par Value) Dividend Reinvestment Plan This Prospectus Supplement (this “Prospectus Supplement”) relates to 1,400,000 shares of Common Stock, par value $1.00 per share (“Shares”), of Pitney Bowes Inc. (“Pitney Bowes” or the “Company”) registered for sale under the Company’s Dividend Reinvestment Plan (“Plan”). The description of the Plan contained in this Prospectus Supplement supplements, and to the extent it is inconsistent with, supersedes the description of the Plan in the accompanying prospectus. It is suggested that this Prospectus Supplement be retained for future reference. This Prospectus Supplement does not constitute an offer to sell or a solicitation of an offer to buy the securities covered by this Prospectus Supplement in any jurisdiction to any person to whom it is unlawful to make such offer or solicitation in such jurisdiction. We are not making an offer to sell or a solicitation of an offer to buy these securities in any circumstances in which such offer or solicitation is unlawful. You should rely only on the information incorporated by reference or provided in this Prospectus Supplement or any further prospectus supplement. We have not authorized anyone else to provide you with different information or to make additional representations. You should not assume that the information contained or incorporated by reference in this Prospectus Supplement or any further prospectus supplement is accurate as of any date other than the date on the front of those documents. Our Common Stock is listed on the New York Stock Exchange under the ticker symbol “PBI.” Investing in our Common Stock involves risks.
    [Show full text]
  • Oceanfirst Financial Corp
    Broadridge DRP A Stock Purchase, Sale and Dividend Reinvestment Plan Administered by Broadridge Corporate Issuer Solutions, Inc . Ready for Next Broadridge Corporate Issuer Solutions, Inc. (“Broadridge”) is Questions and Answers pleased to administer and provide access to a Stock Purchase, Sale and How do I enroll in the Broadridge DRP? Dividend Reinvestment Plan (the “Plan”, or “DRP”), which offers a means by which existing registered shareholders who hold qualified, freely An existing investor can enroll in the Broadridge DRP online through our website tradable shares of the participating company, can purchase shares through simply by creating a profile and logging into its account. automatic dividend reinvestment as well as submit requests to buy or sell If preferred, you can enroll by completing and submitting an Enrollment Form shares through a registered broker-dealer, without opening a brokerage which can be obtained from our website or by contacting Broadridge and account. As administrator of the Plan, Broadridge is acting on behalf of the requesting a form to be mailed ( please refer to our “Contact Information” section Issuer. Broadridge is not acting as a broker-dealer and will not execute any below). purchase or sale on behalf of such persons. Rather, Broadridge will forward requests to purchase or sell such shares to a broker-dealer appointed by Minimum and maximum investment amounts, as well as any applicable fees, Broadridge, including possibly a broker-dealer affiliated with Broadridge, can be found in these Questions and Answers, Additional Terms and who will execute the transaction. Conditions and Fee Schedule. Broadridge will purchase (through a registered broker-dealer engaged by Broadridge (which may be an affiliate of Broadridge)) Prior to enrolling in the Plan, you should review and understand the whole shares and allocate fractional shares of a participating company’s stock Overview, Questions and Answers, Additional Terms and Conditions, and to equal the dollar amount of your investment, less any applicable fees.
    [Show full text]
  • Dividend Investing and a Look Inside the S&P Dow Jones
    DIVIDEND INVESTING AND A LOOK INSIDE THE S&P DOW JONES DIVIDEND INDICES SEPTEMBER 2013 1: INTRODUCTION CONTRIBUTORS Aye M. Soe, CFA Dividends have interested investors and theorists since the origins of modern financial theory. Voluminous research has been written on various topics related to dividends Director and dividend-paying firms. Despite inconclusive evidence as to whether dividend- Index Research & Design paying firms are better investment options or whether dividends constitute a more [email protected] important risk factor than size, sector or other fundamental metrics, one fact remains undisputable. Dividend yield is an important component of total return. This is particularly true in light of the financial crisis in 2008, continuing volatility in the equity markets and the current low interest rate environment. Dividend yield-based strategies, which focus on both income and capital appreciation, have proven to produce stable income streams and provide downside protection during market downturns. The first section of this paper establishes the historical importance and benefits of dividends. Dividend-based equity investing has become one of the most discussed investment topics in recent years. Consequently, it is important to distinguish between yield-based strategies versus those that focus on both income and stable growth. In that light, the second section of the paper focuses on the S&P Dow Jones Dividend Indices family, which is divided into three sub-families, to capture all aspects of the benefits of dividends. The rest of the paper provides comparative analysis of the two sub-families in the income and stable growth category. We use risk and return, factor exposure, constituent quality and sector representation metrics in our analysis to compare and differentiate between the two sub-families.
    [Show full text]
  • What Individual Investors Should Know About Holding Securities
    What Individual Investors Should Know About Holding Securities Direct Registration System (DRS) DRS lets you avoid the risk of holding a physical certificate that might be lost, stolen or destroyed. Instead, the issuer or its transfer agent registers the securities directly in your name on the books of the company. Additionally, DRS is able to record fractional shares — unlike physical certificates that are only available in whole shares — which is important in the case of stock dividends, splits or merger/acquisition activities that may result in fractional shares being issued to individuals.While not all issuers’ securities are currently available in DRS, Mellon Investor Services (Mellon) acts as the transfer agent for a significant number of leading U.S. companies that are DRS eligible. Shares held in DRS are considered registered shares on the books of the issuer. In its role as the issuer’s transfer agent, Mellon provides a range of shareowner services to investors holding securities through DRS. Mellon sends an account statement when shares are first deposited in DRS, and annually thereafter. Mellon also sends confirmations for all transactions occurring in the account. Dividend checks, annual reports, proxy materials and other shareowner documents and communications are delivered directly to the investor in a timely manner. Through Mellon’s secure Web site at www.melloninvestor.com, investors also can view account information in real time, buy or sell shares or reinvest dividends pursuant to the issuer’s investment plan, if available. You also can opt for electronic delivery of shareowner communications through Mellon’s online program, MLinkSM. Physical Certificate When you hold a physical, paper certificate, your name is registered on the books of the issuing company — just like DRS.
    [Show full text]
  • Rethinking Capital Regulation: the Case for a Dividend Prudential Target by Manuel Muñoz Abstract
    Working Paper Series No 97 / June 2019 Rethinking capital regulation: the case for a dividend prudential target by Manuel Muñoz Abstract The paper investigates the e¤ectiveness of dividend-based macroprudential rules in com- plementing capital requirements to promote bank soundness and sustained lending over the cycle. First, some evidence on bank dividends and earnings in the euro area is presented. When shocks hit their pro…ts, banks adjust retained earnings to smooth dividends.This gener- ates bank equity and credit supply volatility. Then, a DSGE model with key …nancial frictions and a banking sector is developed to assess the virtues of what shall be called dividend pru- dential targets. Welfare-maximizing dividend-based macroprudential rules are shown to have important properties: (i) they are e¤ective in smoothing the …nancial and the business cycle by means of less volatile bank retained earnings, (ii) they induce welfare gains associated to a Basel III-type of capital regulation, (iii) they mainly operate through their cyclical component, ensuring that long-run dividend payouts remain una¤ected, (iv) they are ‡exible enough so as to allow bank managers to optimally deviate from the target (conditional on the payment of a sanction), and (v) they are associated to a sanctions regime that acts as an insurance scheme for the real economy. Keywords: macroprudential regulation, capital requirements, dividend prudential target, …nancial stability, bank dividends JEL classi…cation: E44, E61, G21, G28, G35 1 Introduction The recent …nancial crisis has highlighted the importance of counting with a comprehensive pru- dential regulatory framework that includes macroprudential tools to smooth the …nancial cycle and prevent the endogenous build-up of systemic risk (see, e.g., Galati and Moessner 2013, Constâncio 2017).
    [Show full text]
  • Dividend Distribution Policy
    Dividend Distribution Policy Principles regarding the Bank’s dividend distribution are set out in detail in the Bank’s Articles of Association. In this respect, shareholders taking into consideration the Bank’s growth targets as well as its financing requirements and the opinion of the Banking Regulation and Supervision Agency are authorised to pass resolutions on whether the dividend distribution shall be in cash or in the form of capital increase, whereupon bonus shares will be issued to shareholders or if part of the distribution shall be in cash and part in the form of capital increase. As per the Articles of Association, the General Assembly may decide to transfer a portion or all of the distributable profit to retained earnings or extraordinary reserves. It is expected to distribute dividend within a month following the General Assembly Meeting at the latest, general assembly decides the date of the dividend distribution. Reference to the articles of association of the Bank, the General Assembly may resolve to pay advances on profit share to shareholders as per the regulations of the Banking Regulation and Supervision Agency and the Capital Market Board and related laws and regulations. In case of interest and dividend payments are cancelled for the debt securities which included in the calculation of equity issued in accordance with the Banking Regulation and Supervision Agency on the Equity of Banks, dividend payments may not be made to the shareholders in relation to the relevant year. It is envisaged that the Dividend Distribution Policy of the Bank will be set out in a way to ensure the realisation of long-term growth plans.
    [Show full text]
  • Demand Dividend: Creating Reliable Returns in Impact Investing
    Demand Dividend: Creating Reliable Returns in Impact Investing June, 2013 Demand Dividend is a debt vehicle designed to improve the repayment cycle for impact investors and ease capital access for social enterprises. Demand Dividend grew out of the need to find alternatives to debt, convertible debt, and equity as funding mechanisms for social enterprises. Demand Dividend has four key features: Key Characteristic Demand Equity Debt Revenue Dividend Royalty A structure designed to enable successful capital exit (a “round X X X trip”) Payments linked to the enterprise’s ability to pay X A return profile commensurate with investor risk in frontier X X X enterprises Incentives to align investor and entrepreneur interests X Demand Dividend is designed to enable investors to generate a reliable, reasonable return while allowing social entrepreneurs to maintain control and efficiently deploy capital. Impact Investing Issues Impact investors targeting small, growing businesses (SGBs) face a variety of issues. In our view, the most relevant are: Underperformance on the return promise. • Exits from equity or convertible debt deals have been rare, • Reliance on the venture capital approach of generating a few “big wins” has not materialized, and • Investable enterprises have been “screened out” due to high portfolio return hurdles. Misalignment of investor and SE incentives. • Exit preferences may be in conflict: the investor prefers a buyout or IPO while the SE desires family or community control, and • Views may diverge on the importance of reliable financials and meeting projections. Scarcity of capital targeting frontier economy SGBs. • Traditional debt or equity instruments are not appropriate; debt does not compensate for risk, and equity lacks a defined liquidity event, and • Relatively fixed due diligence costs are hard to justify for $20,000 to $250,000 investments.
    [Show full text]
  • Dividend Investing Defined
    DIVIDEND INVESTING DEFINED & 5 REASONS TO STAY AWAY Fax: 858.345.1319 Phone: 858.345.1197 www.definefinancial.com TAYLOR R. SCHULTE, CFP® DIVIDEND INVESTING DEFINED (& 5 REASONS TO STAY AWAY) Table of Dividend Investing Defined Contents (& 5 Reasons to Stay Away).................................................................3 5 Problems with Dividend Investing..............................................4 Let’s Define Dividend Investing Problem #1 Historic Performance..................................................4 Dividend Investing Problem #2: Cost............................................5 Dividend Investing Problem #3: Diversification...........................................................................................7 Dividend Investing Problem #4: Performance Chasing.............................................................................8 Dividend Investing Problem #5: Taxes.......................................10 The Bottom Line: Invest Smarter, And Ignore The Trends........................................................................12 2 DIVIDEND INVESTING DEFINED (& 5 REASONS TO STAY AWAY) DIVIDEND INVESTING DEFINED (& 5 REASONS TO STAY AWAY) Not only has dividend investing underperformed other strategies historically, but it comes with a tax drag to boot. Worse, dividend investing can be extremely expensive. If you pay attention to financial pundits and money blogs, you have probably heard at least a handful of “experts” praise dividend investing. Let’s define dividend investing. Simply put, “dividend investing”
    [Show full text]
  • Understanding Your Dividend Options
    Group Whole Life Insurance Understanding your dividend options The whole life insurance coverage for which you are applying is participating, which means certificateowners are eligible to receive an equitable portion of MassMutual’s surplus, called divisible surplus, as a dividend each year beginning on the certificate’s second anniversary. Dividends are not guaranteed. How dividends are determined Each year, MassMutual’s board of directors It is allocated among participating votes to approve the amount of divisible policyowners as dividend payments in the surplus and how it will be allocated among same proportion that they contributed to it. participating policyowners. Dividends are declared and paid annually. Divisible surplus is primarily the result However, since we cannot guarantee that of MassMutual’s favorable operating divisible surplus will be achieved each year, experience with respect to claim payments, we cannot guarantee the payment investment results and expenses. of dividends. THE WHOLE LIFE INSURANCE CERTIFICATE OFFERS FOUR BASIC DIVIDEND OPTIONS: Cash Dividends will be paid in cash to the certificateowner. Dividend accumulations Dividends will be held by MassMutual, and interest will be credited at the end of each certificate year. Interest will be at an annual rate determined by MassMutual (but not less than 1½%) and will be compounded annually. Dividend accumulations may be surrendered, as long as they are not being used as collateral for certificate debt. Continues on next page > Continued. THE WHOLE LIFE INSURANCE CERTIFICATE OFFERS FOUR BASIC DIVIDEND OPTIONS: Paid-up additions Dividends will be used as premiums to buy additional level paid-up life insurance. This additional life insurance will be payable when the death benefit is payable.
    [Show full text]
  • Capital Structure, Dividend Policy and Valuation
    Aswath Damodaran 1 CORPORATE FINANCE LECTURE NOTE PACKET 2 CAPITAL STRUCTURE, DIVIDEND POLICY AND VALUATION Aswath Damodaran Spring 2016 Aswath Damodaran 2 CAPITAL STRUCTURE: THE CHOICES AND THE TRADE OFF “Neither a borrower nor a lender be” Someone who obviously hated this part of corporate finance First principles 3 Aswath Damodaran 3 The Choices in Financing 4 ¨ There are only two ways in which a business can raise money. ¤ The first is debt. The essence of debt is that you promise to make fixed payments in the future (interest payments and repaying principal). If you fail to make those payments, you lose control of your business. ¤ The other is equity. With equity, you do get whatever cash flows are left over after you have made debt payments. Aswath Damodaran 4 Global Patterns in Financing… 5 Aswath Damodaran 5 And a much greater dependence on bank loans outside the US… 6 Aswath Damodaran 6 Assessing the existing financing choices: Disney, Vale, Tata Motors, Baidu & Bookscape 7 Aswath Damodaran 7 8 The Transitional Phases.. 9 ¨ The transitions that we see at firms – from fully owned private businesses to venture capital, from private to public and subsequent seasoned offerings are all motivated primarily by the need for capital. ¨ In each transition, though, there are costs incurred by the existing owners: ¤ When venture capitalists enter the firm, they will demand their fair share and more of the ownership of the firm to provide equity. ¤ When a firm decides to go public, it has to trade off the greater access to capital markets against the increased disclosure requirements (that emanate from being publicly lists), loss of control and the transactions costs of going public.
    [Show full text]
  • Analysis and Classification of Companies on Tehran Stock Exchange with Incomplete Information
    RAIRO-Oper. Res. 55 (2021) S2709{S2726 RAIRO Operations Research https://doi.org/10.1051/ro/2020114 www.rairo-ro.org ANALYSIS AND CLASSIFICATION OF COMPANIES ON TEHRAN STOCK EXCHANGE WITH INCOMPLETE INFORMATION Alireza Komeili Birjandi1, Sanaz Dehmolaee2, Reza Sheikh1 and Shib Sankar Sana3;∗ Abstract. Due to uncertainty and large number of companies in financial market, it has become difficult to choose the right stock to investments. Identifying and classifying stocks using fundamental criteria help investors to better understand the risks involved in selecting companies and better manage their own capital, thereby rapidly and accurately choose their preferred stock and make more secure profit. The main concern that capital market investors are facing difficulty to choosing the right stock despite the uncertainties in the market. Uncertainties in the market that lead to incomplete information are presented in this article to complete the reciprocal preference relation method. The purpose of this paper is to present a method for completing information to reduce the uncertainties in the market and finally classify companies in each industry based on fundamental criteria. The classification method used is acceptability/reject ability which is based on distance fuzzy analysis yields more accurate results. Finally, a case study on one of the most critical industries in Tehran Stock Exchange is presented to show the effectiveness of the proposed approach. Mathematics Subject Classification. 90B60, 90B50. Received August 5, 2020. Accepted October 6, 2020. 1. Introduction A major challenge that most investors face in stock market is choosing the stock with the best price at the best time possible [7, 31].
    [Show full text]