The company, which offers indices for international equity, fixed income and hedge funds, said the new methodology more effectively reflects the evolving views on style definition and segmentation in the international markets.
MSCI will implement the enhanced methodology in the current MSCI Value and Growth Index Series in the first half of 2003, the company said.
The enhanced Global Value and Growth Index Series will be built on a country-by-country basis for each of the 49 countries included in the MSCI All Country World Index, with a target to split the market capitalization of each country into 50% value and 50% growth, the company announcement said.
The improved index methodology for value and growth features a number of innovations including:
- a two-dimensional framework for style segmentation in which value and growth securities are specified using different attributes
- the use of eight different variables (three for value and five for growth) to more accurately reflect value and growth styles
- a partial attribution of index market capitalization of securities depicting both value and growth characteristics or neither of these characteristics, to each of the value and growth indices, unless one of the styles characteristics clearly dominates
- buffer zones that reduce index turnover caused by the temporary migration of securities from one style index to the other.