MSCI launches series of 13 value weighted indexes

Date: Thursday, December 9, 2010
Author: Margie Lindsay, Hedge Funds Review

MSCI has launched a series of value weighted indexes, the MSCI Value Weighted Indices. They are based on several flagship MSCI indexes.

The series of 13 indexes includes MSCI World Value Weighted Index, MSCI Emerging Markets Value Weighted Index, MSCI EAFE Value Weighted Index, MSCI All Country World Index (ACWI) Value Weighted Index, MSCI UK Value Weighted Index, MSCI Europe ex UK Value Weighted Index, MSCI World ex UK Value Weighted Index, MSCI North America Value Weighted Index, MSCI USA Value Weighted Index, MSCI Japan Value Weighted Index, MSCI Kokusai Value Weighted Index , MSCI Pacific ex Japan Value Weighted Index and MSCI World Value Weighted Index (hedged to GBP).

Each MSCI value weighted index re-weights the constituents of a standard MSCI parent index on four variables: sales, earnings, cash earnings and book value. There is no security selection based on fundamental data. Instead, the indexes include all constituents of the MSCI parent index. This helps maintain the equivalent trading liquidity, investment capacity and turnover characteristics of the parent index.

Alternatively, weighted indexes such as those offered by MSCI are designed to offer systematic beta exposures.

MSCI is a provider of investment decision support tools to investors globally, including asset managers, banks, hedge funds and pension funds. MSCI products and services include indexes, portfolio risk and performance analytics and governance tools.