MSCI Barra Releases Global Investable Market Indices Methodology
According to a news release , the plan involves a two-phase transition implemented as of the close of November 30, 2007 and the close of May 30, 2008, respectively.
MSCI Barra will begin calculating the Provisional Standard and Small Cap Indices based on the Global Investable Market Indices methodology, as well as the new Large Cap, Mid Cap, and Investable Market Indices, as of the close of May 31, 2007and begin distributing the indexes from June 5, 2007.
According to the company, the enhancements to the current Standard and Small Cap Index methodologies reflect the changing nature of international equity markets and the evolution of investment processes globally.
The enhanced Standard Indices will cover the large- and mid-cap segments of the investable equity universe by targeting a range around 85% coverage of the free float-adjusted market capitalization in each market, while striving to achieve a balance between appropriate market representation in size segment composites within countries and reasonable size integrity across countries, according to the company.
The enhanced Small Cap Indices will cover the small-cap segment of the investable equity universe by targeting for inclusion all companies with a market capitalization below that of the companies in the enhanced Standard Indices and within the top 99% of the investable equity universe in each market in both Developed and Emerging Markets, subject to a global minimum size requirement.
The Global Investable Market Indices methodology will continue to use a building block approach to allow the creation and calculation of meaningful composite indices. The Global Investable Market Indices methodology also features sector indices created using the Global Industry Classification Standard (GICS) and value and growth indices created using the existing MSCI Global Value and Growth methodology, for all size segments.
The transition will occur in two phases. The two phases of the transition of the current Standard Index and the current Small Cap Index will occur as of the close of November 30, 2007 and May 30, 2008, respectively.
The final additions and deletions of constituents for each phase will be announced at least four weeks in advance of their implementation in the Standard and Small Cap Indices.
MSCI Barra has posted the Global Investable Market Indices methodology book, including the transition plan, on its Web site at http://www.mscibarra.com/products/indices/GIMImethodology.html .