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