MSCI IndexCalcMethodology July2022
MSCI IndexCalcMethodology July2022
MSCI IndexCalcMethodology July2022
MSCI INDEX
CALCULATION
METHODOLOGY
Index Calculation Methodology for the MSCI Equity Indexes
July 2022
JULY 2022
MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Introduction
This methodology book describes MSCI’s general Index calculation methodology for
the MSCI Equity Indexes.
MSCI provides two ways of calculating MSCI Equity Indexes, either by using the Price
Adjustment Factor (PAF) or the Index Divisors (Index Divisors methodology available
as an appendix).
These policies and guidelines affect all securities across the MSCI Equity Indexes
and products. Unless otherwise stated the policies and guidelines apply therefore to
all securities in the MSCI Equity universe.
Please note that the index construction methodology and other guiding principles for
MSCI Indexes can be found at www.msci.com.
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
For index maintenance purposes, MSCI often uses data received from many different
sources. Such data may need to be taken on specific and defined dates as relevant
to a specific index methodology (‘Data Date’). In certain instances, due to an
extraordinary event or exceptional technical issue, data needed as of a Data Date
may not be available as expected from MSCI’s data sources. In such cases, unless
specified otherwise in the relevant index methodology, MSCI generally uses the latest
data available prior to the Data Date. MSCI will release an announcement to inform
clients about the occurrence of these events.
MSCI independently monitors the quality of data from its data sources on an ongoing
basis. MSCI may under exceptional circumstances elect to use data from alternative
sources if MSCI determines that the primary source data is not reflective of market
conditions. In such circumstances, and if deemed material, MSCI will release an
announcement to inform clients about the change. All such determinations are made
by the MSCI Equity Index Committee (EIC). If appropriate, MSCI may conduct a
consultation with the investment community to gather feedback on the most relevant
alternate source.
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐷𝐷𝑡𝑡
𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝐷𝐷𝑡𝑡 = 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝐷𝐷𝑡𝑡−1 ∗
𝐼𝐼𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝑛𝐷𝐷𝑡𝑡
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑙𝑙𝑡𝑡
𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑙𝑙𝑡𝑡 = 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑙𝑙𝑡𝑡−1 ∗
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐷𝐷𝑡𝑡
Where:
• 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑡𝑡−1 is the Price Index level in USD at time t-1
• 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 is the Adjusted Market Capitalization of the index in
USD at time t
• 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐷𝐷𝑡𝑡 is the Initial Market Capitalization of the index in USD at
time t
• 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑡𝑡−1 is the Price Index level in local currency at time t-1
• 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 is the Adjusted Market Capitalization of the
index in USD converted using FX rate as of t-1 and used for local currency index at time t
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑡𝑡
�
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡
𝑠𝑠∈𝐼𝐼,𝑡𝑡
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑡𝑡 𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
�( ∗ )
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡−1 𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡−1
𝑠𝑠∈𝐼𝐼,𝑡𝑡
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑟𝑟𝑘𝑘𝑘𝑘𝑘𝑘𝑘𝑘𝑘𝑘𝑘𝑘𝑘𝑘𝑘𝑘𝑘𝑘𝑡𝑡 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
�
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡−1
𝑠𝑠∈𝐼𝐼,𝑡𝑡
Where:
• 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1 is the number of shares of security s at the end of
day t-1.
• 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 is the price per share of the security s at time t.
• 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1 is the price per share of security s at time t-1.
• 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 is the inclusion factor of the security s at time t. The inclusion factor
can be one or the combination of the following factors: Foreign Inclusion Factor,
Domestic Inclusion Factor, Growth Inclusion Factor, Value Inclusion Factor, Index
Inclusion Factor (*).
• 𝑃𝑃𝑃𝑃𝑃𝑃𝑡𝑡 is the Price Adjustment Factor of the security s at time t.
• 𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡 is the FX rate of the price currency of security s vs USD at time t. It is the value
of 1 USD in foreign currency.
• 𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡−1 is the FX rate of the price currency of security s vs USD at time t-1. It is the
value of 1 USD in foreign currency.
• 𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 is the Internal Currency Index of price currency at time t. The ICI is different than 1
when a country changes the internal value of its currency (e.g. from Turkish Lira to New
Turkish Lira – ICI = 1,000,000).
• 𝐼𝐼𝐶𝐶𝐶𝐶𝑡𝑡−1 is the Internal Currency Index of price currency at time t-1.
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
(*) From June 1 2007 to May 31 2008, to calculate the standard or small cap index
market capitalization (except for FM countries and China A), the security market cap
should be multiplied by the Standard or Small Cap Index Inclusion Factor.
Additionally, starting December 1, 2015, to calculate the standard or small cap index
market capitalization (except for China A), the security market cap should be
multiplied by the Standard or Small Cap Index Inclusion Factor.
From September 1 2009 to November 30 2009, to calculate the China A and related
indexes markets capitalization, the China A securities market cap should be
multiplied by the Standard Index Inclusion Factor.
The ‘Standard Index Inclusion Factor’ is solely used for the computation of the MSCI
Standard Indexes, and not for the Large Cap, Mid Cap and Provisional Indexes, as
these are all constructed using the Global Investable Market Indexes methodology
and were not subject to the transition methodology.
The ‘Small Cap Index Inclusion Factor’ is not used for the computation of the MSCI
Emerging Markets and AC Small Cap Indexes, MSCI Small Cap Value and Growth,
MSCI Provisional Small Cap and MSCI Small Cap Sectors Indexes, as these are all
constructed using the Global Investable Market Indexes methodology and were not
subject to the transition methodology.
Note:
The only difference in the formulas between USD and local currency indexes
calculation is that the same exchange rate is used in the numerator and denominator
for local currency, which means that there is no impact of currency change in the
performance. Time variant exchange rates are used for the USD calculation.
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Day 1
IndexAdjusted
NumberOf IndexAdjusted IndexInitialMar MarketCapFor
Shares t- PricePer PricePer Inclusion FXrate FXrate MarketCapUSD ketCapUSD t Local t (see
1 Share t Share t-1 Factor t PAF t t t-1 t (see 1.1.1) (see 1.1.1) 1.1.1)
Security A 150000 152.60 154.00 0.75 1 1.50 1.49 11,445,000 11,627,517 11,521,812
Security B 26000 98.40 105.00 1.00 1 1.15 1.14 2,224,696 2,394,737 2,244,211
Security C 290000 1592.60 1603.50 0.60 1 125.00 125.50 2,216,899 2,223,179 2,208,067
Security D 360000 268.00 265.30 0.85 1 1.50 1.50 54,672,000 54,121,200 54,672,000
Day 2
Security C is ex Right issue 1 : 1 @ 1300
IndexAdjusted
NumberOf IndexAdjusted IndexInitialMar MarketCapFor
Shares t- PricePer PricePer Inclusion FXrate FXrate MarketCapUSD ketCapUSD t Local t (see
1 Share t Share t-1 Factor t PAF t t t-1 t (see 1.1.1) (see 1.1.1) 1.1.1)
Security A 150000 160.00 152.60 0.75 1 1.51 1.50 11,920,530 11,445,000 12,000,000
Security B 26000 95.00 98.40 1.00 1 1.16 1.15 2,129,310 2,224,696 2,147,826
Security C 290000 1450.00 1592.60 0.60 1.1034 124.50 125.00 2,236,145 2,216,899 2,227,200
Security D 360000 265.00 268.00 0.85 1 1.51 1.50 53,701,987 54,672,000 54,060,000
Day 3
Security C has an increase of number of shares follow ing the right issue ex on Day 2
IndexAdjusted
NumberOf IndexAdjusted IndexInitialMar MarketCapFor
Shares t- PricePer PricePer Inclusion FXrate FXrate MarketCapUSD ketCapUSD t Local t (see
1 Share t Share t-1 Factor t PAF t t t-1 t (see 1.1.1) (see 1.1.1) 1.1.1)
Security A 150000 165.00 160.00 0.75 1 1.50 1.51 12,375,000 11,920,530 12,293,046
Security B 26000 102.00 95.00 1.00 1 1.17 1.16 2,266,667 2,129,310 2,286,207
Security C 580000 1545.00 1450.00 0.60 1 124.45 124.50 4,320,289 4,053,012 4,318,554
Security D 360000 266.00 265.00 0.85 1 1.50 1.51 54,264,000 53,701,987 53,904,636
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Where:
• 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 is the price return in USD of security s at time t.
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼ℎ𝑡𝑡𝑡𝑡 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝑦𝑦𝑦𝑦𝑦𝑦𝑦𝑦𝑦𝑦𝑦𝑦𝑦𝑦𝑦𝑦𝑦𝑦𝑦𝑦ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1
∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡−1
∗ 100 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑠𝑠𝑡𝑡−1 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑒𝑒𝑡𝑡−1
∑𝑠𝑠∈𝐼𝐼,𝑡𝑡( ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑟𝑟𝑡𝑡 )
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑒𝑒𝑡𝑡−1
𝑆𝑆𝑒𝑒𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑡𝑡 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
∗ 100 =
∑𝑠𝑠∈𝐼𝐼,𝑡𝑡(𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑡𝑡 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 )
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑆𝑆𝑆𝑆𝑡𝑡
∗ 100
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document. MSCI.COM | PAGE 10 OF 11
MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Where:
• 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1 is the number of shares of security s at the end of
day t-1.
• 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1 is the price per share of security s at time t-1.
• 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 is the inclusion factor of security s at time t. The inclusion factor
can be one or the combination of the following factors: Foreign Inclusion Factor,
Domestic Inclusion Factor, Growth Inclusion Factor, Value Inclusion Factor, Index
Inclusion Factor (*).
• 𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡−1 is the FX rate of the price currency of security s vs USD at time t-1. It is the
value of 1 USD in foreign currency.
(*) From June 1 2007 to May 31 2008, to calculate the standard or small cap index
market capitalization (except for FM countries and China A), the security market
cap should be multiplied by the Standard or Small Cap Index Inclusion Factor.
Additionally, starting December 1, 2015, to calculate the standard or small cap
index market capitalization (except for China A), the security market cap should be
multiplied by the Standard or Small Cap Index Inclusion Factor.
From September 1 2009 to November 30 2009, to calculate the China A and related
indexes markets capitalization, the China A securities market cap should be
multiplied by the Standard Index Inclusion Factor.
The ‘Standard Index Inclusion Factor’ is solely used for the computation of the
MSCI Standard Indexes, and not for the Large Cap, Mid Cap and Provisional
Indexes, as these are all constructed using the Global Investable Market Indexes
methodology and were not subject to the transition methodology.
The ‘Small Cap Index Inclusion Factor’ is not used for the computation of the MSCI
Emerging Markets and AC Small Cap Indexes, MSCI Small Cap Value and Growth,
MSCI Provisional Small Cap and MSCI Small Cap Sectors Indexes, as these are all
constructed using the Global Investable Market Indexes methodology and were not
subject to the transition methodology.
© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document. MSCI.COM | PAGE 11 OF 12
MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 = � − 1� ∗ 100
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝑡𝑡
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 = � − 1� ∗ 100
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑒𝑒𝑡𝑡 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑡𝑡 𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
∗
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡−1 𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡−1
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 ∗ 𝑃𝑃𝑃𝑃𝐹𝐹𝑡𝑡
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡−1
Where:
• 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝐶𝐶𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 is the Adjusted Market Capitalization of
security s in USD converted using FX rate as of t-1
• 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 is the Adjusted Market Capitalization of security
s in USD converted using FX rate as of t
• 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 is the Initial Market Capitalization of security s in
USD at time t
• 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1 is the number of shares of security s at the end of
day t-1.
• 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 is the price per share of security s at time t.
• 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1 is the price per share of security s at time t-1.
© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document. MSCI.COM | PAGE 12 OF 13
MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
(*) From June 1 2007 to May 31 2008, to calculate the standard or small cap index
market capitalization (except for FM countries and China A), the security market
cap should be multiplied by the Standard or Small Cap Index Inclusion Factor.
Additionally, starting December 1, 2015, to calculate the standard or small cap
index market capitalization (except for China A), the security market cap should be
multiplied by the Standard or Small Cap Index Inclusion Factor.
From September 1 2009 to November 30 2009, to calculate the China A and related
indexes markets capitalization, the China A securities market cap should be
multiplied by the Standard Index Inclusion Factor.
The ‘Standard Index Inclusion Factor’ is solely used for the computation of the
MSCI Standard Indexes, and not for the Large Cap, Mid Cap and Provisional
Indexes, as these are all constructed using the Global Investable Market Indexes
methodology and were not subject to the transition methodology.
The ‘Small Cap Index Inclusion Factor’ is not used for the computation of the MSCI
Emerging Markets and AC Small Cap Indexes, MSCI Small Cap Value and Growth,
MSCI Provisional Small Cap and MSCI Small Cap Sectors Indexes, as these are all
constructed using the Global Investable Market Indexes methodology and were not
subject to the transition methodology.
© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document. MSCI.COM | PAGE 13 OF 14
MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Day 1
Day 2
Security C is ex Right issue 1 : 1 @ 1300
SecurityDaily SecurityPrice SecurityDaily SecurityPrice
NumberOf InitialSecuri Price_Return contributionTo Price_Return contributionTo
Shares t- PricePer PricePer Inclusion FXrate FXrate tyWeight t USD t (see IndexUSD Local t (see IndexLocal
1 Share t Share t-1 Factor t PAF t t t-1 (see 1.2.2) 1.2.3) (see 1.2.1) 1.2.3) (see 1.2.1)
Security A 150000 160.00 152.60 0.75 1 1.51 1.50 16.22% 4.15% 0.67% 4.85% 0.79%
Security B 26000 95.00 98.40 1.00 1 1.16 1.15 3.15% -4.29% -0.14% -3.46% -0.11%
Security C 290000 1450.00 1592.60 0.60 1.1034 124.50 125.00 3.14% 0.87% 0.03% 0.46% 0.01%
Security D 360000 265.00 268.00 0.85 1 1.51 1.50 77.48% -1.77% -1.37% -1.12% -0.87%
Day 3
Security C has an increase of number of shares follow ing the right issue ex on Day 2
SecurityDaily SecurityPrice SecurityDaily SecurityPrice
NumberOf InitialSecuri Price_Return contributionTo Price_Return contributionTo
Shares t- PricePer PricePer Inclusion FXrate FXrate tyWeight t USD t (see IndexUSD Local t (see IndexLocal
1 Share t Share t-1 Factor t PAF t t t-1 (see 1.2.2) 1.2.3) (see 1.2.1) 1.2.3) (see 1.2.1)
Security A 150000 165.00 160.00 0.75 1 1.50 1.51 16.60% 3.81% 0.63% 3.13% 0.52%
Security B 26000 102.00 95.00 1.00 1 1.17 1.16 2.97% 6.45% 0.19% 7.37% 0.22%
Security C 580000 1545.00 1450.00 0.60 1 124.45 124.50 5.64% 6.59% 0.37% 6.55% 0.37%
Security D 360000 266.00 265.00 0.85 1 1.50 1.51 74.79% 1.05% 0.78% 0.38% 0.28%
© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document. MSCI.COM | PAGE 14 OF 15
MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼ℎ𝑡𝑡𝑡𝑡+1 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡
∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡+1
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡
∗ 100 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡
∑𝑠𝑠∈𝐼𝐼,𝑡𝑡+1( ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡+1 )
𝐹𝐹𝐹𝐹𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑡𝑡
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡+1 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡+1
∗ 100 =
∑𝑠𝑠∈𝐼𝐼,𝑡𝑡+1(𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡+1 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑜𝑜𝑜𝑜𝑡𝑡+1 )
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑡𝑡+1
∗ 100
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡+1
Where:
• 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 is the number of shares of security s at the end of day
t.
• 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 is the price per share of the security s at time t.
• 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡+1 is the inclusion factor of the security s at time t+1. The inclusion
factor can be one or the combination of the following factors: Foreign Inclusion
Factor, Domestic Inclusion Factor, Growth Inclusion Factor, Value Inclusion Factor,
Index Inclusion Factor (*).
• 𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡 is the FX rate of the price currency of security s vs USD at time t. It is the
value of 1 USD in foreign currency.
(*) From June 1 2007 to May 31 2008, to calculate the standard or small cap index
market capitalization (except for FM countries and China A), the security market
cap should be multiplied by the Standard or Small Cap Index Inclusion Factor.
Additionally, starting December 1, 2015, to calculate the standard or small cap
index market capitalization (except for China A), the security market cap should be
multiplied by the Standard or Small Cap Index Inclusion Factor.
From September 1 2009 to November 30 2009, to calculate the China A and related
indexes markets capitalization, the China A securities market cap should be
multiplied by the Standard Index Inclusion Factor.
The ‘Standard Index Inclusion Factor’ is solely used for the computation of the
MSCI Standard Indexes, and not for the Large Cap, Mid Cap and Provisional
© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document. MSCI.COM | PAGE 15 OF 16
MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Indexes, as these are all constructed using the Global Investable Market Indexes
methodology and were not subject to the transition methodology.
The ‘Small Cap Index Inclusion Factor’ is not used for the computation of the MSCI
Emerging Markets and AC Small Cap Indexes, MSCI Small Cap Value and Growth,
MSCI Provisional Small Cap and MSCI Small Cap Sectors Indexes, as these are all
constructed using the Global Investable Market Indexes methodology and were not
subject to the transition methodology.
The list of index constituents as of time t+1 is considered in the calculation.
Notes:
The 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡+1 is also available in
the security files and corresponds to the 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡+1
multiplied by the 𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡
The 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 used to calculate next day’s initial weight,
available in the MSCI products dated day𝑡𝑡, is shown as “Number of Shares (Next
Day Index)”.
Where
• 𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶𝐶ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 is the number of shares of security s at the close of t.
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
• 𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡 is the FX rate of the price currency of security s vs USD at time t. It is the
value of 1 USD in foreign currency.
(*) From June 1 2007 to May 31 2008, to calculate the standard or small cap index
market capitalization (except for FM countries and China A), the security market
cap should be multiplied by the Standard or Small Cap Index Inclusion Factor.
Additionally, starting December 1, 2015, to calculate the standard or small cap
index market capitalization (except for China A), the security market cap should be
multiplied by the Standard or Small Cap Index Inclusion Factor.
From September 1 2009 to November 30 2009, to calculate the China A and related
indexes markets capitalization, the China A securities market cap should be
multiplied by the Standard Index Inclusion Factor.
The ‘Standard Index Inclusion Factor’ is solely used for the computation of the
MSCI Standard Indexes, and not for the Large Cap, Mid Cap and Provisional
Indexes, as these are all constructed using the Global Investable Market Indexes
methodology and were not subject to the transition methodology.
The ‘Small Cap Index Inclusion Factor’ is not used for the computation of the MSCI
Emerging Markets and AC Small Cap Indexes, MSCI Small Cap Value and Growth,
MSCI Provisional Small Cap and MSCI Small Cap Sectors Indexes, as these are all
constructed using the Global Investable Market Indexes methodology and were not
subject to the transition methodology.
The list of index constituents as of time t should be considered in the calculation.
Effectively this figure represents the shares at the close on t, and does not include
any of the effects of corporate actions due at the open of the market the next day.
The closing market capitalization uses today’s price, t, as it represents the market
capitalization at the close of the calculation day t.
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡
= 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑥𝑥𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝐿𝑡𝑡−1 ∗
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑡𝑡 𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
∗
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡−1 𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡−1
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑖𝑖𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑜𝑡𝑡
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡−1
Where:
• 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡−1 is Security Price Index level at time t-1
(*) From June 1 2007 to May 31 2008, to calculate the standard or small cap index
market capitalization (except for FM countries and China A), the security market
cap should be multiplied by the Standard or Small Cap Index Inclusion Factor.
Additionally, starting December 1, 2015, to calculate the standard or small cap
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
index market capitalization (except for China A), the security market cap should be
multiplied by the Standard or Small Cap Index Inclusion Factor.
From September 1 2009 to November 30 2009, to calculate the China A and related
indexes markets capitalization, the China A securities market cap should be
multiplied by the Standard Index Inclusion Factor.
The ‘Standard Index Inclusion Factor’ is solely used for the computation of the
MSCI Standard Indexes, and not for the Large Cap, Mid Cap and Provisional
Indexes, as these are all constructed using the Global Investable Market Indexes
methodology and were not subject to the transition methodology.
The ‘Small Cap Index Inclusion Factor’ is not used for the computation of the MSCI
Emerging Markets and AC Small Cap Indexes, MSCI Small Cap Value and Growth,
MSCI Provisional Small Cap and MSCI Small Cap Sectors Indexes, as these are all
constructed using the Global Investable Market Indexes methodology and were not
subject to the transition methodology.
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𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑣𝑣𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑡𝑡 𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 = 100 ∗ ∗
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐_𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏_𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑 𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐𝑐_𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏_𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑
Note that 100 in the formula is the base value. This base value can be different
than 100 (e.g. 1000 depending on the indexes).
• If the base date of the index is equal or posterior to the start date of the currency, the
indexes should be converted only, using the following formula:
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡𝑡𝑡𝑡𝑡
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 = 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 ∗
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖_𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏_𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑
Example:
Calculation of the The World Index in EUR as of October 20, 1999:
Note that the start date of EUR is 31-Dec-1998
𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊10/20/99 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸10/20/99
𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊10/20/99 = 100 ∗ ∗ =
𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊𝑊31/12/98 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸12/31/98
1224.048387 0.9279451
100 ∗ ∗ = 115.985
1149.951577 0.8516074
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𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝑡𝑡 =
(𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑒𝑒𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑡𝑡 + 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 )
𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝑡𝑡−1 ∗
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝑡𝑡 =
(𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 + 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 )
𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝑡𝑡−1 ∗
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐷𝐷𝑡𝑡
Where:
• 𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝑡𝑡−1 is the Daily Total Return index level in USD at time t-1
• 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 is the gross or net amount of dividends in USD to be
reinvested in the index in USD at time t
• 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑙𝑙𝑡𝑡 is the gross or net amount of dividend in USD
converted using FX rate as of t-1 to be reinvested in the local currency index at time t
• 𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝑡𝑡−1 the Daily Total Return index level in local currency at time t-
1
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𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑈𝑈𝑆𝑆𝑆𝑆𝑡𝑡 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑒𝑒𝑒𝑒−𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑−1 ∗ 𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
�
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡
𝑠𝑠∈𝐼𝐼,𝑡𝑡
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑒𝑒𝑒𝑒−𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑−1 ∗ 𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
�( ∗ )
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡−1 𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡−1
𝑠𝑠∈𝐼𝐼,𝑡𝑡
Where:
• 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑒𝑒𝑒𝑒−𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑−1 is the number of shares of the security s at
the end of the dividend ex-date-1.
• 𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷ℎ𝑎𝑎𝑎𝑎𝑒𝑒𝑡𝑡 is the gross or net dividend per share expressed in the same
currency unit as the price per share of the security s to be reinvested at time t.
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𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 =
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼ℎ𝑡𝑡𝑡𝑡 ∗ 𝑆𝑆𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑡𝑡
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 =
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼ℎ𝑡𝑡𝑡𝑡 ∗ 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡
Where:
• 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 is the gross or net return in USD of security s at
time t.
• 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 is the gross or net return of security s at time t
converted using the FX rate as of t-1 and used for local currency calculation at time t.
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 =
(𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 + 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 )
� − 1� ∗ 100
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 =
(𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑡𝑡 + 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 )
� − 1� ∗ 100
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡
Where
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡𝑡 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑒𝑒𝑒𝑒−𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑−1 ∗ 𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝑚𝑚𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏𝑏ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑒𝑒𝑒𝑒−𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑−1 ∗ 𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
∗
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡−1 𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡−1
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Where
• 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 is the Adjusted Market Capitalization of
security s in USD converted using FX rate as of t-1
• 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝐷𝐷𝑡𝑡 is the Adjusted Market Capitalization of security
s in USD converted using FX rate as of t
• 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝐶𝐶𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐷𝐷𝑡𝑡 is the Initial Market Capitalization of security s in
USD at time t
• 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑟𝑟𝑡𝑡 is the inclusion factor of the security s at time t. The inclusion
factor can be one or the combination of the following factors: Foreign Inclusion
Factor, Domestic Inclusion Factor, Growth Inclusion Factor, Value Inclusion Factor,
Index Inclusion Factor (*).
• 𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡 is the FX rate of the price currency of security s vs USD at time t. It is the
value of 1 USD in foreign currency.
• 𝐹𝐹𝐹𝐹𝐹𝐹𝑎𝑎𝑡𝑡𝑡𝑡𝑡𝑡−1 is the FX rate of the price currency of security s vs USD at time t-1. It is the
value of 1 USD in foreign currency.
• 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑒𝑒𝑒𝑒−𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑−1 is the number of shares of security s at the
end of the dividend ex-date-1.
• 𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺𝐺ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 is the gross dividend per share expressed in the same
currency unit as the price per share of the security s to be reinvested at time t.
• 𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 is the Internal Currency Index of price currency at time t. The ICI is different than
1 when a country changes the internal value of its currency (e.g. from Turkish Lira to
New Turkish Lira – ICI = 1,000,000).
• 𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡−1 is the Internal Currency Index of price currency at time t-1.
(*) From June 1 2007 to May 31 2008, to calculate the standard or small cap index
market capitalization (except for FM countries and China A), the security market
cap should be multiplied by the Standard or Small Cap Index Inclusion Factor.
Additionally, starting December 1, 2015, to calculate the standard or small cap
index market capitalization (except for China A), the security market cap should be
multiplied by the Standard or Small Cap Index Inclusion Factor.
From September 1 2009 to November 30 2009, to calculate the China A and related
indexes markets capitalization, the China A securities market cap should be
multiplied by the Standard Index Inclusion Factor.
© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document. MSCI.COM | PAGE 24 OF 25
MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
The ‘Standard Index Inclusion Factor’ is solely used for the computation of the
MSCI Standard Indexes, and not for the Large Cap, Mid Cap and Provisional
Indexes, as these are all constructed using the Global Investable Market Indexes
methodology and were not subject to the transition methodology.
The ‘Small Cap Index Inclusion Factor’ is not used for the computation of the MSCI
Emerging Markets and AC Small Cap Indexes, MSCI Small Cap Value and Growth,
MSCI Provisional Small Cap and MSCI Small Cap Sectors Indexes, as these are all
constructed using the Global Investable Market Indexes methodology and were not
subject to the transition methodology.
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 =
(𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 + 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 )
� − 1� ∗ 100
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 =
(𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝑡𝑡 + 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 )
� − 1� ∗ 100
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝐷𝐷𝑡𝑡
Where
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 =
𝐸𝐸𝐸𝐸𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑒𝑒𝑒𝑒−𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑−1 ∗ 𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑒𝑒𝑥𝑥−𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑−1 ∗ 𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
∗
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡−1 𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡−1
Where
• 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 is the Adjusted Market Capitalization of
security s in USD converted using FX rate as of t-1
• 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 is the Adjusted Market Capitalization of security
s in USD converted using FX rate as of t
• 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑡𝑡 is the Initial Market Capitalization of security s in
USD at time t
© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document. MSCI.COM | PAGE 25 OF 26
MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
(*) From June 1 2007 to May 31 2008, to calculate the standard or small cap index
market capitalization (except for FM countries and China A), the security market
cap should be multiplied by the Standard or Small Cap Index Inclusion Factor.
Additionally, starting December 1, 2015, to calculate the standard or small cap
index market capitalization (except for China A), the security market cap should be
multiplied by the Standard or Small Cap Index Inclusion Factor.
From September 1 2009 to November 30 2009, to calculate the China A and related
indexes markets capitalization, the China A securities market cap should be
multiplied by the Standard Index Inclusion Factor.
The ‘Standard Index Inclusion Factor’ is solely used for the computation of the
MSCI Standard Indexes, and not for the Large Cap, Mid Cap and Provisional
Indexes, as these are all constructed using the Global Investable Market Indexes
methodology and were not subject to the transition methodology.
The ‘Small Cap Index Inclusion Factor’ is not used for the computation of the MSCI
Emerging Markets and AC Small Cap Indexes, MSCI Small Cap Value and Growth,
MSCI Provisional Small Cap and MSCI Small Cap Sectors Indexes, as these are all
constructed using the Global Investable Market Indexes methodology and were not
subject to the transition methodology.
© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document. MSCI.COM | PAGE 26 OF 27
MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼ℎ𝑡𝑡𝑡𝑡 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1
∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡−1
∗ 100 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1
∑𝑠𝑠∈𝐼𝐼,𝑡𝑡( ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 )
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡−1
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑈𝑈𝑈𝑈𝑈𝑈𝑡𝑡 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
∗ 100 =
∑𝑠𝑠∈𝐼𝐼,𝑡𝑡(𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑝𝑡𝑡 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 )
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑟𝑡𝑡
∗ 100
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐷𝐷𝑡𝑡
Where:
• 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑠𝑠𝑡𝑡−1 is the number of shares of security s at the end of
day t-1.
• 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡−1 is the price per share of security s at time t-1.
• 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 is the inclusion factor of security s at time t. The inclusion factor
can be one or the combination of the following factors: Foreign Inclusion Factor,
Domestic Inclusion Factor, Growth Inclusion Factor, Value Inclusion Factor, Index
Inclusion Factor (*).
• 𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡−1 is the FX rate of the price currency of security s vs USD at time t-1. It is the
value of 1 USD in foreign currency.
(*) From June 1 2007 to May 31 2008, to calculate the standard or small cap index
market capitalization (except for FM countries and China A), the security market
cap should be multiplied by the Standard or Small Cap Index Inclusion Factor.
Additionally, starting December 1, 2015, to calculate the standard or small cap
index market capitalization (except for China A), the security market cap should be
multiplied by the Standard or Small Cap Index Inclusion Factor.
From September 1 2009 to November 30 2009, to calculate the China A and related
indexes markets capitalization, the China A securities market cap should be
multiplied by the Standard Index Inclusion Factor.
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The ‘Standard Index Inclusion Factor’ is solely used for the computation of the
MSCI Standard Indexes, and not for the Large Cap, Mid Cap and Provisional
Indexes, as these are all constructed using the Global Investable Market Indexes
methodology and were not subject to the transition methodology.
The ‘Small Cap Index Inclusion Factor’ is not used for the computation of the MSCI
Emerging Markets and AC Small Cap Indexes, MSCI Small Cap Value and Growth,
MSCI Provisional Small Cap and MSCI Small Cap Sectors Indexes, as these are all
constructed using the Global Investable Market Indexes methodology and were not
subject to the transition methodology.
2.1.6 CURRENCY
For index calculations, all dividends are converted into USD at the spot rate of the
ex date.
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Regular Cash
- - No Yes 2.2.3
Dividend
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3 consecutive years
<5% No Yes
or more
Less than 3
≥5% Yes No
consecutive years
3 consecutive years
≥5% Yes Yes
or more
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unusually large dividends as special even if they are not declared as such by the
company.
Special cash dividends that are smaller than 5% of the cum price of the underlying
security are reinvested in the MSCI DTR Indexes, but are not included in the yield
calculation, unless they are paid for at least three consecutive years.
Special cash dividends that are greater than or equal to 5% of the market price of
the underlying security on the date the event is announced in “confirmed” status
are reinvested in the MSCI Indexes through an adjustment on the ex-date. A PAF
using the gross dividend amount is applied to the MSCI Price Indexes, the MSCI
Gross DTR Indexes and the MSCI Net DTR Indexes on the ex-date of the special
cash dividend. Note that MSCI will not cancel the PAF implementation if the size of
the special dividend becomes smaller than 5% after it has been announced in
“confirmed” status.
For special cash dividends that are greater than or equal to 5% of the market price
and subject to a withholding tax, as defined in Section 2.3.7.2, MSCI reinvests a
negative amount corresponding to the withholding tax in the MSCI Net DTR
Indexes only. This negative reinvestment is reflected simultaneously with the PAF
on the ex-date of the special cash dividend.
Any special cash dividend, distributed for at least three consecutive years, is taken
into account in the yield calculation of the underlying security, regardless of its
size.
Commemorative Dividend (memorial)
A company declares a dividend as commemorative/memorial. The funds come
from extraordinary profit or cash generated by a special event.
Retroactive/Arrears Dividend
Retroactive dividends are paid in Italy when a company has to pay a dividend to
revenue-guaranteed (RISP) shares to make up for previous years’ non-payments.
Special Dividend to Non-Domestic Shareholders
A company pays its non-domestic shareholders a bonus dividend to compensate
for the tax credit distributed to domestic shareholders. This is a common practice
in New Zealand.
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2.3.4 CORRECTIONS
A dividend that has been reinvested may need to be amended, due to an error in its
ex-date, in the dividend amount, or in the dividend currency. MSCI will give advance
notification for dividend corrections that are received after their ex-date.
Consequently, the correction in the index will be postponed to the next business
day following the reception and announcement of the information.
The following rules apply:
• Action is taken only if the error is discovered within 12 months of the ex date.
• In the case of a correction, MSCI uses the number of shares at the close of the
cum date. The spot rate of the reinvestment date is used for currency
conversion.
• A historical correction is applied to all indexes impacted by more than 50 basis
points1 if the impact on a country or World / EM industry group index is over 50
basis points. Starting December 1, 2010, for the MSCI Frontier Markets Indexes
(including MSCI GCC Countries Indexes), there will be a historical correction
only if the impact on the MSCI Frontier Markets region is over 50 basis points.
1
The 50 basis point limit is linked to the price index correction policy and will be revised accordingly to reflect
any changes in this policy.
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• The security that needs a dividend correction may have changed its status for
index inclusion between the ex-date and the correction date. For example, this
may be due to the security’s subsequent exclusion from the index, or a change in its
industry or country classification. Applying the correction with the current status may
reinvest dividends into the wrong index. If there is a change in the security’s index
inclusion status between the ex-date and the correction date, no correction amount
will be reinvested.
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These reinvestments after the ex-date do not trigger any correction of the index
levels.
MSCI uses the number of shares effective on the day prior to the ex-date to
reinvest the dividend.
In the rare case of Korean companies declaring their dividends prior to their ex-
date, MSCI reinvests dividends into the MSCI DTR Indexes on the day the security
is quoted ex-dividend on its principal exchange (in accordance with the section
2.2.1).
Should the dividend amount for Korean companies change following approval by
the shareholders at the general meeting, MSCI will reinvest the difference between
the amount initially announced by the company and the final amount approved by
the shareholders. This does not trigger any correction of past index levels.
Starting December 2014, for dividends with an ex date from December 2014
onwards, MSCI will transition to the enhanced methodology for Korean dividends,
as per the following:
Under the enhanced methodology, MSCI will reinvest an estimated dividend
amount for Korean securities on the ex-date of the dividend.
The estimate will be calculated as the previous year’s dividend amount from the
same period, adjusted by any capital changes if necessary. If no dividend was paid
from the same period in the previous year or an estimated dividend amount is not
available, MSCI will reinvest the dividend amount of zero.
Once a Korean company announces the actual dividend amount, MSCI will reinvest
on the next business day following reception of data from MSCI’s sources, all
differences between the estimated and ratified dividend amount, if any, in the MSCI
DTR Indexes without correcting index levels.
These estimates will be used for the calculation of the dividend yield as if the
amounts were not estimates.
Russia:
For depositary receipts (DRs) of Russian companies, only an estimated dividend
amount per share in USD is available prior to the ex-date. Therefore, on the ex date
of the DR security, MSCI reinvests the estimated dividend amount in USD in the
MSCI DTR Indexes. Once the actual dividend amount is announced by the
depositary bank, MSCI reinvests the difference, if any, between the USD dividend
amount per share already reinvested on the ex date and the USD dividend amount
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
per share publicly announced by the depositary bank. When possible, MSCI
reinvests this difference on the dividend pay date.
The reinvestment of the difference in the MSCI DTR Indexes does not trigger any
correction of past index levels.
In addition, when MSCI reinvests the difference on or around the pay date, fees
withheld by the depositary bank, if any, are taken into in the MSCI Net DTR Indexes.
In the case the dividend amount and ex date are known or captured by MSCI only
on the security’s ex date itself, MSCI uses a threshold based on the dividend size to
determine the reinvestment timing:
• If a total dividend amount is below USD 1 billion 2 and is announced or captured
on the ex date, then MSCI reinvests the dividend amount intraday in the MSCI
DTR Indexes. In addition, MSCI sends an intraday announcement to its clients.
• If a total dividend distribution is above USD 1 billion and is announced or
captured on the ex date, then MSCI postpones the dividend reinvestment to the
second business day after its ex date. In addition, MSCI sends an intraday
announcement to its clients.
Note that MSCI uses the number of shares effective on the day prior to the ex-date
to reinvest the dividend.
Should the dividend amount for Russian companies change following approval by
the shareholders at the general meeting, MSCI will reinvest the difference between
the amount initially announced by the company and the final amount approved by
the shareholders. This reinvestment does not trigger any correction of past index
levels.
Singapore:
Some companies in Singapore, for example Real Estate Investment Trusts (REITs),
pay advanced cash distributions at the time of placement of new shares, in order
to ensure fairness to the existing shareholders. This distribution is a part of the
regular quarterly cash dividends announced by the companies. If an estimated
amount or range of dividend amount is declared by the company before the ex-
date, MSCI reinvests the estimated amount or lower range of the dividend amount
in MSCI DTR Indexes on the day the security is quoted ex-dividend on its principal
exchange (in accordance with the section 2.2.1).
2
The size of the total dividend amount is calculated as follows: dividend per share amount in Ruble * FX Rate
(USD/RUB) on the ex date * Number of Shares * Foreign Inclusion Factor
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Should the dividend amount change after the ex-date following company
announcement, MSCI will reinvest the difference between the amount initially
announced by the company and the final amount on the next business day
following the reception and confirmation of at least two distinct data sources.
These reinvestments after the ex-date do not trigger any correction of past index
levels.
USA: Redemption Right
When a company redeems shares distributed to shareholders due to a poison pill
rights issue (applies mainly in USA), there may be a change in the company’s
capital structure. In this case MSCI will apply a price adjustment.
3Singapore and Malaysia completely migrated to a one-tier tax system from imputation system effective
January 1, 2008 and January 1, 2014 respectively. Under a one-tier or single-tier tax system, a company pays
a tax on its taxable income and shareholders are not charged with a tax on dividends paid to them by the
company.
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Conduit
Default Effective
Franking Foreign Gross Net
Withholding Withholding
Percentage Income Amount Amount
Tax Rate Tax Rate
Percentage
4
Conduit foreign income is foreign income received by a foreign resident via an Australian corporate tax
entity, and is that income which would ordinarily not be taxed under the relevant Australian tax laws (source:
Australian Government, The Treasury).
5
Please refer to the Appendix for the latest withholding tax rate for Australia.
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Net Daily Total Return (DTR) Indexes only. The negative amount per share will be
calculated as follows:
Negative amount per share = (Closing price of the security on the ex-date * Shares
Issued * 15%) / Shares before
The negative reinvestment is reflected simultaneously with the PAF on the ex-date
of the stock dividend.
Taiwanese Stock Dividends
In Taiwan, stock dividends can be paid out from capital surplus or retained
earnings. The portion of stock dividends paid out of retained earnings is subject to
the default withholding tax rate against the par value of each new share. The
portion of stock dividends paid out of capital surplus is not subject to a withholding
tax.
To take into account this withholding tax in the MSCI Indexes, MSCI reinvests a
negative amount corresponding to the withholding tax in the MSCI Net DTR
Indexes only.
This negative amount of the withholding tax is calculated using the following
formula.
Withholding tax of Taiwanese stock dividend = Number of shares received which
are subject to the withholding tax x par value of each share x Taiwanese default
withholding tax rate 6.
This negative reinvestment is reflected simultaneously with the PAF on the ex-date
of the stock dividend.
Taiwanese Capital Repayments
In Taiwan, the cash distributions paid out from the types of capital surplus which
are originally contributed by shareholders are not subject to any withholding tax.
Otherwise, the cash distributions paid out from the types of capital surplus not
originally contributed by shareholders are subject to a withholding tax. The cash
distribution paying out of the capital surplus originally contributed by shareholders
is therefore reinvested in the MSCI DTR Indexes free of withholding tax. Otherwise,
the cash distribution paying out from the equity capital not originally contributed by
shareholders is reinvested with the default withholding tax rate. In the case that a
Taiwanese company does not clarify the source of capital surplus, the cash
distribution is reinvested in the MSCI DTR Indexes free of withholding tax.
6 Please refer to the Appendix for the latest withholding tax rate for Taiwan
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2.3.8 DEFINITIONS
• Announcement date - the date on which the company announces its next
dividend payment.
• Reception date - the date on which the information about the dividend is
received by MSCI from its data sources.
• Record date - the date on which an individual must own shares (be the holder
of record) in order to receive a declared dividend or capital gains distribution.
• Ex-date - the first day on which, if an investor buys the security, the security no
longer carries the right to the declared dividend.
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Where:
𝑤𝑤𝑐𝑐 is the fixed proportion for component index c as of time of rebalance
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APPENDICES
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Friday calculation
Sunday calculation
Monday calculation
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 = 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹 ∗
∑𝑠𝑠∈𝐼𝐼,𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀�𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀 �
∑𝑠𝑠∈𝐼𝐼,𝑀𝑀𝑀𝑀𝑀𝑀𝑑𝑑𝑎𝑎𝑎𝑎�𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀 �
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 =
∑𝑠𝑠∈𝐼𝐼,𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀�𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀 �
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹 ∗
∑𝑠𝑠∈𝐼𝐼,𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀�𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀 �
Where:
• 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑟𝑟𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀 is the inclusion factor of the security as of the following
Monday. The inclusion factor can be one or the combination of the following factors:
Foreign Inclusion Factor, Domestic Inclusion Factor, Growth Inclusion Factor, Value
Inclusion Factor, Index Inclusion Factor (*).
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 =
𝐼𝐼𝐼𝐼𝐼𝐼𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 ∗
𝐼𝐼𝐼𝐼𝐼𝐼𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 =
𝐸𝐸𝐸𝐸𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆
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𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐹𝐹𝐹𝐹𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹
Where:
• 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹 is the number of shares of security s as of the
end of the previous Friday.
• 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 is the price per share of the security s as of Sunday.
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𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑁𝑁 =
𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑁𝑁 ∗ 𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑁𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑁𝑁
Where:
• 𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑁𝑁 = 𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀[𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑁𝑁 ]
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𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑁𝑁
𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀_𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑁𝑁 =
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑁𝑁_𝑒𝑒𝑒𝑒𝑑𝑑𝑑𝑑𝑑𝑑𝑑𝑑
Where:
• 𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑁𝑁_𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒 is the security market
capitalization at the end of the month,
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝐷𝐷𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑁𝑁_𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒𝑒 , adjusted with FIF
𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴_𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑁𝑁 = � 𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀_𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ_𝑖𝑖
𝑖𝑖∈𝑁𝑁,𝑁𝑁−1...𝑁𝑁−11
𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴_𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑁𝑁 = � 𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀_𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ_𝑖𝑖
𝑖𝑖∈𝑁𝑁,𝑁𝑁−1...𝑁𝑁−11
The ATVR is not calculated when less than 12 months of monthly traded value
ratios are available.
𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑁𝑁 = � 𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ_𝑖𝑖
𝑖𝑖∈𝑁𝑁,𝑁𝑁−1...𝑁𝑁−11
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
The Annual Traded Value is not calculated when less than 12 months of monthly
median traded values are available.
5. Aggregated information
In the calculation of the aggregated information, the trading volumes in depository
receipts associated with that security, such as ADRs or GDRs, are also considered.
It is obtained by summing up the ATVR of each listing.
Aggregated FIF/DIF adjusted ATVR is the sum of FIF/DIF adjusted ATVR of K
securities that are linked by the same issuer, share class and share type:
𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴_𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑁𝑁 = � 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴_𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑁𝑁,𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙_𝑖𝑖
𝑖𝑖∉1,2...𝐾𝐾
𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝑒𝑒𝑔𝑔𝑔𝑔𝑔𝑔𝑔𝑔𝑔𝑔𝑔𝑔𝑔𝑔𝑔𝑔𝑔𝑔_𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑁𝑁 = � 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴_𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝐷𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑁𝑁,𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙_𝑖𝑖
𝑖𝑖∉1,2...𝐾𝐾
𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑁𝑁 = � 𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝐴𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑀𝑀𝑀𝑀𝑀𝑀𝑀𝑀ℎ𝑁𝑁,𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙𝑙_𝑖𝑖
𝑖𝑖∉1,2...𝐾𝐾
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Stock Markets
Stock trading has a long history in Singapore dating back to the 1930’s. In 1960
the Malayan Stock Exchange started trading shares publicly. There were trading
floors in both Singapore and Kuala Lumpur linked as a single market. When
Singapore split from Malaysia the stock exchange continued to operate as one
under the name Stock Exchange of Malaysia and Singapore (SEMS). In 1973 the
accord that allowed for the convertibility at par between the Singapore Dollar and
Malaysian Ringgit was terminated. This led to the separation of SEMS into the
Kuala Lumpur Stock Exchange (KLSE) and the Stock Exchange of Singapore (SES).
Malaysian companies continued to trade heavily in Singapore.
MSCI Indexes
On December 1st 1972, the MSCI Singapore/Malaysia Index was added to the
World Index. The index was developed in cooperation with the Overseas-Chinese
Banking Corporation, which published the same index under the name O.C.B.C.
Index. As is the case with other MSCI Indexes the purpose was to track those
securities representative of Singapore. However as approximately half the market
capitalization and liquidity of the SES was due to Malaysian shares the index was
designed to incorporate both Singaporean companies as well as those Malaysian
shares that traded in Singapore. This aspect was different from other MSCI
Indexes, as the norm is to only include domestically listed shares. In light of the
long integrated history of the Malay Peninsula and Singapore, and the continued
dual listing of shares, it was deemed to be more representative to include these
Malaysian companies as representative of the opportunity set of the SES.
MSCI launched its emerging market series on January 1, 1988. Among other
country indexes was an index of Malaysia with 59 securities. As MSCI was now
covering emerging markets the MSCI Mexico Index was pulled out of MSCI World.
The World Index was to be considered a developed market index.
In 1989 the Malaysian government announced that Malaysian companies would be
asked to delist their shares from the SES. Previously the government had
prohibited newly listed shares of Malaysian companies from listing on the SES. In
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Quick Facts
Malaysia was part of the Developed Market indexes:
• From December 1, 1972 to May 2, 1993, MSCI calculated a combined index, the
Singapore/Malaysia index - due to the history of Malaysian securities trading in
Singapore.
• From May 3, 1993 up to the close of Sep 30, 1998, Malaysia was part of DM as
an individual country (separated from Singapore).
Malaysia has been part of the Emerging Market indexes from 1987 to present:
• With a discount of 30% from Sep 30, 1998 to Feb 25, 1999
• With a discount of 15% from Feb 26, 1999 to Aug 29, 1999
• With no discount since Aug 30, 1999
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
What is the difference between the MSCI Singapore Index and the MSCI
Singapore Free Index; the MSCI EAFE Index and the MSCI EAFE Free Index; the
MSCI World Index and the MSCI World Free Index?
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Notes:
1. Used in the calculation of the MSCI Net Daily Total Return (DTR) Indexes.
Withholding tax rates used are the maximum rates of the company’s country
of incorporation applicable to institutional investors who do not benefit from
double taxation treaties. Foreign rates are used in the MSCI Net DTR
International Indexes and Domestic rates are used in the MSCI Net DTR
Domestic Indexes.
2. For Australian dividends, franking percentage and conduit foreign income
are taken into consideration on calculation of the MSCI Net DTR Indexes.
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
The actual withholding tax rate for an Australian dividend ranges from 0% to
30%. For details, please refer to the section 2.3.7.2.1.
3. Interest on capital is subject to a 15% withholding tax.
4. For the MSCI China Index, the dividend withholding tax rates are determined
as follows:
1) Companies incorporated within mainland China, including B-
Share and H-Share, are subject to a 10% withholding tax.
2) Companies that are incorporated outside mainland China.
2.1) Red-Chip and P-Chip are subject to a 0% withholding tax,
unless the company publicly announces that it is a Chinese Tax
Resident Enterprise and therefore subject to a withholding tax of
10%.
2.2) ADRs are subject to a 10% withholding tax, unless a specific
withholding tax of 0% is announced by the companies.
5. Dividends on Real Estate Investment Trusts (REITS) are subject to a 10%
withholding tax.
6. Cash dividends paid by companies incorporated in the United Kingdom
include a 10% tax credit. MSCI does not take into consideration the tax credit
for both the gross and net dividend amounts. As there is no withholding tax
in the United Kingdom, the gross and net amounts of the cash dividends to
be reinvested in the MSCI Net Daily Total Return (DTR) indexes are equal.
7. Dividends on Real Estate Investment Trusts (REITS) are subject to a 10%
withholding tax.
8. Dividends on Real Estate Investment Trusts (REITs) are subject to a 15%
withholding tax.
9. Dividends on Real Estate Investment Trusts (REITs) are subject to a 30%
withholding tax.
10. PID components of dividends on Real Estate Investment Trusts (REITs) are
subject to a 20% withholding tax
11. Dividends paid by Independent Power Purchasers which are pass through
items under an Implementation Agreement, Power Purchase Agreement or
Energy Purchase Agreement and are required to be reimbursed by the
Central Power Purchasing Agency, as defined by the government of
Pakistan, are subject to 7.5% withholding tax.
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Unless otherwise indicated, the prices used to calculate the MSCI Indexes are the official exchange closing prices or those figures accepted as such.
The sources listed below are the "standard" MSCI pricing sources.
Market
Closing Prices
Reuters Bloomberg Identifier
Country Exchange Price used Description (For more detailed information, please contact the relevant exchange) availability
Code Code Code
(local time)
(MIC)
Bolsa de
Last traded Last round lot trade with a 72 hour settlement basis. Round lots in Argentina-Bolsa de
Argentina Comercio de .BA AF XBUE 5:00PM
price Comercio de Buenos Aires vary for each stock and are established on a daily basis.
Buenos Aires
See USA
See USA
NASDAQ Capital (NASDAQ
Argentina .OQ UR XNCM (NASDAQ See USA (NASDAQ Capital Market)
Market Capital
Capital Market)
Market)
The official price is determined during the Closing Single Price Auction (“CSPA”)
Australian Stock which takes place at the end of the normal trading session. If a trade does not occur
Australia .AX AT XASX Official close 4:12PM
Exchange (ASX) during CSPA, the final automatically matched trade during the normal trading session
will be used.
Vienna Stock The chosen price is the price for which the highest number of orders can be executed.
Austria .VI AV WBAH Auction close 5:35PM
Exchange The auction begins at 5:30PM.
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Market
Closing Prices
Reuters Bloomberg Identifier
Country Exchange Price used Description (For more detailed information, please contact the relevant exchange) availability
Code Code Code
(local time)
(MIC)
Kuwait Stock
Bahrain .KW KK XKUW See Kuwait See Kuwait See Kuwait
Exchange
The closing price for a security shall be determined as per the weighted average price
of all the trades in the last 30 (thirty) minutes of trading. If there is no trade during the
Dhaka Stock above specified time, the weighted average price of maximum 20 (twenty) number of
Bangladesh .DH BD XDHA Official close 3:30PM
Exchange trades preceding the above 30 (thirty) minutes shall be taken for determination of
closing price. If there has been no trade in the security during the continuous trading
session, the opening price of the security shall be treated as the closing price.
Brussels Stock The closing price is an auction price calculated between 5:30PM and 5:35PM. It is still
Belgium .BR BB XBRU Auction close 5:35PM
Exchange possible to trade at the auction price between 5:30PM and 5:40PM.
Bovespa (Sao For all listed companies on the electronic trading system, there is a ‘closing call’ 6:00PM
Brazil .SA BS BVMF Auction close
Paulo SE) between 5.55PM and 6.00PM (4:55PM and 5:00PM*). (5:00PM*)
BRVM (Bourse
Regionale des
Last Traded
Burkina Faso Valeurs .CI BC XBRV Last Traded Price 3:30PM
Price
Mobilieres) –
Ivory Coast
Market on
Toronto Stock Market on Close (MOC) auction for MOC eligible stocks. Last traded price for stocks 4:10PM /
Canada .TO CT XTSE Close / Last
Exchange not eligible for the MOC auction. 4:00PM
traded price
NEO Exchange - The Calculated Closing Price (CCP), imbalance direction and size will be continuously
Canada .NLB QF NEOE CCP published with each change affecting the CCP while in the Closing Call. These 4:00PM
NEO-L
changes may include new Market on Close (MOC) and Limit on Close (LOC) orders, as
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Market
Closing Prices
Reuters Bloomberg Identifier
Country Exchange Price used Description (For more detailed information, please contact the relevant exchange) availability
Code Code Code
(local time)
(MIC)
well as amendments or cancellations to existing MOC and LOC orders. In the event
that more than one execution price is available, the CCP will be determined by the
following rules:
a) The price that maximizes the trade volume;
b) If more than one price is determined in a), the price that will leave the
smallest imbalance; and
c) If still more than one price is available, the price that is closest to the
instrument’s last traded price on the NEO Exchange.
If there is no trade to set the National Last Sale Price (NLSP) for the current day, the
Closing Price will be set to the previous day’s Closing Price.
The Official Close is calculated using a volume weighted average price of the trades
Bolsa de between 4:45PM and 4:55PM (3:45PM and 3:55PM*). For a trade that occurs within
5:00PM
Chile Comercio de .SN CC XSGO VWAP those ten minutes of trading to be included in the VWAP calculation, the volume of
(4:00PM*)
Santiago each trade must meet a set volume determined by the exchange at the open of each
month
See USA
See USA
NASDAQ Global (NASDAQ
China .OQ UQ XNMS (NASDAQ See USA (NASDAQ Global Market)
Market Global
Global Market)
Market)
Shanghai Stock The closing price of a security is generated from a call auction. In case no closing
China .SS CG XSHG Auction close price is generated from the closing call auction, the trading volume-weighted average 3:05PM
Exchange
price of all the trades of the security one minute before the last trade (including the
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Market
Closing Prices
Reuters Bloomberg Identifier
Country Exchange Price used Description (For more detailed information, please contact the relevant exchange) availability
Code Code Code
(local time)
(MIC)
last trade) on that day is taken as the closing price. In the absence of trades on a
trading day, the previous day's closing price is taken as the closing price of that day.
The closing price of a security is generated from a call auction. In case no closing
Shanghai Stock price is generated from the closing call auction, the trading volume-weighted average
China Exchange – .SS CG XSHG Auction close price of all the trades of the security one minute before the last trade (including the 3:30PM
STAR Market last trade) on that day is taken as the closing price. In the absence of trades on a
trading day, the previous day's closing price is taken as the closing price of that day.
The closing price of a security is generated from a call auction. In case no closing
price is generated from the closing call auction, the trading volume-weighted average
Shenzhen Stock
China .SZ CS XSHE Auction close price of all the trades of the security one minute before the last trade (including the 3:05PM
Exchange
last trade) on that day is taken as the closing price. In the absence of trades on a
trading day, the previous day’s closing price is taken as the closing price of that day.
Singapore
Exchange
China .SI SP XSES See Singapore See Singapore See Singapore
Securities
Trading
The closing price is the price of the last transaction which meets a number of shares
Bolsa de Valores Last traded
Colombia .CN CX XBOG threshold between 9:30AM and 3:00PM The exchange defines the threshold based on 3:00PM
de Colombia price
price ranges.
Zagreb Stock The official closing price is the Volume Weighted Average Price of trades throughout
Croatia .ZA ZA XZAG VWAP 4:00PM
Exchange the entire trading day.
Zagreb – The official closing price is the Volume Weighted Average Price of trades throughout
Croatia .ZA VA XZAG VWAP 4:00PM
Vrazdin Segment the entire trading day.
Prague Stock
Czech The official closing price is taken from the closing auction held between 4:20pm and
Exchange .PR CK XPRA Official Close 5:30 PM
Republic 4:25pm local time.
(XPRA)
The closing call auction will begin when the trading session ends at 4:50PM. It will run
Copenhagen until 5:00PM. The closing price will be generated in the closing call auction. If no
Denmark .CO DC XCSE Auction close 5:00PM
Stock Exchange trades are executed during the closing call auction, the closing price will correspond
to the last transaction.
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Market
Closing Prices
Reuters Bloomberg Identifier
Country Exchange Price used Description (For more detailed information, please contact the relevant exchange) availability
Code Code Code
(local time)
(MIC)
The Closing Price is calculated according to the following criteria in order of priority:
• The price that achieves maximum traded volume.
• The price that leaves the lowest remaining inexecutable quantity.
• Average executable prices.
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Market
Closing Prices
Reuters Bloomberg Identifier
Country Exchange Price used Description (For more detailed information, please contact the relevant exchange) availability
Code Code Code
(local time)
(MIC)
In the course of the closing auction, transaction orders are matched in the order book
Tallinn Stock according to the equilibrium price. The equilibrium price is achieved only if the prices
Estonia .TL ET XTAL Auction Close 4:00PM
Exchange of buy and sell orders entered in the order book are crossing or equal. An auction is
not held unless there are transaction orders with crossing prices.
As of Sep 27 2004, the official closing price is the result of the closing call which
Helsinki Stock
Finland .HE FH XHEL Auction close occurs during the last 10 minutes of trading. If no trades are matched in the closing 6:30PM
Exchange
call then the last trade prior to the auction will be defined as the closing price.
Paris Stock The closing price is an auction price calculated between 5:30PM and 5:35PM. It is still
France .PA FP XPAR Auction close 5:35PM
Exchange possible to trade at the auction price between 5:30PM and 5:40PM.
Germany The Auction price is defined during the auction that closes the trading session. The
XETRA Exchange .DE GY XETR Auction close 5:35PM
(XETRA) chosen price is the price for which the highest number of orders can be executed.
Ghana Stock The official closing price is the Volume Weighted Average Price of trades throughout
Ghana .GH GN XGHA VWAP 3:00PM
Exchange the entire trading day.
The closing price is determined through a call auction at the conclusion of the
Athens Stock continuous trading session, whereby the price at which the greatest trading volume is
Greece .AT GA XATH Auction close 5:20PM
Exchange attained is the auction close price. If there is no price set by the call auction, the
closing price will be the VWAP of the last 30% of trades.
If there is closing auction session for the security, final Indicative Equilibrium Price
(IEP) would be taken as auction close price. Otherwise, median price would be
Hong Kong Auction Close / applied. The median price is determined by taking the median of five nominal prices 4:08PM-
Hong Kong .HK HK XHKG
Stock Exchange Median Price in the last minute of the trading hours to avoid the closing price being biased by one 4:10PM
single trade. HKSE takes up to 5 snapshots of the nominal prices at interval of every
15 seconds starting from 3:59PM, local time.
Oslo Stock
Hong Kong .OL NO XOSL See Norway See Norway See Norway
Exchange
Hong Kong Singapore .SI SP XSES See Singapore See Singapore See Singapore
Exchange
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Market
Closing Prices
Reuters Bloomberg Identifier
Country Exchange Price used Description (For more detailed information, please contact the relevant exchange) availability
Code Code Code
(local time)
(MIC)
Securities
Trading
The official closing price is the result of the closing call which occurs during the last
NASDAQ OMX
Iceland .IC IR XICE Auction close 10 minutes of trading. If no trades are matched in the closing call then the last trade 3:30PM
Nordic Iceland
prior to the auction will be defined as the closing price.
The Weighted Average Price is defined as the volume weighted average of all orders
executed within the last 15 minutes of the continuous trading session. If there are no
The Bombay
India .BO IB XBOM WAP trades during the last 15 minutes, then the last traded price in continuous trading is 3:30PM
Stock Exchange
taken as the official close. Bombay Stock Exchange prices are only used for
securities not traded on the NSE.
The closing price of a security is the volume weighted average price of the last half
National Stock hour (3:00PM-3:30PM). If there are no trades during the last 30 minutes, then the last
India Exchange of .NS IS XNSE VWAP traded price is taken as the official close. However, in cases where such prices are 3:30PM
India not available due to the delisting from the National Stock Exchange (NSE), official
closing prices from the Bombay Stock Exchange will be used.
The pre-closing session auction results are between 04:00 and 04:05 p.m. JKT. If
there is an auto-matched trade for a security during the closing auction, The auction
Jakarta Stock price will be the official closing price. If there are trades during the opening auction or
Indonesia .JK IJ XIDX Auction close 4:15PM
Exchange during the continuous trading period but none during the closing auction, the last
traded price will be the official closing price. The previous day’s official closing price
will be the official closing price for days where there are no trades.
The session ends with a 2 minute auction (between 4:28PM and 4:30PM). If a
security is traded during the closing auction, the auction price will be the official
Irish Stock closing price. If there are trades during the opening auction or during the continuous
Ireland .I ID XDUB Auction close 5.05PM
Exchange trading period, but no trades during the closing auction, the last traded price will be
the official closing price. If there are no trades on a particular day, the previous day’s
official closing price will be the official closing price.
Australian Stock
Israel .AX AT XASX See Australia See Australia See Australia
Exchange (ASX)
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Market
Closing Prices
Reuters Bloomberg Identifier
Country Exchange Price used Description (For more detailed information, please contact the relevant exchange) availability
Code Code Code
(local time)
(MIC)
Brussels Stock
Israel .BR BB XBRU See Belgium See Belgium See Belgium
Exchange
See USA
See USA
NASDAQ Capital (NASDAQ
Israel .OQ UR XNCM (NASDAQ See USA (NASDAQ Capital Market)
Market Capital
Capital Market)
Market)
See USA
See USA
NASDAQ Global (NASDAQ
Israel .OQ UQ XNMS (NASDAQ See USA (NASDAQ Global Market)
Market Global
Global Market)
Market)
See Sweden
See Sweden
NASDAQ OMX (NASDAQ
(NASDAQ OMX
Israel Stockholm First .ST SF SSME See Sweden (NASDAQ OMX Stockholm First North) OMX
Stockholm First
North Stockholm
North)
First North)
Singapore
Exchange
Israel .SI SP XSES See Singapore See Singapore See Singapore
Securities
Trading
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Market
Closing Prices
Reuters Bloomberg Identifier
Country Exchange Price used Description (For more detailed information, please contact the relevant exchange) availability
Code Code Code
(local time)
(MIC)
The closing price will be the one set during the closing call alone, where the volume of
the share at the closing call auction will be at least: NIS 400,000 in the TA-25 NIS
Tel Aviv Stock
Israel .TA IT XTAE Auction Close 200,000 in the TA-75 NIS 100,000 in the “Mid Cap” index If the closing volume is less 4:30PM
Exchange
than mentioned above, the price will be set at the weighted average of the latest
transaction prices, including those executed in the closing call.
The closing auction, including a pre-auction phase that can end at any time within the
last minutes of that actual pre-auction phase. Closing auction, comprising the closing
Italian Stock
Italy .MI IM MTAA Auction close phases and validation, will end at 5.40PM local time. Where no auction price is 5:40PM
Exchange
available, the reference price, defined by the exchange as the Volume Weighted
average of the last 10% of the day’s trading volume, will be used.
BRVM (Bourse
Regionale des
Last Traded
Ivory Coast Valeurs .CI BC XBRV Last Traded Price 3:30PM
Price
Mobilieres) –
Ivory Coast
Jamaica Stock The Average Price calculation is the volumes of a stock purchased at different prices,
Jamaica .JS JA XJAM Average price 1:30PM
Exchange divided by the cumulative volumes of the stock unit that traded throughout the day.
The closing price is determined during a price auction which takes place at the end of
the normal trading day. During this auction, all orders entered in the individual order
book are aggregated before the execution, and treated as simultaneous orders. In
Nagoya Stock accordance with the principle of price priority, each buy order is compared with sell
Japan .NG JN XNGO Auction close 3:30PM
Exchange orders until its volume and price are matched. By this method, a single price is
determined and this price makes up the closing price. In the event of a closing
auction not happening for a particular day, the last price (Itayose or special quote
method) will be used instead.
The closing price is determined during a price auction which takes place at the end of
the normal trading day. During this auction, all orders entered in the individual order
book are aggregated before the execution, and treated as simultaneous orders. In
Osaka
accordance with the principle of price priority, each buy order is compared with sell
Japan Securitites .OS JO XOSE Auction close 3:10PM
orders until its volume and price are matched. By this method, a single price is
Exchange
determined and this price makes up the closing price. In the event of a closing
auction not happening for a particular day, the last price (Itayose or special quote
method) will be used instead.
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Market
Closing Prices
Reuters Bloomberg Identifier
Country Exchange Price used Description (For more detailed information, please contact the relevant exchange) availability
Code Code Code
(local time)
(MIC)
The closing price is determined during a price auction which takes place at the end of
the normal trading day. During this auction, all orders entered in the individual order
book are aggregated before the execution, and treated as simultaneous orders. In
Tokyo Stock accordance with the principle of price priority, each buy order is compared with sell
Japan .T JT XTKS Auction close 3:00PM
Exchange orders until its volume and price are matched. By this method, a single price is
determined and this price makes up the closing price. In the event of a closing
auction not happening for a particular day, the last price (Itayose or special quote
method) will be used instead.
The closing price is determined during a price auction which takes place at the end of
the normal trading day. During this auction, all orders entered in the individual order
book are aggregated before the execution, and treated as simultaneous orders. In
accordance with the principle of price priority, each buy order is compared with sell
Japan JASDAQ .T JT XJAS Auction close 3:10PM
orders until its volume and price are matched. By this method, a single price is
determined and this price makes up the closing price. In the event of a closing
auction not happening for a particular day, the last price (Itayose or special quote
method) will be used instead.
The closing price of a security shall be the Volume Weighted Average Price (VWAP) of
Nairobi Stock transactions executed during the entire trading session of the specific security. If the
Kenya .NR KN XNAI VWAP 3:00PM
Exchange security does not trade during the trading session, the closing price will be the
average price calculated for the trading session when the security last traded.
The closing price is the price for which the highest number of orders can be executed
Korea KSE .KS KP XKRX Auction close 3:00PM
during the auction. The auction starts 10 minutes before the official close at 3:00PM.
The closing price is the price for which the highest number of orders can be executed
Korea KOSDAQ .KQ KQ XKOS Auction close 3:00PM
during the auction. The auction starts 10 minutes before the official close at 3:00PM.
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Market
Closing Prices
Reuters Bloomberg Identifier
Country Exchange Price used Description (For more detailed information, please contact the relevant exchange) availability
Code Code Code
(local time)
(MIC)
The closing price will be determined by the closing auction sessions held at the close
Kuwait Stock
Kuwait .KW KK XKUW Auction close of trading where the orders cannot be cancelled or modified during the last 5 mins of 12:40PM
Exchange
the closing auction session.
In the course of the closing auction, transaction orders are matched in the order book
Vilnius Stock Closing Call according to the equilibrium price. The equilibrium price is calculated to be the price
Lithuania .VL LH XLIT 4:00PM
Exchange Auction where in a particular Order Book the highest buy price is higher than or equal to the
lowest sell price.
The Stock
Last traded
Mauritius Exchange of .MZ MP XMAU Last traded price 1:30PM
price
Mauritius
EuroNext The closing price is an auction price calculated between 5:30PM and 5:35PM. It is still
Netherlands .AS NA XAMS Auction price 5:35PM
Amsterdam possible to trade at the auction price between 5:30PM and 5:40PM.
See USA
See USA
NASDAQ Global (NASDAQ
Netherlands .OQ UQ XNMS (NASDAQ See USA (NASDAQ Global Market)
Market Global
Global Market)
Market)
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Market
Closing Prices
Reuters Bloomberg Identifier
Country Exchange Price used Description (For more detailed information, please contact the relevant exchange) availability
Code Code Code
(local time)
(MIC)
New Zealand
Last traded
New Zealand Exchange .NZ NZ XNZE Last traded price 5:00PM
price
Limited
The official closing price is defined as the last trade with volume greater than 100,000
Nigeria Stock
Nigeria .LG NL XNSA Official Close shares. If there are no trades over 100,000 shares during the current trading day, the 2:30PM
Exchange
previous close is carried over
The official closing prices is determined during a closing auction which takes place at
Oslo Stock the end of the continuous trading between 16:20 and 16:30. When the closing auction
Norway .OL NO XOSL Auction close 5:30PM
Exchange for a particular security cannot be completed, the last traded price before the start of
the auction will be used.
The closing price is considered to be the volume weighted average price. The closing
price will not change unless a minimum number of securities are traded. This
Oman Muscat
Oman .OM OM XMUS VWAP minimum is 500 Shares for securities listed in the Regular & Parallel markets and 1:00PM
Exchange
2000 for securities listed in the Third market. In case traded securities do not exceed
the specified threshold for their market, the closing price will equal the previous close.
The closing price is determined by the volume weighted average price of the last 30
2:15PM (Mon-
Karachi Stock minutes trades of that security for the day. In case of no trading in a particular
Pakistan .PSX PK XKAR Official Close Thu), 4:00PM
Exchange security during the last 30 minutes of the day, the closing price is the volume
(Fri)
weighted average price for the last traded 30 minutes of that security.
The Closing Price is determined using an auction process during the Pre-Close period.
Philippine Stock
Philippines .PS PM XPHS Closing Price If there is no computed Closing Price for that trading day, the Closing Price taken is 3:30PM
Exchange
the price of the last transaction during the trading day’s Continuous Period.
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Market
Closing Prices
Reuters Bloomberg Identifier
Country Exchange Price used Description (For more detailed information, please contact the relevant exchange) availability
Code Code Code
(local time)
(MIC)
The closing price is determined in an auction procedure in which the closing price will
Warsaw Stock
Poland .WA PW XWAR Auction Close be based on orders submitted during the closing phase. If no orders are placed during 5:10PM
Exchange
the closing phase then the closing price will be that of the last transaction.
The closing price is an auction price calculated between 5:30PM and 5:35PM. It is still
Portugal EuroNext Lisbon .LS PL XLIS Auction close 5:35PM
possible to trade at the auction price between 5:30PM and 5:40PM.
The closing price is an auction price set during the closing auction period. If there is
Doha Securities
Qatar .QA QD DSMD Auction Close no price set during the closing auction period, the closing price is the last traded 12:30PM
Market
price.
London Stock
Russia .L LN XLON See UK (SETS) See UK (SETS) See UK (SETS)
Exchange
Moscow The closing price is an auction price set during the closing auction period. If there is
Russia Exchange .MM RX MISX Auction Close no price set during the closing auction period, the closing price is the last traded 6:50PM
(MOEX) price.
The closing price is determined through a closing auction, similar to how the opening
price is determined in the opening auction. The closing auction is a session after
continuous trading where investors may place orders (bid/ask). The trading engine
will determine an equilibrium price at which all possible matching orders are executed
Saudi SE
Saudi Arabia .SE AB XSAU Auction Close at the end of the auction (uncross). The execution price is the closing price and 3:12PM
(Tadawul)
becomes the next day’s reference price. The closing price is calculated based on
normal trades only (SAR15, 000 and above). If there are no trades during the auction,
then the closing price is the last traded price (LTP) during continuous trading. If there
are no trades during the day, the closing price is the previous day’s closing price.
BRVM (Bourse
Regionale des
Last Traded
Senegal Valeurs .CI BC XBRV Last Traded Price 3:30PM
Price
Mobilieres) –
Ivory Coast
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Market
Closing Prices
Reuters Bloomberg Identifier
Country Exchange Price used Description (For more detailed information, please contact the relevant exchange) availability
Code Code Code
(local time)
(MIC)
Belgrade Stock
Serbia .BEL SG XBEL VWAP The closing price is considered to be the volume weighted average price. 2:00PM
Exchange
At 5:00PM, all unmatched orders are carried forward to Pre-Close Routine, which runs
for 6 minutes and consists of a Pre-Close Period and a Non-Cancel Period. Orders can
Singapore be entered, amended or cancelled during the Pre-Close period (5:00PM – 05:05PM).
Exchange During the Non-Cancel period (5:05PM -5:06PM), orders are matched and executed at
Singapore .SI SP XSES Auction close 5:16PM
Securities a Closing price computed for the day while unmatched orders will be brought forward
Trading to the Trade at Close (TAC) session. During the TAC session, participants will be able
to execute orders only at the closing auction price (fixed price) set during the closing
auction routine.
The Official Closing Price is defined as the Auction Price formed during the Closing
Auction. If there are no trades executed for a given security during the Closing
Ljubljana Stock
Slovenia .LJ SV XLJU Official Close Auction, the Closing Price will be the last trade of the day. If there are no trades 1:00PM
Exchange
executed in a given security on a given day, the closing price for the day will be the
closing price of the previous trading day.
The closing prices on securities traded on the South Africa Exchange will be
calculated based on the price at which trades occurred in a closing execution. In this
closing execution, the last traded price will be the official closing price, unless there is
Johannesburg Last traded
South Africa .J SJ XJSE a higher bid price or a lower ask offer, which will then be used as the closing price. In 5:05PM
Stock Exchange price / VWAP
the event that there is no closing execution, then a Volume Weighted Average Price
(VWAP) taken over the last 10 minutes of trading leading up to the “closing auction”
is used.
The session ends with a 5 minute auction (between 5:30PM and 5:35PM) and a
random closing of 30 seconds. The resulting auction price will be the session’s
MERCADO
Closing price. In case an Auction price does not exist, the closing price will be the
CONTINUO
Spain .MC SQ XMAD Auction price price of the last 500 traded units closest to their weighted average. If two prices have 5:35PM
ESPANOL
the same difference with respect to this weighted price, the price will be the last one
(CATS)
executed. If 500 units have not been traded, the closing price will be the price of the
previous session.
Closing price is defined as the Volume Weighted Average Price (VWAP) of trades
Colombo Stock executed during the last one hour of trading of the specific security. If the security
Sri Lanka .CM SL XCOL VWAP 2:30PM
Exchange does not trade during such one hour the closing price will be the VWAP calculated for
the period of time it has traded.
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Market
Closing Prices
Reuters Bloomberg Identifier
Country Exchange Price used Description (For more detailed information, please contact the relevant exchange) availability
Code Code Code
(local time)
(MIC)
NASDAQ OMX The official closing price is the result of the closing call which occurs during the last
Sweden Stockholm First .ST SF SSME Auction close 10 minutes of trading. If no trades are matched in the closing call then the last trade 5:30PM
North prior to the auction will be defined as the closing price.
The official closing price is the result of the closing call which occurs during the last
Stockholm Stock
Sweden .ST SS XSTO Auction price 10 minutes of trading. If no trades are matched in the closing call then the last trade 5:30PM
Exchange
prior to the auction will be defined as the closing price.
Closing price is the result of the closing auction (the auction pre-opening starting at
5:20PM, and the auction being run at 5:30PM). If no price update occurs during that
The Swiss auction, the last paid price on the exchange will represent the reference price. If there
Switzerland .S SE XSWX Auction price 5:30PM
Exchange (SWX) is no paid price for the given security that day, the reference price will be calculated by
either taking the bid-price, if the bid is higher than the reference price, or it will take
the ask-price if the ask is lower than the reference price.
Closing price is the result of the closing auction (the auction pre-opening starting at
5:20PM, and the auction being run at 5:30PM). If no price update occurs during that
auction, the last paid price on the exchange will represent the reference price. If there
Switzerland Virt-X .S SE XVTX Auction price 5:30PM
is no paid price for the given security that day, the reference price will be calculated by
either taking the bid-price, if the bid is higher than the reference price, or it will take
the ask-price if the ask is lower than the reference price.
The closing price is determined by a closing call auction. The Exchange will
Taiwan Stock
Taiwan .TW TT XTAI Auction price accumulate orders for 5 minutes (from 1:25 p.m. to 1:30 p.m.) before the closing call 1:30PM
Exchange
auction. If there is no closing auction for a security, the last traded price will be used.
The closing price is defined by using the random call auction method. The closing
The Stock
auction can take place anytime between 4:35PM and 4:40PM local time. This method
Thailand Exchange Of .BK TB XBKK Auction price 4:40PM
apply to securities trade on both main board and foreign board of stock exchange of
Thailand
Thailand.
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Market
Closing Prices
Reuters Bloomberg Identifier
Country Exchange Price used Description (For more detailed information, please contact the relevant exchange) availability
Code Code Code
(local time)
(MIC)
The closing price is the Volume Weighted Average Price, calculated as the total value
Trinidad and
Trinidad and of shares traded in the day divided by the total volume of shares traded in the same
Tobago Stock .TTB TP XTRN Official Close 2:00PM
Tobago trading day. If a share does not trade in a trading day, the closing price will be the
Exchange
same as the closing price of the previous day.
Tunis Stock
Tunisia .TN TU XTUN Last Trade Last traded price 11:30AM
Exchange
The closing price is determined by matching all unmatched orders in the regular
session and the new orders without matching in a pre-determined period of time with
Istanbul Stock
Turkey .IS TI XIST Auction price the price leading to the maximum amount of trading volume. If no closing price is 5:30PM
Exchange
provided on a trading day, the closing price of the previous day is used for index
calculation.
Last traded
Ukraine PFTS .PFT UZ PFTS Last traded price 5:45PM
price
Warsaw Stock
Ukraine .WA PW XWAR See Poland See Poland See Poland
Exchange
The closing price is calculated using an auction during the last ten minutes of the
Abu Dhabi trading session. Buy and sell orders are queued in the order book with the possibility
United Arab
Securities .AD DH XADS Auction price of changing and cancelling them without any execution. At the end of this period, the 3:00PM
Emirates
Market closing price will be calculated using the same algorithm of calculating the opening
price. The orders will be then executed using the calculated closing price.
The Closing price is determined from the Theoretical Auction Price (TAP) at the end
of the pre-closing adjustment session. If there is no order matching at the end of the
United Arab Dubai Financial
.DU DB XDFM Closing price session, the last traded price of the continuous trading session shall be the Closing 3:00PM
Emirates Market
price. If there are no trades on the same business day, then the previous day’s Closing
price shall be the Closing price.
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Market
Closing Prices
Reuters Bloomberg Identifier
Country Exchange Price used Description (For more detailed information, please contact the relevant exchange) availability
Code Code Code
(local time)
(MIC)
The Closing price is determined from the Theoretical Auction Price (TAP) at the end
of the pre-closing adjustment session. If there is no order matching at the end of the
United Arab
NASDAQ Dubai .DI DU DIFX Closing price session, the last traded price of the continuous trading session shall be the Closing 3:00PM
Emirates
price. If there are no trades on the same business day, then the previous day’s Closing
price shall be the Closing price.
For SETS, the closing trade price is the uncrossing trade price at which orders execute
during an auction, or a Volume Weighted Average Price (VWAP), or the last automatic
United London Stock trade price. If a closing auction fails to take place, then the VWAP of the last 10
.L LN XLON Auction price 4:35PM
Kingdom Exchange minutes of trading will be used to set the closing price. If however, no trading has
occurred during the VWAP period, then the last automatic trade price will be used as
the official closing price.
For SEAQ, SEATS and AIM securities the closing price is the mid price of the best bid
United London Stock
.L LN XLON Mid price and best offer calculated from market maker quotes at the end of the mandatory 4:35PM
Kingdom Exchange
quote period.
The NOCP is either determined using the normalized price of the last trade reported
to NASDAQ's proprietary trade reporting system or, for selected securities, using the
NASDAQ Capital newly introduced NASDAQ Closing Cross. The normalized NASDAQ Official Closing
USA .OQ UR XNCM NOCP 4:02PM
Market Price (NOCP) adjusts reported trade price outside the closing bid-ask spread, "moving
up" to the bid whenever the last sale is below the bid or "moving down" to the ask
whenever the last sale is above the ask.
The NOCP is either determined using the normalized price of the last trade reported
to NASDAQ's proprietary trade reporting system or, for selected securities, using the
NASDAQ Global newly introduced NASDAQ Closing Cross. The normalized NASDAQ Official Closing
USA .OQ UQ XNMS NOCP 4:02PM
Market Price (NOCP) adjusts reported trade price outside the closing bid-ask spread, "moving
up" to the bid whenever the last sale is below the bid or "moving down" to the ask
whenever the last sale is above the ask.
The NOCP is either determined using the normalized price of the last trade reported
to NASDAQ's proprietary trade reporting system or, for selected securities, using the
NASDAQ Global newly introduced NASDAQ Closing Cross. The normalized NASDAQ Official Closing
USA .OQ UW XNGS NOCP 4:02PM
Select Market Price (NOCP) adjusts reported trade price outside the closing bid-ask spread, "moving
up" to the bid whenever the last sale is below the bid or "moving down" to the ask
whenever the last sale is above the ask.
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Market
Closing Prices
Reuters Bloomberg Identifier
Country Exchange Price used Description (For more detailed information, please contact the relevant exchange) availability
Code Code Code
(local time)
(MIC)
The official closing price is set during the closing auction. If there is no price set
USA NYSE .N UN XNYS Auction Close during the closing auction, the official closing price will be the most recent last-sale 4:00PM
eligible trade.
The official closing price is set during the closing auction. If there is no price set
USA NYSE American .A UA XASE Auction Close during the closing auction, the official closing price will be the most recent last-sale 4:00PM
eligible trade.
Ho Chi Minh
Last traded
Vietnam Securities .HM VM XSTC Last traded price 11:00AM
price
Trading Center
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
FM (FRONTIER MARKETS)
ARABIAN MARKETS
AC ASIA PACIFIC
GCC COUNTRIES
(former ACWIF)
AC AMERICAS
892400 ACWI
(former EMF)
THE WORLD
891800 EM
INDEX (3)
EUROPE
302200
136614
990100
990300
990500
106400
302000
899902
133709
133707
EAFE
EMU
MSCI
CODE INDEX NAME
903200 ARGENTINA 1-Jan-1988 1-Jan-1988 - - - - - - 1-Jan- - - 1-Jun-
to 29-May- to 29-May- 1988 to 2009 to
2009 2009 29-May- 28-May-
29-May-2019 29-May- 2009 2019
2019 29-May-
2019
903600 AUSTRALIA 1-Jan-1988 - 1-Jan- 1-Jan- - - - 1-Jan- - - - -
1970 1970 1988
904000 AUSTRIA 1-Jan-1988 - 1-Jan- 1-Jan- 1-Jan- 1-Jan- 1-Jan- - - - - -
1970 1970 1970 1988 1988
133712 BAHRAIN - - - - - - - - - 1-Jun- 1-Jun- 3-Jun-
2005 2005 2002
700396 BANGLADESH - - - - - - - - - - - 27-May-
2010
905600 BELGIUM 1-Jan-1988 - 1-Jan- 1-Jan- 1-Jan- 1-Jan- 1-Jan- - - - - -
1970 1970 1970 1988 1988
700589 BOSNIA AND - - - - - - - - - - - -
HERZEGOVINA
700074 BOTSWANA - - - - - - - - - - - -
907600 BRAZIL 1-Jan-1988 1-Jan-1988 - - - - - - 1-Jan- - - -
1988
106576 BRAZIL FORMER - - - - - - - - - - - -
136634 BULGARIA - - - - - - - - - - - 1-Jun-
2005
912400 CANADA (3) 1-Jan-1988 - 1-Jan- - - - - - 1-Jan- - - -
1970 1988
915200 CHILE 1-Jan-1988 1-Jan-1988 - - - - - - 1-Jan- - - -
1988
302400 CHINA 3-Sep-1996 3-Sep-1996 - - - - - 3-Sep- - - - -
1996
917000 COLOMBIA 2-Feb-1994 2-Feb-1994 - - - - - - 2-Feb- - - -
1994
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
FM (FRONTIER MARKETS)
ARABIAN MARKETS
AC ASIA PACIFIC
GCC COUNTRIES
(former ACWIF)
AC AMERICAS
892400 ACWI
(former EMF)
THE WORLD
891800 EM
INDEX (3)
EUROPE
302200
136614
990100
990300
990500
106400
302000
899902
133709
133707
EAFE
EMU
MSCI
CODE INDEX NAME
136635 CROATIA - - - - - - - - - - - 3-Jun-
2002
920000 CZECH REPUBLIC 3-Sep-1996 3-Sep-1996 - - - - 3-Sep- - - - - -
1996
920800 DENMARK 1-Jan-1988 - 1-Jan- 1-Jan- 1-Jan- - 1-Jan- - - - - -
1970 1970 1970 1988
105766 EGYPT 1-Jun-2001 1-Jun-2001 - - - - - - - - 1-Jun- -
2005
136636 ESTONIA - - - - - - - - - - - 3-Jun-
2002
924600 FINLAND 18-Jan-1993 - 1-Jan- 1-Jan- 1-Jan- 1-Jan- 1-Jan- - - - - -
1988 1988 1988 1988 1988
824600 FINLAND FREE 1-Jan-1988 - - - - - - - - - - -
to 17-Jan-
1993
925000 FRANCE 1-Jan-1988 - 1-Jan- 1-Jan- 1-Jan- 1-Jan- 1-Jan- - - - - -
1970 1970 1970 1988 1988
928000 GERMANY 1-Jan-1988 - 1-Jan- 1-Jan- 1-Jan- 1-Jan- 1-Jan- - - - - -
1970 1970 1970 1988 1988
700073 GHANA - - - - - - - - - - - -
930000 GREECE 1-Jan-1988 1-Jan-1988 1-Jun- 1-Jun- 1-Jun- 1-Jun- 1-Jan- - - - - -
to 31-May- 2001 to 2001 to 2001 to 2001 to 1988
2001 & 27- 26-Nov- 26-Nov- 26-Nov- 26-Nov-
Nov-2013 2013 2013 2013 2013
934400 HONG KONG 1-Jan-1988 - 1-Dec- 1-Dec- - - - 1-Jan- - - - -
1972 1972 1988
934800 HUNGARY 3-Sep-1996 3-Sep-1996 - - - - 3-Sep- - - - - -
1996
935600 INDIA 2-Feb-1994 2-Feb-1994 - - - - - 2-Feb- - - - -
1994
936000 INDONESIA FORMER 1-Sep-1989 1-Sep-1989 - - - - - 1-Sep- - - - -
to 1-Jun- to 1-Jun- 1989 to 1-
1997 1997 Jun-1997
105767 INDONESIA 2-Jun-1997 2-Jun-1997 - - - - - 2-Jun- - - - -
1997
© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document. MSCI.COM | PAGE 81 OF 82
MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
FM (FRONTIER MARKETS)
ARABIAN MARKETS
AC ASIA PACIFIC
GCC COUNTRIES
(former ACWIF)
AC AMERICAS
892400 ACWI
(former EMF)
THE WORLD
891800 EM
INDEX (3)
EUROPE
302200
136614
990100
990300
990500
106400
302000
899902
133709
133707
EAFE
EMU
MSCI
CODE INDEX NAME
937200 IRELAND (2) 1-Jan-1988 - 3-May- 3-May- 3-May- 3-May- 1-Jan- - - - - -
1993 1993 1993 1993 1988
300400 ISRAEL 2-Feb-1994 2-Mar-1995 27-May- 27-May- - - 2-Mar- - - - - -
to 26-May- 2010 2010 1995
2010
938000 ITALY 1-Jan-1988 - 1-Jan- 1-Jan- 1-Jan- 1-Jan- 1-Jan- - - - - -
1970 1970 1970 1988 1988
700071 JAMAICA - - - - - - - - - - - -
939200 JAPAN 1-Jan-1988 - 1-Jan- 1-Jan- - - - 1-Jan- - - - -
1970 1970 1988
940000 JORDAN 1-Jan-1988 1-Jan-1988 - - - - 1-Jan- - - - 1-Jun- 26-Nov-
to 25-Nov- to 25-Nov- 1988 to 2005 2008
2008 2008 25-Nov-
2008
136637 KAZAKHSTAN - - - - - - - - - - - 1-Dec-
2005
136643 KENYA - - - - - - - - - - - 3-Jun-
2002
941000 KOREA 1-Sep-1998 1-Sep-1998 - - - - - 1-Sep- - - - -
1998
841000 KOREA (FORMER) (7) 7-Jan-1992 7-Jan-1992 - - - - - 7-Jan- - -
to 31-Aug- to 31-Aug- 1992 to
1998 1998 31-Aug-
1998
133713 KUWAIT - - - - - - - - - 1-Jun- 1-Jun- 3-Jun-
2005 2005 2002
136642 LEBANON - - - - - - - - - - 2-Jun- 3-Jun-
2008 2002
136638 LITHUANIA - - - - - - - - - - - 26-Nov-
2008
944200 LUXEMBOURG (2) 1-Jan-1988 - - - - - 1-Jan- - - - - -
to 30-Sep- 1988 to
1996 30-Sep-
1996
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
FM (FRONTIER MARKETS)
ARABIAN MARKETS
AC ASIA PACIFIC
GCC COUNTRIES
(former ACWIF)
AC AMERICAS
892400 ACWI
(former EMF)
THE WORLD
891800 EM
INDEX (3)
EUROPE
302200
136614
990100
990300
990500
106400
302000
899902
133709
133707
EAFE
EMU
MSCI
CODE INDEX NAME
105768 MALAYSIA 2-Jun-1997 2-Jun-1997 - - - - - 2-Jun- - - - -
to 30-Nov- to 30-Nov- 1997 to
1998 & 1- 1998 & 1- 30-Nov-
Jun-2000 Jun-2000 1998 & 1-
Jun-2000
945800 MALAYSIA FORMER 1-Jan-1988 1-Jan-1988 3-May- 3-May- - - - 1-Jan- - - - -
to 1-Jun- to 1-Jun- 1993 to 1993 to 1988 to 1-
1997 1997 30-Sep-98 30-Sep-98 Jun-1997
136644 MAURITIUS - - - - - - - - - - - 3-Jun-
2002
848400 MEXICO 1-Jan-1988 1-Jan-1988 - - - - - - 1-Jan- - - -
1988
948400 MEXICO FORMER - - 5-Nov- - - - - - - - - -
1981 to
31-Dec-
1987
105765 MOROCCO 1-Jun-2001 1-Jun-2001 - - - - - - - - 1-Jun- 27-Nov-
to 26-Nov- to 26-Nov- 2005 2013
2013 2013
952800 NETHERLANDS 1-Jan-1988 - 1-Jan- 1-Jan- 1-Jan- 1-Jan- 1-Jan- - - - - -
1970 1970 1970 1988 1988
955400 NEW ZEALAND 1-Jan-1988 - 1-Jan- 1-Jan- - - - 1-Jan- - - - -
1988 1988 1988
136645 NIGERIA - - - - - - - - - - - 3-Jun-
2002
957800 NORWAY 1-Feb-1995 - 1-Jan- 1-Jan- 1-Jan- - 1-Jan- - - - - -
1970 1970 1970 1988
857800 NORWAY FREE (5) 1-Jan-1988 - - - - - - - - - - -
to 31-Jan-
1995
133714 OMAN - - - - - - - - - 1-Jun- 1-Jun- 3-Jun-
2005 2005 2002
958600 PAKISTAN 2-Feb-1994 2-Feb-1994 - - - - - 2-Feb- - - - 1-Jun-
to 31-Dec- to 31-Dec- 1994 to 2009
2008 2008 & 1- 31-Dec-
Jun-2017 2008
703301 PALESTINE IMI - - - - - - - - - - - -
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
FM (FRONTIER MARKETS)
ARABIAN MARKETS
AC ASIA PACIFIC
GCC COUNTRIES
(former ACWIF)
AC AMERICAS
892400 ACWI
(former EMF)
THE WORLD
891800 EM
INDEX (3)
EUROPE
302200
136614
990100
990300
990500
106400
302000
899902
133709
133707
EAFE
EMU
MSCI
CODE INDEX NAME
960400 PERU 2-Feb-1994 2-Feb-1994 - - - - - - 2-Feb- - - -
1994
860800 PHILIPPINES 1-Jan-1988 1-Jan-1988 - - - - - 1-Jan- - - - -
1988
960800 PHILIPPINES FORMER - - - - - - - - - - - -
961600 POLAND 2-Mar-1995 2-Mar-1995 - - - - 2-Mar- - - - - -
1995
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
FM (FRONTIER MARKETS)
ARABIAN MARKETS
AC ASIA PACIFIC
GCC COUNTRIES
(former ACWIF)
AC AMERICAS
892400 ACWI
(former EMF)
THE WORLD
891800 EM
INDEX (3)
EUROPE
302200
136614
990100
990300
990500
106400
302000
899902
133709
133707
EAFE
EMU
MSCI
CODE INDEX NAME
971000 SOUTH AFRICA 2-Mar-1995 2-Mar-1995 - - - - - - - - - -
998000 SOUTH AFRICAN GOLD 1-Jan-1988 - 2-Dec- - - - - - - - - -
MINES (1) to 1-Mar- 1974 to 1-
1995 Mar-1995
972400 SPAIN 1-Jan-1988 - 1-Jan- 1-Jan- 1-Jan- 1-Jan- 1-Jan- - - - - -
1970 1970 1970 1988 1988
914400 SRI LANKA 2-Feb-1994 2-Feb-1994 - - - - - 2-Feb- - - 1-Dec-
to 31-May- to 31-May- 1994 to 2003
2001 2001 31-May-
2001
975200 SWEDEN 18-Jan-1993 - 1-Jan- 1-Jan- 1-Jan- - 1-Jan- - - - - -
1970 1970 1970 1988
875200 SWEDEN FREE 1-Jan-1988 - - - - - - - - - -
to 17-Jan-
1993
975600 SWITZERLAND 16-Jul-1992 - 1-Jan- 1-Jan- 1-Jan- - 1-Jan- - - - - -
1970 1970 1970 1988
875600 SWITZERLAND FREE 1-Jan-1988 - - - - - - - - - - -
to 15-Jul-
1992
915800 TAIWAN 3-Jun-2002 3-Jun-2002 - - - - - 3-Jun- - - - -
2002
815800 TAIWAN@80% (8) 3-Sep-1996 3-Sep-1996 - - - - - 3-Sep- - - - -
to 2-Jun- to 2-Jun- 1996 to 2-
2002 2002 Jun-2002
976400 THAILAND FORMER 1-Jan-1988 1-Jan-1988 - - - - - 1-Jan- - - - -
to 1-Jun- to 1-Jun- 1988 to 1-
1997 1997 Jun-1997
105769 THAILAND 2-Jun-1997 2-Jun-1997 - - - - - 2-Jun- - - - -
1997
700072 TRINIDAD AND TOBAGO - - - - - - - - - - - 1-Jun-
2009 to
31-May-
2011
136646 TUNISIA - - - - - - - - - - 2-Jun- 1-Jun-
2008 2004
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
FM (FRONTIER MARKETS)
ARABIAN MARKETS
AC ASIA PACIFIC
GCC COUNTRIES
(former ACWIF)
AC AMERICAS
892400 ACWI
(former EMF)
THE WORLD
891800 EM
INDEX (3)
EUROPE
302200
136614
990100
990300
990500
106400
302000
899902
133709
133707
EAFE
EMU
MSCI
CODE INDEX NAME
979200 TURKEY 1-Sep-1989 1-Sep-1989 - - - - 1-Oct- - - - - -
1996
136641 UKRAINE - - - - - - - - - - - 1-Jun-
2006 to
31-Aug-
2015
133717 UNITED ARAB EMIRATES 2-Jun-2014 2-Jun-2014 - - - - 2-Jun- - - 1-Jun- 1-Jun- 3-Jun-
2014 2005 2005 2002 to
31-May-
2014
982600 UNITED KINGDOM 1-Jan-1988 - 1-Jan- 1-Jan- 1-Jan- - 1-Jan- - - - - -
1970 1970 1970 1988
984000 USA (3) 1-Jan-1988 - 1-Jan- - - - - - 1-Jan- - - -
1970 1988
886200 VENEZUELA 2-Feb-1994 2-Feb-1994 - - - - - - 2-Feb- - - -
to 31-May- to 31-May- 1994 to
2006 2006 31-May-
2006
986200 VENEZUELA (FORMER) - - - - - - - - - - - -
136647 VIETNAM - - - - - - - - - - - 1-Dec-
2006
700873 ZIMBABWE - - - - - - - - - - - -
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Those indexes were back-calculated until 1-Jan-1988 in 2003 when Singapore Free was launched
(5) Restrictions appeared since 1-Dec-1989.
(6) No more foreign quotation since 1-Dec-1999.
Prices taken from the foreign board between 4-May-1988 and 30-Nov-1999.
(7) Korea was included in the free indexes at 20% of its market cap between 7-Jan-92 and 2-Sep-96 and at 50%
between 3-Sep-96 and 31-Aug-98.
(8) Taiwan was included in the free indexes at 50% of its market cap between 3-Sep-96 and 31-May-00, at 65%
between 1-Jun-00 and 30-Nov-00 and at 80% between 1-Dec-00 and 2-Dec-01.
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
MSCI currently calculates price, net and gross variants for approximately 9,000
equity based indexes in real time as well as the FX Hedge, Currency, Short/Leveraged
and Daily Hedged indexes. All MSCI Real Time Indexes are calculated based on the
corresponding end-of-day index calculation methodologies.
MSCI disseminates real time indexes every 60 seconds or 15 seconds depending on
the index type and its use in the marketplace. On a daily basis for each real time
index, MSCI will provide an Index Open value (IO) which will occur when the first
security belonging to that index trades, an Index Update value (IU) which will occur
throughout the day after the Index Open has been sent and an Index Close value (IC)
which will be sent out as the last real time level and indicate the real time closing
value. 7
Real Time Intraday Foreign Exchange Rates vs. Real Time Close Foreign Exchange
Rates
MSCI Real Time Indexes use the Reuters Multi Contributor FX Rates for all Index
Open and Index Updates and MSCI applies the WM 4PM London time Closing Mid
Rates for the Index Close.
Mono-currency indexes which are indexes that have exposure to a single currency
will have their Index Close value sent shortly after the underlying stock exchange(s)
close and do not require the WM 4PM London closing rate to calculate the Index
Close.
Multi-currency indexes (which have exposure to multiple currencies) require the WM
4PM London closing rate to calculate the Index Close. Multi-currency indexes whose
underlying stock exchanges close before the WM 4PM London rates are received will
have their last Index Update sent shortly after the last underlying stock exchange
closes and then will have their Index Close sent when the WM 4PM London Close is
received. Multi-currency indexes whose underlying stock exchanges close after the
WM 4PM London rates are received will continue to use the Reuters Multi Contributor
7The real time Index Close could be different from the index value for the same index delivered in MSCI’s end
of-day product files due to due to post-market close data updates implemented (including but not limited to:
updates for security prices, FX rates and interest rates) during the end-of-day calculation process. The official
closing level of any MSCI index is the level distributed in MSCI’s end-of-day product files.
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
FX rates for all Index Updates until the last underlying stock exchange closes and the
Index Close is sent using the WM 4PM London Close.
Real Time Intraday Security Pricing vs. Real Time Close Security Pricing
Index Open and Index Update calculations use the last traded price available and the
Index Close uses the official closing price or last trade as described in the MSCI
Closing Prices Policy found in Appendix VII of this document.
Input (Security Price, FX Rate, Interest Rate) and Output (calculated Index Level)
Data filtering criteria
MSCI has various filtering criteria set in place to minimize irregularities in MSCI’s
Real Time index levels calculations.
MSCI’s security price market filters exclude trades such as block sales and odd lots,
among others. These types of trades are pre-excluded by default and not considered
in the calculation of the MSCI Indexes as they may not reflect the prevailing market
prices at the time of calculation.
MSCI’s security price, FX rate and interest rate threshold filters ensure that
fluctuations above or below a certain threshold for these input data are checked prior
to being included in the calculation of the MSCI Real Time Indexes. A similar logic is
applied to any variations outside preset thresholds for the MSCI Real Time Index
levels.
Whenever an input data point is filtered, the relevant data point will be held and not
used in MSCI’s Real Time index levels calculations. Instead, the last known input data
point before the filtered value will be used, until the filter is either accepted or
rejected based on investigations, or the input data point falls back within the
predefined threshold for inclusion or exclusion in the calculation of the MSCI Real
Time index levels. For filtered output the last known MSCI Real Time Index level will
be displayed until the filtered Index level is either accepted or rejected based on
investigations or when the index level falls back within the predefined threshold.
Thresholds for the above-mentioned filters may vary depending on external factors
like market conditions for both input data and calculated Index levels.
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
security paying the dividend trades on the ex-date. The dividend will be reflected in
real time index calculations as soon as the security paying the dividend trades in real
time. If the security does not trade on the ex-date or on the scheduled reinvestment
date, the dividend reinvestment will be postponed to the day when the security
resumes trading. Late dividends or corrections will be treated in real time
calculations consistent with the end-of-day DTR index calculation methodology. For
more details on MSCI’s DTR methodology please refer to the Section 2.
The closing PAF announcement uses the closing price of the security having the
corporate event and is used in the Index Close calculation. The closing PAF value is
sent shortly after the closing price of the security having the corporate event is
received. For more information on corporate events, please see the MSCI Corporate
Event Methodology document.
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
DEFINITIONS
Index Divisor (t)
The index divisor for a day t is defined as the ratio of the initial market capitalization
and the previous index level.
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 =
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡−1
The index divisor does not change unless the index composition changes, e.g., in
cases of corporate events and index additions / deletions where a change in index
market capitalization is not due to performance and does not correspond to a
change in the index level.
The index divisor for day t is known after the close of day t-1 (the initial index market
capitalization is calculated using prices and exchange rates as of day t-1 but
constituents as of t).
The index divisor can be calculated in any currency: both the index initial market
capitalization and the previous index level need to be expressed in that currency.
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Index Unit
The index unit describes the set of index constituents and corresponding quantities
of total value equal to the index level. It can be derived by dividing the total index
quantities by the index divisor.
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 =
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
8
Index inclusion factors encompass any inclusion factors specific to a given index, for example, the Value
Inclusion Factor (VIF) for a Value index.
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖𝑖ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 =
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡+1
The index unit composition changes from the intraday index unit number of shares to
the end of day index unit number of shares as of the close of day t, i.e., the index unit
number of shares change is calculated as
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡 − 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑆𝑆ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 = � 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑡𝑡
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 = � 𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑡𝑡
Pre-open Price
The pre-open price of a security on day t is its closing price of day t-1 theoretically
adjusted for the effects of corporate events affecting the security ex on day t.
where Pricei,t is replaced by the pre-open price for the constituents that have not yet
traded on t and I is the index unit constituent set. The previous index level can also
be recalculated by using pre-open prices and exchange rates of the previous day.
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
A B C D E F I J K
Idx Incl Intraday Intraday Mcap in
Calculation Price (As FX (As of
As of Date Security Name Flag (as Index NOS Idx Unit Idx Unit
Date of Date) Date)
of date) MM NOS D*F*I/J
10/26/2009 10/27/2009 ERSTE GROUP BANK 1 174.36 8.14 28.50 0.67 344
10/26/2009 10/27/2009 OMV AG 1 150.00 7.01 29.03 0.67 301
10/26/2009 10/27/2009 TELEKOM AUSTRIA 1 322.00 15.04 11.88 0.67 265
10/26/2009 10/27/2009 VOESTALPINE 1 117.53 5.49 23.83 0.67 194
10/26/2009 10/27/2009 VERBUND OESTERR ELEK A 1 77.05 3.60 31.80 0.67 170
10/26/2009 10/27/2009 RAIFFEISEN INT'L BANK 1 54.13 2.53 42.50 0.67 159
10/26/2009 10/27/2009 VIENNA INSURANCE GROUP 1 38.40 1.79 41.10 0.67 109
* Columns A-F come from the MSCI Market Open Index File Index (USD) 1,541.96
The file will be distributed after the close of October 26 for use on October 27
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡+1
𝐼𝐼𝐼𝐼𝐼𝐼𝑒𝑒𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑥𝑡𝑡+1 = 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
(coming from the divisor definition), and
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 = 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
(coming from the divisor definition and the
fact the index level is proportional to the index market capitalization on any given
day), a practical way of calculating the new divisor is
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑡𝑡+1
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡+1 = 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡 ∗
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑡𝑡
As an example, consider the MSCI Brazil index unit on October 21, 2009 described
below. Effective October 22, 2009, a new security, BC SANTANDER BRASIL UNIT will
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
be added to the index. Hence, the index divisor and the index unit composition will
change as of the close of October 21, 2009.
A new index divisor (for October 22, 2009) is calculated by multiplying the current
divisor (for October 21, 2009) by the sum of the next day constituents’ initial market
capitalizations (column M) and dividing by the current index market capitalization
(sum of column L). The new end of day index unit number of shares (column N) is
calculated by dividing the end of day index number of shares (column H) by the new
divisor. The index unit composition is adjusted by the difference between the end of
day index unit number of shares and intraday index unit number of shares (column
O): in this case, 0.16 shares of BC SANTANDER BRASIL UNIT are added to the index
unit by decreasing the index unit number of shares of all the other index constituents.
A B C D E F G H I J L M N O
Idx Incl Intraday Intraday Idx Incl End of Day Mcap Initial Mcap End of Day Idx Unit NOS
Calculation Price (As FX (As of
As of Date Security Name Flag (as Index NOS Idx Unit Flag (as of Index NOS (As of Date) (As of Date + 1) Idx Unit Change
Date of Date) Date)
of date) MM NOS date + 1) MM D*E*I/J G*H*I/J NOS (N-F)
10/20/2009 10/21/2009 BC SANTANDER BRASIL UNIT 0 1 525 23.19 1.74 0 7,017 0.16 0.16
10/20/2009 10/21/2009 PETROBRAS PN 1 3,146 22.10 1 3,146 36.70 1.74 66,538 66,538 21.80 -0.31
10/20/2009 10/21/2009 PETROBRAS ON 1 2,283 16.04 1 2,283 43.00 1.74 56,582 56,582 15.82 -0.22
10/20/2009 10/21/2009 VALE PNA 1 2,109 14.82 1 2,109 40.77 1.74 49,549 49,549 14.61 -0.20
10/20/2009 10/21/2009 ITAU UNIBANCO PN 1 2,053 14.43 1 2,053 36.00 1.74 42,608 42,608 14.23 -0.20
10/20/2009 10/21/2009 VALE ON 1 1,440 10.12 1 1,440 46.11 1.74 38,272 38,272 9.98 -0.14
10/20/2009 10/21/2009 BANCO BRADESCO PN 1 1,535 10.78 1 1,535 36.00 1.74 31,849 31,849 10.64 -0.15
10/20/2009 10/21/2009 CSN SIDERURGICA NAC'L ON 1 397 2.79 1 397 63.50 1.74 14,519 14,519 2.75 -0.04
* Subset of the MSCI Brazil Index Unit
INTERIM CONSTITUENTS 9
On days with certain corporate events, the index can hold constituents that influence
the performance for a day. When calculating the index performance using price
adjustment factors (as described in section 1.1), these do not appear explicitly in the
calculation formula but are accounted for implicitly by applying a price adjustment
factor (PAF) on the capitalization of the security affected by the corporate event. The
index, however, is exposed to all the constituents and when valuing an index unit,
these need to be explicitly taken into account. For example, the following corporate
events result in a creation of interim constituents:
9
Interim constituents were added to the product files in the second phase of the MSCI Market Open Index
product (delivered at the end of 2010).
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Capital Repayments: the index calculation assumes that cash is received in the index
and held until the close when it is finally reinvested in the index so cash effectively
brings performance to the index on the ex-date and is part of the index unit
Spin-off with the spun-off company not eligible for the index: the calculation
assumes that the spun-off company is received in the index on the ex-date and is
held until the close when it is finally sold and the proceeds reinvested back in the
index. In this case, the spun-off company is effectively part of the index on the ex-
date
Note that the interim constituents play a similar role in the index calculation as the
price adjustment factor (PAF) and the resulting index levels are exactly the same
whether using interim constituents or PAFs.
To explain how interim constituents are created, several examples of common
corporate events are described below. Some corporate events can result in the
creation of more than one interim constituent, but these can also be broken up in
several simple consecutive corporate events.
Examples
Capital Repayment
As an example, consider the repayment of EUR 0.4 per share by ELISA A effective
October 26, 2009. According to the calculation methodology, this cash is reinvested
back in the index as of the close of the ex date, October 26, 2009. Hence, intraday,
the MSCI Finland index unit holds both ELISA A and the cash. An interim constituent
is therefore added to the index unit, as shown below, with the following
characteristics:
Intraday index unit number of shares equal to the stock that repaid capital (given that
each share of ELISA A in the index unit is entitled to the cash payment)
Fixed price equals to the repayment amount, EUR 0.40.
Cash will leave the index unit as of the close of October 26 (as indicated by column
G) and the proceeds reinvested back in the index. Repeating the calculations
described in the previous section gives the index unit number of shares change
(column O) that represents the theoretical trade adjustment to the index unit: cash is
“sold” (negative change) while the index unit holdings in all the other constituents
increase (positive change)
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
A B C D E F G H I J L M N O
Interim const. Idx Incl Intraday Intraday Idx Incl End of Day Mcap Initial Mcap End of Day Idx Unit NOS
Calculation Interim Price (As FX (As of
As of Date Security Name trading Flag (as Index NOS Idx Unit Flag (as of Index NOS (As of Date) (As of Date + 1) Idx Unit Change
Date constituent type of Date) Date)
status of date) MM NOS date + 1) MM D*E*I/J G*H*I/J NOS (N-F)
10/25/2009 10/26/2009 ELISA A 1 133 0.53 1 133 13.90 0.67 2,763 2,763 0.53 0.0004
10/25/2009 10/26/2009 ELISA A (INTERIM 1)* CASH FIXED 1 133 0.53 0 0.40 0.67 80 0 0.00 -0.5339
10/25/2009 10/26/2009 NOKIA CORP 1 3,745 15.03 1 3,745 8.78 0.67 49,129 49,129 15.04 0.0105
10/25/2009 10/26/2009 FORTUM CORP 1 444 1.78 1 444 16.65 0.67 11,050 11,050 1.78 0.0013
10/25/2009 10/26/2009 SAMPO A 1 420 1.69 1 420 16.76 0.67 10,521 10,521 1.69 0.0012
10/25/2009 10/26/2009 UPM-KYMMENE 1 520 2.09 1 520 8.11 0.67 6,301 6,301 2.09 0.0015
10/25/2009 10/26/2009 KONE B 1 154 0.62 1 154 26.30 0.67 6,040 6,040 0.62 0.0004
10/25/2009 10/26/2009 STORA ENSO R 1 582 2.33 1 582 5.29 0.67 4,598 4,598 2.34 0.0016
10/25/2009 10/26/2009 METSO CORP 1 128 0.51 1 128 18.74 0.67 3,572 3,572 0.51 0.0004
10/25/2009 10/26/2009 WARTSILA B 1 84 0.34 1 84 25.83 0.67 3,235 3,235 0.34 0.0002
Subset of the MSCI Finland
* Interim constituents will be added to the product files in the second phase of the MSCI Market Open Index project (expected delivery at the end of 2010)
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
A B C D E F G H I J L M N O
Underlying Interim const. Idx Incl Intraday Intraday Idx Incl End of Day Mcap Initial Mcap End of Day Idx Unit NOS
Calculation Interim Price (As FX (As of
As of Date Security Name Asset trading Flag (as Index NOS Idx Unit Flag (as of Index NOS (As of Date) (As of Date + 1) Idx Unit Change
Date constituent type of Date) Date)
Description status of date) MM NOS date + 1) MM D*E*I/J G*H*I/J NOS (N-F)
9/30/2009 10/1/2009 JULIUS BAER HOLDING 1 211 0.25 1 211 38.30 1.04 7,765 7,765 0.25 0.0009
JULIUS BAER HOLDING OTHER ASSET
9/30/2009 10/1/2009 GAM HOLDING TRADED 1 211 0.25 0 12.00 1.04 2,433 0 0.00 -0.2451
(INTERIM 1)* DISTRIBUTED
9/30/2009 10/1/2009 NESTLE 1 3,639 4.23 1 3,639 43.96 1.04 153,656 153,656 4.24 0.0153
9/30/2009 10/1/2009 ROCHE HOLDING GENUSS 1 703 0.82 1 703 166.30 1.04 112,240 112,240 0.82 0.0029
9/30/2009 10/1/2009 NOVARTIS 1 2,115 2.46 1 2,115 51.65 1.04 104,937 104,937 2.47 0.0089
9/30/2009 10/1/2009 UBS NAMEN 1 3,558 4.13 1 3,558 18.39 1.04 62,859 62,859 4.15 0.0149
9/30/2009 10/1/2009 CREDIT SUISSE 1 1,125 1.31 1 1,125 57.45 1.04 62,111 62,111 1.31 0.0047
9/30/2009 10/1/2009 ABB LTD 1 2,207 2.56 1 2,207 20.46 1.04 43,372 43,372 2.57 0.0093
9/30/2009 10/1/2009 ZURICH FINL SERVICES 1 147 0.17 1 147 244.80 1.04 34,552 34,552 0.17 0.0006
9/30/2009 10/1/2009 SYNGENTA 1 97 0.11 1 97 229.90 1.04 21,404 21,404 0.11 0.0004
9/30/2009 10/1/2009 HOLCIM 1 245 0.28 1 245 68.50 1.04 16,143 16,143 0.29 0.0010
Subset of the MSCI Switzerland Large Cap Index Unit
* Interim constituents will be added to the product files in the second phase of the MSCI Market Open Index project (expected delivery at the end of 2010)
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
A B C D E F G H I J L M N O
Interim Underlying Interim const. Idx Incl Intraday Intraday Idx Incl End of Day Mcap Initial Mcap End of Day Idx Unit NOS
Calculation Pricing Price (As FX (As of
As of Date Security Name constituent Asset trading Flag (as Index NOS Idx Unit Flag (as of Index NOS (As of Date) (As of Date + 1) Idx Unit Change
Date Formula of Date) Date)
type Description status of date) MM NOS date + 1) MM D*E*I/J G*H*I/J NOS (N-F)
1/3/2008 1/4/2008 SONAE SGPS 1 800 3.69 1 800 1.65 0.68 1,950 1,950 3.69 0.0000
OTHER ASSET 1.91 - SONAE
1/3/2008 1/4/2008 SONAE SGPS (INTERIM 1)* SONAE CAPITAL Calculated 1 800 3.69 0 0.26 0.68 307 0 0.00 -3.6908
DISTRIBUTED SGPS P(t)
1/3/2008 1/4/2008 SONAE SGPS (DETACHED) 0 1 800 0.26 0.68 0 307 3.69 3.6908
1/3/2008 1/4/2008 EDP ENERGIAS DE PORTUGAL 1 2,011 9.28 1 2,011 4.54 0.68 13,490 13,490 9.28 0.0000
1/3/2008 1/4/2008 PORTUGAL TELECOM SGPS 1 790 3.65 1 790 8.70 0.68 10,157 10,157 3.65 0.0000
1/3/2008 1/4/2008 BCP BANCO COMERCIAL 1 1,806 8.33 1 1,806 2.72 0.68 7,256 7,256 8.33 0.0000
1/3/2008 1/4/2008 BANCO ESPIRITO SANTO 1 225 1.04 1 225 14.45 0.68 4,804 4,804 1.04 0.0000
1/3/2008 1/4/2008 BRISA 1 300 1.38 1 300 10.00 0.68 4,432 4,432 1.38 0.0000
1/3/2008 1/4/2008 PT MULTIMEDIA SERVIC COM 1 235 1.09 1 235 9.25 0.68 3,216 3,216 1.09 0.0000
1/3/2008 1/4/2008 CIMPOR CIMENTOS DE PORT 1 202 0.93 1 202 6.03 0.68 1,796 1,796 0.93 0.0000
1/3/2008 1/4/2008 BANCO BPI 1 228 1.05 1 228 4.97 0.68 1,674 1,674 1.05 0.0000
1/3/2008 1/4/2008 JERONIMO MARTINS SGPS 1 189 0.87 1 189 5.59 0.68 1,559 1,559 0.87 0.0000
1/3/2008 1/4/2008 SONAE INDUSTRIA SGPS 1 63 0.29 1 63 6.11 0.68 569 569 0.29 0.0000
Subset of the MSCI Portugal Index Unit
* Interim constituents will be added to the product files in the second phase of the MSCI Market Open Index project (expected delivery at the end of 2010)
Rights Issue
As an example, consider the rights issue for BALFOUR BEATTY effective October 8,
2009 in the MSCI UK Index 10 and described below. 3 rights were offered for every 7
shares held at 1.8 GBP.
The performance of the index on the ex-date reflects an exposure to the rights and
the BALFOUR BEATTY weight increases only as of the close of the ex-date. Note that
the adjustment for a rights issue is always theoretical (the intrinsic value of the right
is the difference between the underlying stock price and the subscription price), even
if the rights will list on an exchange. An interim constituent with the following
characteristics is created:
Intraday index unit number of shares calculated according to the terms (intraday
index unit number of shares of BALFOUR BEATTY times 3/7)
A calculated price defined as the price of BALFOUR BEATTY minus the subscription
price of 1.8
At the end of the day, the interim constituent is deleted from the index (the rights are
subscribed to) and the exposure to BALFOUR BEATTY increases (its intraday index
number of shares and the divisor increase). The index unit adjustment (column O) is
given by the calculations described in the previous sections.
10
Note that this example is based on the current adjustment methodology for rights issue. The methodology
being different before November 2009, the published index level was calculated in a different way in practice
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
A B C D E F G H I J K L M N O
Interim const. Idx Incl Intraday Intraday Idx Incl End of Day Mcap in Mcap Initial Mcap End of Day Idx Unit NOS
Calculation Interim constituent Price (As FX (As of
As of Date Security Name trading Pricing Formula Flag (as Index NOS Idx Unit Flag (as of Index NOS Idx Unit (As of Date) (As of Date + 1) Idx Unit Change
Date type of Date) Date)
status of date) MM NOS date + 1) MM D*F*I/J D*E*I/J G*H*I/J NOS (N-F)
10/7/2009 10/8/2009 BALFOUR BEATTY 1 478 0.24 1 683 2.80 0.62 1 2,152 3,074 0.34 0.1013
THEO RIGHT - NEW BALFOUR
10/7/2009 10/8/2009 BALFOUR BEATTY (INTERIM 1)* CALCULATED 1 205 0.10 0 0 1.00 0.62 0 329 0 0.00 -0.1014
UNDERLYING SHRAES BEATTY P(t) - 1.8
10/7/2009 10/8/2009 HSBC HOLDINGS (GB) 1 17,315 8.57 1 17,315 7.12 0.62 98 198,497 198,497 8.57 -0.002
10/7/2009 10/8/2009 BP 1 18,738 9.28 1 18,738 5.46 0.62 81 164,556 164,556 9.27 -0.003
10/7/2009 10/8/2009 VODAFONE GROUP 1 52,487 25.98 1 52,487 1.35 0.62 56 113,736 113,736 25.98 -0.008
10/7/2009 10/8/2009 GLAXOSMITHKLINE 1 5,188 2.57 1 5,188 12.35 0.62 51 103,157 103,157 2.57 -0.001
10/7/2009 10/8/2009 ROYAL DUTCH SHELL A 1 3,546 1.76 1 3,546 17.68 0.62 50 100,892 100,892 1.75 -0.001
10/7/2009 10/8/2009 ROYAL DUTCH SHELL B 1 2,696 1.33 1 2,696 17.18 0.62 37 74,561 74,561 1.33 0.000
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
EndOfDayNOS(t-1) of
EndOfDayNOS(t-1) parent security
adjusted to take only Theo-ex price taking adjusted to take into
Exchange of OTHER ASSET Other asset Other asset
Buyback - into account the into account the terms Traded account the shares
Shares ACQUIRED acquired price acquired price
shares that have not of the event that have been bought
been bought back back and the amount
of other asset acquired
EndOfDayNOS(t-1) of
EndOfDayNOS(t-1) parent security
Partial adjusted to take only Theo-ex price taking adjusted to take into
Exchange of OTHER ASSET Other asset Other asset
Tender - into account the into account the terms Traded account the shares
Shares ACQUIRED acquired price acquired price
Offer shares that have not of the event that have been bought
been bought back back and the amount
of other asset acquired
EndOfDayNOS(t-1) of
EndOfDayNOS(t-1)
parent security
Partial adjusted to take only Theo-ex price taking
adjusted to take into Tender offer
Tender Against Cash - into account the into account the terms CASH Fixed Tender offer price
account the shares price
Offer shares that have not of the event
that have been bought
been bought back
back
EndOfDayNOS(t-1)
adjusted to take only Theo-ex price taking EndOfDayNOS(t-1) of
parent security Redemption
Redemption Against Cash - into account the into account the terms CASH Fixed Redemption price
adjusted to take into price
shares that have not of the event
been bought back account the shares
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Interim
Interim Interim
Parent Security Parent Security Trading Interim Constituent Constituent
Description of event Constituent Constituent
Intraday NOS* Pre-open Price Status Intraday NOS Intraday/Closing
Type Pre-open Price
Price
Theo-ex price
THEORETICAL EndOfDayNOS(t-1) of
Right of New Theo-ex price taking of parent Ex price of parent
Rights RIGHT - NEW parent security
Underlying - EndOfDayNOS(t-1) into account the terms Calculated constituent - constituent -
Issue UNDERLYING adjusted by the terms
Shares of the event subscription subscription price
SHARES of the right
price
Theo-ex price
Right of New
of parent Ex price of parent
Underlying THEORETICAL EndOfDayNOS(t-1) of
Theo-ex price taking constituent - constituent -
Rights Shares Not RIGHT - NEW parent security
- EndOfDayNOS(t-1) into account the terms Calculated subscription subscription price
Issue Entitled to UNDERLYING adjusted by the terms
of the event price - gross - gross dividend
Forthcoming SHARES of the right
dividend per per share
Dividend
share
If market right
is traded for
one "old" share:
Market right or
Theo-ex price
of parent
If market right is traded
constituent -
for one "old" share:
subscription
EndOfDayNOS(t-1) of
price adjusted
parent security
Right of New for the terms of
If market Theo-ex price taking
Underlying the right
right is EndOfDayNOS(t-1) into account the terms MARKET RIGHT Traded If market right is traded Market right
Shares with
traded of the event for one "new" share:
Another If market right
Rights EndOfDayNOS(t-1) of
Asset (bond, is traded for
Issue parent security
warrant, one "new"
adjusted by the terms
preferred, share:
of the right
etc.) Market right or
attached Theo-ex price
of parent
constituent -
subscription
price
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Interim
Interim Interim
Parent Security Parent Security Trading Interim Constituent Constituent
Description of event Constituent Constituent
Intraday NOS* Pre-open Price Status Intraday NOS Intraday/Closing
Type Pre-open Price
Price
If market
right and Theo-ex price
THEORETICAL EndOfDayNOS(t-1) of
other Theo-ex price taking of parent Ex price of parent
RIGHT - NEW parent security
asset EndOfDayNOS(t-1) into account the terms Calculated constituent - constituent -
UNDERLYING adjusted by the terms
attached of the event subscription subscription price
SHARES of the right
price are price
not traded
Other asset
If Other THEORETICAL EndOfDayNOS(t-1) of acquired price -
Theo-ex price taking Other asset
Asset RIGHT - OTHER parent security subscription
EndOfDayNOS(t-1) into account the terms Calculated acquired price -
Acquired ASSET adjusted by the terms price
of the event subscription price
is traded ACQUIRED of the right or
NULL
Right of
Another Type If market right
If market right is traded
of Asset is traded for
Rights for one "old" share:
(bond, one "old" share:
Issue EndOfDayNOS(t-1) of
warrant, Market right or
parent security
preferred, NULL
If market Theo-ex price taking
etc.) right is EndOfDayNOS(t-1) into account the terms MARKET RIGHT Traded If market right is traded Market right
If market right
traded of the event for one "new" share:
is traded for
EndOfDayNOS(t-1) of
one "new"
parent security
share:
adjusted for the terms
Market right or
of the right
NULL
Right of
THEORETICAL EndOfDayNOS(t-1) of Other asset
Shares in Theo-ex price taking Other asset
Rights RIGHT - OTHER parent security acquired price -
Another - EndOfDayNOS(t-1) into account the terms Calculated acquired price -
Issue ASSET adjusted by the terms subscription
Listed of the event subscription price
ACQUIRED of the right price
Security
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Interim
Interim Interim
Parent Security Parent Security Trading Interim Constituent Constituent
Description of event Constituent Constituent
Intraday NOS* Pre-open Price Status Intraday NOS Intraday/Closing
Type Pre-open Price
Price
An
adjustment
is made for
special
dividends
when the
Theo-ex price taking
Special impact of EndOfDayNOS(t-1) of
- EndOfDayNOS(t-1) into account the terms CASH Fixed Cash amount Cash amount
Dividend dividend on parent security
of the event
the price of
the day prior
the ex-date is
greater than
or equal to
5%.
EndOfDayNOS(t-1) of
Spun-off Theo-ex price taking Other Asset
OTHER ASSET parent security Other Asset
Spin-off traded on the - EndOfDayNOS(t-1) into account the terms Traded Distributed
DISTRIBUTED adjusted by the terms Distributed price
ex-date of the event price
of the spin-off
Spun-off NOT
Other Asset
traded on the
Theo-ex price taking Distributed Cum price - Ex
ex-date OTHER ASSET EndOfDayNOS(t-1) of
Spin-off - EndOfDayNOS(t-1) into account the terms Calculated price adjusted price of parent
(creation of a DISTRIBUTED parent security
of the event by the terms of security
'detached'
the event
security)
Stock with
New Shares EndOfDayNOS(t-1) of
EndOfDayNOS(t-1) Theo-ex price taking - [minus] - [minus]
Not Entitled parent security
Stock - adjusted to take into into account the terms CASH Fixed Forthcoming Forthcoming
to adjusted by the terms
account the Stock of the event Gross Dividend Gross Dividend
Forthcoming of the stock
Dividend
Distribution
of Another
EndOfDayNOS(t-1) of
Type of Theo-ex price taking Other Asset
OTHER ASSET parent security Other Asset
Stock Asset (bond, - EndOfDayNOS(t-1) into account the terms Traded Distributed or
DISTRIBUTED adjusted by the terms Distributed
warrant, of the event NULL
of the stock
preferred,
etc.)
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Interim
Interim Interim
Parent Security Parent Security Trading Interim Constituent Constituent
Description of event Constituent Constituent
Intraday NOS* Pre-open Price Status Intraday NOS Intraday/Closing
Type Pre-open Price
Price
Distribution
of New EndOfDayNOS(t-1) of
EndOfDayNOS(t-1) Theo-ex price taking Other Asset
Underlying OTHER ASSET parent security Other Asset
Stock - adjusted to take into into account the terms Traded Attached or
Shares with ATTACHED adjusted by the terms Attached
account the Stock of the event NULL
Warrants of the stock
attached
Multiple corporate events happening on the same day use a combination of the above rules and can potentially result in several interim
constituents being created
*In case of multiple corporate events, the field "EndOfDayNOS(t-1)" should be replaced by the "IntradayNOS" calculated during the previous
event
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INDEX METHODOLOGY
JULY 2022
MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 = 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑇𝑇ℎ𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢 ∗
∑𝑠𝑠∈𝐼𝐼,𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆�𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 �
∑𝑠𝑠∈𝐼𝐼,𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆�𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 ∗ 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑜𝑜𝑜𝑜𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 �
Where:
• 𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝐼𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 is the inclusion factor of the security as of Sunday. The inclusion
factor can be one or the combination of the following factors: Foreign Inclusion Factor,
Domestic Inclusion Factor, Growth Inclusion Factor, Value Inclusion Factor, Index
Inclusion Factor (*).
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 =
𝐼𝐼𝐼𝐼𝐼𝐼𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑇𝑇ℎ𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 ∗
𝐼𝐼𝐼𝐼𝐼𝐼𝑇𝑇ℎ𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑇𝑇ℎ𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑎𝑎𝑎𝑎 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑇𝑇ℎ𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 =
𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑇𝑇ℎ𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢 ∗ 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑇𝑇ℎ𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢
𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝐹𝑇𝑇ℎ𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢
Where:
• 𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸𝐸ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑎𝑇𝑇ℎ𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢𝑢 is the number of shares of security(s) as of the
end of the previous Thursday.
• 𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃𝑃ℎ𝑎𝑎𝑎𝑎𝑎𝑎𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆𝑆 is the price per share of the security(s) as of Sunday.
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
2008
February:
• Daily Hedged Indexes
Change in the wording to clarify the hedged indexes calculation methodology
(3.2.1 and 3.2.2)
Update of the Daily Hedged Index example (3.2.5)
• Appendix VI: Withholding Tax Rates
Addition of Frontier Markets
Removal of Venezuela
• Appendix VII: Closing Prices Policy
Addition of Frontier Markets
Removal of Venezuela
• Appendix VIII: Country Composition of MSCI Regional Indexes
Addition of Frontier Markets countries
Addition of 3 regions (GCC countries, Arabian Markets, Frontier Markets)
March:
• Appendix VII: Closing Prices Policy
Change in the closing price description for Croatia
Addition of Dubai International Financial Exchange for United Arab Emirates
April:
• Appendix VII: Closing Prices Policy
Change in the closing price description for Croatia
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
May:
• Appendix VII: Closing Prices Policy
Change in the closing price description for Israel (Domestic).
Change in the Closing price available time (local) of Bahrain market
Change in the Closing price used, price description and available time for HK.
July:
• Appendix II: Security level information: Annualized Traded Value Ratio (ATVR)
and Annual Traded Value
New section
September:
• Appendix VII: Closing Prices Policy
Closing prices available at 5:30pm local time for Norway (Oslo Stock
Exchange).
Include Serbia and Belgrade Stock Exchange trading information.
November:
• Appendix VI: Withholding Taxes Rates
Addition of Lithuania and Serbia
• Appendix VII: Closing Prices Policy
Closing price availability for Greece updated to be 5:20pm local time.
Closing price used for Serbia market updated to be VWAP.
Closing price used for Chile market updated to be Official Closing Price.
• Appendix VIII: Country Composition of MSCI Regional Indexes
Addition of Lithuania and Serbia.
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
December:
• Appendix VII: Closing Prices Policy
Closing price description of Thailand includes explanation of applying
random auction call method to both main board and foreign board of stock
exchange of Thailand.
Price used for The Bombay Stock Exchange update to be WAP, description is
also updated accordingly.
Closing price description of The National Stock Exchange of India has been
confirmed to be Volume Weighted Average Price.
Closing price used and description for Pakistan will take last available ASK
price for those securities that do not report one or more trades on the
Karachi Stock Exchange for the calculation date.
Include coverage of Botswana, Ghana, Jamaica and Trinidad and Tobago.
Closing price availability time change of Israel market
• Appendix VIII: Country Composition of MSCI Regional Indexes
Updates for Pakistan
2009
February:
• Section 2: MSCI Daily Total Return (DTR) Index Methodology
Country Exceptions
• Update on Russian dividends treatment (2.3.6)
Taxes on Dividends
• Change in the wording to clarify the dividend taxes (2.3.7)
• Addition of Australian Dividends as an exception (2.3.7.2.1)
• Appendix VI: Withholding Tax Rates
Addition of Botswana, Ghana, Jamaica and Trinidad and Tobago
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
March:
• Appendix VI: Withholding Tax Rates
Updates for Kazakhstan and Lithuania
April
• Appendix VII: Closing Prices Policy
Update close price definition and description of Trinidad and Tobago
May:
• Section 1: MSCI Price Index Methodology
Reordering of chapters
Addition of example of index calculation using contribution method
Addition of chapter ‘Note on Index Calculation in Local Currency’
Addition of chapter ‘Conversion of indexes into Another Currency’
• Section 2: MSCI Daily Total Return (DTR) Index Methodology
2.2.3 dividends resulting in a reinvestment only
• Change in paragraph related to optional dividend
• Appendix V: Singapore and Singapore Free Indexes
Section added. Information was previously part of Frequently Asked
Questions Appendix
• Appendix VI: Withholding Tax Rates
Updates for China Red Chip and Kuwait
• Appendix VII: Closing Prices Policy
Closing price used for Jamaica updated to be Average Price
Closing price used for Pakistan updated to be Official Close
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
July:
• Appendix VII: Closing Prices Policy
Closing price used for UAE, International Financial Exchange, updated to be
Official Close Price
Closing price used for Czech Republic updated to be Official Close Price.
Update closing prices availability for the Belgium, Netherlands, France and
Portugal.
Update close price definition and description of USA (NASDAQ Global
Market, NASDAQ Global Select Market)
Additional column of market identifier code (MIC) is added.
Closing price description update of ADR from Argentina, Colombia, Israel and
Peru.
Bloomberg country codes for the following countries have been updated.
(Argentina, Brazil, Canada, Chile, Columbia, Czech Republic, Egypt,
Kazakhstan (UK listed Depository Receipts), Korea, Pakistan, Russia (UK
listed Depository Receipts), Spain, UAE, USA, Vietnam)
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
September:
• Appendix VII: Closing Prices Policy
MIC update for Oslo Stock Exchange and Taiwan Stock Exchange.
November:
• MSCI Equity Indexes
Addition of CNY as a currency indexes are provided in.
• Section 1 and section 2
Addition of note for China A indexes related to the use of the Index Inclusion
Factor
• Section 2
Net Daily Today Return
Updates for Net Daily Total Return (2.2)
Withholding Tax
Country of incorporation is used to determine the relevant dividend
withholding tax rate (2.3.7.2)
• Section 3: Alternative Index Calculation
Section renamed Gross Domestic Product (GDP) Weighted Indexes
Removal of Daily Hedged Indexes chapter
• Appendix I: MSCI GCC Country Indexes: Saturday/Sunday Index Calculation
Removal of the note related to the use of Index Inclusion Factor which is not
relevant for GCC Countries.
• Appendix III: Exchange Rates
Details added related to treatment in special circumstances and if
WM/Reuters does not provide rates.
• Appendix VI: Withholding Tax Rates
Updates for withholding tax rates based upon country of incorporation
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
2010
January:
• Appendix VI: Withholding Tax Rates
Updates for Lithuania and Spain
February:
• MSCI Equity Indexes
Addition of BRL, HKD, INR, RUB and SGD as currencies indexes are provided
in
Addition of a note related to the treatment of index ruptures
• Appendix VII: Closing Prices Policy
Update for the change of closing price for Saudi Arabia
• Appendix VIII: Country Composition of MSCI Selected Regional Indexes
Addition of Bangladesh
Changes for Israel to reflect its move from EM to DM coverage
May:
• Section 2: MSCI Daily Total Return (DTR) Index Methodology
2.3.3 Correction
• Addition of precision in correction implementation timing
2.3.6 Country Exceptions
• Addition of precision on timing for implementation of late dividends
(2.3.6)
• Addition of precision on Korean and Russian late dividends (2.3.6)
• Appendix I: Saturday/Sunday Index Calculation
Addition of precision on corporate Events treatment
• Appendix VII: Closing Prices Policy
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
June:
• Appendix VII: Closing Prices Policy
Closing price used for Greece updated to be Auction Close
• Appendix X: Index Calculation Methodology Using Index Divisors
New section
August:
• Appendix VI: Withholding Tax Rates
Addition of Bosnia and Herzegovina
Update for Slovenia
• Appendix VII: Closing Prices Policy
Addition of Bangladesh
Addition of Bosnia and Herzegovina
Closing price used for Greece updated
Closing price used for Czech Republic updated
• Appendix VIII: Country Composition of MSCI Selected Regional Indexes
Addition of Bosnia and Herzegovina
September:
• Section 2: MSCI Daily Total Return (DTR) Index Methodology
2.3.3 Correction
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
October:
• Appendix I: Sunday Index Calculation
Discontinuation of Saturday products
• Appendix VII: Closing Prices Policy
Closing price used for Qatar updated to Last traded price
November:
• MSCI Equity Indexes
Addition of KRW as a currency indexes are provided in.
• Appendix VII: Closing Prices Policy
Removal of closing price information for Russian Trading System (RTS)
2011
January:
• Appendix VI: Withholding Tax Rates
Update for Portugal
• Appendix VII: Closing Prices Policy
Closing price used for Slovenia updated to Official Close
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
February:
• Section 3: Gross Domestic Products (GDP) Weighted Indexes
Section removed.
• Appendix VI: Withholding Tax Rates
Update for Greece
• Appendix VII: Closing Prices Policy
Closing price used for Ghana updated to VWAP
Closing price availability time change for Prague and Warsaw Stock
Exchanges
Addition of Zimbabwe
Addition of a note related to market closure
March:
• Section 2.2.4: Dividends Resulting in a Reinvestment or in a Price Adjustment
Update for Special/Extra Dividend
• Appendix VI: Withholding Tax Rates
Update for Chile
May:
• Section 2 : Capital Repayments Resulting in a Reinvestment or in a Price
Adjustment
Update for regular and extraordinary capital repayments
• Appendix VI: Withholding Tax Rates
Update for Greece
Addition of Curacao
Addition of Faroe Islands
Addition of Zimbabwe
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
July:
• Appendix VII: Closing Prices Policy
Change in closing price definition for Trinidad and Tobago
• Appendix VI: Withholding Tax Rates
Update for Botswana
August:
• Section 2.2.5: Dividends Resulting in a Price Adjustment Only
Update of Stock Dividend (stock bonus/gratis issue)
• Section 2.3.7.2.1: Country Exception
Addition of Taiwanese Stock Dividends
October:
• Appendix VI: Withholding Tax Rates
Addition of a note related to Malaysia withholding tax
Addition of a note related to United Kingdom withholding tax
November:
• Appendix VII: Closing Prices Policy
Addition of special note for Japanese securities
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Closing price availability time change for Chile, Colombia, Estonia, India,
Japan, Jordan, Lithuania, Mauritius, Nigeria, Philippines, Portugal and
Ukraine.
Addition of Ukrainian Exchange (Ukraine)
Addition of Banja Luka Exchange (Bosnia and Herzegovina)
2012
January:
• Appendix VI: Withholding Tax Rates
Update for Chile, Denmark, Finland, France, Greece, Israel, Italy, Portugal and
Spain
February:
• Appendix VI: Withholding Tax Rates
Update for Finland
March:
• Appendix VI: Withholding Tax Rates
Removal of the note related to Italy withholding tax
Update for Croatia
• Appendix VII: Closing Prices Policy
Change in closing price definition for Turkey
April:
• Appendix VI: Withholding Tax Rates
Update for South Africa
• Appendix VII: Closing Prices Policy
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
May:
• Section 2: MSCI Daily Total Return (DTR) Index Methodology
2.2.1 Timing of reinvestment
• Details added related to reinvestment when the security does not trade
• Appendix VI: Withholding Tax Rates
Addition of a note related to Japan withholding tax
• Appendix IX: MSCI Real Time Indexes
Details added related to reinvestment when the security does not trade
• Appendix VII: Closing Prices Policy
Change in closing price definition for Kuwait
Change in closing price availability for Indonesia
June:
• Appendix VII: Closing Prices Policy
Addition of Saudi Arabia
• Appendix I: Saturday/Sunday Index Calculation
Reintroduction of Saturday Calculation information
• Appendix VI: Withholding Tax Rates
Update for Kazakhstan
August:
• Section 2.2.3: Dividends Resulting in a Reinvestment Only
Update of Regular Capital Repayment
• Section 2.3.6: Country Exceptions
Update of the dividend reinvestment treatment in Korea and Russia
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
November:
• Section 2.2.3: Dividends Resulting in a Reinvestment Only
Update of Regular Capital Repayment
• Section 2.3.6: Country Exceptions
Addition of Taiwanese Capital Repayments
• Appendix VI: Withholding Tax Rates
Update for Japan
Removal of the note related to Japan withholding tax
December:
• Appendix VII: Closing Prices Policy
Change in closing price definition, closing prices availability time, Exchange
and Bloomberg Code for Czech Republic.
2013
January:
• Appendix VII: Closing Prices Policy
Change in closing price definition for Indonesia.
Change in closing price definition for Abu Dhabi Securities Exchange.
• Appendix VI: Withholding Tax Rates
Update for Chile
Update for Czech Republic
Update for Portugal
Update for Slovenia
February:
• Appendix VI: Withholding Tax Rates
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
May:
• Appendix IX: MSCI Real Time Indexes
Update of Intraday Price Adjustment Factor announcements
• Section 2.3.6: Country Exceptions
Update of the dividend reinvestment treatment in Russia
• Appendix VI: Withholding Tax Rates
Addition of Malta
• Appendix VII: Closing Prices Policy
Change in Exchange Name for Egypt
Change in closing price Description for Egypt
August:
• Section 2.3.7.2.1: Country Exceptions
Addition of Thailand Cash Dividends
• Appendix I: Sunday Index Calculation
Discontinuation of Saturday products
• Appendix VI: Withholding Tax Rates
Addition of a note related to Taiwan REIT withholding tax
Addition of a note related to Japan withholding tax
September:
• Appendix VII: Closing Prices Policy
Change in closing price Description for Philippines
Change in closing prices Availability for Philippines
• Appendix VI: Withholding Tax Rates
Update for Morocco
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
October:
• Appendix VI: Withholding Tax Rates
Update for Argentina
Addition of Palestine
November:
• Appendix VI: Withholding Tax Rates
Update for Japan
Removal of the note related to Japan withholding tax
Update for Portugal
• Appendix VIII: Country Composition of MSCI Selected Regional Indexes
Replaced index GCC COUNTRIES ex SA by index GCC COUNTRIES
Replaced index ARABIAN MARKETS ex SA by index ARABIAN MARKETS
Update for Greece and Morocco
Addition of Palestine
2014
January:
• Appendix VI: Withholding Tax Rates
Update for Slovenia, Mexico, Greece and Bosnia and Herzegovina
February:
• Section 2.2.2: Reinvestment Rules
Update in the definitions
• Section 2.2.3: Dividends Resulting in a Reinvestment Only
Update for Regular Cash Dividend
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
March:
• Appendix VI: Withholding Tax Rates
Updates for Mexico
April:
• Appendix VII: Closing Prices Policy
Change in closing price definition for Saudi Arabia
Change in closing prices availability for Saudi Arabia
Change in closing price definition for Shenzhen Stock Exchange
Clarification in closing price definition for Greece
Change in closing price definition for Qatar
Change in closing price definition for Australia
Change in closing prices availability for Australia
• Appendix VI: Withholding Tax Rates
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
May:
July:
• Appendix VI: Withholding Tax Rates
Update for Italy and Egypt
Addition of Burkina Faso, Ivory Coast, Senegal and Togo
August:
• Section 2.3.6: Country Exceptions
Update for Russia
October:
• Appendix VII: Closing Prices Policy
Correction of the Market Identifier Code (MIC) for Moscow Interbank
Currency Exchange (MICEX) and NASDAQ Global Market
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
December:
• Appendix VI: Withholding Tax Rates
Update for Serbia and Togo
2015
January:
• Appendix VI: Withholding Tax Rates
Update for Spain and Tunisia
February:
• Section 2.3.7.2.1 Country Exceptions
United Kingdom Cash Dividends
• Appendix VI: Withholding Tax Rates
Update for United Kingdom
April:
• Appendix VIII: Country composition of MSCI Regional Indexes
Update for Qatar
Update for United Arab Emirates
May:
• Section 2.3.6 Country Exceptions
Change in dividend reinvestment treatment for Russian DRs
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
June:
• Appendix VII: Closing Prices Policy
Change in closing prices availability for NASDAQ Dubai
Change in closing prices availability for Dubai Financial Market
• Appendix XII: MSCI Indexes with Fair Value Pricing
Change in Appendix name from Appendix XII: MSCI Indexes with IDCo Fair
Value Pricing to Appendix XII: MSCI Indexes with Fair Value Pricing
Addition of MSCI Indexes with ITG Fair Value Model
July:
• Appendix VI: Withholding Tax Rates
Update for Pakistan
Update for Spain
2016
January:
• Appendix VI: Withholding Tax Rates
Update for Spain, Belgium, Austria and Romania
• Appendix VIII: Country composition of MSCI Regional Indexes
Update for Qatar
Update for Ukraine
Update for United Arab Emirates
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
April:
• Appendix VI: Withholding Tax Rates
Update of the note related to China withholding tax
July:
• Appendix VII: Closing Prices Policy
Change in closing prices availability for Hong Kong Stock Exchange
2017
January:
• Appendix VI: Withholding Tax Rates
Update for Belgium
Update for Greece
March:
• Appendix VI: Withholding Tax Rates
Update for Oman
Update for South Africa
May:
• Appendix VI: Withholding Tax Rates
Update for Kuwait
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
June:
• Appendix VI: Withholding Tax Rates
Update for India
Addition of Papua New Guinea
Update for Peru
Update of the note related to Pakistan withholding tax
• Appendix VII: Closing Prices Policy
Change in closing prices availability time for Peru.
• Section 1: MSCI Price Index Methodology
- Update in language in footnote for IIF
• Section 2: MSCI Daily Total Return (DTR) Index Methodology
- Update in language in footnote for IIF
July:
• Appendix VI: Withholding Tax Rates
- Update for Papua New Guinea
- Update for Pakistan
August:
• Appendix VII: Closing Prices Policy
Updated Exchange name from AMEX to NYSE American
Closing price used for NYSE and NYSE American (formerly known as AMEX)
updated to be Auction Close
Addition of Burkina Faso, Ivory Coast and Senegal
• Section 2.3.7.2: Withholding Tax
- Clarification on the treatment of cash distributions subject to different
withholding tax rates.
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
September:
• Introduction
- Update in language to better reflect this methodology book's description.
• Appendix III: Exchange Rates
- Update in language related to treatments in special circumstances and if
WM/Reuters does not provide rates (Closing Spot Rates and Forward Rates).
• Appendix VII: Closing Prices Policy
- Update in language in the process to be followed by MSCI in case of market
outage (Announcement to clients with related information).
• Appendix XII: MSCI Indexes with IDCo Fair Value Pricing
- Deletion of Appendix XII: MSCI Indexes with IDCo Fair Value Pricing.
October:
• Appendix VII: Closing Prices Policy
- Update in language in the header located in the gray box on top of the table
related to the prices used in MSCI End of Day Index Calculations to better
reflect the contents of such table.
- Update in language related to market closure and market outage to make
clearer the actions MSCI would take on those cases.
- Updated Exchange name from Moscow Interbank Currency Exchange
(MICEX) to Moscow Exchange (MOEX).
- Closing price used for Moscow Exchange (MOEX) updated to be Auction
Close.
- Change in the Closing price available time (local) of Moscow Exchange
(MOEX).
2018
January:
• Appendix VI: Withholding Tax Rates
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
March:
• Appendix VI: Withholding Tax Rates
Update for Tunisia
Update for Iceland
April:
• Appendix VI: Withholding Tax Rates
Update for Sri Lanka
• Section 2.2: Reinvestment Methodology
Update in language related to Chinese securities with foreign listing and
China A- Stock Connect securities.
July:
• Appendix VIII: Country Composition of MSCI Selected Regional Indexes
Update for Pakistan
August:
• Section 2.2.4: Dividends Resulting in a Reinvestment or a Price Adjustment Only
Update in language for Extraordinary/Special cash dividend
• Section 2.2.5: Dividends Resulting in a Price Adjustment Only
Update in language for Extraordinary Capital Repayment
October:
• Appendix III: Exchange Rates
Update in treatment of missing forward rates
• Appendix VII: Closing Prices Policy
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
Change in the price used and closing price description for Shanghai Stock
Exchange
Addition of Taipei Exchange
• Appendix IX: MSCI Real Time Indexes
Addition of language regarding the Special Quotation (SQ)
Addition of language regarding the Intraday or Mid-day Calculations
Addition of language regarding the Snapshots from Real Time
November:
• Appendix VII: Closing Prices Policy
- Change in MIC for MERCADO CONTINUO ESPANOL (CATS) from XMCE to
XMAD
• Appendix VI: Withholding Tax Rates
- Update for Saudi Arabia
2019
January:
• Appendix VI: Withholding Tax Rates
- Update for Slovakia
- Update for Zambia
- Update for Argentina
- Update for Colombia
• Appendix VII: Closing Prices Policy
Change in the closing price description for Bolsa de Comercio de Santiago
April:
• Appendix VI: Withholding Tax Rates
Update for Greece
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
July:
• Appendix VI: Withholding Tax Rates
Update for Oman
• Appendix VII: Closing Prices Policy
Change in the closing price available time (local) of Kuwait
Change in the closing price available time (local) of Saudi Arabia
Change in the closing price available time (local) of Singapore
Change in the closing price description for Saudi Arabia
Change in the closing price description for Singapore
• Appendix VIII: Country Composition of MSCI Selected Regional Indexes
Update for Argentina
Update for Saudi Arabia
• Appendix IX: MSCI Real Time Indexes
Update of Price Adjustment Factor announcements
August:
• Appendix VII: Closing Prices Policy
Change in the closing price available time (local) for Saudi Arabia
Change in the closing price available time (local) for Zimbabwe
Change in the Reuters Code of Pakistan
October:
• Appendix VI: Withholding Tax Rates
Update of the note related to Pakistan withholding tax
• Appendix VII: Closing Prices Policy
Change in the closing price description for Kuwait
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
November:
• Appendix VII: Closing Prices Policy
Change in the closing price description for Nigeria
Addition of Shanghai Stock Exchange – STAR Market
2020
January:
• Appendix I: Sunday Intermediary Index Calculation for Monday-Friday Index
Calculation Methodology
Change in Appendix name from Appendix I: Sunday Index Calculation to
Appendix I: Sunday Intermediary Index Calculation for Monday-Friday Index
Calculation Methodology
• Appendix VI: Withholding Tax Rates
Update for Colombia
Update for France
Update for Ireland
Update for Greece
• Appendix XII: Sunday-Thursday Index Calculation Methodology
March:
• MSCI Equity Indexes
Addition of language regarding Fallback Provision for Data Outages
• Appendix VI: Withholding Tax Rates
Update for Sri Lanka
• Section 2.2.5: Dividends Resulting in a Price Adjustment Only
New treatment of Indian stock dividends
• Section 2.3.7.2.1: Country Exceptions
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
April:
• Appendix VI: Withholding Tax Rates
Update for India
• Appendix XIII: Advance Notification in Index Calculation
Added information about the advance notification treatment in index
calculation
June:
• Amendment to track changes in January 2020
Change in Appendix name from Appendix I: Sunday Index Calculation to
Appendix I: Sunday Intermediary Index Calculation for Monday-Friday Index
Calculation Methodology
Appendix XII: Sunday-Thursday Index Calculation Methodology
• Amendment to track changes in April 2020
Update of Appendix number from XII to XIII: Advance Notification in Index
Calculation
• Appendix VI: Withholding Tax Rates
Update for Kenya
August:
• Appendix I: Sunday Intermediary Index Calculation for Monday-Friday Index
Calculation Methodology
Removed footnote
• Appendix VII: Closing Prices Policy
Update for Argentina, Australia, Bahrain, Bosnia and Herzegovina, Brazil,
Burkina Faso, China, Colombia, Hong Kong, Israel, Ivory Coast, Japan,
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
November:
• Appendix VII: Closing Prices Policy
Update for Iceland, Kenya, and Sweden
• Appendix VI: Withholding Tax Rates
Update for Egypt and Korea
2021
January:
• Appendix VI: Withholding Tax Rates
Update for Croatia
Update for France
Update for Finland
March:
• MSCI Equity Indexes
Addition of CZK, DKK, IDR, MXN, MYR, NOK, NZD, SEK, and TWD as a
currency indexes are provided in.
May:
• Appendix VI: Withholding Tax Rates
Update for India
Update for Philippines
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
September:
• Appendix VII: Closing Prices Policy
Update for Egypt
November:
• Appendix VI: Withholding Tax Rates
Update for Botswana
• Appendix VII: Closing Prices Policy
Update for Egypt
• Appendix IX: MSCI Real Time Indexes
Update for Price filtering to Input (Security Price, FX Rate, Interest Rate) and
Output (calculated Index Level) Data filtering criteria
Intraday or Mid-day Calculations
Update of footnote 7
• Contact Us:
Added the process for submitting formal index complain and the regulation
page in MSCI Website
2022
February:
• Appendix VI: Withholding Tax Rates
Update for France
Update for Trinidad And Tobago
Update for Turkey
• Appendix VII: Closing Prices Policy
Added Canada - NEO Exchange - NEO-L
Update on Closing Prices availability for United Arab Emirates
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MSCI INDEX CALCULATION METHODOLOGY | JULY 2022
July:
• Section 3: Index Calculation for the MSCI Blended Indexes
New Section
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