[下载]MSCI Methodology for Calculating Fundamental Data Ratios at an Index Level

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[下载]MSCI Methodology for Calculating Fundamental Data Ratios at an Index Level
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关键词：Fundamental Methodology Calculating methodolog Fundamenta Level Data Methodology Fundamental Calculating

Table of Contents

INTRODUCTION.....................................................................................................................................................................1
SECTION 1: US EQUITY INDICES METHODOLOGY OVERVIEW............................................................................2
1.1 INTRODUCTION ............................................................................................................................................................2
1.2 DEFINING THE US EQUITY MARKET CAPITALIZATION SEGMENTS AND INDICES ........................................................2
1.2.1 Defining the US Equity Universe .....................................................................................................................2
1.2.2 Defining the Market Capitalization Segments and Indices ..........................................................................2
1.2.2.1 Defining the Large, Mid and Small Market Capitalization Segments and Indices ........................................................................ 4
1.2.3 Market Capitalization Index Reviews and Buffer Zones..............................................................................5
1.3 DEFINING THE US EQUITY VALUE AND GROWTH INVESTMENT STYLES AND INDICES ...............................................6
1.3.1 Multi-Factor Approach ....................................................................................................................................6
1.3.2 Two-Dimensional Framework.........................................................................................................................7
1.3.3 Index Design ......................................................................................................................................................8
1.4 FREE FLOAT-ADJUSTING CONSTITUENT WEIGHTS IN US EQUITY INDICES.................................................................9
1.5 GLOBAL INDUSTRY CLASSIFICATION STANDARD (GICS) ...........................................................................................9
1.6 INITIAL CONSTRUCTION OF US EQUITY INDICES AND ITS HISTORY ............................................................................9
SECTION 2: CONSTRUCTING THE US MARKET CAPITALIZATION INDICES..................................................10
2.1 CREATING THE US EQUITY UNIVERSE .......................................................................................................................10
2.2 SCREENING SECURITIES FOR INVESTABILITY.............................................................................................................11
2.2.1 Liquidity...........................................................................................................................................................11
2.2.2 Length of Trading...........................................................................................................................................12
2.2.3 Company and Security Free Float .................................................................................................................12
2.2.4 Relative Security Free Float-Adjusted Market Capitalization...................................................................13
2.3 ASSIGNING SECURITIES TO MARKET CAPITALIZATION INDICES................................................................................13
2.3.1 Preliminary Attribution of Securities to Market Capitalization Indices ..................................................14
2.3.2 Migration of Securities between Market Capitalization Indices................................................................15
2.3.2.1 Buffer Zones......................................................................................................................................................................................... 15
2.3.2.2 Maximum Length of Time in the Buffer Zones.............................................................................................................................. 16
2.3.3 Final Attribution of Securities to Market Capitalization Indices ..............................................................16
2.4 ADJUSTING THE FULL MARKET CAPITALIZATION OF SELECTED SECURITIES FOR FREE FLOAT ...............................17
2.4.1 Defining and Estimating Free Float...............................................................................................................17
2.4.1.1 Estimation of Free Float Available to US Domestic Investors...................................................................................................... 17
2.4.2 Assigning a Free Float-Adjustment Factor...................................................................................................18
2.4.3 Calculating the Free Float-Adjusted Security Market Capitalization ......................................................18
2.5 CLASSIFYING SECURITIES UNDER THE GLOBAL INDUSTRY CLASSIFICATION STANDARD (GICS) ............................18
SECTION 3: CONSTRUCTING THE US VALUE AND GROWTH INDICES ............................................................19
3.1 VARIABLES USED TO SPECIFY VALUE AND GROWTH CHARACTERISTICS .................................................................19
3.2 STANDARDIZING THE VARIABLE VALUES FOR EACH SECURITY................................................................................20
3.2.1 Winsorizing the Variables..............................................................................................................................20
3.2.2 Calculating the Z-Scores ................................................................................................................................21
3.3 AGGREGATING THE STYLE Z-SCORES ........................................................................................................................22
3.3.1 Calculating the Value Z-Score........................................................................................................................22
3.3.2 Calculating the Growth Z-Score ....................................................................................................................22
3.4.1 Initial Style Inclusion Factors for Securities with Both Value and Growth or Non-Value and Non-
Growth Characteristics ..................................................................................................................................................24
3.5.1 Sorting Securities by Distance from the Origin ...........................................................................................27
3.5.2 Applying Buffer Rules ....................................................................................................................................28
3.5.3 Allocating Securities to Reach 50% Target ..................................................................................................29
SECTION 4: MAINTAINING THE US EQUITY INDICES.............................................................................................31

4.1 SEMI-ANNUAL INDEX REVIEW..................................................................................................................................31
4.1.1 Semi-Annual Index Review Process for Market Capitalization Indices ...................................................31
4.1.2 Semi-Annual Index Review Changes in DIFs and Number of Shares.......................................................32
4.1.3 Semi-Annual Index Review Process for Value and Growth Indices..........................................................33
4.1.4 Semi-Annual Index Review Frequency and Timing of Implementation...................................................33
4.1.5 Date of Data Used for Semi-Annual Index Review......................................................................................33
4.2 QUARTERLY INDEX REVIEW......................................................................................................................................33
4.2.1 Quarterly Index Review Changes in Constituents of the Market Capitalization Indices.......................34
4.2.2 Quarterly Index Review Changes in DIFs and Number of Shares............................................................34
4.2.3 Quarterly Index Review Changes in Constituents of the Value and Growth Indices .............................34
4.2.4 Quarterly Index Review Frequency and Timing of Implementation ........................................................34
4.2.5 Date of Data Used for Quarterly Index Review ...........................................................................................35
4.3 ONGOING EVENT-RELATED CHANGES .......................................................................................................................35
4.3.1 Corporate Events Affecting Existing Index Constituents ...........................................................................35
4.3.1.1 Changes in Characteristics of Existing Constituents ....................................................................................................................... 36
4.3.1.2 Early Inclusions of Non-Index Constituents................................................................................................................................... 37
4.3.1.3 Early Deletions of Existing Index Constituents.............................................................................................................................. 38
4.3.2 Corporate Events Affecting Non-Index Constituents..................................................................................38
4.3.2.1 IPOs and Other Early Inclusions ...................................................................................................................................................... 38
4.4 ANNOUNCEMENT POLICY ..........................................................................................................................................39
4.4.1 Semi-Annual Index Review............................................................................................................................39
4.4.2 Quarterly Index Review.................................................................................................................................39
4.4.3 Ongoing Event-Related Changes ...................................................................................................................39
4.4.3.1 IPOs and Other Early Inclusions ...................................................................................................................................................... 40
4.4.3.2 Global Industry Classification Standard (GICS) .............................................................................................................................. 40
APPENDIX I: COUNTRY CLASSIFICATION OF SECURITIES..................................................................................42
APPENDIX II: FREE FLOAT DEFINITION AND ESTIMATION GUIDELINES......................................................44
APPENDIX III: GLOBAL INDUSTRY CLASSIFICATION STANDARD (GICS) ......................................................47
APPENDIX IV: VARIABLE DEFINITIONS AND COMPUTATIONS..........................................................................53
APPENDIX V: CALCULATION OF MARKET MEAN AND STANDARD DEVIATION .........................................58
APPENDIX VI: POLICY REGARDING MARKET CLOSURES DURING INDEX REVIEWS ...............................59
APPENDIX VII: QUARTERLY AND SEMI-ANNUAL INDEX REVIEW CHANGES IN DIFS ...............................60
LIST OF UPDATES TO THE METHODOLOGY BOOK................................................................................................61