Morgan Stanley Capital International
on Datastream
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Contents
Morgan Stanley Capital International on the Datastream Research Service 3
MSCI indices 5
Country and regional indices 5
Value and Growth indices 5
GDP indices 6
Hedged indices 6
Small Cap indices 6
All Country Sector (ACS) indices module – Global Industrial Classification Standard (GICS) 7
10/40 indices 7
Hedge Fund indices 7
US Equity indices 8
MSCI modules on Datastream 9
MSCI modules on Datastream - a summary 9
Core Developed Markets module 10
Core Emerging Markets module 10
All Country indices 10
Core Asia Pacific module 11
Small Cap module 11
Enhanced index module 11
All Country Sector indices module 11
Core Value and Growth Plus modules 11
MSCI 10/40 indices 11
MSCI exchange rates and currency conversion 13
MSCI index constituent lists 15
Regional and world index constituents 15
Regional index constituents 15
MSCI stock constituent lists 17
Monthly constituent lists 17
Historical month end constituent lists 17
Daily constituent lists 18
Historical daily constituent lists 18
Next day constituent lists 18
Value/Growth constituent lists 19
All Country Sector (ACS) constituent lists 19
Country coverage lists 19
Total Universe lists 20
Proforma lists 21
MSCI company-level data 23
Type of data available 23
Stocks dropped from MSCI coverage 24
Using MSCI data in the Datastream Research service 25
Accessing the data 25
Updates 25
Downloading data from Datastream 27
Reports 30
Searching 33
Graphics and functions 35
Weightings analysis 37
Further information 41
About MSCI 41
About Datastream 41
Issue 5
1
Contents
Reference 43
Index mnemonics and base dates 45
Developed Market indices 46
Emerging Market indices 50
All Country indices 52
Hedged indices 54
Lists of MSCI indices, exchange rates, and countries covered 55
Constituent indices of Regional and World indices 56
All Country Sector (ACS) indices: GICS classification 59
Hedge Fund indices 68
10/40 indices 69
US Equity indices 71
Global Industrial Classification Standard 72
Datatypes 83
Country & currency codes, exchange rate mnemonics, country coverage and total universe lists 101
Proforma list mnemonics 104
MSCI indices: historical changes 105
Implementation of the Free Float Methodology 106
CII (Industrial Indices) Discontinuation 106
Changes to Developed/Emerging Classifications, Standalone Indices and Market Weightings 106
Small Cap Historical Changes 108
Discontinuation of Non Free Indices 109
Changes to Total Return Datatypes 109
Renaming of MSCI Emerging Market and All Country Indices 110
Provisional Indices Based on the Removal of the LIF Applied to MSCI Taiwan 111
MSCI quarterly structural changes 111
Definition of terms for MSCI indices 114
Index 117
2
Morgan Stanley Capital International on Datastream
Morgan Stanley Capital International
on the Datastream Research Service
Thomson Financial and Morgan Stanley Capital International provide access to MSCI’s index
and company-level modules on a co-operative basis. In this way Thomson Financial and
MSCI retain strong relationships with joint customers, enabling both companies to deliver an
extremely high-quality service.
Our strength stems primarily from having integrated all data with Datastream’s functionality:
searching and screening, graphing, data download for customised analysis, user-index creation
and our extensive range of functions and expressions are all available to joint customers taking
the appropriate level of services. Integration extends to native Datastream data, as well as data
available from other sources: take data from MSCI’s universe, add in IBES Summary
Consensus Estimates or IBES Global Aggregates, and Worldscope’s International Company
Accounts data. All are available via Datastream’s open and flexible functionality. It gives you
full access to the data that you require, and enables you to decide the best way of using it to
assist in investment decisions.
Comprehensive details about the data content of MSCI’s products on the Datastream Research
Service can be obtained directly from MSCI. A list of offices and contact numbers can be
found by typing HELP MSCI? at the Datastream prompt.
Licence agreement
MSCI will maintain control over licence agreements with and payments from customers.
Thomson Financial will provide customers with access to specific modules upon notification
from MSCI that agreements are in place. Thomson Financial and MSCI customer services
operations will maintain their current service levels, and will maintain close liaison where
necessary. Please contact MSCI directly for details of applicable charges.
Issue 5
3
Morgan Stanley Capital International on the Datastream Research Service
4
Morgan Stanley Capital International on Datastream
MSCI indices
The Morgan Stanley Capital International (MSCI) indices measure the performance of 50 stock
markets around the world. In addition to country and regional indices, MSCI calculates global
sector and industry indices based on the MSCI/S&P Global Industrial Classification Standard
(GICS). The indices are calculated daily in US dollars and in local currency, and are available
in 72 additional currencies. Valuation ratios (P/E, P/CE, P/BV, Return on Equity and Dividend
Yield) are calculated monthly. Market Value is calculated daily.
MSCI’s well-known regional indices include EAFE© (Europe, Australasia and the Far East),
the World index, EMF, Kokusai (World ex Japan) and Combined Far East Free ex Japan.
Country and regional indices
MSCI provide country indices for 50 markets (23 developed markets and 27 emerging
markets). The combined market capitalisation of companies in these indices represents
approximately 85% of the free float adjusted market capitalisation in each industry group, in
each country. Over 130 regional indices are available, covering developed and emerging
market regions plus combined all country regional indices.
Value and Growth indices
The MSCI Growth and Value indices are a sub-set of the MSCI Standard Indices. Up to May
2003, the value and growth indices were based on price to book value which was used to used
to divide the MSCI standard country and regional market indices into value and growth style
indices. Whilst the original methodology was appropriate at the time when these indices were
launched in 1997, it become apparent that investors are using more complex variables for stylebased investing hence the review of the MSCI methodology which lead to changes in the
MSCI value and growth indices at the end of May 2003.
At the end of May 2003, the methodology for the Value and Growth indices was enhanced so
that eight variables (three for value and five for growth) are used to more accurately reflect
value and growth style. An inclusion factor is used to determine how much of the security
should be attributed to a growth or value index. As a result of these changes, a constituent of a
standard index may be represented in both the value index and a growth index at a partial
weight or indeed not at all.
The value factors used are:
•
Book value to price ratio
•
12-month forward earnings to price ratio
•
Dividend yield
The growth factors used are:
•
Long-term forward earnings per shares growth rate
•
Short term forward EPS growth rate
•
Current internal growth rate
•
Long-term historical EPS growth trend
•
Long-term historical sales per share growth trend
Data available covers the existing Developed, Emerging and Asia Pacific country and regional
index series, in both US$ and local currency.
Monthly price history for Developed markets generally starts on 1st January 1975, with daily
price history and market value statistics from 1st January 1997. Emerging market data begins
on 1st January 1997.
Issue 5
5
MSCI indices
GDP indices
GDP weighted indices emphasise the size of the country’s economy rather than the size of its
equity market. On a long-term basis, while equity markets have pronounced peaks and
troughs, GDP figures do not. Therefore, GDP weighted indices can track the evolution of the
country’s economy independent of market fluctuations. GDP weighted indices are calculated
for EAFE, Europe, EMU and the World index. The weights are based on previous year GDP
estimations, using year-end exchange rates.
Hedged indices
Exchange rate movements represent a major factor in global portfolio performance. For those
investors concerned with the effects of currency fluctuation, MSCI calculates a series of
hedged indices. The MSCI Hedged indices capture the performance of international equity
markets while neutralising the effects of currency fluctuations on the US dollar. A 30-day
forward rate is used to construct the hedge. For regional indices such as EAFE, all currencies
are hedged.
For the foreign investor, the performance of a non-hedged index calculated in local currency
represents a perfectly hedged portfolio for which no transaction costs are incurred. For a local
index to reflect accurately a portfolio’s performance, the manager would have to hedge each
portion of his portfolio at the spot rate at any given point in time. The performance of a
hedged index, in contrast, is calculated by actually reinvesting the gains or losses resulting
from currency fluctuations. Therefore, the hedged portfolio performance reflects the true
impact of currency hedging activities.
MSCI calculates a full series of hedged indices, including EAFE and 21 non-US markets.
These indices are calculated in US dollars, Sterling, Japanese yen, Australian dollars and Euro
without dividends reinvested. The base date is 1st January 1988.
For more information and mnemonics, see Hedged indices, page 54.
Small Cap indices
In January 1998 MSCI introduced the MSCI Small Cap index family. These important new
indices were developed in response to an increasingly liquid developed market universe and a
growing interest in small cap investing. They cover the developed market countries and
regions and, together with the MSCI Market indices, increased MSCI’s developed market
index universe to 3,300 securities.
The MSCI Small Cap indices include securities with a market cap of between US$200-1500
million (known as the small cap universe). These indices are used to track small cap stock
performance worldwide by defining a consistent market capitalisation range across 23
developed markets.
Small Cap indices are calculated in much the same way as the MSCI Market indices.
History is available back to base date, 1st January 1997, in both US$ and local currency. Four
years index-level history is also available, calculated by Datastream. Datastream selected
Small Cap index constituents on 1st January 1993 and then replicated MSCI’s selection and
rebalancing methodologies. This data is incorporated into the full history for the Small Cap
indices by MSCI.
6
Morgan Stanley Capital International on Datastream
MSCI indices
All Country Sector (ACS) indices module – Global Industrial Classification Standard
(GICS)
Launched in April 2000, MSCI ACS indices are based on the MSCI and S&P Global Industrial
Classification Standard (GICS). Any one of MSCI’s 10 sectors, 23 industry groups and 59
industries can be combined with 76 regional indices and 50 country indices to offer over
10,000 possible country or region sector and industry indices. ACS indices comprise all
constituents of an MSCI country or regional index classified under one particular sector,
industry group, and industry code (for example European Internet Software & Services,
Japanese Telecommunications).
Data includes price index in both local currency and US$, index market capitalisation, gross
and net returns and valuation ratios. History is available back to 31st December 1994.
10/40 indices
The MSCI 10/40 index family comprises 35 indices in eight currencies, created to provide
benchmarks for UCITS compliant mutual funds.
In the European community a UCITS directive prescribes clear rules for the composition of
mutual funds. Currently, a large number of European Funds comply with the UCITS directive,
but sometimes their benchmarks do not, leading to a significant potential tracking error and
misrepresentation of the true investable universe. MSCI has therefore developed a proprietary
methodology based on extensive simulations and client consultations that derives and
maintains 10/40 equity indices from the MSCI Standard and All Country Sector indices.
Data includes price index, gross return index and net return index. Daily history is available
from 31st December 1998.
All 10/40 indices and constituent lists are licensed on an index by index basis and require a
licence agreement directly from MSCI.
For more information and mnemonics, see 10/40 indices, page 69.
Hedge Fund indices
The MSCI Hedge Fund index family is supported by a growing database of over 750 hedge
funds. Only open and closed hedge funds with assets under management in excess of $15
million are eligible for inclusion.
To ensure data is complete and reliable, MSCI collects it directly from hedge fund managers.
Fund managers are required to supply audited financials, and offering memoranda for all of
their funds where available.
Total return data is available. Hedge Fund indices are calculated monthly.
For more information and mnemonics, see Hedge Fund indices, page 68.
Issue 5
7
MSCI indices
US Equity indices
MSCI US Equity indices reflect the full breadth of investment opportunities across market
capitalization, value and growth investment styles, and industry and sector groups within the
US equity market. They provide benchmark indices from the perspective of US domestic
investors.
The MSCI US Equity indices methodology aims to offer investors a best of breed benchmark
series covering the total US equity market by offering:
•
Market capitalization indices that better reflect the investment process of asset managers
•
Size and style buffer zones
•
Two-dimensional, multi-factor value/growth methodology
Data includes daily price index and gross return index from 1992, and net return index from
2002. All indices are quoted in US dollars.
For more information and mnemonics, see US Equity indices, page 71
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Morgan Stanley Capital International on Datastream
MSCI modules on Datastream
The modules described below are available to Thomson Financial customers at MSCI’s
standard charges. As a customer you can subscribe to stock-level data and to the enhanced
index module if you already have access to some level of Datastream’s equity product, and if
you have access to Datastream Graphics, Time Series Analysis or Econoview.
MSCI modules on Datastream - a summary
Module
Index
Data
History
National
International
Special Area
GDP
All Country Sector (for DM, EMF, Europe, EMU and
ACWIF)
Value & growth
Small cap
US Equity
Hedge Fund
Exchange Rates
Daily price
Daily gross return
Daily net return
Monthly gross return
Monthly net return
from 1969
from 1 Jan 2001
from 1 Jan 2001
from 1969
from 1969
Market cap
from 1969
As Daily index plus:
Constituent lists
Country Coverage detail
Company level detail
Hedge Fund
Daily price
Daily gross return
Daily net return
Monthly gross return
Monthly net return
Monthly valuation ratios
from 1969
from 1 Jan 2001
from 1 Jan 2001
from 1969
from 1969
from 1969
Core Emerging Markets
As Core Developed Markets but for
emerging markets
Core Asia Pacific
Markets
As Core Developed Markets and Core Emerging
Markets but for Asia Pacific markets as listed on page
11.
Daily price
Market cap
Daily gross return
Daily net return
Monthly gross return
Monthly valuation ratios
Daily price
Market cap
Daily gross return
Daily net return
Monthly gross return
Monthly net return
Monthly valuation ratios
from 1987
from 1987
from 1 Jan 2001
from 1 Jan 2001
from 1987
from 1987
from 1987
from 1987
from 1 Jan 2001
from 1 Jan 2001
from 1969/1987
from 1969/2001
from 1987/1969
Developed Markets
Emerging Markets
Asia Pacific Markets
All small cap companies
Constituent lists
Company level detail
Index datatypes
Developed & Emerging Markets
Country
Regional
Industrial
GDP
Exchange rates
Hedged
Monthly Value & Growth
index datatypes
from June 2003
Daily price
Market cap
from 1997
from 1997
Valuation ratios
Daily price
Market cap
Monthly valuation ratios
from April 2003
from 1969
Developed & Emerging Markets & Asia Pacific:
sectors
industry groups
industries
within countries and regions
Daily prices
Market cap
Number of equities
Daily gross return
Daily net return
Monthly gross return
Monthly net return
(Developed Markets only)
Monthly valuation ratios
from 31 Dec 1994
from 31 Dec 1994
from 31 Dec 1994
from 1 Jan 2001
from 1 Jan 2001
from 31 Dec 1994
Daily price
Daily gross return
Daily net return
Number of issuers
from 31 Dec 1998
from 31 Dec 1998
from 31 Dec 1998
from 31 Dec 1998
Daily index
free to Datastream
Research customers
Core Developed
Markets
Core Value and Growth
Plus
Small Cap
Enhanced index
All Country Sector
indices (GICS)
10/40 indices
Issue 5
Benchmark indices and lists for UCITS compliant mutual
funds
from 31 Dec 1994
from 31 Dec 1994
9
MSCI modules on Datastream
Core Developed Markets module
MSCI's Developed Market indices are based on the share prices of approximately 1,700
companies listed on stock exchanges in the 23 countries that make up the MSCI World index.
This module includes:
•
Daily price index history of Country and Regional indices back to base date for both
Developed and Emerging markets. This includes Value and Growth, and Small Cap
indices.
•
Valuation ratios for Developed Market indices on a rolling 7-year basis.
•
Daily history of market capitalisation of Developed Market indices on a rolling 7 year
basis.
•
Daily history of World, Europe and EMU All Country Sector indices.
•
GDP indices back to base date.
•
Exchange rates.
•
Option of either daily or monthly updated delivery of MSCI’s Developed Markets security
data, which comprises all company level data including monthly stock valuation ratios,
constituent lists for the Developed Market indices and Country Coverage lists for
Developed Markets.
For a complete list of Developed Market indices with mnemonics, see Developed Market
indices, page 45.
Core Emerging Markets module
The Emerging Market indices comprise approximately 1400 stocks from 28 countries.
This module includes:
•
Daily price index history of Country and Regional indices back to base date for all
Emerging Markets. This includes Value and Growth indices.
•
Valuation ratios for Emerging Market indices on a rolling 7 year basis.
•
Daily history of market capitalisation of Emerging Market indices on a rolling 7 year
basis.
•
Daily history of the EMF All Country Sector indices.
•
Exchange rates.
•
Option of either daily or monthly updated delivery of MSCI’s Emerging Markets security
data, which comprises all company level data including monthly stock valuation ratios,
constituent lists for the Emerging Market indices and Country Coverage lists for Emerging
Markets.
For a complete list of Emerging Market indices with mnemonics, see Emerging Market
indices, page 50.
All Country indices
The All Country (AC) indices represent both the Developed and the Emerging markets for a
particular region. The MSCI All Country World Index includes 49 markets, of which Emerging
Markets represent approximately 9.5% of the total market capitalisation.
For a complete list of All Country indices with mnemonics, see All Country indices, page 52.
Customers must subscribe to both the Core Developed and Core Emerging Market modules to
access constituent lists for these indices.
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Morgan Stanley Capital International on Datastream
MSCI modules on Datastream
Core Asia Pacific module
A special module of MSCI’s database focusing on Asian Pacific markets. This product
includes all core Developed and Emerging Market index data with daily company level,
constituent list and country coverage data specific to the Asia Pacific markets. The Asia
Pacific module includes index data for:
Australia
Indonesia
New Zealand
Sri Lanka
China
Japan
Pakistan
Taiwan
Hong Kong
Korea
Philippines
Thailand
India
Malaysia
Singapore
Core Value and Growth Plus modules
There are three core Value and Growth Plus modules:
•
Developed Markets
•
Emerging Markets
•
Asia Pacific Markets
All modules are available as monthly or daily versions. Monthly modules provide data to the
last month end; daily modules add data since the last month end.
Modules contain comprehensive security level information including valuation ratios, returns,
and market cap values for both indices and constituents.
Small Cap module
This module includes constituent level data for the small cap indices. Data available includes
prices, market values, shares outstanding and dividend information. A daily or monthly option
is available.
Enhanced index module
This module comprises full daily index data with valuation ratio history and market
capitalisation on both Developed and Emerging Market indices, available back to base date.
All Country Sector indices module
These indices are only available to clients who subscribe to the MSCI All Country Sector
indices (ACS) product. Modules are available for Developed Markets, Emerging Markets and
Asia-Pacific regions with both a daily and monthly option. The monthly option provides prices
to the last month end from base date; the daily option also includes prices since the last month
end.
MSCI 10/40 indices
The MSCI 10/40 index family comprises 36 indices in eight currencies, created to provide
benchmarks for UCITS compliant mutual funds. All 10/40 indices and constituent lists are
licensed on an index by index basis and require a licence agreement directly from MSCI.
Issue 5
11
MSCI modules on Datastream
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Morgan Stanley Capital International on Datastream
MSCI exchange rates and currency conversion
MSCI exchange rates are used when calculating indices. The rates are updated on a daily basis
using the WM/Reuters rates fixed at 1600hrs GMT. Exchange rate history is available back to
1969. You will find mnemonics for exchange rates in Country & currency codes, exchange
rate mnemonics, country coverage and total universe lists, page 101.
All the indices are available in ether US dollar or local currency terms. If you want to convert
an index into an alternative currency, use the following calculation:
100 x
(MSCI exchange rate )t
(US Dollar Index Value)t
x
(US Dollar Index Value at currency base date) (MSCI exchange rate at currency base date )
for example:
100 x
MSEAFE $
MSEREUR
x
VAL# ( MSEAFE $,31 / 12 / 98 ) VAL# ( MSEREUR ,31 / 12 / 98 )
converts the MSCI EAFE index from U$ into euros. The currency base date for the euro is
31/12/98.
You can find the index base date by using the BDATE datatype applied to the index
mnemonic.
Issue 5
13
MSCI exchange rates and currency conversion
14
Morgan Stanley Capital International on Datastream
MSCI index constituent lists
Regional and world index constituents
To enable you to view all of the country indices which make up an MSCI regional index,
Datastream provides regional and world groupings of indices in pre-formatted lists. See Lists
of MSCI indices, page 55, or refer to the online help channel, HELP MSCI? You can construct
a list mnemonic from an index mnemonic by removing the currency code. For example,
MSWRLD is the list mnemonic for the MSCI World index, MSWRLD$
The following example shows sample data for the constituent countries that make up the World index:
Regional index constituents
Regional index constituents are also listed online in Datastream’s MSCI program. To
determine which countries currently make up a regional index:
•
In Datastream Advance select the View menu then Diagnostics > Show Interactive
Terminal. Type MSCI and press ENTER
•
In DSWindows type MSCI in the Program Number field and press ENTER
then select option 1.
Issue 5
15
MSCI index constituent lists
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Morgan Stanley Capital International on Datastream
MSCI stock constituent lists
Index constituent lists are constructed by Datastream for most MSCI indices. A number of
different lists are provided including a rolling 7 years of monthly historical lists, 13 months of
daily lists, next day and proforma lists. Lists are available for country, regional, and All
Country Sector indices.
Access to lists is determined by the MSCI modules to which you subscribe; this section gives
the details.
All list mnemonics are of the form Lxxxxx, where xxxxx is the mnemonic of the index with the
last character (L or $) removed. To complete the mnemonic add:
D for daily lists
N for next day lists
P for proforma lists
H for an historical list (with the date of the list in the Date field)
Using the mnemonic for the U$ MSCI Pacific index, MSPACF$, as an example:
•
LMSPACF is the mnemonic for the monthly constituent list
•
LMSPACFD is the mnemonic for the daily constituent list
•
LMSPACFN is the mnemonic for the next day constituent list
You will find index mnemonics listed in the Reference section from page 43.
Monthly constituent lists
Under the terms of MSCI’s agreement with vendors a rolling 7 years of monthly constituent
lists are available on Datastream. Each monthly constituent list reflects the constituents of the
index on the last working day of the previous month. This is generally updated by 2100hrs
GMT on the first working day of the following month.
Availability
• Standard country and
regional indices
• Value and Growth indices
• Small Cap indices
• All Country Sector indices
Mnemonics
Example
Lxxxxxx
LMSWRLD is the latest
MSCI World month end list
Modules
• Core Developed /
Emerging / Asia Pacific
Markets daily / monthly
• Core Value and Growth
• Small Cap daily / monthly
Historical month end constituent lists
Datastream maintains a rolling 7 year history of month end constituent lists. You can access a
month end list by adding the month and year to the end of the mnemonic. For example:
•
LMSWRLD is the mnemonic for the latest month end list for the MSCI World index
•
LMSWRLD1201 is the mnemonic for the list built from data of 31st December 2001
Availability
• Standard country and
regional indices
• Value and Growth indices
• Small Cap indices
• All Country Sector indices
Issue 5
Mnemonics
Example
LxxxxxxMMYY
LMSWRLD1200 is the
MSCI World list at the end
of December 2000
Modules
• Core Developed /
Emerging / Asia Pacific
Markets daily / monthly
• Core Value and Growth
• Small Cap daily / monthly
17
MSCI stock constituent lists
Daily constituent lists
Constituent lists are built by Datastream on a daily basis using the previous day’s data.
Daily lists are updated at different times during the day, depending on when the latest values
are available from MSCI. See page 25 for update times.
Daily constituent lists can be accessed by adding D to the end of the list mnemonic. For
example:
•
LMSWRLDD is the mnemonic for the latest daily list for the MSCI World index.
You must have access to the daily core MSCI product to use these lists.
Availability
• Standard country and
regional indices
• Value and Growth indices
• Small Cap indices
• All Country Sector indices
Mnemonics
Example
LxxxxxxD
LMSWRLDD is the latest
MSCI World daily list
Modules
• Core Developed /
Emerging / Asia Pacific
Markets daily
• Core Value and Growth
daily
• Small Cap daily
Historical daily constituent lists
Daily lists and weights are available on an historical basis for a rolling 13 months. You can
access historical daily lists by adding the letter H to the end of the list mnemonic and using the
date field to request the required date. For example:
•
LMSWRDH with a date of 06/10/04 returns the MSCI World list for 6th October 2004.
The following index families are covered:
•
Standard country and regional indices
•
Value and Growth indices
•
Small Cap indices
•
All Country Sector indices
Historical daily constituent lists are available to customers subscribing to the MSCI Monthly
and Daily Core Developed Markets, Emerging Markets, and Asia Pacific modules.
Availability
• Standard country and
regional indices
• Value and Growth indices
• Small Cap indices
• All Country Sector indices
Mnemonics
Example
LxxxxxxH
with the
required date
in the date field
LMSWRLDH with a start
date of 2/07/04 returns the
nd
MSCI World list for 2 July
2004
Modules
• Core Developed /
Emerging / Asia Pacific
Markets daily
• Core Value and Growth
daily
• Small Cap daily
Next day constituent lists
Next day constituent lists take account of any capital changes after the close of business, such
as a merger or a sector change and therefore show the opening constituents for the following
day. Next day constituent lists are particularly useful for those customers trading MSCI
indices and for customers who want to view any changes that may occur at month end. For
example:
•
LMSWRLDN is the mnemonic for the MSCI World index next day list.
A number of next day datatypes are available including number of shares and sector
classification changes. See Next day datatypes, page 86 for details. You can use the datatypes
with the current day’s closing lists to show changes that will occur, or with next day’s lists to
show the actual change.
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Morgan Stanley Capital International on Datastream
MSCI stock constituent lists
The lists and datatypes are available to customers subscribing to the daily Core, Small Cap or
Value and Growth modules.
Availability
• Standard country and
regional indices
• Value and Growth indices
• Small Cap indices
• All Country Sector indices
Mnemonics
Example
LxxxxxxN
LMSWRLDN is the MSCI
World next day list
Modules
• Core Developed /
Emerging / Asia Pacific
Markets daily
• Core Value and Growth
daily
• Small Cap daily
Value/Growth constituent lists
Constituent lists and weights are available for Value and Growth indices. Use the format
described on page 17. Alternatively, use the mnemonic for the appropriate country list with the
value/growth indicator datatype (MSGVI). This returns the constituent stocks for the country,
indicating which are value (V), growth (G), or both (B).
All Country Sector (ACS):constituent lists
Constituent lists and weights are constructed and maintained for all ACS indices. List
mnemonics are constructed in the same way as those for the country and regional indices;
using the mnemonic for the US dollar MSCI Australia energy sector index, M1AUE1$, as an
example:
•
LM1AUE1 is the mnemonic for the latest month end list
Country coverage lists
The combined market capitalisation of companies in the MSCI indices represents
approximately 85% of the free float adjusted market capitalisation in each of the markets
covered. Apart from the indices, MSCI monitors a larger universe of stocks. In all over 4,100
of the world’s leading companies are monitored, accounting for about 80% of the total market
value of the world’s stock markets.
Country coverage lists are built on a daily and monthly basis to reflect the MSCI coverage at
that time. Historical lists are available from May 2001.
You will find mnemonics for country coverage lists in Country & currency codes, exchange
rate mnemonics, country coverage and total universe lists on page 101.
Latest daily country coverage lists
Availability
All countries in the MSCI
standard indices plus Sri Lanka
See page 101
Mnemonics
Example
Modules
MSCIccD
Where cc is the
country code
See page 101
MSCIUSD is the latest
• Core Developed /
MSCI US country coverage
Emerging / Asia Pacific
list
Markets daily
• Core Value and Growth
daily
• Small Cap daily
Monthly country coverage lists
Availability
All countries in the MSCI
standard indices plus Sri
Lanka
See page 101
Issue 5
Mnemonics
Example
MSCIccMMYY
MSCIUS0204 is the MSCI
US country coverage list
for February 2004
Where cc is
the country
code
See page 101
Modules
• Core Developed /
Emerging / Asia Pacific
Markets daily / monthly
• Core Value and Growth
daily / monthly
• Small Cap daily /
monthly
19
MSCI stock constituent lists
This example illustrates the country coverage list for Jordan with associated sample datatypes
MSCI adjusted price (MSP), MSCI currency indicator (MSPCUR) and the constituent status
indicator, MSIXIN. The list includes all stocks which are constituents of the MSCI Jordan
index and Jordanian stocks tracked by MSCI as possible constituents. Datatype MSIXIN flags
the constituent status of a stock: stocks flagged by 1 are constituents of the index and those
flagged by 0 are not. The example was generated as a refreshable static data request from
within Microsoft Excel using the Datastream Advance for Office add-in:
Total Universe lists
Total Universe lists contain all companies monitored by MSCI. The lists include constituents
of all MSCI indices, the companies contained in the MSCI publications (Blue and Red books),
and other companies followed by MSCI that are not currently in any index or publication.
Historical lists are available from June 2002.
You will find mnemonics for Total Universe lists in Country & currency codes, exchange rate
mnemonics, country coverage and total universe lists, page 101.
Daily total universe lists
Availability
All countries in the MSCI
standard indices plus Sri Lanka
and seven regions
See page 101
Mnemonics
Example
MSCUccD
Where cc is the
country code
See page 101
for regional
mnemonics
MSCUUSD is the latest
MSCI US total universe list
Modules
• Core Developed /
Emerging / Asia Pacific
Markets daily
• Core Value and Growth
daily
• Small Cap daily
Monthly total universe lists
20
Availability
Mnemonics
All countries in the MSCI
standard indices plus Sri
Lanka and seven regions
See page 101
MSCUccMMY
Y
Where cc is
the country
code
See page 101
for regional
mnemonics
Example
Modules
MSCUUS0204 is the MSCI • Core Developed /
US total universe list for
Emerging / Asia Pacific
June 2004
Markets daily
• Core Value and Growth
daily
• Small Cap daily
Morgan Stanley Capital International on Datastream
MSCI stock constituent lists
Proforma lists
Background: index rebalancing
MSCI periodically rebalance their indices so that they continue to provide an accurate
reflection of an evolving marketplace. Changes might be made to take account of changes in
the composition or structure of an industry for example. During an index rebalancing,
securities may be added to a country index for a variety of reasons including:
•
availability of new opportunities for inclusion due to privatizations, new issues and
restructuring
•
changes in industry classification
•
increases in free float
Similarly, securities may be deleted for reasons including:
•
significant decreases in free float-adjusted market cap
•
changes in industry classification
•
significant deterioration in liquidity
•
availability of a better industry representative
Index rebalancing: frequency and timing
Index rebalancing for each MSCI country index generally takes place every 12 to 18 months,
and usually occurs on four dates throughout the year, at the close of the last business day of:
•
February
•
May
•
August
•
November
MSCI index additions and deletions resulting from quarterly index rebalancings are announced
at least two weeks in advance. MSCI emails their customers with details of the changes and
the information is also available on the MSCI website (www.msci.com). This data, referred
to as Proforma data, is available on Datastream.
Proforma Lists
Proforma lists are available for two weeks before the quarterly rebalancing. When the
rebalancing has taken effect the proforma lists are deleted and the proforma datatypes
populated with “n/a” until the next rebalancing. Proforma lists are available for a number of
indices. To retrieve proforma data, add P to the end of the existing list mnemonic to indicate a
proforma list.
You will find mnemonics for proforma lists in Proforma list mnemonics, page 104. Use the
MSCI country code (MSCTRY) and country name (MSCTRYN) datatypes to view the
changes for each country index within the regional indices.
To access proforma lists for an index family, you must subscribe to the equivalent index
module.
Availability
• For eight regional indices and
one country. See page 104
Issue 5
Mnemonics
Example
LxxxxxxP
See page 104
LMSWRLDP is the MSCI
World proforma list
Modules
• Core Developed /
Emerging / Asia Pacific
Markets daily
• Core Value and Growth
daily
• Small Cap daily
21
MSCI stock constituent lists
22
Morgan Stanley Capital International on Datastream
MSCI company-level data
MSCI make available details of all companies which are currently constituents of their indices,
as well as those which have been constituents in the past or those which they are currently
monitoring for possible future inclusion.
Companies that are currently included in the indices make up 85% of the capitalisation of each
industry group and thus 85% of the market. In addition, MSCI covers additional securities that
could be considered for index inclusion in the future. Stocks which have also been included in
the past are available, but with historical data ending when coverage by MSCI ceased.
Access to stock level data, including constituent lists, is split between Developed and
Emerging Markets. To identify whether a country is classified as Developed or Emerging, see
Country & currency codes, exchange rate mnemonics, country coverage and total universe
lists, page 101
A 10 year PE band chart for Suzuki Motor, plotted using the MSCI monthly PE ratio datatype, MSPE.
Type of data available
•
Company details
•
Stock prices, number of shares, market value
•
Monthly stock valuation ratios
•
Income statements
•
Balance sheets
•
Advance Corporate Events
•
An indication of which index the company is a constituent
You can display this data by using the datatypes listed in Datatypes, page 83.
Issue 5
23
MSCI company-level data
Stocks dropped from MSCI coverage
When MSCI drop a stock from their coverage, the stock is flagged as DROPPED FROM
MSCI SERVICE if you try to retrieve MSCI data through any Datastream Graphics or Time
Series Analysis program. For companies which have been dropped from MSCI coverage, you
can view historical data through the static data request option in Advance for Office (or
through Data Channel program 900A in DSWindows). Data is displayed up to the end of the
month in which MSCI dropped the stock. If the stock is covered by MSCI at a later date, data
recommences from the new date and is not padded from the last data received.
24
Morgan Stanley Capital International on Datastream
Using MSCI data in the Datastream Research service
Accessing the data
Like all other data on Datastream, you must use a mnemonic or datatype to access MSCI data.
Mnemonics and datatypes for MSCI indices are listed in the Reference section from page 43.
and are also available in the Datastream Navigator, Code Lookup and HELP MSCI?
MSCI datatypes are available for stocks that are constituents of an MSCI index, and for stocks
that are tracked by MSCI as potential constituents.
Select stocks and MSCI datatypes with the Datastream Navigator.
Updates
Index values and stock level data is updated on a daily basis (all times GMT):
Asia Pacific
Developed Europe
North America
Emerging markets & All
Country
World
All Country
Sector indices
Other indices &
constituents
10/40 indices
19:15 (current day)
22:45 (current day)
23:45 (current day)
04:45 (previous day)
18:30 (current day)
22:00 (current day)
23:00 (current day)
04:00 (previous day)
18:30 (current day)
21:30 (current day)
01:30 (previous day)
The above times refer to the times that MSCI normally make the files available to Datastream.
In general, indices are normally updated within 10 to 15 minutes of the above times and
constituent lists relating to each region, are normally available within 30 minutes.
Month-end data, including index valuation ratios, company valuation ratios and All Country
Sector indices are generally available on Datastream by 21:00hrs GMT of the first working day
of the next month.
Issue 5
25
Using MSCI data in the Datastream Research service
MSCI Update program
Use the MSCI program to find out the time when a constituent list was updated, on which date
data was used to build the list, and the number of stocks currently in the list:
•
In Datastream Advance select the View menu then Diagnostics > Show Interactive
Terminal. Type MSCI and press ENTER
•
In DSWindows type MSCI in the Program Number field and press ENTER
You now have three display options:
•
Option 1 displays the countries contained in a particular MSCI regional index. Type the
mnemonic for the regional index or its constituent list to retrieve the details. The data
refers to the current (daily) details.
•
Option 2 displays update times for any MSCI index and its constituent lists. Type the
index mnemonic or constituent list mnemonic to retrieve the details.
•
Option 3 displays update times for MSCI country coverage lists. Type the mnemonic for
the country, for example MSCIVE for Venezuela, to retrieve the details.
Availability
The MSCI program displays information about Developed and Emerging Market data; daily and
monthly details. You may not be able to access all of the data shown on the MSCI program, as
this is determined by your contract with MSCI.
Expert input is available for this program:
For example, at the prompt type:
•
•
MSCI 1MSWRLD$ to obtain the countries contained in the MSCI World region.
MSCI 2MSACWF$ to obtain the update times for the AC World index and its constituent
lists.
•
MSCI 3MSCIJO to obtain the update times for the MSCI Jordan Country coverage lists.
TIME datatype
The TIME datatype works for MSCI indices and MSCI security prices.
To obtain the last date the security price was updated by MSCI, you must use the MSCI Time
Series ID. For example, MS:12345(TIME).
You can find the MSCI Time Series ID by using the MSTSC datatype with any security or
MSCI constituent list.
To check dates and times for current data and the number of equities included in each index:
•
In Datastream Advance select the View menu then Diagnostics > Show Interactive
Terminal. Type MSCI and press ENTER
•
In DSWindows type MSCI in the Program Number field and press ENTER
then select option 2:
26
Morgan Stanley Capital International on Datastream
Using MSCI data in the Datastream Research service
Downloading data from Datastream
Like any other data on Datastream, you can download MSCI data to use in a spreadsheet or
any other application.
The options include:
•
Downloading data against a list at a point in time
•
Downloading history for a single series
•
Using Datastream Advance for Office add-ins to download data directly into Microsoft
Office applications.
•
Batch data delivery using the Datastream Data Loader (DDL)
•
For DSWindows users, using embedded DDE links to download a list of series or stocks,
or using Datastream’s DDE table to manage multiple DDE links.
Datastream’s added value MSCI data includes the provision of a comprehensive code matching
facility, so that any code available on the Datastream system (SEDOL, ISIN, MSCI Time
series code, IBES ticker and so on) can be used to access the stock data. This in turn means
that your download can combine data from the many suppliers that have data on the
Datastream Research service.
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Using MSCI data in the Datastream Research service
Datastream Advance for Office
Datastream Advance for Office is an add-in for Microsoft Office products - Excel, PowerPoint
and Word. It gives you access to Datastream hosted data from within each of these
applications.
This example uses the list for the MSCI Australia index, applying the weightings datatype
WTIDX. You can get the same results by using the following expression to derive the weight
of each constituent within the index:
X(MSVUSD)*X(MSFIF)/MSAUST$(MV)*100
where:
MSVUSD is the market value in U$.
MSFIF is the foreign inclusion factor used to adjust the market value for free float.
MV is the market value for the index.
The example was run using the Datastream Advance for Office add-in from within Microsoft
Excel:
28
Morgan Stanley Capital International on Datastream
Using MSCI data in the Datastream Research service
This example shows how to specify a Datastream Advance for Office static data request to retrieve MSCI’s
Constituent Name, Book value, Current Assets, Current Liabilities and Fixed Assets datatypes for the latest
month-end constituents of the MSCI Singapore index:
The data is downloaded into an Excel spreadsheet:
Issue 5
29
Using MSCI data in the Datastream Research service
Reports
Datastream Advance enables you to analyse share or sector index performance over time. Just
select your chosen series and relative MSCI index, then specify a time period. You can sort the
resulting data twice by choosing any two of these options:
•
Industry group
•
Value at start date
•
Percentage change
•
Value at end date
•
Percentage change adjusted to investor’s currency
•
Percentage change relative to index code
The following report, generated through Datastream Advance, shows the percentage price change of the
constituents of the MSCI Canada index and the percentage change relative to the index. The report has
been sorted into descending order of the relative change.
30
Morgan Stanley Capital International on Datastream
Using MSCI data in the Datastream Research service
Generating a Flexible Format Report
Generating a flexible format report within Datastream Advance enables you to combine series,
datatypes, functions and expressions in a single report. This example includes datatypes for
the MSCI stock name, MSCI country code, MSCI number of shares in issue, the weight of
each stock within the index, and the one month percentage change on Datastream’s stock-level
return index for MSCI North America index. The report is sorted alphabetically by constituent
name:
MSCI stock name
(datatype MSNAME)
MSCI country code
(datatype MSCTRY)
MSCI Number of shares in issue
(datatype MSNOSH)
Issue 5
Stock weighting within the index
(datatype WTIDX).
1 month percentage change on the
Datastream stock level return index,
calculated with the expression:
PCH#(X(RI),1M)
31
Using MSCI data in the Datastream Research service
Retrieving month end data
Datastream Advance enables you to request month end data to be displayed as a monthly
series. Specify the start date to be the end of the first month from which you want the display
to start - Datastream then adds calendar months to obtain the monthly values, having taken
account of weekends:
32
Morgan Stanley Capital International on Datastream
Using MSCI data in the Datastream Research service
Searching
The Datastream Advance Equity Search facility enables you to search across markets for
stocks meeting a wide range of specified criteria. You can save the results of your search for
future use, store search formats you use frequently and easily update them.
You can use many of the MSCI specific datatypes: see Datastream Search datatypes, page 89.
You can combine MSCI datatypes with Datastream, IBES and Worldscope data.
Screen & search MSCI data using Datastream Advance Equity Search
Start by selecting the Equity Search tab at the foot of the Datastream Advance screen, then click on the
New Search… button to start the Datastream Search Wizard and start to build your search criteria:
Use the Wizard to fully define your search criteria, including the sort order and currency:
Issue 5
33
Using MSCI data in the Datastream Research service
… and those equities meeting your criteria are displayed:
34
Morgan Stanley Capital International on Datastream
Using MSCI data in the Datastream Research service
Graphics and functions
Datastream Advance and DSWindows both offer a range of charting options that provide you
with the capability to chart MSCI data in the way that you want. There are twenty pre-defined
formats and a flexible format option. The flexible format option enables you to combine
different styles of chart on a single screen. You can also build your own expressions and use
the full range of statistical functions available to Datastream customers. See the Datastream
Advance User Guide or, for DSWindows users, the Graphics User Guide for full details of our
graphics features. For more information on creating expressions and using functions see
Advance online help or, for DSWindows users, the HELP EX? and HELP FU?channels.
Horizontal bar charts
Use Datastream Advance to plot constituent stock weights for an index as a horizontal bar
chart:
Issue 5
35
Using MSCI data in the Datastream Research service
Flexible graphics formats
You can take advantage of Datastream’s dynamic graphics features to display several graphs
on a single screen, enabling you to analyse a range of data at a glance.
Functions and expressions
Combine MSCI and IBES data with Datastream functions and expressions to produce a graph
of the MSCI World index against the IBES revisions ratio for the index over ten years:
36
Morgan Stanley Capital International on Datastream
Using MSCI data in the Datastream Research service
IBES Global Aggregate mnemonics are available in the Reference section and also on
Thomson Datastream Navigator (search using Name Starts With “IBES MSCI”).
The revisions ratio is a useful indicator of the rolling 12 month forward expectations for the
index. The ratio is the difference between the number of upward and downward 12 month
forward estimates, divided by the total number of 12 month forward estimates. It is positive
when positive expectations exceed negative expectations, and negative when negative
expectations exceed positive.
The expression for the revisions ratio, created in the Datastream Advance Expression Builder,
is:
(((@:M1WRLD(A12UPE)-@:M1WRLD(A12DNE))/@:M1WRLD(A12NE)))*100
Weightings analysis
Whereas other vendors of MSCI data provide pre-formatted weightings reports, Datastream
allows you to develop your own reports either within Datastream or Microsoft Excel. Through
using the Datastream Advance Expression Builder, or program 300A in DSWindows you can
generate your own weightings reports, either using stocks as a percentage weighting of an
index, or country-level or sector indices as a percentage of world and regional indices.
Constituent weights
The datatype WTIDX gives you access to index constituent weights from August 2000. To
obtain constituent weight data before this date use the generic formula:
Χ (MSVUSD ) × Χ (MSFIF )
Index(MV )
where:
MSVUSD is the market value in US Dollars. See page 87 for a definition, under MSVxxx.
MSFIF is the foreign inclusion factor. See page 85 for a definition. Before May 2002,
when MSCI standard indices became based on the enhanced methodology, use the
MSFMCF datatype. See page 85 for a definition.
Index represents the index mnemonic
MV is the market value of the U$ index.
The expressions required to calculate the weights of equities within specific indices have been
set up as Global expressions, available to all Datastream users. Global expressions are listed in
the tables of indices in the Reference section from page 43.
Weights for GDP indices
You can obtain index weights for GDP–weighted indices by using these lists and datatypes:
Mnemonic
Issue 5
List
Datatype
World GDP weighted
MSWGDP$
LMS01$
MSGWW
EAFE GDP weighted
MSFGDP$
LMS07$
MSGWF
Europe 15 GDP weighted
MSEGDP$
LMS12$
MSGWE
EMU GDP weighted
MSUGDP$
LMS52$
MSGWU
37
Using MSCI data in the Datastream Research service
Weightings reports and frequency of update
If you are calculating weightings reports which use MSCI’s index market values as the
denominator you should ensure you retrieve index and stock data for the same date. Retrieving
index and stock data for different dates will typically produce a mismatch between the sum of
the market cap for the stocks in the index and the total as represented by the index market
value. You can run daily weightings reports if the company data reports are more frequent (if
you have daily updates). To ensure the correct weightings values, you should use the sum of
the market values of the underlying constituents as the denominator.
Index market values
Market value for MSCI indices is available on a daily basis.
The market value is always presented in US$ and is only loaded against the dollar version of
the index.
Company market value in any currency
The datatype MSVxxx, where xxx is the 3 character ISO currency code, enables you to
calculate the market value of a company in any currency. These calculations are based on
MSCI’s exchange rates. You will find ISO currency codes and MSCI exchange rate
mnemonics in Country & currency codes, exchange rate mnemonics, country coverage and
total universe lists on page 101.
For example:
ICI(MSVUSD) returns the market value of ICI in US dollars.
U:MWD(MSVEUR) returns the market value of Morgan Stanley Dean Witter in Euros.
To obtain the market value of the stock in local currency, use datatype MSMV.
38
Morgan Stanley Capital International on Datastream
Using MSCI data in the Datastream Research service
Weightings reports - examples
Examples of weightings reports are available from your local Thomson Financial office and
can be downloaded from the Extranet on http://product.datastream.com/extranet
Register for access on: http://www.datastream.com/registration/registfm.htm
Example 1
This weightings report, generated through the Datastream Advance for Office Excel add-in, shows sector
(datatype MSCISN), industry group (MSCIIGN) and industry (MSCIIN), market value (MSMV), stock weight
in the index (WTIDX), and value/growth indicator ((MSGVI) for the constituents of MSCI’s Europe index
(mnemonic LMSEROP), sorted alphabetically by company name:
Issue 5
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Using MSCI data in the Datastream Research service
Example 2
A weightings report showing the Country Weightings of MSCI Developed Markets within MSCI Regional
indices as well as GDP weightings and market value. You can download this report from the Extranet:
Example 3
Weightings and performance information at sector, sub-sector and industry group level, as defined in the
MSCI GICS classification. You can generate charts to represent the information from within the
spreadsheet, and sort on all datatypes in ascending or descending order. You can download this report
from the Extranet:
40
Morgan Stanley Capital International on Datastream
Further information
About MSCI
For a more detailed description of general MSCI methodology - including corporate actions,
dividend treatment, exchange rates and index maintenance - please refer to MSCI Methodology
& Index Policy available from MSCI Client Service.
Further information is also contained on the MSCI web site http://www.msci.com
About Datastream
MSCI data within Datastream Advance and DSWindows
To access an online listing of all stockmarket indices available on the Datastream system:
•
In Datastream Advance, select the Equity indices data category and click the Navigator
button
•
Issue 5
.
In DSWindows type HELP SI? in the Program Finder and press ENTER
41
Further information
Customer publications
All Datastream features and functionality mentioned in this guide are explained in greater
detail in a full suite of customer publications. You can download electronic versions of these
guides as Adobe PDF files from the Datastream Research Support extranet - see Datastream
Research Support extranet, this page, for more information. Alternatively, contact your local
Thomson Financial office. You will find the following guides full of useful information:
•
Datastream Advance Getting Started – a highly visual guide for the novice or occasional
user of this full-functionality Windows application. Available as an Acrobat pdf file with
the product and to download from the support extranet site.
•
Datastream Advance User Guide - a full description of the application. Available as an
Acrobat pdf file with the product and to download from the support extranet site.
•
Datastream Advance for Office User Guide - how to use this interface between the
Datastream host and the Microsoft Office suite. Available as an Acrobat pdf file with the
product and to download from the support extranet site.
•
DSWindows User Guide - how to use Datastream’s original Windows software.
•
Datastream Graphics User Guide - how to create Datastream graphs and charts.
•
Datastream DDE Server User Guide - explains DDE functionality provided by Datastream
for DSWindows users.
•
Datastream Data Channel User Guide - how to download Datastream data using
DSWindows.
•
Datastream Equity Research User Guide - more details on equity specific research
capability.
•
Datastream Definitions - covers functions, expressions and terminology, available as a
Windows help suite.
Datastream Research Support extranet
Available to all customers of the Datastream service, the support extranet provides a wide and
constantly growing range of data to download and associated information, including
enhancements to our MSCI coverage. You can access the extranet at
http://product.datastream.com/extranet
You can register for the extranet at http://www.datastream.com/registration/registfm.htm
A PDF version of this manual is also available on the extranet.
42
Morgan Stanley Capital International on Datastream
Reference
Index mnemonics and base dates 45
Developed Market indices 45
Standard indices
Value indices
Growth indices
Small Cap indices
Emerging Market indices 50
Standard indices
Value indices
Growth indices
All Country indices 52
Standard indices
Value indices
Growth indices
Hedged indices 54
Lists of MSCI indices, exchange rates, and countries covered 55
Constituent indices of Regional and World indices 56
All Country Sector indices: GICS Classification 59
Indices available to all users
Constituent lists
All Country Sector indices separately chargeable
Constituent lists for All Country Sector GICS indices
Hedge Fund indices 68
10/40 indices 69
US Equity indices 71
Global Industrial Classification Standard (GICS) 72
Datatypes 83
Country & currency codes, exchange rate mnemonics, country coverage and total universe lists 101
Proforma list mnemonics 104
MSCI indices: historical changes 105
Implementation of the Free Float Methodology
CII (Industrial Indices) Discontinuation
Changes to Developed/Emerging classifications, standalone indices and market weightings
Small Cap Historical Changes
Discontinuation of Non Free indices
Changes to Total Return datatypes
Renaming of MSCI Emerging Market and All Country indices
Provisional indices based on the removal of the LIF applied to MSCI Taiwan
MSCI quarterly structural changes
Definition of terms for MSCI indices 114
Issue 5
43
Reference
44
Morgan Stanley Capital International on Datastream
Reference
Index mnemonics and base dates
All indices are identified on Datastream by a unique mnemonic. You will find the mnemonics
listed from page 46. They can also be found on the Datastream Navigator, on Code Lookup,
and on Mainframe Help by typing HELP MSCI?
For each index MSCI makes available a range of data in addition to the price index, such as
return index, PE ratio, and dividend yield. To access this data use the MSCI index datatypes
listed on page 84.
To display the base date for an index use the MSCI datatype BDATE with the index mnemonic
in any of the Datastream Equity Research programs.
Issue 5
45
Reference
Developed Market indices
Most MSCI indices are available in both local and US$ terms. Mnemonics are distinguished
by the last character: L indicates local currency, $ indicates US$. You can convert MSCI
indices into other currencies by using the MSCI exchange rates: see page 13 for the formula to
use.
To display stock weightings used in the country and regional indices listed when working with
Datastream charts and reports:
•
For constituent lists prior to August 2000, use the Global Expressions given in the table.
You can find all Global Expressions online in the Datastream Advance Expression Picker
and with program 300A in DSWindows (list Global Formats).
•
For constituent lists from August 2000 forwards, use the weightings datatype WTIDX.
Price index, total and net return data for MSCI developed market indices is freely available to
most Datastream customers. All other data can be accessed by subscribing to MSCI modules:
46
•
MSCI Enhanced index module: valuation ratios plus full history for the indices
•
MSCI Core Developed Market module: valuation ratios and security level data
•
MSCI Core Asia Pacific module: valuation ratios and security level data for Asia Pacific
indices
•
MSCI Core Value and Growth Plus Developed Market module: additional datatypes for
indices and constituents (see page 94 for more information)
•
MSCI Core Value and Growth Plus Asia Pacific Market module: additional datatypes for
indices and constituents for Asia Pacific indices (see page 94 for more information)
Morgan Stanley Capital International on Datastream
Reference
IBES
Global
Aggregate
Developed Market indices
US $
Local
MSFGDP$
-
-
MSUGDP$
MSEGDP$
MSWGDP$
-
-
MSEAFE$
MSEAFC$
MSEAFEL
MSEAFCL
@:M1FEFEM
@:M1EAFEC
EAFE + Malaysia
EAFE ex UK
EAFE Free
EASEA (EAFE ex Japan)
EMEA
EMU
MSEAFM$
MSAXUK$
MSEAFR$
MSEAXJ$
MSEMAF$
MSEMUI$
MSEAFML
MSAXUKL
MSEAFRL
MSEAXJL
MSEMAFL
MSEUMIL
EMU ex Austria
EMU ex Belgium
EMU ex Finland
EMU ex France
EMU ex Germany
EMU ex Greece
EMU ex Ireland
MSMXOE$
MSMXBG$
MSMXFN$
MSMXFR$
MSEMXG$
MSEMGD$
MSMXIR$
MSMXOEL
MSMXBGL
MSMXFNL
MSMXFRL
MSEMXGL
MSEMGDL
MSMXIRL
EMU ex Italy
EMU ex Netherlands
EMU ex Portugal
EMU ex Spain
EMU + UK
Euro
MSMXIT$
MSMXNL$
MSMXPT$
MSMXES$
MSEMUK$
MSEURI$
MSMXITL
MSMXNLL
MSMXPTL
MSMXESL
MSEMUKL
MSEURIL
Pan Euro
Europe
European Union
Europe ex Austria
Europe ex Belgium
MSPEUR$
MSEROP$
MSECOM$
MSEXOE$
MSEXBG$
MSPEURL
MSEROPL
MSECOML
MSEXOEL
MSEXBGL
GDP Weighted
EAFE GDP weighted
EMU GDP weighted
Europe 15 GDP weighted
World GDP weighted
Regions
EAFE
EAFE + Canada
Issue 5
Global
Expression
Value
Growth
Small Cap
for stock weights
see page 46
US $
Local
US $
Local
US $
Local
605E
616E
MSVEAF$
MSVEFC$
MSVEAFL
MSVEFCL
MSGEAF$
MSGEFC$
MSGEAFL
MSGEFCL
MSSEAF$
MSSEFC$
MSSEAFL
MSSEFCL
@:M1EAFEU
@:M1EAFE
@:M1EASEA
888E
615E
606E
624E
MSVEAX$
MSVEFF$
MSVEAS$
MSVEAXL
MSVEFFL
MSVEASL
MSGEAX$
MSGEFF$
MSGEAS$
MSGEAXL
MSGEFFL
MSGEASL
MSSEFX$
MSSEFXL
MSSEAS$
MSSEASL
@:M1EMU
866E
MSVEMU$
MSVEMUL
MSGEMU$
MSGEMUL
MSSEMU$
MSSEMUL
@:M1EMUXG
942E
943E
944E
945E
984E
MSVEUR$
MSVEEU$
MSVEURL
MSVEEUL
MSGEUR$
MSGEEU$
MSGEURL
MSGEEUL
MSSUER$
MSSUERL
946E
@:MKMSCI
@:MUNSCI
@:M1EROP
@:M1ECOM
947E
948E
949E
941E
974E
936E
937E
608E
950E
951E
47
Reference
IBES
Global
Aggregate
Developed Market indices
48
Global
Expression
Value
Growth
Small Cap
for stock weights
see page 46
US $
Local
Europe ex Denmark
Europe ex EMU
MSEXDK$
MSEXEM$
MSEXDKL
MSEXEML
Europe ex Finland
Europe ex France
Europe ex Germany
Europe ex Greece
Europe ex Ireland
Europe ex Italy
Europe ex Netherlands
MSEXFN$
MSEXFR$
MSEXBD$
MSEXGD$
MSEXIR$
MSEXIT$
MSEXNL$
MSEXFNL
MSEXFRL
MSEXBDL
MSEXGDL
MSEXIRL
MSEXITL
MSEXNLL
953E
954E
955E
Europe ex Norway
Europe ex Portugal
Europe ex Spain
Europe ex Sweden
Europe ex Switzerland
Europe ex UK
MSEXNO$
MSEXPT$
MSEXES$
MSEXSD$
MSEXSW$
MSEXUK$
MSEXNOL
MSEXPTL
MSEXESL
MSEXSDL
MSEXSWL
MSEXUKL
962E
958E
959E
960E
@:M1EURXU
617E
Europe ex UK ex Switzerland
Far East
Far East Free
G7
Kokusai index (World ex Japan)
Kokusai index + Malaysia
Nordic Countries
MSEXSU$
MSFARE$
MSFARF$
MSCIG7$
MSWXJP$
MSKPMY$
MSNORD$
MSEXSUL
MSFAREL
MSFARFL
MSCIG7L
MSWXJPL
MSKPMYL
MSNORDL
@:M1ERXUS
@:M1FARF
@:M1FARE
@:G7MSCI
@:M1KOKUS
985E
622E
623E
969E
614E
873E
610E
North America
Pacific
Pacific + Malaysia
Pacific ex Japan
Pacific Free
Pacific Free ex Japan
MSNAMR$
MSPACF$
MSPCPM$
MSPXJP$
MSPCFF$
MSPXJF$
MSNAMRL
MSPACFL
MSPCPML
MSPXJPL
MSPCFFL
MSPXJFL
@:M1NAMER
@:M1PACF
Pacific Free ex Japan + Malaysia Free
World
World + Malaysia
World ex Australia
World ex Europe
MSPJMF$
MSWRLD$
MSWDPM$
MSWXAU$
MSWXEU$
MSPJMFL
MSWRLDL
MSWDPML
MSWXAUL
MSWXEUL
US $
Local
US $
Local
US $
Local
MSVEUX$
MSVEUXL
MSGEUX$
MSGEUXL
MSSEX£$
MSSEX£L
MSVFAR$
MSVFEF$
MSVFARL
MSVFEFL
MSGFAR$
MSGFEF$
MSGFARL
MSGFEFL
MSSFAR$
MSSFARL
MSVKOK$
MSVKOKL
MSGKOK$
MSGKOKL
MSSKOK$
MSSKOKL
MSVNRD$
MSVNRDL
MSGNRD$
MSGNRDL
MSSNRD$
MSSNRDL
MSVNAM$
MSVPAC$
MSVNAML
MSVPACL
MSGNAM$
MSGPAC$
MSGNAML
MSGPACL
MSSNAM$
MSSPAC$
MSSNAML
MSSPACL
MSVPCX$
MSVPCF$
MSVPFX$
MSVPCXL
MSVPCFL
MSVPFXL
MSGPCX$
MSGPCF$
MSGPFX$
MSGPCXL
MSGPCFL
MSGPFXL
MSSPXJ$
MSSPXJL
MSVWLD$
MSVWLDL
MSGWLD$
MSGWLDL
MSSWLD$
MSSWLDL
MSVWAU$
MSVWAUL
MSGWAU$
MSGWAUL
MSSWXA$
MSSWXAL
952E
@:EEMSCI
961E
956E
957E
@:M1NORD
@:M1PCXJF
@:M1PAC
@:M1PACXJ
@:M1WLDF
@:WAMSCI
@:WCMSCI
604E
618E
877E
620E
619E
621E
879E
602E
889E
613E
Morgan Stanley Capital International on Datastream
Reference
IBES
Global
Aggregate
Developed Market indices
Issue 5
Global
Expression
Value
Growth
Small Cap
for stock weights
see page 46
US $
Local
World ex Japan
World ex UK
MSWXJP$
MSWXUK$
MSWXJPL
MSWXUKL
@:M1KOKUS
@:M1WLDXU
614E
612E
US $
Local
US $
Local
US $
Local
World ex USA
World Free
World ex EMU
MSWXUS$
MSWLDF$
MSWEMU$
MSWXUSL
MSWLDFL
MSWEMUL
@:M1WLDXA
@:M1WRLD
@:W1MSCI
611E
603E
938E
MSVWUK$
MSVWUKL
MSGWUK$
MSGWUKL
MSSWX£$
MSSWX£L
MSVWUS$
MSVWLF$
MSVWUSL
MSVWLFL
MSGWUS$
MSGWLF$
MSGWUSL
MSGWLFL
MSSWX$$
MSSWXLL
Australia
Austria
Belgium
MSAUST$
MSASTR$
MSBELG$
MSAUSTL
MSASTRL
MSBELGL
@:AUMSCIP
@:OEMSCIP
@:BGMSCIP
625E
626E
627E
MSVAUS$
MSVAST$
MSVBEL$
MSVAUSL
MSVASTL
MSVBELL
MSGAUS$
MSGAST$
MSGBEL$
MSGAUSL
MSGASTL
MSGBELL
MSSAUS$
MSSAST$
MSSBEL$
MSSAUSL
MSSASTL
MSSBELL
Canada
Denmark
Finland
France
Germany
Greece
MSCNDA$
MSDNMK$
MSFIND$
MSFRNC$
MSGERM$
MSGDEE$
MSCNDAL
MSDNMKL
MSFINDL
MSFRNCL
MSGERML
MSGDEEL
@:CNMSCIP
@:DKMSCIP
@:FNMSCIP
@:FRMSCIP
@:BDMSCIP
@:GRMSCIP
628E
629E
630E
631E
632E
361E
MSVCAN$
MSVDEN$
MSVFIN$
MSVFRA$
MSVGER$
MSVGDE$
MSVCANL
MSVDENL
MSVFINL
MSVFRAL
MSVGERL
MSVGDEL
MSGCAN$
MSGDEN$
MSGFIN$
MSGFRA$
MSGGER$
MSGGDE$
MSGCANL
MSGDENL
MSGFINL
MSGFRAL
MSGGERL
MSGGDEL
MSSCAN$
MSSDEN$
MSSFIN$
MSSFRA$
MSSGER$
MSSCANL
MSSDENL
MSSFINL
MSSFRAL
MSSGERL
Hong Kong
Ireland
Italy
Japan
Netherlands
New Zealand
Norway
MSHGKG$
MSEIRE$
MSITAL$
MSJPAN$
MSNETH$
MSNZEA$
MSNWAY$
MSHGKGL
MSEIREL
MSITALL
MSJPANL
MSNETHL
MSNZEAL
MSNWAYL
@:HKMSCIP
@:IRMSCIP
@:ITMSCIP
@:JPMSCIP
@:NLMSCIP
@:NZMSCIP
@:NWMSCIP
633E
634E
635E
636E
639E
640E
641E
MSVHNG$
MSVIRE$
MSVITL$
MSVJAP$
MSVNET$
MSVNEW$
MSVNOR$
MSVHNGL
MSVIREL
MSVITLL
MSVJAPL
MSVNETL
MSVNEWL
MSVNORL
MSGHNG$
MSGIRE$
MSGITL$
MSGJAP$
MSGNET$
MSGNEW$
MSGNOR$
MSGHNGL
MSGIREL
MSGITLL
MSGJAPL
MSGNETL
MSGNEWL
MSGNORL
MSSHNG$
MSSIRE$
MSSITL$
MSSJAP$
MSSNTH$
MSSNEW$
MSSNOR$
MSSHNGL
MSSIREL
MSSITLL
MSSJAPL
MSSNTHL
MSSNEWL
MSSNORL
Portugal
Singapore
Singapore Free
Spain
Sweden
Switzerland
MSPORD$
MSSING$
MSSNGF$
MSSPAN$
MSSWDN$
MSSWIT$
MSPORDL
MSSINGL
MSSNGFL
MSSPANL
MSSWDNL
MSSWITL
@:PTMSCIP
@:SGMSCIP
@:SFMSCIP
@:ESMSCIP
@:SDMSCIP
@:SWMSCIP
682E
642E
643E
644E
645E
646E
MSVPOR$
MSVSNG$
MSVSNF$
MSVSPA$
MSVSWD$
MSVSWT$
MSVPORL
MSVSNGL
MSVSNFL
MSVSPAL
MSVSWDL
MSVSWTL
MSGPOR$
MSGSNG$
MSGSNF$
MSGSPA$
MSGSWD$
MSGSWT$
MSGPORL
MSGSNGL
MSGSNFL
MSGSPAL
MSGSWDL
MSGSWTL
MSSPOT$
MSSSIN$
MSSPOTL
MSSSINL
MSSESP$
MSSSWD$
MSSSWT$
MSSESPL
MSSSWDL
MSSSWTL
UK
USA
MSUTDK$
MSUSAM$
MSUTDKL
MSUSAML
@:UKMSCIP
@:USMSCIP
647E
648E
MSVUKN$
MSVUSA$
MSVUKNL
MSVUSAL
MSGUKN$
MSGUSA$
MSGUKNL
MSGUSAL
MSSUKD$
MSSUSA$
MSSUKDL
MSSUSAL
49
Reference
Emerging Market indices
Most MSCI Emerging Market indices are available in both local and US$ terms. Mnemonics
are distinguished by the last character: L indicates local currency, $ indicates US$. You can
convert MSCI indices into other currencies by using the MSCI exchange rates: see MSCI
exchange rates and currency conversion page 13 for the formula to use.
To display stock weightings used in the country and regional indices listed when working with
Datastream charts and reports:
•
For constituent lists prior to August 2000, use the Global Expressions given in the table.
You can find all Global Expressions online in the Datastream Advance Expression Picker
and with program 300A in DSWindows (list Global Formats).
•
For constituent lists from August 2000 forwards, use the weightings datatype WTIDX.
Price index and total return data for MSCI emerging market indices is freely available to most
Datastream customers. All other data can be accessed by subscribing to MSCI modules:
50
•
MSCI Enhanced index module: valuation ratios plus full history for the indices
•
MSCI Core Emerging Market module: valuation ratios and security level data
•
MSCI Core Asia Pacific module: valuation ratios and security level data for Asia Pacific
indices
•
MSCI Core Value and Growth Plus Developed Market module: additional datatypes for
indices and constituents. See Value and Growth Index datatypes and Value and Growth
Constituent datatypes, page 94 for more information.
•
MSCI Core Value and Growth Plus Asia Pacific Market module: additional datatypes for
indices and constituents for Asia Pacific indices. See Value and Growth Index datatypes
and Value and Growth Constituent datatypes, page 94 for more information.
Morgan Stanley Capital International on Datastream
Reference
IBES
Global
Aggregate
Emerging Market indices
US $
Local
Regions
EMEA
EM (Emerging Markets)
MSEMAF$
MSEMKF$
MSEMAFL
MSEMKFL
@:M2EMG
EM Asia
EM ex Asia
EM Far East
EAFE and EM
EM Latin America
EM Europe
EM Eastern Europe
MSEMFA$
MSEMXA$
MSEFFE$
MSEEMF$
MSEFLA$
MSEEUR$
MSEEEU$
MSEMFAL
MSEMXAL
MSEFFEL
MSEEMFL
MSEFLAL
MSEEURL
MSEEEUL
@:M2ASIA
EM Europe & Middle East
Golden Dragon
Zhong Hua
MSEMEA$
MSGDRA$
MSZHON$
Countries
Argentina
Global
Expression
Value
Growth
for stock weights
see page 50
US $
Local
US $
Local
690E
MSVEMF$
MSVEMFL
MSGEMF$
MSGEMFL
MSVEMA$
MSVEMAL
MSGEMA$
MSGEMAL
@:M2FARE
@:M1EAFEE
@:M2LATAM
@:M2EUR
@:M2EEUR
692E
983E
650E
652E
654E
853E
854E
MSVEFE$
MSVEEF$
MSVELT$
MSVERU$
MSVEER$
MSVEFEL
MSVEEFL
MSVELTL
MSVERUL
MSVEERL
MSGEFE$
MSGEEF$
MSGELT$
MSGERU$
MSGEER$
MSGEFEL
MSGEEFL
MSGELTL
MSGERUL
MSGEERL
MSEMEAL
MSGDRAL
MSZHONL
@:M2EURME
@:GDMSCI
@:ZHMSCI
656E
995E
996E
MSVEME$
MSVGDR$
MSVZHO$
MSVEMEL
MSVGDRL
MSVZHOL
MSGEME$
MSGGDR$
MSGZHO$
MSGEMEL
MSGGDRL
MSGZHOL
MSARGT$
MSARGTL
@:ARMSCIP
657E
MSVARG$
MSVARGL
MSGARG$
MSGARGL
Brazil
Chile
China
Colombia
Czech Republic
Egypt
Hungary
MSBRAZ$
MSCHIL$
MSCHIN$
MSCOLM$
MSCZCH$
MSEGYT$
MSHUNG$
MSBRAZL
MSCHILL
MSCHINL
MSCOLML
MSCZCHL
MSEGYTL
MSHUNGL
@:BRMSCIP
@:CLMSCIP
@:CHMSCIP
@:CBMSCIP
@:CZMSCIP
@:EYMSCIP
@:HNMSCIP
658E
660E
661E
664E
659E
932E
667E
MSVBRA$
MSVCHL$
MSVCHF$
MSVCOL$
MSVCZK$
MSVEGY$
MSVHUN$
MSVBRAL
MSVCHLL
MSVCHFL
MSVCOLL
MSVCZKL
MSVEGYL
MSVHUNL
MSGBRA$
MSGCHL$
MSGCHF$
MSGCOL$
MSGCZK$
MSGEGY$
MSGHUN$
MSGBRAL
MSGCHLL
MSGCHFL
MSGCOLL
MSGCZKL
MSGEGYL
MSGHUNL
India
Indonesia
Israel
Israel Domestic
Israel Non-Domestic
Jordan
MSINDI$
MSINDF$
MSISRA$
MSISRD$
MSISND$
MSJORD$
MSINDIL
MSINDFL
MSISRAL
MSISRDL
MSISNDL
MSJORDL
@:INMSCIP
@:IDMSCIP
@:ISMSCIP
@:ISMSCID
@:ISMSCIN
@:JOMSCIP
668E
931E
670E
671E
672E
673E
MSVINI$
MSVINF$
MSVISR$
MSVINIL
MSVINFL
MSVISRL
MSGINI$
MSGINF$
MSGISR$
MSGINIL
MSGINFL
MSGISRL
MSVJOR$
MSVJORL
MSGJOR$
MSGJORL
Korea
Malaysia
Mexico
Morocco
Pakistan
Peru
Philippines
MSKORE$
MSMALF$
MSMEXF$
MSMORC$
MSPAKI$
MSPERU$
MSPHLF$
MSKOREL
MSMALFL
MSMEXFL
MSMORCL
MSPAKIL
MSPERUL
MSPHLFL
@:KOMSCIP
@:MYMSCIP
@:MXMSCIP
@:MCMSCIP
@:PKMSCIP
@:PEMSCIP
@:PHMSCIP
674E
917E
676E
933E
677E
678E
680E
MSVKOR$
MSVMFE$
MSVMXF$
MSVMOR$
MSVPAK$
MSVPER$
MSVPHF$
MSVKORL
MSVMFEL
MSVMXFL
MSVMORL
MSVPAKL
MSVPERL
MSVPHFL
MSGKOR$
MSGMFE$
MSGMXF$
MSGMOR$
MSGPAK$
MSGPER$
MSGPHF$
MSGKORL
MSGMFEL
MSGMXFL
MSGMORL
MSGPAKL
MSGPERL
MSGPHFL
Poland
Russia
South Africa
Sri Lanka
Taiwan
Thailand
MSPLND$
MSRUSS$
MSSARF$
MSSRIL$
MSTAIW$
MSTHAF$
MSPLNDL
MSRUSSL
MSSARFL
MSSRILL
MSTAIWL
MSTHAFL
@:POMSCIP
@:RSMSCIP
@:SAMSCIP
@:CYMSCIP
@:TAMSCIP
@:THMSCIP
681E
855E
684E
685E
686E
916E
MSVPOL$
MSVRUS$
MSVSAF$
MSVSRI$
MSVTAI$
MSVTHF$
MSVPOLL
MSVRUSL
MSVSAFL
MSVSRIL
MSVTAIL
MSVTHFL
MSGPOL$
MSGRUS$
MSGSAF$
MSGSRI$
MSGTAI$
MSGTHF$
MSGPOLL
MSGRUSL
MSGSAFL
MSGSRIL
MSGTAIL
MSGTHFL
Turkey
Venezuela
MSTURK$
MSVENF$
MSTURKL
MSVENFL
@:TKMSCIP
@:VEMSCIP
688E
689E
MSVTUR$
MSVVEN$
MSVTURL
MSVVENL
MSGTUR$
MSGVEN$
MSGTURL
MSGVENL
Note: You can use the WTIDX datatype for stock weights in historical lists created from August 2000 onwards.
Use the global expressions listed in this table for historical lists created before August 2000.
Issue 5
51
Reference
All Country indices
All Country indices are composite Developed and Emerging Market indices.
Most MSCI All Country indices are available in both local and US$ terms. Mnemonics are
distinguished by the last character: L indicates local currency, $ indicates US$. You can
convert MSCI indices into other currencies by using the MSCI exchange rates: see MSCI
exchange rates and currency conversion page 13 for the formula to use.
To display stock weightings used in the country and regional indices listed when working with
Datastream charts and reports:
•
For constituent lists prior to August 2000, use the Global Expressions given in the table.
You can find all Global Expressions online in the Datastream Advance Expression Picker
and with program 300A in DSWindows (list Global Formats).
•
For constituent lists from August 2000 forwards, use the weightings datatype WTIDX.
Price index and total return data for MSCI all country indices is freely available to most
Datastream customers. All other data can be accessed by subscribing to MSCI modules:
52
•
MSCI Enhanced index module: valuation ratios plus full history for the indices
•
MSCI Core Emerging Market and MSCI Core Developed Market modules: valuation
ratios and security level data
•
MSCI Core Value and Growth Plus Developed and Emerging Market modules: additional
datatypes for indices and constituents. See Value and Growth Index datatypes and Value
and Growth Constituent datatypes, page 94 for more information.
Morgan Stanley Capital International on Datastream
Reference
IBES
Global
Aggregate
MSCI All Country indices
AC Americas
AC Asia
AC Asia ex Japan
AC Asia Pacific
AC Asia Pacific ex Japan
AC Europe
AC Europe & Middle East
AC Far East
AC Far East ex Japan
AC Far East Ex Japan Ex HK
AC Pacific
AC Pacific ex Japan
AC Pacific Ex Japan Ex HK
AC World
AC World ex Australia
AC World ex EMU
AC World ex Europe
AC World ex Japan
AC World ex Switzerland
AC World ex UK
AC World ex USA
AC World ex USA + Malaysia
US $
Local
MSCMAF$
MSAASF$
MSASXJ$
MSAAPF$
MSAFXJ$
MSEURO$
MSAEME$
MSCFEF$
MSCXJF$
MSCFHF$
MSCPAF$
MSPFXJ$
MSCPHF$
MSACWF$
MSWFXA$
MSCFXU$
MSCFXE$
MSWKXJ$
MSACXS$
MSWFUK$
MSWFXU$
MSWFUM$
MSCMAFL
MSAASFL
MSASXJL
MSAAPFL
MSAFXJL
MSEUROL
MSAEMEL
MSCFEFL
MSCXJFL
MSCFHFL
MSCPAFL
MSPFXJL
MSCPHFL
MSACWFL
MSWFXAL
MSCFXUL
MSCFXEL
MSWKXJL
MSACXSL
MSWFUKL
MSWFXUL
MSWFUML
@:AMMSCI
Global
Expression
Growth
for stock weights
see page 52
@:CPMSCI
@:PNMSCI
986E
970E
785E
887E
787E
607E
975E
788E
790E
987E
988E
786E
@:M3WRLD
@:OAMSCI
@:WIMSCI
@:OEMSCI
@:WJMSCI
792E
977E
991E
992E
993E
@:IKMSCI
@:WUMSCI
978E
794E
875E
@:SJMSCI
@:APMSCI
@:IJMSCI
@:M3EROP
@:CMMSCI
@:CTMSCI
@:M3FEXJ
Value
US $
Local
US $
Local
MSVAMF$
MSVAMFL
MSGAMF$
MSGAMFL
MSVAFJ$
MSVAFJL
MSGAFJ$
MSGAFJL
MSVAPX$
MSVERP$
MSVAPXL
MSVERPL
MSGAPX$
MSGERP$
MSGAPXL
MSGERPL
MSVAFE$
MSVAFX$
MSVAF2$
MSVASP$
MSVAJP$
MSVAJH$
MSVAWF$
MSVAFEL
MSVAFXL
MSVAF2L
MSVASPL
MSVAJPL
MSVAJHL
MSVAWFL
MSGAFE$
MSGAFX$
MSGAF2$
MSGASP$
MSGAJP$
MSGAJH$
MSGAWF$
MSGAFEL
MSGAFXL
MSGAF2L
MSGASPL
MSGAJPL
MSGAJHL
MSGAWFL
MSVWFJ$
MSVWFJL
MSGWFJ$
MSGWFJL
MSVWFU$
MSVWFUL
MSGWFU$
MSGWFUL
Note: You can use the WTIDX datatype for stock weights in historical lists created from August 2000 onwards.
Use the global expressions listed in this table for historical lists created before August 2000.
Issue 5
53
Reference
Hedged indices
MSCI Hedged indices are available in US Dollars, UK Pounds, Japanese Yen, Euro, and
Australian Dollar. Mnemonics are distinguished by the last character:
•
US Dollar: $
•
UK Pound: £
•
Japanese Yen: Y
•
Euro: E
•
Australian Dollar: A
•
Euro denominated series start from 26th February 1999
•
Irish series (except euro) start from 30th April 1993
•
Portuguese series (except euro) start from 28th November 1997
•
All other series start from 31st December 1987
Start dates
MSCI Hedged indices
Mnemonic
US$
54
Mnemonic
US$
Regions
EAFE
EAFE & Canada
EAFE excl. UK
EASEA index
EMU
MSHEAF$
MSHEAC$
MSHEXK$
MSHEAS$
MSHEMU$
Countries
Australia
Austria
Belgium
Canada
Denmark
Europe
Europe excl. UK
Far East
Kokusai index
Nordic Countries
North America
MSHEUR$
MSHEXU$
MSHFES$
MSHKOK$
MSHNOR$
MSHNAM$
Finland
France
Germany
Hong Kong
Ireland
Italy
MSHFIN$
MSHFRN$
MSHGER$
MSHHKD$
MSHIRE$
MSHITL$
Pacific
Pacific excl. Japan
World index
World index excl. UK
World index excl. US
MSHPAC$
MSHPXJ$
MSHWLD$
MSHWXK$
MSHWXS$
Japan
Netherlands
New Zealand
Norway
Portugal
Singapore
Spain
MSHJAP$
MSHNTH$
MSHNZD$
MSHNWY$
MSHPOT$
MSHSGD$
MSHESP$
Sweden
Switzerland
UK
USA
MSHSWD$
MSHCHF$
MSHUKD$
MSHUSA$
MSHAUT$
MSHAST$
MSHBEL$
MSHCAN$
MSHDEN$
Morgan Stanley Capital International on Datastream
Reference
Lists of MSCI indices, exchange rates, and countries covered
These lists offer a quick way of retrieving the MSCI country indices that comprise an MSCI regional index. You will also find useful lists of all MSCI exchange
rates and lsists covering the indices that make up the MSCI All Country Sector indices.
List
mnemonic
Description
Lists of Developed Market indices
LMSDV$
Constituent indices in $ Terms
Constituent indices
Australia, Austria, Belgium, Canada, Denmark, EAFE, EAFE & Canada, EAFE Free, EAFE ex UK, EASEA, Europe 16, European Union, Europe ex UK,
Far East, Far East Free, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Nordic, North America, Norway,
Pacific, Pacific ex Japan, Pacific Free, Pacific Free ex Japan, Portugal, Singapore, Singapore Free, Spain, Sweden, Switzerland, United Kingdom,
United States, World, World ex Australia, World ex Europe, World ex Japan, World ex UK, World ex USA, World Free
LMSDVL
Constituent indices in Local Terms
Australia, Austria, Belgium, Canada, Denmark, EAFE, EAFE & Canada, EAFE Free, EAFE ex UK, EASEA, Europe 16, European Union, Europe ex UK,
Far East, Far East Free, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Nordic, North America, Norway,
Pacific, Pacific ex Japan, Pacific Free, Pacific Free ex Japan, Portugal, Singapore, Singapore Free, Spain, Sweden, Switzerland, United Kingdom,
United States, World, World ex Australia, World ex Europe, World ex Japan, World ex UK, World ex USA, World Free
LMSHD$
Developed Market Hedged indices
Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway, Portugal,
Singapore, Spain, Sweden, Switzerland, United Kingdom, United States
Lists of Emerging Market indices
LMSEM$
Constituent indices in $ Terms
All Country Europe, Argentina, Brazil, Chile, China, Colombia, Czech Republic, EAFE & EM, EAFE & EMG, Egypt, EM Eastern Europe, EM Europe,
EM Europe & Middle East, EM, EM Asia, EM Far East, EM Latin America, Hungary, India, Indonesia, Israel, Israel Domestic, Israel Non-Domestic, Jordan,
Korea, EM Malaysia, EM Malaysia, Mexico, Mexico, Morocco, Pakistan, Peru, Philippines, Philippines, Poland, Russia,
South Africa, Sri Lanka, Taiwan, Thailand, Turkey, Venezuela
LMSEML
Constituent indices in Local Terms
All Country Europe, Argentina, Brazil, Chile, China, Colombia, Czech Republic, EAFE & EMF, EAFE & EMG, Egypt, EM Eastern Europe, EM Europe,
EM Europe & Middle East, EMF, EMF Asia, EMF Far East, EMF Latin America, Hungary, India, Indonesia, Israel, Israel Domestic, Israel Non-Domestic,
Jordan, Korea, EM Malaysia, Mexico, Morocco, Pakistan, Peru, Philippines, Poland, Russia, South Africa, Sri Lanka, Taiwan, Thailand, Turkey, Venezuela
Lists of All Country indices
LMSAC$
LMSACL
Lists of MSCI
MGWRLD
MGACWI
MGEROP
Constituent indices in $ Terms
Constituent indices in Local Terms
All Country Sector indices
GICS World US$
GICS ACWIF US$
GICS Europe US$
MGEMUI
GICS EMU US$
MGEMKF
GICS EMF US$
List of MSCI exchange rates
LMSER$
All MSCI exchange rates
Issue 5
All country and regional indices of Developed Markets and Emerging Markets
All country and regional indices of Developed Markets and Emerging Markets
All World GICS sector indices
All ACWIF GICS sector indices
All Europe GICS sector indices
All EMU GICS sector indices
All EMF GICS sector indices
List of countries covered
LMS33$
All countries covered by MSCI
55
Reference
Constituent indices of Regional and World indices
Description
All Country
Americas
Index
mnemonic
List
mnemonic
Argentina, Brazil, Canada, Chile, Colombia, Mexico, Peru, United States, Venezuela
MSCMAF$
MSCMAF
China, Hong Kong, India, Indonesia, Japan, Korea, Malaysia, Pakistan, Philippines, Singapore, Sri Lanka, Taiwan, Thailand
MSAAF$
MSAASF
Asia ex Japan
China, Hong Kong, India, Indonesia, Korea, Malaysia, Pakistan, Philippines, Singapore, Taiwan, Thailand
MSASXJ$
MSASXJ
Asia Pacific ex Japan
Australia, China, Hong Kong, India, Indonesia, Korea, Malaysia, New Zealand, Pakistan, Philippines, Singapore, Taiwan, Thailand
MSAFXJ$
MSAFXJ
Europe
Austria, Belgium, Czech Republic, Denmark, Finland, France, Germany, Greece, Hungary, Ireland, Italy, Netherlands, Norway, Poland, Portugal,
Russia, Spain, Sweden, Switzerland, Turkey, United Kingdom
MSEURO$
MSEURO
Europe + Middle East
Austria, Belgium, Czech Republic, Denmark, Finland, France, Germany, Greece, Hungary, Ireland, Israel, Italy, Jordan, Netherlands, Norway, Poland,
Portugal, Russia, Spain, Sweden, Switzerland, Turkey, United Kingdom
MSAEME$
MSAEME
Far East ex Japan
China, Hong Kong, Indonesia, Korea, Malaysia, Philippines, Singapore, Taiwan, Thailand
MSCXJF$
MSCXJF
Far East
China, Hong Kong, Indonesia, Japan, Korea, Philippines, Singapore, Taiwan, Thailand
MSCFEF$
MSCFEF
Pacific ex Japan
Australia, China, Hong Kong, Indonesia, Korea, Malaysia, New Zealand, Philippines, Singapore, Taiwan, Thailand
MSPFXJ$
MSPFXJ
World
Argentina, Australia, Austria, Belgium, Brazil, Canada, Chile, China, Colombia, Czech Republic, Denmark, Egypt, Finland, France, Germany, Greece,
Hong Kong, Hungary, India, Indonesia, Ireland, Israel, Italy, Japan, Jordan, Korea, Malaysia, Mexico, Morocco, Netherlands, New Zealand, Norway,
Pakistan, Peru, Philippines, Poland, Portugal, Russia, Singapore, South Africa, Spain, Sweden, Switzerland, Taiwan, Thailand, Turkey, United
Kingdom, United States, Venezuela
MSACWF$
MSACWF
World ex Japan
Argentina, Australia, Austria, Belgium, Brazil, Canada, Chile, China, Colombia, Czech Republic, Denmark, Egypt, Finland, France, Germany, Greece, MSWKXJ$
Hong Kong, Hungary, India, Indonesia, Ireland, Israel, Italy, Jordan, Korea, Malaysia, Mexico, Morocco, Netherlands, New Zealand, Norway, Pakistan,
Peru, Philippines, Poland, Portugal, Russia, Singapore, South Africa, Spain, Sweden, Switzerland, Taiwan, Thailand, Turkey, United Kingdom, United
States, Venezuela
MSWKXJ
World ex US
Argentina, Australia, Austria, Belgium, Brazil, Canada, Chile, China, Colombia, Czech Republic, Denmark, Egypt, Finland, France, Germany, greece,
Hong Kong, Hungary, India, Indonesia, Ireland, Israel, Italy, Japan, Jordan, Korea, Malaysia, Mexico, Morocco, Netherlands, New Zealand, Norway,
Pakistan, Peru, Philippines, Poland, Portugal, Russia, Singapore, South Africa, Spain, Sweden, Switzerland, Taiwan, Thailand, Turkey, United
Kingdom, Venezuela
MSWFXU$
MSWFXU
Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway,
Portugal, Singapore, Spain, Sweden, Switzerland, United Kingdom
MSEAFE$
MSEAFE
EAFE & Canada
Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand,
Norway, Portugal, Singapore, Spain, Sweden, Switzerland, United Kingdom
MSEAFC$
MSEAFC
EAFE ex UK
Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway,
Portugal, Singapore, Spain, Sweden, Switzerland
MSAXUK$
MSAXUK
EAFE Free
Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway,
Portugal, Singapore, Spain, Sweden, Switzerland, United Kingdom
MSEAFR$
MSEAFR
Asia
Developed Markets
EAFE (Europe, Australasia,
Far East)
56
Constituent indices
Morgan Stanley Capital International on Datastream
Reference
Description
Constituent indices
Developed Markets continued
EASEA (EAFE ex Japan)
Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Netherlands, New Zealand, Norway, Portugal,
Singapore Free, Spain, Sweden, Switzerland, United Kingdom
Index
mnemonic
List
mnemonic
MSEAXJ$
MSEAXJ
EMU
Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, Spain
MSEMU
MSEMUI
Europe 16
Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Norway, Portugal, Spain, Sweden, Switzerland, United
Kingdom
MSEROP$
MSEROP
Europe ex UK
Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Norway, Portugal, Spain, Sweden, Switzerland
MSEXUK$
MSEXUK
European Union
Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, Spain, Sweden, United Kingdom
MSECOM$
MSECOM
Far East
Hong Kong, Japan, Singapore
MSFARE$
MSFARE
Far East Free
Hong Kong, Japan, Singapore Free,
MSFARF$
MSFARF
G7
Canada, France, Germany, Italy, Japan, United Kingdom, United States
MSCIG7$
MSCIG7
Nordic
Denmark, Finland, Norway, Sweden
MSNORD$
MSNORD
North America
Canada, United States
MSNAMR$
MSNAMR
Pacific
Australia, Hong Kong, Japan, New Zealand, Singapore
MSPACF$
MSPACF
Pacific ex Japan
Australia, Hong Kong, New Zealand, Singapore
MSPXJP$
MSPXJP
Pacific Free
Australia, Hong Kong, Japan, New Zealand, Singapore Free
MSPCFF$
MSPCFF
Pacific Free ex Japan
Australia, Hong Kong, New Zealand, Singapore Free
MSPXJF$
MSPXJF
World
Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand,
Norway, Portugal, Singapore, Spain, Sweden, Switzerland, United Kingdom, United States
MSWRLD$
MSWRLD
World ex Australia
Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway,
Portugal, Singapore, Spain, Sweden, Switzerland, United Kingdom, United States
MSWXAU$
MSWXAU
World ex Japan (Kokusai)
Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Netherlands, New Zealand, Norway,
Portugal, Singapore, Spain, Sweden, Switzerland, United Kingdom, United States
MSWXJP$
MSWXJP
World ex UK
Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand,
Norway, Portugal, Singapore, Spain, Sweden, Switzerland, United States
MSWXUK$
MSWXUK
World ex US
Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand,
Norway, Portugal, Singapore, Spain, Sweden, Switzerland, United Kingdom
MSWXUS$
MSWXUS
World Free
Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand,
Norway, Portugal, Singapore Free, Spain, Sweden, Switzerland, United Kingdom, United States
MSWLDF$
MSWLDF
Argentina, Australia, Austria, Belgium, Brazil, Chile, China, Colombia, Czech Republic, Denmark, Egypt, Finland, France, Germany, Greece, Hong
MSEEMF$
Kong, Hungary, India, Indonesia, Ireland, Israel, Italy, Japan, Jordan, Korea, Malaysia, Mexico, Morocco, Netherlands, New Zealand, Norway,
Pakistan, Peru, Philippines, Poland, Portugal, Russia, Singapore, South Africa, Spain, Sweden, Switzerland, Taiwan @ 80%, Thailand, Turkey, United
Kingdom, Venezuela
MSEEMF
EM Europe
Czech Republic, Hungary, Poland, Russia, Turkey
MSEEUR$
MSEEUR
EM Eastern Europe
Czech Republic, Hungary, Poland, Russia
MSEEEU$
MSEEEU
Emerging Markets
EAFE & EMF
Issue 5
57
Reference
Description
Constituent indices
Emerging Markets continued
EM Europe & Middle East
58
Index
mnemonic
List
mnemonic
Czech Republic, Hungary, Israel, Jordan, Poland, Russia, Turkey
MSEMEA$
MSEMEA
EMF
Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Israel, Jordan, Korea, Malaysia, Mexico, Morocco,
Pakistan, Peru, Philippines, Poland, Russia, South Africa, Taiwan @ 80%, Thailand, Turkey, Venezuela
MSEMKF$
MSEMKF
EMF Asia
China, India, Indonesia, Korea, Malaysia, Pakistan, Philippines, Taiwan @ 80%, Thailand
MSEMFA$
MSEMFA
EMF Far East
China, Indonesia, Korea, Malaysia, Philippines, Taiwan @ 80%, Thailand
MSEFFE$
MSEFFE
EMF Latin America
Argentina, Brazil, Chile, Colombia, Mexico, Peru, Venezuela
MSEFLA$
MSEFLA
Goldon Dragon
China, Hong Kong, Taiwan
MSGDRA$
MSGDRA
Zhong Hua
China, Hong Kong
MSZHON$
MSZHON
Morgan Stanley Capital International on Datastream
Reference
All Country Sector (ACS) indices: GICS classification
Indices available to all users
MSCI create an index for each sector, industry group, and industry, based on the constituents
of the World index, Emerging Markets, All Country World Index, Europe and EMU indices.
The indices are based on the MSCI/S&P Global Industrial Classification Standard.
The following table lists the stem mnemonics. Add a suffix of $ for the indices in US dollar
and L for the indices in local currency. For example, the mnemonic for the World energy
index in US$ is M1DWE1$ and in local currency M1DWE1L. You can convert MSCI indices
into other currencies by using the MSCI exchange rates: see page 13 for the formula to use.
Price index, total and net return data for the regions given above is freely available to most
Datastream customers. You can access valuation and security level data by subscribing to
MSCI ACS modules. See MSCI modules on Datastream - a summary, page 9, for details.
History for these indices is available from 31st December 1994.
Constituent lists
Daily, monthly and historical constituent lists are available for these indices. All list
mnemonics are of the form Lxxxxx, where xxxxx is the mnemonic of the index with the last
character (L or $) removed. For daily lists add D to complete the mnemonic. For further
details, see MSCI stock constituent lists, page 17.
Issue 5
59
Reference
All Country Sector indices:
GICS classification
Sector
Industry
Group
Emerging
Markets
Industry
AC World
Index
Europe
EMU
Stem mnemonics
M1DWE1
M1EFE1
M1AFE1
M1URE1
M1MUE1
Chemicals
M2DWE2
M3DWES
M3DWOG
M1DWM1
M2DWM2
M3DWCH
M2EFE2
M3EFES
M3EFOG
M1EFM1
M2EFM2
M3EFCH
M2AFE2
M3AFES
M3AFOG
M1AFM1
M2AFM2
M3AFCH
M2URE2
M2URE2
M2URE2
M1URM1
M2URM2
M3URCH
M2MUE2
M2MUE2
M2MUE2
M1MUM1
M2MUM2
M3MUCH
Construction Materials
Containers & Packaging
M3DWCM
M3DWCT
M3EFCM
M3EFCT
M3AFCM
M3AFCT
M3URCM
M3URCT
M3MUCM
M3MUCT
Metals & Mining
Paper & Forest Products
M3DWMM
M3DWPF
M1DWID
M2DWCG
M3EFMM
M3EFPF
M1EFID
M2EFCG
M3AFMM
M3AFPF
M1AFID
M2AFCG
M3URMM
M3URPF
M1URID
M2URCG
M3MUMM
M3MUPF
M1MUID
M2MUCG
Aerospace & Defense
Building Products
Construction & Engineering
Electrical Equipment
M3DWAD
M3DWBP
M3DWCN
M3DWEE
M3EFAD
M3EFBP
M3EFCN
M3EFEE
M3AFAD
M3AFBP
M3AFCN
M3AFEE
M3URAD
M3URBP
M3URCN
M3UREE
M3MUAD
M3MUBP
M3MUCN
M3MUEE
Industrial Conglomerates
M3DWIC
M3EFIC
M3AFIC
M3URIC
M3MUIC
M3DWMC
M3DWTC
M2DWC2
M3DWC3
M2DWTR
M3EFMC
M3EFTC
M2EFC2
M3EFC3
M2EFTR
M3AFMC
M3AFTC
M2AFC2
M3AFC3
M2AFTR
M3URMC
M3URTC
M2URC2
M3URC3
M2URTR
M3MUMC
M3MUTC
M2MUC2
M3MUC3
M2MUTR
Energy
Energy
Energy equipment & Services
Oil, Gas & Consumable Fuels
Materials
Materials
Industrials
Capital Goods
Machinery
Trading Companies & Distributors
Commercial Services & Supplies
Commercial Services & Supplies
Transportation
60
World
Air Freight & Logistics
M3DWAF
M3EFAF
M3AFAF
M3URAF
M3MUAF
Airlines
Marine
Road & Rail
Transportation Infrastructure
M3DWAL
M3DWMA
M3DWRR
M3DWTI
M3EFAL
M3EFMA
M3EFRR
M3EFTI
M3AFAL
M3AFMA
M3AFRR
M3AFTI
M3URAL
M3URMA
M3URRR
M3URTI
M3MUAL
M3MUMA
M3MURR
M3MUTI
Morgan Stanley Capital International on Datastream
Reference
All Country Sector indices:
GICS classification
Sector
Industry
Group
Emerging
Markets
Industry
AC World
Index
Europe
EMU
Stem mnemonics
M1DWCD
M1EFCD
M1AFCD
M1URCD
M1MUCD
Automobiles & Components
Auto Components
Automobiles
Consumer Durables & Apparel
Household Durables
Leisure Equipment & Products
Textiles, Apparel & Luxury Goods
M2DWAC
M3DWAU
M3DWAM
M2DWCA
M3DWHD
M3DWLE
M3DWTA
M2EFAC
M3EFAU
M3EFAM
M2EFCA
M3EFHD
M3EFLE
M3EFTA
M2AFAC
M3AFAU
M3AFAM
M2AFCA
M3AFHD
M3AFLE
M3AFTA
M2URAC
M3URAU
M3URAM
M2URCA
M3URHD
M3URLE
M3URTA
M2MUAC
M3MUAU
M3MUAM
M2MUCA
M3MUHD
M3MULE
M3MUTA
Consumer Services
Hotels Restaurants & Leisure
Diversified Consumer Services
Media
Media
Retailing
M2DWHR
M3DWHR
M3DWDC
M2DWMD
M3DWME
M2DWRT
M2EFHR
M3EFHR
M3EFDC
M2EFMD
M3EFME
M2EFRT
M2AFHR
M3AFHR
M3AFDC
M2AFMD
M3AFME
M2AFRT
M2URHR
M3URHR
M3URDC
M2URMD
M3URME
M2URRT
M2MUHR
M3MUHR
M3MUDC
M2MUMD
M3MUME
M2MURT
M3DWDI
M3DWNT
M3DWMR
M3DWSR
M1DWCS
M2DWFD
M3DWFD
M3EFDI
M3EFNT
M3EFMR
M3EFSR
M1EFCS
M2EFFD
M3EFFD
M3AFDI
M3AFNT
M3AFMR
M3AFSR
M1AFCS
M2AFFD
M3AFFD
M3URDI
M3URNT
M3URMR
M3URSR
M1URCS
M2URFD
M3URFD
M3MUDI
M3MUNT
M3MUMR
M3MUSR
M1MUCS
M2MUFD
M3MUFD
M2DWFB
M3DWBV
M3DWFP
M3DWTB
M2DWHH
M3DWHP
M2EFFB
M3EFBV
M3EFFP
M3EFTB
M2EFHH
M3EFHP
M2AFFB
M3AFBV
M3AFFP
M3AFTB
M2AFHH
M3AFHP
M2URFB
M3URBV
M3URFP
M3URTB
M2URHH
M3URHP
M2MUFB
M3MUBV
M3MUFP
M3MUTB
M2MUHH
M3MUHP
M3DWPP
M3EFPP
M3AFPP
M3URPP
M3MUPP
Consumer Discretionary
Distributors
Internet & Catalog Retail
Multiline Retail
Specialty Retail
Consumer Staples
Food & Staples Retailing
Food & Staples Retailing
Food Beverage & Tobacco
Beverages
Food Products
Tobacco
Household & Personal Products
Household Products
Personal Products
Issue 5
World
61
Reference
All Country Sector indices:
GICS classification
Sector
Industry
Group
Emerging
Markets
Industry
Health Care
Health Care Equipment & Services
Health Care Equipment & Supplies
Health Care Providers & Services
Pharmaceuticals & Biotechnology
Biotechnology
Pharmaceuticals
Financials
Banks
Commercial Banks
Thrifts and Mortgage Finance
Diversified Financials
Diversified Financial Services
Consumer Finance
Capital Markets
Insurance
Insurance
Real Estate
Real Estate
62
World
AC World
Index
Europe
EMU
Stem mnemonics
M1DWHC
M2DWHE
M3DWHS
M3DWPS
M2DWPB
M1EFHC
M2EFHE
M3EFHS
M3EFPS
M2EFPB
M1AFHC
M2AFHE
M3AFHS
M3AFPS
M2AFPB
M1URHC
M2URHE
M3URHS
M3URPS
M2URPB
M1MUHC
M2MUHE
M3MUHS
M3MUPS
M2MUPB
M3DWBI
M3DWPH
M1DWFN
M2DWB2
M3DWB3
M3DWTM
M2DWD2
M3EFBI
M3EFPH
M1EFFN
M2EFB2
M3EFB3
M3EMTM
M2EFD2
M3AFBI
M3AFPH
M1AFFN
M2AFB2
M3AFB3
M3AFTM
M2AFD2
M3URBI
M3URPH
M1URFN
M2URB2
M3URB3
M3URTM
M2URD2
M3MUBI
M3MUPH
M1MUFN
M2MUB2
M3MUB3
M3MUTM
M2MUD2
M3DWD3
M3DWCF
M3DWCK
M2DWI2
M3DWI3
M2DWR2
M3EFD3
M3EFCF
M3EFCK
M2EFI2
M3EFI3
M2EFR2
M3AFD3
M3AFCF
M3AFCK
M2AFI2
M3AFI3
M2AFR2
M3URD3
M3URCF
M3URCK
M2URI2
M3URI3
M2URR2
M3MUD3
M3MUCF
M3MUCK
M2MUI2
M3MUI3
M2MUR2
M3DWR3
M3EFR3
M3AFR3
M3URR3
M3MUR3
Morgan Stanley Capital International on Datastream
Reference
All Country Sector indices:
GICS classification
Sector
Industry
Group
World
Industry
AC World
Index
Europe
EMU
Stem mnemonics
M1DWIT
M2DWSS
M3DWNS
M1EFIT
M2EFSS
M3EFNS
M1AFIT
M2AFSS
M3AFNS
M1URIT
M2URSS
M3URNS
M1MUIT
M2MUSS
M3MUNS
IT Services
Software
Technology Hardware & Equipment
Communications Equipment
Computers & Peripherals
Electronic Equipment & Instruments
Office Electronics
M3DWIS
M3DWSW
M2DWTH
M3DWCE
M3DWCP
M3DWEI
M3DWOE
M3EFIS
M3EFSW
M2EFTH
M3EFCE
M3EFCP
M3EFEI
M3EFOE
M3AFIS
M3AFSW
M2AFTH
M3AFCE
M3AFCP
M3AFEI
M3AFOE
M3URIS
M3URSW
M2URTH
M3URCE
M3URCP
M3UREI
M3UROE
M3MUIS
M3MUSW
M2MUTH
M3MUCE
M3MUCP
M3MUEI
M3MUOE
Semiconductors & Semiconductor Equipment
Semiconductors & Semiconductor Equipment
M2DWS2
M3DWS3
M2EFS2
M3EFS3
M2AFS2
M3AFS3
M2URS2
M3URS3
M2MUS2
M3MUS3
M1DWT1
M2DWT2
M3DWDT
M1EFT1
M2EFT2
M3EFDT
M1AFT1
M2AFT2
M3AFDT
M1URT1
M2URT2
M3URDT
M1MUT1
M2MUT2
M3MUDT
M3DWWT
M1DWU1
M2DWU2
M3DWEU
M3DWGU
M3DWMU
M3DWWU
M3EFWT
M1EFU1
M2EFU2
M3EFEU
M3EFGU
M3EFMU
M3EFWU
M3AFWT
M1AFU1
M2AFU2
M3AFEU
M3AFGU
M3AFMU
M3AFWU
M3URWT
M1URU1
M2URU2
M3UREU
M3URGU
M3URMU
M3URWU
M3MUWT
M1MUU1
M2MUU2
M3MUEU
M3MUGU
M3MUMU
M3MUWU
M3EFIP
M3AFIP
M3URIP
M3MUIP
Information Technology
Software & Services
Internet Software & Services
Telecommunication Services
Telecommunication Services
Diversified Telecommunication Services
Wireless Telecommunication Services
Utilities
Utilities
Electric Utilities
Gas Utilities
Multi-Utilities
Water Utilities
M3DWIP
Independent Power Producers & Energy
Traders
Indices in italic are not currently available because no stocks are currently classified in that sector.
Issue 5
Emerging
Markets
63
Reference
All Country Sector indices separately chargeable
For the Developed, Emerging and All Country markets, ACS indices based on MSCI’s Global
Industrial Classification Standard (GICS) are available. GICS is based on 10 sectors, 23
industry groups, 59 industries and 123 sub-industries. Indices are available for the top three
levels, with sub-industries used to classify stocks.
ACS indices are available to customers subscribing to the MSCI ACS index modules:
•
MSCI Developed Market ACS index module: developed market industry indices
•
MSCI Emerging Market ACS index module: emerging market industry indices
•
MSCI Developed and Emerging Market ACS index module: developed, emerging market,
and all country industry indices
•
MSCI Asia Pacific ACS index module: regional and country industry indices for the
following:
AC Asia
AC Asia ex Japan
AC Asia Pacific
AC Asia Pacific ex Japan
AC Far East
AC Far East ex Japan
AC Far East ex Japan ex HK
AC Pacific
AC Pacific ex Japan
Australia
China
EM Asia
EM Far East
Far East
Hong Kong
India
Indonesia
Japan
Korea
Malaysia
New Zealand
Pacific
Pacific Ex Japan
Pacific
Pacific Ex Japan
Pakistan
Philippines
Singapore
Singapore
Sri Lanka
Taiwan
Thailand
Constructing mnemonics
The mnemonics for these indices are made up as follows:
M1cciix, M2cciix or M3cciix
where:
M1 is the Sector (Level 1)
M2 is the Industry Group (Level 2)
M3 is the Industry (Level 3)
cc = country or region (see the table on page 65)
ii = sector/industry group/industry code (see the table starting on page 66)
x = currency indicator - $ for U$ indices and L for local currency.
For example:
M1AFE1$ = MSCI World Energy Sector index in U$
M2IISS$ = India Software and Service Industry Group index in U$
M3G7OGL = G7 Oil and Gas Industry index in L
You can also find mnemonics with the Datastream Navigator, in Datastream Advance (in
version 3.5 and earlier click on the Index tab) and in DSWindows Code Lookup.
64
Morgan Stanley Capital International on Datastream
Reference
Country and region codes
Developed Markets
Country/
Region
Code Country/
Region
Code Country/
Region
Code Country/
Region
Code
Australia
Austria
Belgium
Canada
Denmark
EAFE
EAFE + Canada
EAFE ex UK
EASEA
EMU
EMU + UK
EURO
Europe
European Union
AU
AT
BE
CA
DK
EA
FC
EX
AS
MU
MK
ER
UR
EC
EE
UX
FE
FI
FR
G7
DE
GD
HK
IE
IT
JP
KK
NL
NZ
NC
NA
NO
PC
PF
PX
PJ
PU
PT
SG
SF
ES
SE
CH
UK
US
DW
WA
WE
WC
WK
WS
Europe ex EMU
Europe ex UK
Far East
Finland
France
G7
Germany
Greece
Hong Kong
Ireland
Italy
Japan
Kokusai index (World Ex JP)
Netherlands
New Zealand
Nordic Counries
North America
Norway
Pacific
Pacific
Pacific ex Japan
Pacific ex Japan
Pan Euro
Portugal
Singapore
Singapore
Spain
Sweden
Switzerland
United Kingdom
USA
World
World ex Australia
World ex Emu
World ex Europe
World ex UK
World ex USA
Emerging Markets
Country/
Region
Code
Country/
Region
Code
Country/
Region
Code
Argentina
Brazil
Chile
China
Colombia
Czech Republic
Egypt
EM Eastern Europe
EM Europe
EM Europe & Middle East
EM (Emerging Markets)
AR
BF
CL
CN
CO
CZ
EG
EB
ME
UE
EF
EM ex Asia
EM Far East
EM Latin America
Hungary
India
Indonesia
Israel
Israel - Domestic
Israel - Non Domestic
Jordan
Korea
XA
MT
MS
HU
IN
IR
IL
IH
IW
JO
KR
Morocco
Pakistan
Peru
Philippines
Poland
Russian Federation
South Africa
Sri Lanka
Taiwan
Thailand
Turkey
MA
PK
PE
PR
PL
RU
ZA
LK
TW
TF
TR
EM Asia
MC
Malaysia
Mexico
MF
XF
Venezuela
VE
Country/
Region
Code
Country/
Region
Code
Country/
Region
Code
AC Americas
AC Asia ex Japan
AC Asia
AA
SJ
IF
CE
CJ
JK
AC World EX EMU
AC World EX Europe
AC World EX Japan
OU
OC
OJ
AC Asia EX Japan
AC Asia Pacific
AC Asia Pacific ex Japan
AC Europe
AC Europe & Middle East
AJ
SR
RJ
AE
CM
AC Far East
AC Far East ex Japan
AC Far East ex Japan & Hong
Kong
AC Pacific
AC Pacific ex Japan
AC World
AC World ex Australia
AC World ex Australia
CR
IJ
AF
OA
FA
AC World EX USA
AC World EX UK
EAFE + EM
EMEA
OS
FK
AZ
EM
All Country
Issue 5
65
Reference
Sector/industry group and industry classification codes
Global Industrial Classification Standard
Sector
M1 Industry group
M2 Industry
M3
Energy
E1
Energy
E2
Materials
M1
Materials
Industrials
ID
Capital Goods
ES
OG
CH
CM
CT
MM
PF
AD
BP
CN
EE
IC
MC
TC
C3
AF
AL
MA
RR
TI
AU
AM
HD
LE
TA
HR
DC
ME
DI
NT
MR
SR
FD
BV
FP
TB
HP
PP
HS
PS
BI
PH
B3
TM
D3
CF
CK
I3
R3
Commercial Services & Supplies
Transportation
Consumer Discretionary
CD
Automobiles & Components
Consumer Durables & Apparel
Consumer Services
Media
Retailing
Consumer Staples
CS
Food & Staples Retailing
Food Beverage & Tobacco
Household & Personal Products
Health Care
HC
Health Care Equipment & Services
Pharmaceuticals & Biotechnology
Financials
FN
Banks
Diversified Financials
Insurance
Real Estate
66
Energy Equipment & Services
Oil, Gas & Consumable Fuels
M2 Chemicals
Construction Materials
Containers & Packaging
Metals & Mining
Paper & Forest Products
CG Aerospace & Defense
Building Products
Construction & Engineering
Electrical Equipment
Industrial Conglomerates
Machinery
Trading Companies & Distributors
C2 Commercial Services & Supplies L3
TR Air Freight & Logistics
Airlines
Marine
Road & Rail
Transportation Infrastructure
AC Auto Components
Automobiles
CA Household Durables
Leisure Equipment & Products
Textiles, Apparel & Luxury Goods
HR Hotels Restaurants & Leisure L3
Diversified Consumer Services
MD Media L3
RT Distributors
Internet & Catalog Retail
Multiline Retail
Specialty Retail
FD Food & Staples Retailing
FB Beverages
Food Products
Tobacco
HH Household Products
Personal Products
HE Health Care Equipment & Supplies
Health Care Providers & Services
PB Biotechnology
Pharmaceuticals
B2 Commercial Banks L3
Thrifts and Mortgage Finance
D2 Diversified Financial Services L3
Consumer Finance
Capital Markets
I2
Insurance L3
R2 Real Estate L3
Morgan Stanley Capital International on Datastream
Reference
Global Industrial Classification Standard continued
Sector
M1 Industry group
M2 Industry
M3
Information Technology
IT
SS
Internet Software & Services
NS
IT Services
Software
Communications Equipment
Computers & Peripherals
Electronic Equipment & Instruments
Office Electronics
Semiconductors & Semiconductor
Equipment
IS
SW
CE
CP
EI
OE
SE
Diversified Telecommunication Services
Wireless Telecommunication Services
Electric Utilities
Gas Utilities
Multi-Utilities
Water Utilities
Independent Power Producers & Energy
Traders
DT
WT
EU
GU
MU
WU
IP
Software & Services
Technology Hardware & Equipment
TH
Semiconductors & Semiconductor
Equipment
S2
Telecommunication Services
T1
Telecommunication Services
T2
Utilities
U1
Utilities
U2
Constituent lists for All Country Sector GICS indices
Constituent lists and weights are available for all GICS indices. Use the weights datatype
(WTIDX) to obtain the weight of each security within the index. List mnemonics are of the
form Lxxxxxx, where xxxxxx is the mnemonic of the index with the last character (L or $)
removed. For daily lists add D to complete the mnemonic. Using the mnemonic for the local
currency MSCI Australian Energy Sector index, M1AUE1L, as an example:
•
LM1AUE1D is the mnemonic for the daily constituent list.
Constituents for the above indices can also be accessed by using the country or regional list
with the sector, industry group and industry datatypes listed below. These datatypes return the
MSCI GICS codes or name for each constituent:
Issue 5
Description
Datatype
Sector Code
Sector name
Industry group code
Industry group name
Industry code
Industry name
Sub-Industry code
Sub-Industry name
MSCISC
MSCISN
MSCIGC
MSCIIGN
MSCIIC
MSCIIN
MSCSIC
MSCISIN
67
Reference
Hedge Fund indices
The MSCI Hedge Fund index family is supported by a growing database of over 750 hedge
funds. Only open and closed hedge funds with assets under management in excess of $15
million are eligible for inclusion. MSCI Hedge Fund indices are organized in accordance with
a comprehensive classification framework, the MSCI Hedge Fund Classification Standard,
which primarily uses the investment process of hedge fund managers, asset class and
geography to classify funds and define strategy indices. Both equal weighted and asset
weighted indices are available.
To ensure data is complete and reliable, MSCI collects it directly from hedge fund managers.
Fund managers are required to supply audited financials, and offering memoranda for all of
their funds where available.
Hedge Fund indices are calculated monthly.
The default datatype is Total Return (TOTR).
MSCI Hedge Fund indices
Mnemonic
1
Composite indices
MSCI Hedge Fund Composite Index-Equal Weighted
MSCI Hedge Fund Composite Index-Asset Weighted
MHHFCEW
MHHFCAW
Mnemonic
Process group indices
MSCI Directional Trading Index
MSCI Relative Value Index
MSCI Security Selection Index
2
MSCI Specialist Credit Index
3
MSCI Multi-Process Group Index
Geographical indices
MSCI Hedge Fund Developed Markets Index
5
MSCI Hedge Fund Emerging Markets Index
6
MSCI Hedge Fund Global Markets Index
7
MSCI Hedge Fund Europe Index
MSCI Hedge Fund North America Index
8
MSCI Hedge Fund Japan Index
Mnemonic
MHDITRA
MHRELVA
MHSECSE
MHSPECR
MHMPRGP
MHHFDMI
MHHFEMI
MHHFGMI
MHHFEUI
MHHFNAI
MHHFJPI
Asset class indices
MSCI Hedge Fund Equity Index
4
MSCI Hedge Fund Fixed Income Index
MSCI Hedge Fund Diversified Index
MHHFEQI
MHHFFII
MHHFDVI
Domicile indices
MSCI Offshore Hedge Fund Composite Index
MSCI Onshore Hedge Fund Composite Index
MHOFHFC
MHONHFC
Notes
1
Composite indices are formed from an aggregation of all five process groups
Data available from:
2
August 1995
3
April 1994
4
July 1998
5
March 1997
6
February 1996
7
March 1998
8
May 1999
All other indices are available from January 1994
68
Morgan Stanley Capital International on Datastream
Reference
10/40 indices
The MSCI 10/40 index family comprises 36 indices in eight currencies (U$, £, E, SF, DK, NK,
SK, L), created to provide benchmarks for UCITS compliant mutual funds.
In the European community a UCITS directive prescribes that the maximum weight of
securities of any single issuer cannot exceed 10% of the market value of a mutual fund. It also
prescribes that the sum of the weights of all issuers representing more than 5% of the market
value of a mutual fund cannot collectively exceed 40%.
Currently a large number of European Funds comply with the UCITS directive, but sometimes
their benchmarks do not, leading to a significant potential tracking error and misrepresentation
of the true investable universe. MSCI has therefore developed a proprietary methodology
based on extensive simulations and client consultations that derives and maintains 10/40 equity
indices from the MSCI Standard and All Country Sector indices.
The MSCI 10/40 index construction and maintenance methodology is designed to ensure ongoing consistency with the UCITS directive. The index construction methodology minimises
the tracking error to the parent index by decreasing the weight of the constituents that are
subject to the same 10/40 constraint in a proportional way. The 10/40 equity indices are
rebalanced to the parent index on a quarterly basis, based on the parent index's constituents'
weights, to minimize tracking error.
Price index (PI), Net Return Index (NR), Gross Return Index (RI), and Number of Issuers (NE)
data is available daily from 31st December 1998.
Constituent lists are available for all indices. Constituent list mnemonics can be constructed
from index mnemonics by applying the standard convention used throughout MSCI products.
In addition, the following two 10/40 specific datatypes are available at equity level:
•
MTCFND: 10/40 Index Capping Factor Next Day
•
MTCWND: 10/40 Index Capped Weight Next Day
Mnemonics are distinguished by the last character:
•
US Dollar: $
•
UK Pound: £
•
Euro: E
•
Swiss Franc: F
•
Danish Krone: D
•
Norwegian Krone: N
•
Swedish Krona: S
•
Local currency: L
MSCI 10/40 indices and constituent lists are updated at approximately the following times on a
daily basis:
•
Asia Pacific region
18:30 (UK time)
•
European region
21:30 (UK time)
•
World region
01:30 (UK time)
All 10/40 indices and constituent lists are licensed on an index by index basis and require a
license agreement directly from MSCI.
Issue 5
69
Reference
MSCI 10/40 indices
Mnemonic
US$
Regions
EM Asia
EM Europe
EM Eastern Europe
EM Latin America
Nordic
Zhong Hua
M14EMA$
M14ERU$
M14EER$
M14ELT$
M14NRD$
M14ZHO$
Mnemonic
US$
Countries
1
China
France
Germany
India
Italy
Netherlands
Spain
Switzerland
Turkey
UK
M14CHF$
M14FRA$
M14GER$
M14INI$
M14ITL$
M14NTH$
M14SPA$
M14SWT$
M14TUR$
M14UKD$
Mnemonic
US$
Sectors
ACWI
Paper and Forest Products
Telecom
Europe
Consumer Staples
Discretionary
Financials
Health Care
Industrials
Information Technology
Materials
Telecom
Utilities
World
Consumer Staples
Energy
Energy & Materials
Health Care
Industrials
Information Technology
Pharmaceuticals & Biotechnology
Telecom
Utilities
M14WPF$
M14AFT$
M14ECS$
M14ECD$
M14EFN$
M14EHC$
M14EID$
M14EIT$
M14EM1$
M14ETE$
M14EU1$
M14WCS$
M14WE1$
M14WEM$
M14WHC$
M14WID$
M14WIT$
M14WPB$
M14WTE$
M14WU1$
1 Datatypes price index (PI), net return index (NR), and gross return index (RI) are available from 7 July 2003. For all other indices they are available from 31 December 1998
70
Morgan Stanley Capital International on Datastream
Reference
US Equity indices
MSCI US Equity indices reflect the full breadth of investment opportunities across market
capitalization, value and growth investment styles, and industry and sector groups within the
US equity market. It provides benchmark indices from the perspective of US domestic
investors.
The universe includes all listed equity securities of US domiciled companies traded on NYSE,
AMEX, and NASDAQ, excluding investment trusts (other than REITS), mutual funds, and
equity derivatives. Some non-US incorporated companies may also be considered for
inclusion in the MSCI US equity universe based on an analysis and interpretation of a number
of factors, such as the company’s main equity trading markets, shareholder base, and
geographical distribution of operations.
The MSCI US Equity indices methodology aims to offer investors a best of breed benchmark
series covering the total US equity market by offering:
•
Market capitalization indices that better reflect the investment process of asset managers
•
Size and style buffer zones
•
Two-dimensional, multi-factor value/growth methodology
Price Index (PI) and Gross Return index (RI) datatypes are available daily from 29 May 1992.
Net Return index (NR) data is available from 2002. All indices are quoted in US dollars.
MSCI US Equity indices
Mnemonic
Broad Market Index
Micro Cap Index
Investable Market
2500 Index
Growth
Value
Large Cap
300 Index
Growth
Value
Mid Cap
450 Index
Growth
Value
Prime Market
750 Index
Growth
Value
Small Cap
1750 Index
Growth
Value
Small + Micro Cap Index
Small + Mid Cap 2200 Index
Growth
Value
Issue 5
MSUEBMI
MSUEMCC
MSUEI25
MSUEIMG
MSUEIMV
MSUEL30
MSUELCG
MSUELCV
MSUEM45
MSUEMCG
MSUEMCV
MSUEP75
MSUEPMG
MSUEPMV
MSUES17
MSUESCG
MSUESCV
MSUESMC
MSUESMD
MSUESMG
MSUESMV
71
Reference
Global Industrial Classification Standard
In 1999, MSCI and S&P jointly developed GICS to establish a global standard for categorising
companies into sectors and industries. MSCI and S&P review GICS annually to ensure it
accurately reflects the definitions of sectors and industries most relevant to the global market
economy. Any changes are normally implemented at the end of April. The table below shows
the classification from May 2005 when it was last changed. Use the Datastream codes to
construct the All Country Sector indices (see pages 59 and 64 for more details).
Sector
Industry
group
Industry
Sub-industry
Energy
Energy
Energy Equipment & Services
Oil & Gas Drilling
Drilling contractors or owners of drilling rigs that contract their services for
drilling wells
Oil & Gas Equipment & Services
Manufacturers of equipment, including drilling rigs and equipment, and
providers of supplies and services to companies involved in the drilling,
evaluation and completion of oil and gas wells.
Oil, Gas & Consumable Fuels
Integrated Oil & Gas
Integrated oil companies engaged in the exploration & production of oil and
gas, as well as at least one other significant activity in either refining, marketing
and transportation, or chemicals.
Oil & Gas Exploration & Production
Companies engaged in the exploration and production of oil and gas not
classified elsewhere.
Oil & Gas Refining & Marketing
Companies engaged in the refining, marketing, of oil, gas and/or refined
products not classified in the Integrated Oil & Gas or Independent Power
Producers & Energy Traders sub-industries.
Oil & Gas Storage & Transportation
Companies engaged in thestorage and/or transportation of oil, gas and/or
refined products. Includes diversified midstream natural gas companies facing
competitive markets, oil and refined product pipelines, coal slurry pipelines and
oil & gas shipping companies.
Coal & Consumable Fuels
Companies primarily involved in the production and mining of coal, related
products and other consumable fuels related to the generation of energy.
Excludes companies primarily producing gases classified in the Industrial
Gases sub-industry.
Materials
Datastream
code
10
E1
1010
101010
10101010
Chemicals
Commodity Chemicals
Companies that primarily produce industrial chemicals and basic chemicals.
Includes plastics, synthetic fibers, films, paints, explosives and petrochemicals.
Excludes chemical companies classified in the Diversified Chemicals,
Fertilizers & Agricultural Chemicals, Industrial Gases, or Speciality Chemicals
sub-industries.
Diversified Chemicals
Manufacturers of a diversified range of chemical products not classified in the
Industrial Gases, Commodity Chemicals, Specialty Chemicals or Fertilizers &
Agricultural Chemicals sub-industries.
Fertilizers & Agricultural Chemicals
Producers of fertilizers, pesticides, potash or other agriculture-related
chemicals not classified elsewhere.
Industrial Gases
Manufacturers of industrial gases.
Specialty Chemicals
Companies that primarily produce high value-added chemicals used in the
manufacture of a wide variety of products, including fine chemicals, pigments,
additives, advanced polymers and specialty coatings.
E2
ES
10101020
101020
10102010
OG
10102020
10102030
10102040
10102050
15
Materials
72
MSCI
code
1510
151010
15101010
M1
M2
CH
15101020
15101030
15101040
15101050
Morgan Stanley Capital International on Datastream
Reference
Sector
Industry
group
Industry
Sub-industry
Materials (continued)
Materials (continued)
Construction Materials
Construction Materials
Manufacturers of construction materials including sand, clay, gypsum, lime,
aggregates, cement, concrete and bricks. Other finished or semi-finished
building materials are classified in the Building Products sub-industry.
Containers & Packaging
Metal & Glass Containers
Manufacturers of metal, glass or plastic containers. Includes corks and caps
Paper Packaging
Manufacturers of paper and cardboard containers and packaging.
Metals & Mining
Aluminum
Producers of aluminum and related products including companies that mine or
process bauxite and companies that recycle aluminum to produce finished or
semi-finished products. Excludes companies that primarily produce aluminum
building materials classified in the Building Products sub-industry.
Diversified Metals & Mining
Companies engaged in diversified production or extraction of metals and
minerals not classified elsewhere. Includes companies that are primarily
involved in coal mining or production.
Gold
Producers of gold and related products including companies that mine or
process gold and the South African finance houses which primarily invest in, but
do not operate, gold mines.
Precious Metals & Minerals
Companies mining precious metals and minerals not classified in the Gold subindustry. Includes companies primarily mining platinum.
Steel
Producers of iron and steel and related products
Paper & Forest Products
Forest Products
Manufacturers of timber and related wood products. Includes lumber for the
building industry.
Paper Products
Manufacturers of all grades of paper. Excludes companies specializing in paper
packaging classified in the Paper Packaging sub-industry.
Industrials
Capital Goods
Aerospace & Defense
Aerospace & Defense
Manufacturers of civil or military aerospace and defense equipment, parts or
products. Includes defense electronics and space equipment.
Building Products
Building Products
Manufacturers of building components and home improvement products and
equipment. Excludes lumber and plywood classified under Forest Products and
cement and other materials classified in the Construction Materials subindustry.
Construction & Engineering
Construction & Engineering
Companies engaged in primarily non-residential construction. Includes civil
engineering companies and large-scale contractors. Excludes companies
classified in the Homebuilding sub-industry.
Issue 5
MSCI
code
Datastream
code
15
M1
1510
151020
15102010
M2
CM
151030
15103010
CT
15103020
151040
15104010
MM
15104020
15104030
15104040
15104050
151050
15105010
PF
15105020
20
ID
2010
201010
20101010
CG
AD
201020
20102010
BP
201030
20103010
CN
73
Reference
Sector
Industry
group
Industry
Sub-industry
Industrials (continued)
Capital Goods (continued)
Electrical Equipment
Electrical Components & Equipment
Companies that produce electric cables and wires, electrical components or
equipment not classified in the Heavy Electrical Equipment sub-industry.
Heavy Electrical Equipment
Manufacturers of power-generating equipment and other heavy electrical
equipment, including power turbines, heavy electrical machinery intended for
fixed-use and large electrical systems. Excludes cables and wires, classified in
the Electrical Components & Equipment sub-industry.
Industrial Conglomerates
Industrial Conglomerates
Diversified industrial companies with business activities in three or more
sectors, none of which contributes a majority of revenues. Stakes held are
predominantly of a controlling nature and stake holders maintain an
operational interest in the running of the subsidiaries.
Machinery
Construction & Farm Machinery & Heavy Trucks
Manufacturers of heavy duty trucks, rolling machinery, earth-moving and
construction equipment, heavy farm machinery and manufacturers of related
parts. Includes shipbuilding.
Industrial Machinery
Manufacturers of industrial machinery and industrial components. Includes
companies that manufacture presses, machine tools, compressors, pollution
control equipment, elevators, escalators, insulators, pumps, roller bearings and
other metal fabrications.
Trading Companies & Distributors
Trading Companies & Distributors
Trading companies and other distributors of industrial equipment and products.
Commercial Services & Supplies
Commercial Services & Supplies
Commercial Printing
Companies providing commercial printing services. Excludes printers primarily
serving the media industry, classified under Publishing & Printing.
Diversified Commercial & Professional Services
Companies primarily providing commercial, industrial and professional
servicesto businesses and governments, not classified elsewhere. Includes
commercial cleaning services, consulting services, correctional facilities,dining
& catering services, document & communication services, equipment repair
services, security & alarm services, storage & warehousing, and uniform rental
services..
Human Resource & Employment Services
Companies providing business support services relating to human capital
management. Includes employment agencies, employee training, payroll &
benefit support services, retirement support services and temporary agencies.
Environmental & Facilities Services
Companies providing environmental and facilities maintenance services.
Includes waste management, facilities management and pollution control
services. Excludes large-scale water treatment systems classified in the Water
Utilities sub-industry.
Office Services & Supplies
Providers of office services and manufacturers of office supplies and equipment
not classified elsewhere.
Transportation
Air Freight & Logistics
Air Freight & Logistics
Companies providing air freight transportation and logistics services including
package and mail delivery and customs agents. Excludes those companies
classified in the Airlines or Marine sub-industries.
Airlines
Airlines
Companies providing primarily passenger air transportation.
74
MSCI
code
Datastream
code
20
ID
2010
201040
20104010
CG
EE
20104020
201050
20105010
IC
201060
20106010
MC
20106020
201070
20107010
TC
2020
202010
20201010
C2
C3
20201030
20201040
20201050
20201060
2030
203010
20301010
TR
AF
203020
20302010
AL
Morgan Stanley Capital International on Datastream
Reference
Sector
Industry
group
Industry
Sub-industry
Industrials (continued)
Transportation (continued)
Marine
Marine
Companies providing goods or passenger maritime transportation. Excludes
cruise-ships classified in the Hotels sub-industry.
Road & Rail
Railroads
Companies providing primarily goods and passenger rail transportation.
Trucking
Companies providing primarily goods and passenger land transportation.
Includes vehicle rental and taxi companies.
Transportation Infrastructure
Airport Services
Operators of airports and companies providing related services.
Highways & Railtracks
Owners and operators of roads, tunnels and railtracks.
Marine Ports & Services
Owners and operators of marine ports and related services.
Consumer Discretionary
Automobiles & Components
Auto Components
Auto Parts & Equipment
Manufacturers of parts & accessories for automobiles & motorcycles. Excludes
companies classified in the Tires & Rubber sub-industry.
Tires & Rubber
Manufacturers of tires and rubber.
Automobiles
Automobile Manufacturers
Companies that produce mainly passenger automobiles & light trucks. Excludes
companies producing mainly motorcycles and three-wheelers classified in the
Motorcycle Manufacturers sub-industry & heavy duty trucks classified in the
Construction & Farm Machinery sub-industry.
Motorcycle Manufacturers
Companies that produce motorcycles, scooters or three-wheelers. Excludes
bicycles classified in Leisure Products & Toys.
Consumer Durables & Apparel
Household Durables
Consumer Electronics
Manufacturers of consumer electronics products including TVs, VCRs, hi-fi
equipment, game consoles and related products. Excludes personal home
computer manufacturers classified in the Computer Hardware sub-industry, and
electric household appliances classified in the Household Appliances subindustry.
Home Furnishings
Manufacturers of soft home furnishings or furniture including upholstery,
carpets and wall-coverings.
Homebuilding
Residential construction companies. Includes manufacturers of prefabricated
houses and semi-fixed manufactured homes.
Household Appliances
Manufacturers of electric household appliances and related products. Includes
manufacturers of power and hand tools, including garden improvement tools.
Excludes TVs and other audio and video products classified in the Consumer
Electronics sub-industry and personal computers classified in the Computer
Hardware sub-industry.
Housewares & Specialties
Manufacturers of durable household products, including cutlery, cookware,
glassware, crystal, silverware, utensils, kitchenware and consumer specialties
not classified elsewhere.
Issue 5
MSCI
code
Datastream
code
20
ID
2010
203030
20303010
CG
MA
203040
20304010
RR
20304020
203050
20305010
TI
20305020
20305030
25
2510
251010
25101010
CD
AC
AU
25101020
251020
25102010
AM
25102020
2520
252010
25201010
CA
HD
25201020
25201030
25201040
25201050
75
Reference
Sector
Industry
group
Industry
Sub-industry
Consumer Discretionary (continued)
Consumer Durables & Apparel (continued)
Leisure Equipment & Products
Leisure Products
Manufacturers of leisure products and equipment including sports equipment,
bicycles and toys.
Photographic Products
Manufacturers of photographic equipment and related products.
Textiles, Apparel & Luxury Goods
Apparel, Accessories & Luxury Goods
Manufacturers of apparel and accessories. Includes companies primarily
producing designer handbags, wallets, luggage, jewelry and watches. Excludes
shoes classified in the Footwear sub-industry.
Footwear
Manufacturers of footwear. Includes sport and leather shoes.
Textiles
Manufacturers of textile and related products not classified in the Apparel &
Accessories, Footwear or Home Furnishings sub-industries.
Hotels Restaurants & Leisure
Hotels Restaurants & Leisure
Casinos & Gaming
Owners and operators of casinos and gaming facilities. Includes companies
providing lottery and betting services.
Hotels, Resorts & Cruise LInes
Owners and operators of hotels, resorts and cruise-ships. Includes travel
agencies, tour operators and related services not classified elsewhere . Excludes
casino-hotels classified in the Casinos & Gaming sub-industry.
Leisure Facilities
Owners and operators of leisure facilities, including sport and fitness centers,
stadiums, golf courses and amusement parks not classified in the Movies &
Entertainment sub-industry.
Restaurants
Owners and operators of restaurants, bars, pubs, fast-food or take-out facilities.
Includes companies that provide food catering services.
Diversified Consumer Services
Education Services
Companies providing educational services, either on-line or through
conventional teaching methods. Includes private universities, correspondence
teaching, providers of educational seminars, educational materials and
technical education. Excludes companies providing employee education
programs classified in the Human & Employment Services sub-industry.
Specialized Consumer Services
Companies providing consumer services not classified elsewhere. Includes
residential services, home security, legal services, personal services, renovation
& interior design services, consumer auctions and wedding & funeral services.
Media
Media
Advertising
Companies providing advertising, marketing or public relations services.
Broadcasting & Cable TV
Owners and operators of television or radio broadcasting systems and
providers of cable or satellite television services including programming.
Movies & Entertainment
Companies that engage in producing and selling entertainment products and
services including companies engaged in the production, distribution and
screening of movies and television shows, producers and distributors of music,
entertainment theaters and sports teams.
Publishing
Publishers of newspapers, magazines and books, printers for the media
industry, and providers of information in print or electronic formats.
76
MSCI
code
Datastream
code
25
CD
2520
252020
25202010
CA
LE
25202020
252030
25203010
TA
25203020
25203030
2530
253010
25301010
HR
HR
25301020
25301030
25301040
253020
25302020
DC
25302030
2540
254010
25401010
MD
ME
25401020
25401030
25401040
Morgan Stanley Capital International on Datastream
Reference
Sector
Industry
group
Industry
Sub-industry
Consumer Discretionary (continued)
Retailing
Distributors
Distributors
Distributors and wholesalers of general merchandise not classified elsewhere.
Includes vehicle distributors.
Internet & Catalog Retail
Catalog Retail
Mail order and TV home shopping retailers. Includes companies that provide
door-to-door retail.
Internet Retail
Companies providing retail services primarily on the internet, not classified
elsewhere.
Multiline Retail
Department Stores
Owners and operators of department stores.
General Merchandise Stores
Owners and operators of stores offering diversified general merchandise.
Excludes hypermarkets and large-scale super centers classified in the
"Hypermarkets & Super Centers" sub-industry.
Specialty Retail
Apparel Retail
Retailers specialized mainly in apparel and accessories.
Computer & Electronics Retail
Owners and operators of consumer electronics, computers, video and related
products retail stores.
Home Improvement Retail
Owners and operators of home and garden improvement retail stores. Includes
stores offering building materials and supplies.
Specialty Stores
Owners & operators of specialty retail stores not classified elsewhere. Includes
jewelry stores, toy stores, office supply stores, health & vision care stores, and
book & entertainment stores.
Automotive Retail
Owners and operators of stores specializing in automotive retail. Includes auto
dealers, gas stations, and retailres of auto accessories, motorcycles & parts,
automotive glass, and automotive equipment & parts.
Homefurnishing Retail
Owners and operators of furniture and home furnishings retail stores. Includes
residential furniture, homefurnishings, housewares and interior design.
Excludes home and garden improvement stores, classified in the Home
Improvement Retail sub-industry.
Consumer Staples
Datastream
code
25
CD
2550
255010
25501010
RT
DI
255020
25502010
NT
25502020
255030
25503010
Hypermarkets and Super Centres
Owners and operators of hypermarkets and super centers selling food and a
wide-range of consumer staple products. Excludes Food and Drug Retailers
classified in the Food Retail and Drug Retail sub-industries, respectively.
MR
25503020
255040
25504010
SR
25504020
25504030
25504040
25504050
25504060
30
Food & Staples Retailing
Food & Staples Retailing
Drug Retail
Owners and operators of primarily drug retail stores and pharmacies.
Food Distributors
Distributors of food products to other companies and not directly to the
consumer.
Food Retail
Owners and operators of primarily food retail stores.
Issue 5
MSCI
code
3010
301010
30101010
CS
FD
FD
30101020
30101030
30101040
77
Reference
Sector
Industry
group
Industry
Sub-industry
Consumer Staples (continued)
Food Beverage & Tobacco
Beverages
Brewers
Producers of beer and malt liquors. Includes breweries not classified in the
Restaurants sub-industry.
Distillers & Vintners
Distillers, vintners and producers of alcoholic beverages not classified in the
Brewers sub-industry.
Soft Drinks
Producers of non-alcoholic beverages including mineral waters. Excludes
producers of milk classified in the Packaged Foods sub-industry.
Food Products
Agricultural Products
Producers of agricultural products. Includes crop growers, owners of
plantations and companies that produce and process foods but do not package
and market them. Excludes companies classified in the Forest Products subindustry and those that package and market the food products classified in the
Packaged Foods sub-industry.
Packaged Foods & Meats
Producers of packaged foods including dairy products, fruit juices and pet
foods.
Tobacco
Tobacco
Manufacturers of cigarettes and other tobacco products.
Household & Personal Products
Household Products
Household Products
Producers of non-durable household products including detergents, soaps,
diapers and other tissue and household paper products not classified in the
Paper Products sub-industry.
Personal Products
Personal Products
Manufacturers of personal and beauty care products including cosmetics and
perfumes.
Health Care
Datastream
code
30
CS
3020
302010
30201010
Providers of health care services not classified elsewhere. Includes dialysis
centers and lab testing services.
Health Care Facilities
Owners and operators of health care facilities including hospitals, nursing
homes, rehabilitation and retirement centers, animal hospitals, cemeteries and
funeral homes.
Managed Health Care
Owners and operators of Health Maintenance Organizations (HMOs) and other
managed plans.
Pharmaceuticals & Biotechnology
Biotechnology
Biotechnology
Companies primarily involved in the development, manufacturing or marketing
of products based on advanced biotechnology research.
Pharmaceuticals
Pharmaceuticals
Companies engaged in the research, development or production of
pharmaceuticals. Includes veterinary drugs.
FB
BV
30201020
30201030
302020
30202010
FP
30202030
302030
30203010
TB
3030
303010
30301010
HH
HP
303020
30302010
PP
35
Health Care Equipment & Services
Health Care Equipment & Supplies
Health Care Equipment
Manufacturers of health care equipment and devices. Includes medical
electronic precision instruments.
Health Care Supplies
Manufacturers of health care supplies and medical products not classified
elsewhere. Includes eye care products.
Health Care Providers & Services
Health Care Distributors
Distributors and wholesalers of health care products not classified elsewhere.
Health Care Services
78
MSCI
code
3510
351010
35101010
HC
HE
HS
35101020
351020
35102010
PS
35102015
35102020
35102030
3520
352010
35201010
PB
BI
352020
35202010
PH
Morgan Stanley Capital International on Datastream
Reference
Sector
Industry
group
Industry
Sub-industry
Financials
Banks
Commercial Banks
Diversified Banks
Commercial banks whose businesses are derived primarily from commercial
lending operations and have significant business activity in retail banking and
small and medium corporate lending. Excludes banks classified in the Regional
Banks and Thrifts & Mortgage Finance sub-industries. Also excludes investment
banks classified in the Investment Banking & Brokerage sub-industry.
Regional Banks
Commercial banks whose businesses are derived primarily from commercial
lending operations and have significant business activity in retail banking and
small and medium corporate lending. Regional banks tend to operate in limited
geographic regions. Excludes companies classified in the Diversified Banks and
Thrifts & Mortgage Banks sub-industries. Also excludes investment banks
classified in the Investment Banking & Brokerage sub-industry.
Thrifts and Mortgage Finance
Thrifts and Mortgage Finance
Financial institutions providing mortgage and mortgage related services. These
include financial institutions whose assets are primarily mortgage related,
savings & loans, mortgage GSE’s (government sponsored enterprises),
mortgage lending institutions, building societies and companies providing
insurance to mortgage banks.
Diversified Financials
Diversified Financials
Other Diversified Financial Services
Providers of a diverse range of financial services and/or with some interest in a
wide range of financial services including banking, insurance and capital
markets, but with no dominant business line.
Multi-Sector Holdings
A company with significantly diversified holdings across three or more sectors,
none of which contributes a majority of profit and/or sales. Stakes held are
predominantly of a non-controlling nature. Includes diversified financial
companies where stakes held are of a controlling nature. Excludes other
diversified companies classified in the Industrials Conglomerates sub-industry.
Specialised Finance
Providers of specialized financial services. Includes credit agencies, stock
exchanges and specialty boutiques. Companies in this sub-industry derive a
majority of revenue from one, specialized line of business.
Consumer Finance
Consumer Finance
Providers of consumer finance services, including personal credit, credit cards,
lease financing, travel-related money services and pawn shops. Excludes
mortgage lenders classified in the Thrifts & Mortgage Banks sub-industry.
Capital Markets
Asset Management & Custody Banks
Financial institutions primarily engaged in investment management and/or
related custody and securities fee-based services. Includes companies operating
mutual funds, closed-end funds and unit investment trusts. Excludes banks and
other financial institutions primarily involved in commercial lending, investment
banking, brokerage and other specialized financial activities.
Investment Banking and Brokerage
Financial institutions primarily engaged in investment banking & brokerage
services, including equity and debt underwriting, mergers and acquisitions,
securities lending and advisory services. Excludes banks and other financial
institutions primarily involved in commercial lending, asset management and
specialized financial activities.
Diversified Capital Markets
Financial institutions primarily engaged in diversified capital markets activities,
including a significant presence in at least two of the following area:
large/major corporate lending, investment banking, brokerage and asset
management. Excludes less diversified companies classified in the Asset
Management & Custody Banks or Investment Banking & Brokerage subindustries. Also excludes companies classified in the Banks or Insurance
industry groups or the Consumer Finance sub-industry.
Issue 5
MSCI
code
Datastream
code
40
FN
4010
401010
40101010
B2
B3
40101015
401020
40102010
4020
402010
40201020
D2
D3
40201030
40201040
402020
40202010
402030
40203010
40203020
40203030
79
Reference
Sector
Industry
group
Industry
Sub-industry
Financials (continued)
Insurance
Insurance
Insurance Brokers
Insurance and reinsurance brokerage firms.
Life & Health Insurance
Companies providing primarily life, disability, indemnity or supplemental health
insurance. Excludes managed care companies classified in the Managed Health
Care sub-industry.
Multi-line Insurance
Insurance companies with diversified interests in life, health and property and
casualty insurance.
Property & Casualty Insurance
Companies providing primarily property and casualty insurance.
Reinsurance
Companies providing primarily reinsurance.
Real Estate
Real Estate
Real Estate Investment Trusts
Real estate investment trusts (REITs). Includes Property Trusts.
Real Estate Management & Development
Companies engaged in real estate ownership, development or management.
Information Technology
Datastream
code
40
FN
4030
403010
40301010
I2
I3
40301020
40301030
40301040
40301050
4040
404010
40401010
R2
R3
40401020
45
Software & Services
Internet Software & Services
Internet Software & Services
Companies developing & marketing internet software and/or providing internet
services including online databases & interactive services, web address
registration services, database construction & internet design services.
Excludes companies classified in the Internet Retail sub-industry.
IT Services
IT Consulting & Other Services
Providers of information technology and systems integration services not
classified in the Data Processing & Outsourced Services or Internet Software &
Services sub-industries. Includes information technology consulting and
information management services.
Data Processing & Outsourced Services
Providers of commercial electronic data processing and/or business process
outsourcing services. Includes companies that provide services for back-office
automation.
Software
Application Software
Companies engaged in developing and producing software designed for
specialized applications for the business or consumer market. Includes
enterprise and technical software. Excludes companies classified in the Home
Entertainment Software Sub-Industry. Also excludes companies producing
systems or database management software classified in the Systems Software
sub-industry.
Systems Software
Companies engaged in developing and producing systems and database
management software.
Home Entertainment Software
Manufacturers of home entertainment software and educational software used
primarily in the home.
80
MSCI
code
IT
4510
451010
45101010
SS
NS
451020
45102010
IS
45102020
451030
45103010
SW
45103020
45103030
Morgan Stanley Capital International on Datastream
Reference
Sector
Industry
group
Industry
Sub-industry
Information Technology (continued)
Technology Hardware & Equipment
Communications Equipment
Communications Equipment
Manufacturers of communication equipment and products, including LANs,
WANs, routers, telephones, switchboards and exchanges.
Computers & Peripherals
Computer Hardware
Manufacturers of personal computers, servers, mainframes and workstations.
Includes manufacturers of Automatic Teller Machines. Excludes manufacturers
of copiers, faxes and related products classified in the Office Electronics subindustry.
Computer Storage & Peripherals
Manufacturers of electronic computer components and peripherals. Includes
data storage components, motherboards, audio and video cards, monitors,
keyboards, printers and other peripherals. Excludes semiconductors classified
in the Semiconductors sub-industry.
Electronic Equipment & Instruments
Electronic Equipment Manufacturers
Producers of electronic equipment, instruments or components. Includes
analytical, electronic test and measurement instruments, electronic components,
connection devices and equipment not classified elsewhere. Excludes OEM
suppliers classified in the Electronic Manufacturing Services sub-industry.
Electronic Manufacturing Services
Producers of electronic equipment mainly for the OEM (Original Equipment
Manufacturers) markets.
Technology Distributors
Distributors of technology hardware and equipment. Includes distributors of
communications equipment, computers & peripherals, semiconductors, and
electronic equipment and components.
Office Electronics
Office Electronics
Manufacturers of office electronic equipment including copiers & faxes.
Semiconductors & Semiconductor Equipment
Semiconductors & Semiconductor Equipment
Semiconductor Equipment
Manufacturers of semiconductor equipment.
Semiconductors
Manufacturers of semiconductors and related products.
Telecommunication Services
Telecommunication Services
Diversified Telecommunication Services
Alternative Carriers
Providers of communications and high-density data transmission services
primarily through a high bandwidth/fiber-optic cable network.
Integrated Telecommunication Services
Operators of primarily fixed-line telecommunications networks and companies
providing both wireless and fixed-line telecommunications services not
classified elsewhere.
Wireless Telecommunication Services
Wireless Telecommunication Services
Providers of primarily cellular or wireless telecommunication services
including paging services.
Issue 5
MSCI
code
Datastream
code
45
IT
4520
452010
45201010
TH
CE
452020
45202010
CP
45202020
452030
45203010
EI
45203020
45203030
452040
45204010
OE
4530
453010
45301010
S2
SE
45301020
50
5010
501010
50101010
T1
T2
DT
50101020
501020
50102010
WT
81
Reference
Sector
Industry
group
Industry
Sub-industry
Utilities
Utilities
Electric Utilities
Electric Utilities
Companies that produce or distribute electricity. Includes both nuclear and
non-nuclear facilities, as well as independent power producers.
Gas Utilities
Gas Utilities
Companies whose main charter is to distribute and transmit natural and
manufactured gas. Excludes companies primarily involved in gas exploration or
production classified in the Oil & Gas Exploration & Production sub-industry.
Also excludes diversified midstream natural gas companies classified in the Oil
& Gas Refining, Marketing & Transportation sub-industry.
Multi-Utilities
Multi-Utilities
Utility companies with significantly diversified activities in addition to core
Electric Utility, Gas Utility and/or Water Utilityoperations.
Water Utilities
Water Utilities
Companies that purchase and redistribute water to the end-consumer. Includes
large-scale water treatment systems.
Independent Power Producers & Energy Traders
Independent Power Producers & Energy Traders
Companies that operate as Independent Power Producers (IPPs), Gas & Power
Marketing & Trading Specialists and/or Integrated Energy Merchants. Excludes
electric transmission companies and utility distribution companies classified in
the Electric Utilities sub-industry.
82
MSCI
code
Datastream
code
55
U1
5510
551010
55101010
U2
EU
551020
55102010
GU
551030
55103010
MU
551040
55104010
WU
551050
55105010
IP
Morgan Stanley Capital International on Datastream
Reference
Datatypes
MSCI index datatypes
Code datatypes
Descriptors
Indicators
Classification datatypes
Next day datatypes
Proforma datatypes
Associated market datatypes
MSCI price datatypes
Datatypes for constituents of Small Cap indices
Dividend datatypes
Datastream Search datatypes
Advance Corporate Events datatypes
Value and Growth Index datatypes
Value and Growth Constituent datatypes
MSCI company monthly ratio datatypes
Company descriptors and flags
MSCI balance sheet datatypes
MSCI income statement datatypes
Issue 5
84
85
85
85
86
86
86
87
87
88
88
89
90
94
94
96
97
98
99
83
Reference
MSCI index datatypes
Standard indices
Datatype
Alternative
datatype
Price index
Index with net dividends reinvested in local currency
Index with gross dividends reinvested in local currency
Index with net dividends reinvested in local currency
Index with gross dividend reinvested in local currency
Number of equities
MSPI
MSNR see note 1
MSRI see note 1
MSND see note 2
MSDR see note 2
PI
NR
RI
ND
DR
NE
st
st
Note 1: Data is provided on a monthly basis to 31 December 2000 and daily from 1 January 2001
onwards. See page 109 for details of the implementation of daily total returns. Customers wishing to view
complete MSCI official return index values should use these datatypes.
st
st
Note 2: Unofficial daily data from 31 December 1998 to 31 December 2000, then official daily data from
st
1 January 2001 onwards. See page 109 for full details.
Valuation ratios
Price/Earnings per share
Price/ Book value
Dividend yield
Price/Cash earnings per share
Market value of index (U$)
Return on equity
MSPE
MSPB
MSDY
MSPC
MSMV
MSRE
PE
BP
DY
PC
MV
RE
MSGWE
MSGWF
MSGWW
MSGWU
----
GDP
Percentage GDP weighting of index as constituent of Europe index
Percentage GDP weighting of index as constituent of EAFE index
Percentage GDP weighting of index as constituent of World index
Percentage GDP weighting of index as constituent of EMU index
Use GDP datatypes with the lists displayed on page 37
Alternative datatypes
You can use either the MSCI or alternative datatypes when analysing MSCI indices. However,
if you are working with a combination of MSCI indices and those from another source, such as
Datastream, within a mixed list, you need to use the alternative datatype where available.
Price to Cash earnings ratios, in general, are not calculated for banking, insurance or financial
services companies.
84
Morgan Stanley Capital International on Datastream
Reference
Code datatypes
Description
Definition
History
Currency
conversion
Update
Unique combination of letters and numbers. Use to access any
data series on Datastream system
Unique non-changing identifier for an issue on the IBES system.
It will always be prefixed by @: on the Datastream system.
No
No
Daily
IBTKR
Datastream
mnemonic
IBES ticker
No
No
Daily
ISIN
ISIN code
International Security Identification Number uniquely identifies a
security. It is an international coding system developed by the
International Standards Organisation (ISO).
No
No
Daily
LOC
Local official code
No
No
Daily
MSTSC
MSCI Time Series
code
SEDOL code
Unique identifier issued by the local exchange on which the
stock is traded.
Unique non-changing identifier for an issue. It will always be
prefixed by MS: on the Datastream system.
Stock Exchange Daily Official List unique identifier issued by the
London Stock Exchange.
No
No
Daily
No
No
Daily
The MSCI assigned company code. The first 5 digits are unique
for a company, the last two digits allow for different types of
share.
This code does change over time - ie in the case of mergers or
restructuring.
No
No
Daily
MNEM
SECD
MSCODE MSCI code
Descriptors
Description
Definition
History
Currency
conversion
Update
MSFMCF
Foreign inclusion
factor
Multiply the market value by this factor to define the weighting
of the stock in an index. Used for constituents of free indices
until 31 October 2001 and for all indices since then.
Yes from
1 June
1996
No
Daily
MSFIF
Foreign inclusion
factor
As MSFMCF. Originally used for Provisional indices, but can
now be used for the constituents of Standard indices since the
end of May 2002.
Yes from
31 May
2001
No
Daily
MSMCF
Market cap factor
Multiply the market value by this factor to define the weighting
of the stock in an index. Used for constituents of non free
indices.
Yes from
1 June
1996
No
Daily
MSCTRY
MSCI country code
No
No
Daily
MSCTRYN
Msci country name
The MSCI country code for the country of domicile for the
company.
The MSCI country name for a company’s country of domicile.
No
No
Daily
MSNAME
Name of company
The name of the security
No
No
Daily
Indicators
MSIXIN
Description
Definition
History
Currency
conversion
Update
Index Inclusion flag
Indicates whether a stock is included in the MSCI indices on the
given date.
0 = not included
1 = included
Indicates whether a stock is a constituent of a Small Cap index
Yes
No
Daily
MSSCI
Small Cap index flag
MSGVI
Value/Growth index
flag
MSEURO Euro index flag
Issue 5
Yes
No
Daily
Indicates whether a stock is a constituent of the Value or Growth Yes
sub-index
V = value
G = growth
B = both
No
Daily
Indicates whether a stock is a constituent of the Euro or Pan
Euro indices.
No
Daily
Yes
85
Reference
Classification datatypes
Description
Definition
History
Currency
conversion
Update
MSCIIC
Industry code
MSCI GICS Industry
Yes from
Dec
1996
No
Daily
MSCIGC
Industry group code
MSCI GICS Industry Group
Yes from
Dec
1996
No
Daily
MSCIIGN
Industry group name
MSCI GICS Industry Group name
No
No
Daily
MSCIIN
Industry name
MSCI GICS Industry name
No
No
Daily
MSCISC
Sector code
MSCI GICS Sector
Yes from
Dec
1996
No
Daily
MSCISN
Sector name
MSCI GICS Sector name
No
No
Daily
MSCSIC
Sub-industry code
MSCI GICS Sub-industry code
Yes from
Dec
1996
No
Daily
MSCISIN
Sub-industry name
MSCI GICS Sub-industry name
No
No
Daily
Next day datatypes
Datatype Description
Standard
datatype for
comparison
Datatype Description
Standard
datatype for
comparison
MSCNSC
Sector next day
MSCISC
MSNPAF
MSPAF
MSCNSN
MSCNGC
Sector name next day
Industry group code next day
MSCISN
MSCIGC
MSNFIF
MSNDIF
MSCNIGN
MSCNIC
MSCNIN
MSCNSI
MSCNSIN
Industry group name next day
Industry code next day
Industry name next day
Sub industry code next day
Sub industry name next day
MSCIIGN
MSCIIC
MSCIIN
MSCSIC
MSCISIN
MSNXIN
MSNEUR
MSNSCF
MSNISO
MSNSNC
Preliminary price adjustment factor
next day
Foreign inclusion factor next day
Domestic inclusion factor next day
Standard index inclusion flag next day
Euro series flag next day
Small cap index flag next day
ISO currency code next day
Standard index number of shares next
day
MSFIF
MSDID
MSIXIN
MSEURO
MSSCI
MSPCUR
n/a
Proforma datatypes
Datatype Description
Standard
datatype for
comparison
Datatype Description
Standard
datatype for
comparison
MSFFIF
MSFXIN
Proforma foreign inclusion flag
Proforma standard index
inclusion flag
MSFIF
MSIXIN
MSFSCI
MSFGVF
Proforma Small Cap Index Flag
Proforma Global Value Inclusion
Factor
MSSCI
MSFCTV
MSFNSH
Proforma NOSH
MSNOSH
MSFGGF
Proforma Global Growth Inclusion
Factor
MSFCTG
86
Morgan Stanley Capital International on Datastream
Reference
Associated market datatypes
These datatypes enable you to retrieve the value and the mnemonic of the index associated with any stock in the MSCI
universe.
Description
History Currency
conversion
Update
MSM
Country index in local
currency
Yes
n/a
Daily
MSMD
Country index in US
Dollars
ACS sector index in local
currency
Yes
n/a
Yes
ACS sector index in U$
Yes
MSSI
MSSID
Description
History Currency
conversion
Update
MSIGI
ACS Industry group index
in local currency
Yes
n/a
Daily
Daily
MSIGD
Yes
n/a
Daily
n/a
Daily
MSII
ACS Industry group index
in U$
ACS Industry index in
local currency
Yes
n/a
Daily
n/a
Daily
MSIDI
ACS Industry index in U$
Yes
n/a
Daily
By default the datatypes listed above return the Price Index (MSPI). To return other data, suffix a ‘#’ followed by the required
datatype. For example: ICI(MSMD#MSMV) returns the Market value of the UK index in US$
INDXM
Country index mnemonic
for local currency
Yes
n/a
Daily
INDXIGI
ACS Industry group index
mnemonic in local
currency
Yes
n/a
Daily
INDXMD
Country index mnemonic
in US Dollars
ACS sector index
mnemonic in local
currency
Yes
n/a
Daily
Yes
n/a
Daily
Yes
n/a
Daily
INDXIGD ACS Industry group index
mnemonic in U$
INDXII
ACS Industry index
mnemonic in local
currency
Yes
n/a
Daily
Yes
n/a
Daily
INDXIID
Yes
n/a
Daily
INDXSI
INDXSID ACS sector index
mnemonic in U$
ACS Industry index
mnemonic in U$
MSCI price datatypes
History Currency
conversion
Updated
Description
Definition
MSP
Adjusted price
The MSCI adjusted price in local currency. Adjustments take account of
Yes
capital changes.
Monthly prices are generally available from the beginning of 1988. They are
taken on the last working day of the previous month. Daily prices are available
for the last 13 months from today’s date, after which monthly prices are
available.
You can investigate differences between adjusted and unadjusted price data
using Datastream program 284A.
Yes
Daily
MSIXP
Index of price
A value representing the price return from period to period by using an index
of performance with an arbitrary base value. The index of price is adjusted for
capital changes.
Yes
No
Daily
MSMV
Market value
Yes
Yes
Daily
MSVxxx
Market value
in different
currencies
The market capitalisation of the company: (number of shares) x (unadjusted
price in local currency).
Market capitalisation of a company:
(number of shares) x (unadjusted price in any currency).
Replace xxx with currency code (see page 101). Displayed in millions.
From
1st
June
96
Yes
Daily
Stored as an actual value. MSNOSH is available as daily values from June
1996, and as monthly values before that date.
Yes
Yes
Daily
from 1st
June
1996
MSSNSH Number of
Stored as an actual value. Datastream NOSH (number of shares) is stored in Yes
shares in small thousands (`000s).
cap indices
Yes
Daily
from 1st
June
1996
MSNSI
MSNOSH Number of
shares
Number of
shares for
today’s index
MSPCUR Price currency
Issue 5
Used to calculate market capitalisation, and needed to replicate the index.
Yes
No
Daily
from
Nov
2001
The MSCI currency code for the company (ISO code). See page 101 for
currency codes.
No
No
Daily
87
Reference
MSCI price datatypes (continued)
Description
MSPMRK Price marker
Definition
History Currency
conversion
Updated
blank = exchange price
c = calculated price
Prices calculated based on the domestic price and the premium of the foreign
traded shares can be used when there are occasional gaps in foreign trading.
Yes
No
Daily
since 1st
April
1997
Yes
Daily
No
Daily
(Calculated foreign price) = (domestic price) x (1 + premium %)
MSUP
Unadjusted
price
MSPAF
Price
adjustment
factor
where premium is the average of premiums observed during the last five days
of trading.
Calculated prices are only available for Indonesia, Malaysia, Singapore and
Thailand.
e = estimated price
On a day where there is no foreign trading, but domestic trading on a security
takes place, CIPSA estimates a foreign price. Also, prices given which are not
closing prices are indicated as estimated prices. Estimated prices are
available for any country.
The MSCI unadjusted price in local currency. Unadjusted for scrip or rights
Yes
issues.
Monthly prices are generally available from the beginning of 1988. They are
taken on the last working day of the previous month. Daily prices are available
for the last 13 months from today’s date, after which monthly prices are
available.
You can investigate differences between most adjusted and unadjusted price
data using Datastream program 284A.
Used to adjust a security’s price for corporate events. The price adjustment
Yes
factor enables customers to replicate price index values. If not applicable, the
field displays as 1.000.
Datatypes for constituents of Small Cap indices
Definition
History Currency
conversion
Updated
MSZUSD Smallcap market
value in U$
MSSMV Smallcap market
value - local
Market capitalisation of a small cap company:
(number of shares) x (unadjusted price in US$)
Market capitalisation of a small cap company:
(number of shares) x(unadjusted price in local currency)
Yes
Yes
Daily
Yes
Yes
Daily
MSZxxx
Market capitalisation of a small cap company:
(number of shares) x (unadjusted price in any currency).
Replace xxx with currency code (see page 101)
For small cap constituents
Yes
Yes
Daily
Yes
No
Daily
Description
MSSFIF
Smallcap market
value in other
currencies
Foreign inclusion
factor
Dividend datatypes
Description
Definition
History
Currency
conversion
Updated
MSCD
Calculation date
The date at which the dividend is included in the index
calculation.
Yes from
March 2002
No
Daily
MSDC
Dividend currency
The ISO symbol of the currency in which the dividend is paid.
Yes from
March 2002
No
Daily
MSDS
Dividend sub-unit
The number of shares to which the dividend amount applies.
Yes from
March 2002
No
Daily
MSAD
Adjusted dividend
Yes from
March 2002
No
Daily
MSUD
Unadjusted
dividend
The amount of dividend adjusted for a corporate action that is
reinvested. This is not necessarily the same as the factor used
in adjusting the price.
The non-adjusted amount of the dividend.
Yes from
March 2002
No
Daily
MSDA
Adjustment factor
Yes from
March 2002
No
Daily
MSXDD
Ex-dividend date
The ratio between the non-adjusted and the adjusted dividend
amounts.
The first day on which a security no longer carries the right to
the most recently declared dividend.
Yes from
March 2002
No
Daily
MSCF
Correction flag
Flag indicating the dividend amount is a correction to a
previously reinvested dividend.
Yes from
March 2002
No
Daily
88
Morgan Stanley Capital International on Datastream
Reference
Datastream Search datatypes
Issue 5
Datatype
Description
Update
MSBV
MSBPS
MSCES
MSCPS
MSCA
MSCL
Book value
Book value per share
Cash earnings
Cash earnings per share
Current assets
Current liabilities
Monthly
MSDPS
MSEPS
MSFXA
MSINV
MSLTD
MSOA
MSOL
Dividend per share
Earnings per share
Fixed assets
Investments
Long term debt
Other assets
Other liabilities
Monthly
MSPMC
MSPYC
MSPHC
MSP
MSPB
MSPC
Percentage price change for month to date
Percentage price change for year to date
Percentage price change from high value
Price
Price/Book value per share
Price/Cash earnings per share
Monthly
MSPE
MSPS
MSSLS
MSERS
MSCISC
MSSCIGC
MSCIIC
Price/Earnings per share
Price/Sales (Emerging Market data only)
Sales
Total earnings
MSCI sector code (GICS)
MSCI industry group (GICS)
MSCI Industry code (GICS)
Monthly
Monthly
Monthly
Monthly
Monthly
Monthly
Daily
Monthly
Monthly
Monthly
Monthly
Monthly
Monthly
Monthly
Monthly
Monthly
Monthly
Monthly
Monthly
Monthly
Daily
Daily
Daily
Fast Search
9
9
8
8
9
8
8
9
9
8
8
8
8
8
8
8
9
9
9
9
8
9
9
8
8
8
89
Reference
Advance Corporate Events datatypes
These datatypes are available to customers who subscribe to the MSCI Core Daily modules
such as MSCI Core Developed Markets Daily. These datatypes provide essential information
relating to MSCI index constituent changes. They provide a clear picture of MSCI’s treatment
of all future changes affecting constituents in MSCI indices, including pending changes and
changes implemented within the last two business days. All security level changes resulting
from corporate events are included. Change types include corporate actions (mergers, spinoffs, and so on), foreign inclusion factors, GICS changes, quarterly index reviews and annual
full country index reviews.
For each datatype, there are two versions:
•
Latest datatype provides details of the last event
•
Historic datatype retrieves events that occurred in the past (up to nine events can be
stored).
The event id datatype (MSLEID) provides the MSCI code that holds the details of the event.
An event id can be unique to a particular security, for example, a takeover, or the same id can
be used for a number of securities, for example, quarterly index reviews.
The composite datatype (MSEVID) provides a summary of the last event. For example, the
last event id for Autozone was 2948 and this was implemented on 5th November 2003. The
event type (MSLTYP) and event description (MSLDES) datatypes provide details of each
event. In this case, there was a Secondary offering (Public offer).
Latest
Name
Datatype
Historic Name
Datatype
Description
MSEVID
Composite datatype
MSLEID
Latest last event id
MSHEID
Historic last event id
Numeric key to identify unique events
MSLSTT
Latest last event status
MSHSTT
Historic last event status
Acknowledged, Undetermined, Expected,
Confirmed, Implemented, Cancelled, Correction.
See the following table for descriptions of the
values returned by MSLSTT
MSLEDT
Latest effective date of
change
MSHEDT
Historic effective date of
change
Date the security’s change is effective in index
MSLUDT
Latest date event last
updated
MSHUDT
Historic date event last
updated
Last date the change data has been updated
MSLFDT
Latest date event first
entered
MSHFDT
Historic date event first
entered
Initial date the change data was entered into file
MSLCCT
Latest country code after
change
MSHCCT
Historic country code after
change
Country after change
MSLNNM
Latest constituent name
after change
MSHNNM
Historic constituent name
after change
New security name
MSLTYP
Latest corporate event type MSHTYP
Historic corporate event type Type of corporate action or security’s change, i.e.
merger, acquisition, spin-off, private placement etc.
See the following table for descriptions of the
values returned by MSLTYP
MSLDES
Latest corporate event
MSHDES
Historic corporate event
Detailed information concerning the even. For
example, for shares, for cash, etc
MSLTRM
Latest terms of corporate
event
MSHTRM
Historic terms of corporate
event
Terms of a corporate event. For example, 10:1
MSLFLG
Latest event flag
MSHFLG
Historic event flag
1 if additional text announcement (Option
P/Q/T/VG) has been made; otherwise 0
MSLNNS
Latest new index NOSH on MSHNNS
effective date
Historic new index nosh on
effective date
Security number of shares used in index calculation
on the effective date.
MSLCNS
Latest new closing NOSH
on effective date
Historic new closing nosh on Security number of shares used in calculation of
effective date
closing market cap after change
MSLCOM
Latest correction comment MSHCOM
90
MSHCNS
Historic correction comment In the event of correction – free text description of
correction
Morgan Stanley Capital International on Datastream
Reference
Latest
Name
Datatype
Historic Name
Datatype
Description
MSLPFF
Latest price adjustment
factor formula
MSHPFF
Historic price adjustment
factor formula
Formula used to calculate the Price Adjustment
Factor (PAF)
MSLPAF
Latest price adjustment
factor
MSHPAF
Historic price adjustment
factor
PAF (where price is available to calculate final PAF
upon implementation change.
See the following table for descriptions of price
adjustment factors.
MSLISO
Latest new currency after
change
MSHISO
Historic new currency after
change
Currency symbol of price after change
MSLSIG
Latest new sub industry
code after change
MSHSIG
Historic new sub industry
code after change
GICS sub-industry code after change
MSLSIN
Latest new sub industry
name after change
MSHSIN
Historic new sub industry
name after change
GICS sub-industry name after change
MSLFIF
Latest foreign inclusion
factor after change
MSHFIF
Historic foreign inclusion
factor after change
Foreign inclusion factor after change
MSLDIF
Latest domestic inclusion
factor after change
MSHDIF
Historic domestic inclusion
factor after change
Domestic inclusion factor after change
MSLLIF
Latest limited investability
factor after change
MSHLIF
Historic limited investability
factor after change
Limited investibility factor after change
MSLFOL
Latest foreign ownership
limit after change
MSHFOL
Historic foreign ownership
limit after change
Foreign ownership limit after change
MSLINC
Latest standard index
inclusion flag after change
MSHINC
Historic standard index
inclusion flag after change
1,0 – depending on index inclusion in the MSCI
Standard index series
MSLEUR
Latest euro index inclusion MSHEUR
flag after change
Historic euro index inclusion 1,0 – depending on index inclusion in the MSCI
flag after change
Pan-Euro and Euro indices
MSLSCP
Latest small cap inclusion
flag after change
Historic small cap inclusion
flag after change
MSLVAG
Latest date of data used in MSHVAG
V/G style atttribution
Historic date of data used in Date of data used in the Value/Growth style
v/g style attribution
attribution
MSLGVZ
Latest global value Z score MSHGVZ
Historic global value Z score Value Z-score used for the Global Value/Growth
style attribution
MSLGGZ
Latest global growth Z
score
MSHGGZ
Historic global growth Z
score
MSLVFT
Latest global value
inclusion factor after
change
MSHVFT
Historic global value
Adjustment factor used to adjust the weight of the
inclusion factor after change security in the Global Value indices, after change
MSLGFT
Latest global growth
inclusion factor after
change
MSHGFT
Historic global growth
Adjustment factor used to adjust the weight of the
inclusion factor after change security in the Global Growth indices, after change
Issue 5
MSHSCP
1,0 – depending on index inclusion in the MSCI
Small Cap index series
Growth Z-score used for the Global Value/Growth
style attribution
91
Reference
Advance Corporate Events datatypes (continued)
MSLSTT returns the following values:
Description
Acknowledged Used to indicate that MSCI is aware of an upcoming event. With this
status, MSCI will not disclose any details of the treatment of the
corporate event. Used for all corporate events (mergers, acquisitions,
spin off, buybacks, and conversions), except for IPOs and corporate
events resulting in a price adjustment (stock, split, rights, etc.), where
an “Expected” or “Undetermined” announcement will be sent directly.
Timing
As early as possible.
Canceled
Confirmed
Used when a previously announced event does not go through.
Used when all details for the implementation of the security’s change
have been finalised.
As early as possible.
For corporate actions and other company
changes, confirmed announcement will be sent
two days before the effective date (whenever
possible). QIR/Annual Full Country Index
Review changes will be announced as
confirmed at least two weeks before their
effective date.
Correction
Used in the case a modification needs to be made only to an event that In the next daily file.
was previously Confirmed.
Used when the effective date is known, but other elements of the event As soon as possible for corporate actions
are subject to change.
(stock, split, rights, etc.), or generally ten
business days before effective date.
Used when the change has been implemented in the index.
The event will remain in the file two days after
its effective date.
Expected
Implemented
Undetermined Used when the event is conditional upon uncertain events (eg: the offer As the effective date is unknown,
is hostile, the effective date is not known). MSCI will describe the event undetermined announcements will be sent
and how it will be implemented if and when it becomes effective.
when there is a reasonable level of certainty
that the event will take place.
MSLTYP returns the following values:
Abbreviation
Event
Abbreviation
Event
Abbreviation
Event
ACK
Acknowledged
DIV
Dividend
PUB_OFF
Public offer
ACQ
Acquisition
S
Estimated by MSCI
PUB_OFF_P
Public offer priority to
shareholders
BANKR
Bankruptcy
EXP
Expected
PUB_PL
Public placement
BLK_SALE
Block Sale
X
Expected
Q
Quarter estimate
BON
Bonus
FOL
Fol change
QIR
Quarterly index review
BUYBCK
Buy Back
IMP
Implemented
RED
Redemption
TER
Cancelled
IPO
Initial public offering
RSPLIT
Reverse split
CAP_REP
Capital Repayment
MERGE
Merger
RTS
Rights issue
CAP_REPAY
Capital Repayment
M&A
Merger and acquisition
group
SEC_OFF
Secondary offering
C
Confirmed
M
Month
SPEC_DIV
Special dividend
CON
Confirmed
MULTI
Multi
SPIN
Spin off
CONSOL
Consolidation
NAME
Name change
SPLIT
Split
CONV
Conversion
NEW_ISS
New issue
STK_DIV
Stock
COR
Correction
OTH
Other
U
Undetermined
CORR
Correction
OTHER
Other
UND
Undetermined
DELIST
Delisting
PRIV_PL
Private placement
92
Morgan Stanley Capital International on Datastream
Reference
Advance Corporate Events datatypes (continued)
Price adjustment factor (PAF) for various corporate events
Event Type
Event type
abbreviation
Merger
Merger
Merger
Comments
PAF = [Cum Price Formula] / [Ex Price Formula]
Actual data for these terms is shown whenever it is
known.
Exchange of shares (PAF applied for historical [Other Asset Issued] / [Shares Before]
link when terms are <> 1for 1).
Exchange of cash and shares.
[(P(t) * Other Asset Issued + Cash) / Shares Before]
/ [P(t)]
Exchange of shares (PAF applied for historical [Other Asset Issued] / [Shares Before]
link when terms are <> 1for 1).
Conversion
Conversion
Spin-off
Spinoff
Spun-off traded on the ex- date.
Spinoff
Spun-off NOT traded on the ex-date (creation
of a 'detached' security).
Split
Reverse Split
Consolidation
Capital
Repayment
Split
Revsplit
Consol
Caprep
Rights Issue
R
Right of new underlying shares.
R
Right of new underlying shares with other
asset (bond, warrants, preferred, etc.)
attached.
Right of other types of asset (bond, warrants,
preferred,etc.) if they trade on the effective
date.
R
[P(t) + Spun Off P(t) * Spun Off Shares Issued /
Shares Before] / [P(t)]
[P(t-1)] / [P(t)]
[Shares Issued] / [Shares Before]
[Shares Issued] / [Shares Before]
[Shares Issued] / [Shares Before]
[P(t) + Cash] / [P(t)]
If Issue P>P(t-1) then 1 else [P(t-1)] / [(P(t-1) *
Shares Before + Shares Issued * Issue P) / (Shares
Issued +Shares Before)]
[(P(t) * (Shares Issued + Shares Before) + Other
Asset Issued * Other Asset P(t) - Shares Issued *
Issue P) /Shares Before] / [P(t)]
[P(t) + (Other Asset P(t) - Issue P) * Other Asset
Issued /Shares Before] / [P(t)]
Special Dividend
Specdiv
PAF is applied for special dividends when the [P(t) + Special Div] / [P(t)]
impact of dividend on the price of the day prior
the ex-date is greater than or equal to 5%.
Stock
S
S
Stock Dividend / Bonus /stock.
Stock of other types of asset (bond, warrants,
preferred, etc.).
Stock of new underlying shares with warrants
attached.
S
Multi (combination Multi
of 2 or more event
types above)
Example: Split and Capital Repayment.
[Shares Issued + Shares Before] / [Shares Before]
[(P(t) * Shares Before + Other Asset P(t) * Other
Asset Issued) / Shares Before] / [P(t)]
[(P(t) * (Shares Issued + Shares Before) + Other
Asset P(t) * Other Asset Issued)/ Shares Before] /
[P(t)]
Example: [P(t) * Shares Issued / Shares Before +
Cash] /[P(t)]
Where:
P(t)
Closing price in local currency on the ex-date
P(t-1) Closing price in local currency on the cum date (ex-date -1)
Shares Before Number of shares before the event
Shares Issued Number of shares distributed
Issue P
Issue price (local currency)
Cash
Shareholder cash entitlement
Special Div
Shareholder special dividend entitlement
Other Asset Issued
Number of other asset distributed (e.g. warrant, convertible bond, shares in other securities)
Spun Off Shares Issued Number of spun off security shares distributed
Other Asset P(t)
Closing price of the other asset on the ex-date
Spun Off P(t) Closing price of the spun off security on the ex-date
Issue 5
93
Reference
Value and Growth Index datatypes
Description
Definition
MSLE
MSSE
MSFE
Long term forward EPS growth rate
Short term forward EPS growth rate
Price to 12 months forward
earnings
Long term forward earnings per share growth rate
Short term forward earnings per share growth rate
Price to 12 months forward earnings
MSIG
MSET
MSSG
MSTI
Current internal growth rate
Long term EPS growth trend
Long term SPS growth trend
12 months trailing index EPS
Current internal growth rate
Long term earnings per share growth trend
Long term sales per share growth trend
12 months trailing index earnings per share
MSTY
MSEG
MSCM
12 months forward index EPS
Year on year growth forward EPS
Median market cap of index
MSMC
Average market cap of index
12 months forward index earnings per share
Year on year growth forward earnings per share
Median market cap of index, using the closing market cap of all securities
included in the index as of the calculation date.
Average market cap of index, using the closing market cap of all securities
included in the index as of the calculation date.
Value and Growth Constituent datatypes
Description
Definition
Daily datatypes
MSFCTG
Daily growth inclusion factor
MSFNDG
Daily growth inclusion factor next
day
MSFCTV
Daily value inclusion factor
MSFNDV
Daily value inclusion factor next day
Indicates the portion of the security that is included in the MSCI Global
Growth indices.
Indicates the portion of the security that is included in the MSCI Global
Growth indices of the next day
Indicates the portion of the security that is included in the MSCI Global
Value indices.
Indicates the portion of the security that is included in the MSCI Global
Value indices of the next day
Monthly datatypes
MSGBV
MSGEPF
MSGDY
Global Z book value to price
Global Z E/P forward
Global Z dividend yield
Book value to price Z Score used for style allocation
Earnings to price forward Z Score used for style allocation
Dividend yield Z score used for style allocation
MSGLFE
Global Z long term forward EPS
growth rate
Global Z short term forward EPS
growth rate
Long term forward earnings per share growth rate Z score used for style
allocation
Short term (12 month rolling) forward earnings per share growth rate Z
score used for style allocation
Global Z current internal growth rate
Global Z long term historical EPS
growth trend rate
Global Z long term historical SPS
growth trend rate
Current internal growth rate Z score used for style allocation
Long term historical earnings per share growth trend Z score used for style
allocation
Long term historical sales per share growth trend Z score used for style
allocation
Aggregate value Z score used for style allocation
Aggregate growth Z Score used for style allocation
Currency of Results of the historical 5 years earnings and sales per share
MSEPSF
Global Z value
Global Z Growth
Currency of 5 year historical EPS
and SPS
5 year historical EPS estimated flag
MSSPSF
5 year historical SPS estimated flag
MSGSFE
MSGCIG
MSGLHE
MSGLHS
MSGZV
MSGZG
MSGISO
94
Indicates that earnings per share are estimated as follows:
0 = Earnings up to and including the most recent year are estimated.
1 = Earnings up to and including the previous year are estimated.
2 = Earnings up to and including the fiscal year end for the period ending
two periods prior to the latest fiscal year are estimated.
3 = Earnings up to and including the fiscal year end for the period ending
three periods prior to the latest fiscal year are estimated.
4 = Earnings for the fiscal year end for the period ending four periods prior
to the latest fiscal year are estimated
As above but for sales per share
Morgan Stanley Capital International on Datastream
Reference
Value and Growth Constituent datatypes (continued)
Description
Definition
MSGIGR
MSGLET
MSGLST
Current internal growth rate
Long term EPS growth trend
Long term SPS growth trend
Current internal growth rate
Long term historical earnings per share growth trend
Long term historical sales per share growth trend
MSYR0
MSYR1
MSYR2
MSYR3
MSYR4
MSYR0E
Most recent fiscal year end
Previous fiscal year end
Fiscal year end minus 2
Fiscal year end minus 3
Fiscal year end minus 4
Most recent fiscal year EPS
Most recent fiscal year end
Previous fiscal year end
Fiscal year end for period ending two periods prior to latest fiscal year
Fiscal year end for period ending three periods prior to latest fiscal year
Fiscal year end for period ending four periods prior to latest fiscal year
Most recent fiscal year end restated earnings per share, adjusted for
corporate events (used for historical earnings per share growth trend.)
MSYR0S
Most recent fiscal year SPS
MSYR1E
Previous fiscal year EPS
Most recent fiscal year end restated sales per share, adjusted for corporate
events (used for long term historical sales per share growth trend)
Previous fiscal year end restated earnings per share, adjusted for corporate
events (used for long term historical earnings per share growth trend)
MSYR1S
Previous fiscal year SPS
MSYR2E
Fiscal year end minus 2 EPS
MSYR2S
Fiscal year end minus 2 SPS
MSYR3E
Fiscal year end minus 3 EPS
Fiscal year end restated earnings per share for period ending three periods
prior to latest fiscal year, adjusted for corporate events (used for long term
historical earnings per share growth trend)
MSYR3S
Fiscal year end minus 3 SPS
MSYR4E
Fiscal year end minus 4 EPS
MSYR4S
Fiscal year end minus 4 SPS
Fiscal year end restated sales per share for period ending three periods
prior to latest fiscal year, adjusted for corporate events (used for long term
historical sales per share growth trend)
Fiscal year end restated earnings per share for period ending four periods
prior to latest fiscal year, adjusted for corporate events (used for long term
historical earnings per share growth trend)
Fiscal year end restated sales per share SPS for period ending four periods
prior to latest fiscal year, adjusted for corporate events (used for long term
historical sales per share growth trend)
Issue 5
Previous fiscal year end restated sales per share, adjusted for corporate
event (used for long term historical sales per share growth trend)
fiscal year end restated earnings per share for period ending two periods
prior to latest fiscal year, adjusted for corporate events (used for long term
historical earnings per share growth trend)
Fiscal year end restated sales per share for period ending two periods prior
to latest fiscal year, adjusted for corporate events (used for long term
historical sales per share growth trend)
95
Reference
MSCI company monthly ratio datatypes
Description
Definition
History
Currency
conversion
Update
MSBPS
Book value per share
Yes
Yes
Monthly
MSBPSD
Book value per share
date
Book value per share outstanding at the latest balance sheet
date
Date of latest balance sheet
Yes
No
Monthly
MSCFLG
Cash earnings
estimated flag
Yes
No
Monthly
MSCPS
Cash earnings per
share
Cash earnings per
share date
Cash earnings estimated flag
0 = indicates P/CE ratio is not based on estimates
1 = indicates P/CE ratio is based on estimated depreciation
6 = Loss reported.
Trailing 12 month Cash earnings (net earnings plus
depreciation)
Date of latest Cash earnings estimate (interim or Final)
Yes
Yes
Monthly
Yes
No
Monthly
Dividend Yield is reported greater than, less than or equal to the
previous Dividend Yield
Dividend Yield
Yes
No
Monthly
Yes
No
Monthly
Yes
Yes
Monthly
MSMDPD DPS date
Most Recent Dividend Per Share (current rate for US and
Canada; all others trailing 12 months.
Date of latest dividend update (Emerging Market data only)
Yes
No
Monthly
MSEPSD
Earnings date
Date of latest earnings update (interim or final).
Yes
No
Monthly
MSEFLG
Earnings estimated
flag
Yes
No
Monthly
MSETRN
Earnings trend
indicator
0 = no estimation
1 = Earnings estimated
6 = Loss reported
New Earnings is reported greater than, less than or equal to the
previous Earnings.
Yes
No
Monthly
MSPEC
PE consolidation flag
Yes
No
Monthly
MSPB
Price/Book value per
share
Yes
Yes
Monthly
MSPC
Price/Cash earnings
per share
Yes
Yes
Monthly
MSPE
Price/Earnings per
share
Yes
Yes
Monthly
MSPS
Price/sales
Yes
No
Monthly
MSPSLD
Price/sales date
0 = PE based on consolidated data
1 = PE based on unconsolidated data
Price/Book value Per Share Based on the book value as
reported in the balance sheet at the fiscal year end. No
adjustments are made for goodwill or other special items.
MSPB = MSUP / MSBPS
Price/Cash earnings (earnings + depreciation on fixed assets)
Per Share. Based on the results for the 12 months ending on the
date obtained by datatype MSCPSD.
MSPC = MSP / MSCPS
Price/Earnings per share
MSPE = MSP / MSEPS
Price/Sales - Reported sales, for insurance companies it is the
total net new premiums
(Only for Emerging Market countries)
Date reported.
Yes
No
Monthly
MSRE
Return on equity
Yes
No
Monthly
MSROEF
Return on equity flag
Yes
No
Monthly
MSEPS
Rolled up - earnings
per share
Return on Equity. EPS/book value per share expressed as a
percentage.
MSRE = MSEPS / MSBPS
Indicates a difference of 12-18 months exists between book
value and net earnings data.
Trailing 12 month earnings. Based on reported figures (not
preliminary), they include interim earnings.
Yes
Yes
Monthly
MSCPSD
MSDTRN
MSDY
Dividend trend
indicator
Dividend yield
MSMDPS DPS
96
Morgan Stanley Capital International on Datastream
Reference
Company descriptors and flags
Description
Definition
History
Currency
conversion
Update
MSBTXT1
Business text - line 1
No
No
Monthly
MSBTXT2
Business text - line 2
Textual description of the company and miscellaneous
information.
Textual description of the company and miscellaneous
information.
No
No
Monthly
MSBTXT3
Business text - line 3
No
No
Monthly
MSBTXT4
Business text - line 4
Textual description of the company and miscellaneous
information.
Textual description of the company and miscellaneous
information.
No
No
Monthly
MSBTXT5
Business text - line 5
No
No
Monthly
MSBTXT6
Business text - line 6
Textual description of the company and miscellaneous
information.
Textual description of the company and miscellaneous
information.
No
No
Monthly
MSBTXT7
Business text - line 7
No
No
Monthly
MSCAP
Capital
Textual description of the company and miscellaneous
information.
Text relating to total capital for company.
No
No
Monthly
MSDOM
Domestic flag
Y = Indicates if share is traded only on the domestic market.
No
No
Monthly
MSCON
Earnings consolidated 0 = fully consolidated results
Yes
flag
1 = indicates P/E and P/CE are based on results not fully
consolidated, except for Germany where this applies to P/CE
ratio only. (P/E is based on estimated ‘real’ earnings).
MSCI code
The MSCI assigned company code. The first 5 digits are unique No
for a company, the last two digits allow for different types of
share.
This code does change over time - ie in the case of mergers or
restructuring.
No
Monthly
No
Daily
MSPHC
Percentage change of Percentage change from high value (since base date Jan 70 for Yes
price from high value developed markets) in local currency, adjusted for price
from 1st
Dec 95
changes. Available for developed markets only.
No
Monthly
MSPMC
Percentage change of Percentage change month to date in local currency, adjusted
price in month to date for price changes. Available for developed markets only.
Yes
from 1st
Dec 95
No
Monthly
MSPYC
Percentage change of Percentage change year to date (from start of calendar year) in
price in year to date
local currency, adjusted for price changes. Available for
developed markets only.
Priced as percentage Indicates if the stock is priced as a per cent of its par value. Y
of par flag
indicates it is priced as a percentage, N indicates it is not.
Yes
from 1st
Dec 95
No
Monthly
Yes
No
Monthly
MSSUSP
Suspended flag
No
No
Monthly
MSVAL
Value of quotation
No
No
Daily
MSCODE
MSPPF
Issue 5
Indicates if the company is suspended from trading
0 = not suspended
1 = suspended
This field is designed to address the situation in Brazil, where
because of currency changes some securities are being quoted
in lots of 1000. This field is informational only. Market
capitalisation continues to equal price x shares outstanding.
0 = shares and prices are stated in lots of 1
1 = shares and prices are stated in lots of 10
2 = shares and prices are stated in lots of 100
3 = shares and prices are stated in lots of 1000
4 = shares and prices are stated in lots of 10000
97
Reference
MSCI balance sheet datatypes
Balance sheet data is only available for stocks from Developed Market countries. MSCI
maintains history for these datatypes over a rolling 5 year period. Outside this 5 year period,
the data is not adjusted for scrip issues.
Description
MSBCUR Balance sheet
currency
MSBDTE Balance sheet date
Definition
History
Currency
conversion
Updated
Currency code used for balance sheet.
Yes
No
Monthly
Date of balance sheet.
Yes
No
Monthly
MSUNTB
Balance sheet units
Unit in which the balance sheet results are specified.
THOU = thousands
MILL = millions
BILL = billions
Yes
No
Monthly
MSBV
Book value
Yes
Yes
Monthly
MSCCD
Convertible code
Yes
No
Monthly
MSCA
Current assets
Yes
Yes
Monthly
MSCL
Current liabilities
Yes
Yes
Monthly
MSFXA
Fixed assets
Yes
Yes
Monthly
MSINV
Investments
Yes
Yes
Monthly
MSLTD
Long term debt
Yes
Yes
Monthly
MSOA
Other assets
Includes the capital account, retained equity, and all reserves of
an equity nature. For Swedish companies, 50% of special
untaxed inventory and investment reserves are included, with
the other 50% added to liabilities. Preferred equity is excluded; it
is included in Other Liabilities.
Quoted in the units specified by datatype MSUNTB.
Indicates whether convertible debentures are outstanding and
are included in Long Term Debt.
Includes inventories, receivables, securities, bank balances,
cash and equivalents.
Quoted in the units specified by datatype MSUNTB.
Includes all liabilities of a short-term nature, eg payable within
one year.
Quoted in the units specified by datatype MSUNTB.
Property, plant, and equipment after accumulated depreciation
(except for South Africa Gold Mines, which do not depreciate
fixed assets). Non-physical assets such as goodwill and patents
are excluded; they are included in Other Assets.
Quoted in the units specified by datatype MSUNTB.
Investments - includes equity participation in and loans to
subsidiaries, affiliates, and associated companies. Whenever
possible, investments of a purely portfolio nature have been
excluded from this item.
Quoted in the units specified by datatype MSUNTB.
All debt maturing in more than one year, when convertible
debentures are outstanding and included in Long Term Debt this
is indicated by a ‘1’ in the Convertible Code. If the current portion
of long term debt is known, it is excluded here and included in
Current Liabilities.
Quoted in the units specified by datatype MSUNTB.
Assets which by their nature are not readily classifiable under
fixed assets, investments, or current assets, ie intangible assets,
non-current debtors, etc.
Quoted in the units specified by datatype MSUNTB.
Yes
Yes
Monthly
MSOL
Other liabilities
Liabilities which by their nature are not readily classifiable under
Long Term Debt, or Current Liabilities, i.e. preferred equity,
minority interests, special provisions, pension funds, deferred
taxes, etc., and for Swedish companies 50% of special untaxed
inventory and investment reserves.
Quoted in the units specified by datatype MSUNTB.
Yes
Yes
Monthly
98
Morgan Stanley Capital International on Datastream
Reference
MSCI income statement datatypes
Income Statement data is only available for stocks from Developed Market countries.
Non-comparable flag
A non-comparable flag on any of these datatypes indicates that a particular value is not
comparable to its previous value. There could be several reasons for this; for example a merger
or corporate restructuring where sales and earnings would not be comparable from one
financial period to the next.
Description
Definition
History
Currency
conversion
Update
MSDPC
DPS comparable flag
Yes
No
Monthly
MSDPP
DPS published flag
non comparable = 1
otherwise = 0
unpublished =1
otherwise = 0
Yes
No
Monthly
MSDPR
DPS reported flag
Yes
No
Monthly
MSDPS
DPS
Yes
Yes
Monthly
MSEPC
EPS comparable flag
unreported =1
otherwise = 0
Dividend per share for the year. Gross Cash Dividends per
annum (including special tax credits in France, the UK, and
Germany), adjusted for rights issues, stock dividends and stock
splits.
Quoted in the units specified by datatype MSUNTP.
non comparable = 1
otherwise = 0
Yes
No
Monthly
MSEPP
EPS published flag
Yes
No
Monthly
MSEPR
EPS reported flag
unpublished =1
otherwise = 0
unreported =1
otherwise = 0
Yes
No
Monthly
MSERC
Total earnings
comparable flag
Total earnings
published flag
non comparable = 1
otherwise = 0
unpublished =1
otherwise = 0
Yes
No
Monthly
Yes
No
Monthly
unreported =1
otherwise = 0
Total Earnings for the year. Reported Net Earnings after Tax,
Preferred Dividends, and Distributions To Directors &
Employees, and Before Extraordinary Items.
Quoted in the units specified by datatype MSUNTR.
Yes
No
Monthly
MSERS
Total earnings
reported flag
Total earnings
Yes
Yes
Monthly
MSIEP
EPS
Earnings per share for the year - this is the Reported Net
Earnings after Tax, Preferred Dividends, and Distributions, and
Before Extraordinary Items, divided by the number of shares
outstanding at each fiscal year end, except for the US, UK and
Canada where Average Shares Outstanding are used.
Quoted in the units specified by datatype MSUNTP.
Yes
Yes
Monthly
MSPD
Length of period in
months
Per share currency
Number of months in the financial year being reviewed.
Yes
No
Monthly
MSERP
MSERR
MSPSCR
Currency code for Per Share results
Yes
No
Monthly
MSRCUR Results currency
Currency code for Income Statement.
Yes
No
Monthly
MSREPC
Reported EPS compare flag
Reported EPS published flag
non comparable = 1
otherwise = 0
unpublished =1
otherwise = 0
Yes
No
Monthly
Yes
No
Monthly
Reported EPS reported flag
Reported EPS
unreported =1
Yes
otherwise = 0
Reported Earnings per share for the financial year - For German Yes
companies, whose reported earnings are not considered
relevant, real earnings per share estimated according to German
financial standards are shown here.
Quoted in the units specified by datatype MSUNTP.
No
Monthly
Yes
Monthly
MSREPP
MSREPR
MSREPS
Issue 5
99
Reference
MSCI Income Statement Datatypes (continued)
MSSDC
MSSDP
MSSDR
MSSDS
Description
Definition
History
Currency
conversion
Update
Special DPS
comparable flag
Special DPS
published flag
non comparable = 1
otherwise = 0
unpublished =1
otherwise = 0
Yes
No
Monthly
Yes
No
Monthly
Special DPS reported
flag
Special DPS
unreported =1
otherwise = 0
Special Dividends Per Share - Special or extra dividends paid in
addition to the regular dividends.
Quoted in the units specified by datatype MSUNTP.
non comparable = 1
otherwise = 0
Yes
No
Monthly
Yes
Yes
Monthly
Yes
No
Monthly
unpublished =1
otherwise = 0
unreported =1
otherwise = 0
Yes
No
Monthly
Yes
No
Monthly
MSSLC
Sales comparable
flag
MSSLP
Sales published flag
MSSLR
Sales reported flag
MSSLS
Sales
Sales in the financial year
Quoted in the units specified by datatype MSUNTR.
Yes
Yes
Monthly
MSUNTP
Per share units
No
No
Monthly
MSUNTR
Results units
Yes
No
Monthly
MSYRTO
Current financial year
end (DD/MM/YY)
Cash earnings
comparable flag
Units for per share results
THOU = thousands
MILL = millions
BILL = billions
Units for income statement results
THOU = thousands
MILL = millions
BILL = billions
Next financial year end for the date specified.
No
No
Monthly
non comparable = 1
otherwise = 0
Yes
No
Monthly
Cash earnings
published flag
Cash earnings
reported flag
unpublished =1
otherwise = 0
unreported =1
otherwise = 0
Yes
No
Monthly
Yes
No
Monthly
MSCES
Cash earnings
Yes
Yes
Monthly
MSCLB
Consolidated balance
sheet Indicator
Cash earnings
Quoted in the units specified by datatype MSUNTR.
Indicates if the balance sheet was consolidated.
0 = Not consolidated
1 = consolidated
Yes
No
Monthly
MSCEC
MSCEP
MSCER
100
Morgan Stanley Capital International on Datastream
Reference
Country & currency codes, exchange rate mnemonics, country
coverage and total universe lists
The following table gives a range of country related information for MSCI data.
Country codes
Country codes are assigned to stocks by MSCI. Display country codes with datatype MSCTRY
and country names with MSCTRYN.
Currency codes
MSCI assigns ISO currency codes to stocks. Display currency codes with these datatypes:
MSPCUR
Price currency
MSRCUR
Income statement results currency
MSBCUR
Balance sheet currency
MSDC
Dividend currency
MSPSCR
Per share results currency
Datastream currency code
You must use the Datastream currency code within Datastream programs and when using the
tilde (~) currency conversion function.
Country coverage lists
Country coverage lists include all companies in the MSCI publications (Blue and Red books):
•
Constituents of all the Standard indices.
•
Some constituents of the Small Cap indices.
•
Other interesting companies that cannot be added to the Standard or Small Cap indices for
various reasons (low float, industry representation, and so on). The MSCI publications
aim to include information for interesting companies not in Standard or Small Cap indices.
Monthly lists
You can use the mnemonics in the following table to display the list for the last month end.
Daily lists
You can obtain daily lists (previous day’s data) by suffixing the mnemonic with a D, for
example MSCIRSD. Only available to clients with the daily core product.
Updates
To display the last update time for a list use the MSCI program. See Updates, page 25.
Total universe lists
Total universe lists include:
Issue 5
•
All companies in the Standard indices.
•
All companies in the Small Cap indices.
•
Stocks in the MSCI publications (Blue and Red books).
•
Other companies followed by MSCI not currently in any index or publication.
101
Reference
Country (currency)
MSCI country code
Exchange rate
to one U$
Country
coverage list
Total universe list
MSCI Service
Argentina (Peso)
Australia (Dollar)
AR
AU
ARS
AUD
AP
A$
MSERARS
MSERAUD
MSCIAR
MSCIAU
MSCUAR
MSCUAU
Emerging
Developed
Austria (Schilling)
Belgium (Franc)
Brazil (Real)
Brunei
Canada (Dollar)
Chile (Peso)
AT
BE
BR
ATS
BEF
BRL
BND
CAD
CLP
AS
BF
C
BN
C$
CE
MSERATS
MSERBEF
MSERBRL
MSERBND
MSERCAD
MSERCLP
MSCIOE
MSCIBG
MSCIBR
MSCUOE
MSCUBG
MSCUBR
Developed
Developed
Emerging
MSCICN
MSCICL
MSCUCN
MSCUCL
Developed
Emerging
China (Yuan Renminbi)
Colombia (Peso)
Czech Republic (Koruna)
Denmark (Krone)
Ecuador
Egypt (Pound)
Euro
CH
CO
CZ
DK
CNY
COP
CZR
DKK
ECS
EGP
EUR
CH
CP
CK
DK
SU
E£
E
MSERCNY
MSERCOP
MSERCZK
MSERDKK
MSERECS
MSEREGP
MSEREUR
MSCICH
MSCICB
MSCUCH
MSCUCB
MSCIDK
MSCUDK
Emerging
Emerging
Emerging
Developed
MSCIEG
MSCUEG
Emerging
Finland (Markka)
France (Franc)
Germany (Mark)
Greece (Drachma)
Hong Kong (Dollar)
Hungary (Forint)
FI
FR
DE
GR
HK
HU
FIM
FRF
DEM
GRD
HKD
HUF
M
FF
DM
DR
K$
HF
MSERFIM
MSERFRF
MSERDEM
MSERGRD
MSERHKD
MSERHUF
MSCIFN
MSCIFR
MSCIBD
MSCIGR
MSCIHK
MSCIHN
MSCUFN
MSCUFR
MSCUBD
MSCUGR
MSCUHK
MSCUHN
Developed
Developed
Developed
Developed
Developed
Emerging
India (Rupee)
Indonesia (Rupiah)
Ireland (Pound)
Israel (Shekel)
Italy (Lire)
Japan (Yen)
Jordan (Dinar)
IN
ID
IE
IL
IT
JP
JO
INR
IDR
IEP
ILS
ITL
JPY
JOD
IR
RI
£E
I£
L
Y
JD
MSERINR
MSERIDR
MSERIEP
MSERILS
MSERITL
MSERJPY
MSERJOD
MSCIIN
MSCIID
MSCIIR
MSCIIS
MSCIIT
MSCIJP
MSCIJO
MSCUIN
MSCUID
MSCUIR
MSCUIS
MSCUIT
MSCUJP
MSCUJO
Emerging
Emerging
Developed
Emerging
Developed
Developed
Emerging
Korea (Won)
Malaysia (Ringgit)
Mexico (Nuevo Peso)
Morocco (Dirham)
Netherlands (Guilder)
New Zealand (Dollar)
KR
MY
MX
MA
NL
NZ
KRW
MYR
MXN
MAD
NLG
NZD
KW
M$
MP
MD
FL
Z$
MSERKRW
MSERMYR
MSERMXN
MSERMAD
MSERNLG
MSERNZD
MSCIKO
MSCIMY
MSCIMX
MSCIMC
MSCINL
MSCINZ
MSCUKO
MSCUMY
MSCUMX
MSCUMC
MSCUNL
MSCUNZ
Emerging
Emerging
Emerging
Emerging
Developed
Developed
MSCTRY
102
CN
CL
EG
Currency code
ISO
Datastream
Morgan Stanley Capital International on Datastream
Reference
Country (currency)
MSCI country code
Exchange rate
to one U$
Country
coverage list
Total universe list
MSCI Service
Norway (Krone)
Pakistan (Rupee)
NO
PK
NOK
PKR
NK
PR
MSERNOK
MSERPKR
MSCINW
MSCIPK
MSCUNW
MSCUPK
Developed
Emerging
Peru (Nuevo Sol)
Philippines (Peso)
Poland (Zloty)
Portugal (Escudo)
Russia (Rouble)
Singapore (Dollar)
PE
PH
PL
PT
RU
SG
PEN
PHP
PLN
PTE
RUR
SGD
PS
PP
PZ
PE
UR
S$
MSERPEN
MSERPHP
MSERPLN
MSERPTE
MSERRUR
MSERSGD
MSCIPE
MSCIPH
MSCIPO
MSCIPT
MSCIRS
MSCISG
MSCUPE
MSCUPH
MSCUPO
MSCUPT
MSCURS
MSCUSG
Emerging
Emerging
Emerging
Developed
Emerging
Developed
South Africa (Rand)
Spain (Peseta)
Sri Lanka (Rupee)
Sweden (Krona)
Switzerland (Franc)
Taiwan
Thailand (Baht)
ZA
ES
LK
SE
SW
TW
TH
ZAR
ESP
LKR
SEK
CHF
TWD
THB
R
EP
CR
SK
SF
TW
TB
MSERZAR
MSERESP
MSERLKR
MSERSEK
MSERCHF
MSERTWD
MSERTHB
MSCISA
MSCIES
MSCICY
MSCISD
MSCISW
MSCITA
MSCITH
MSCUSA
MSCUES
MSCUCY
MSCUSD
MSCUSW
MSCUTA
MSCUTH
Emerging
Developed
Emerging
Developed
Developed
Emerging
Emerging
Turkey (Lira)
UK (Pound)
USA (Dollar)
Venezuela (Bolivar)
TR
GB
US
VE
TRL
GBP
USD
VEB
TL
£
U$
VB
MSERTRL
MSERGBP
MSERUSD
MSERVEB
MSCITK
MSCIUK
MSCIUS
MSCIVE
MSCUTK
MSCUUK
MSCUUS
MSCUVE
Emerging
Developed
Developed
Emerging
MSUACWI
MSUAPAC
MSUEAFE
MSUEMU
MSUEROP
MSUFARE
MSUNAMR
Developed/Emerging
Developed/Emerging
Developed
Developed
Developed
Developed/Emerging
Developed
MSCTRY
Currency code
ISO
Datastream
Region
AC World
AC Asia Pacific
EAFE
EMU
Europe
Far East Free
North America
Issue 5
103
Reference
Proforma list mnemonics
MSCI periodically rebalance their indices so that they continue to provide an accurate
reflection of an evolving marketplace. Changes might be made to take account of changes in
the composition or structure of an industry for example.
Proforma lists are available for two weeks before the quarterly rebalancing. When the
rebalancing has taken effect the proforma lists are deleted and the proforma datatypes
populated with “n/a” until the next rebalancing.
104
Index
Standard
Small cap
Value
Growth
World
LMSWRLDP
LMSSWLDP
LMSVWLDP
LMSGWLDP
Europe
LMSEROPP
LMSSUERP
LMSVEURP
LMSGEURP
EAFE
LMSEAFEP
LMSSEAFP
LMSVEAFP
LMSGEAFP
EMU
LMSEMUIP
LMSSEMUP
LMSVEMUP
LMSGEMUP
ACWF
LMSACWFP
n/a
LMSVAWFP
LMSGAWFP
EMF
LMSEMKFP
n/a
LMSVEMFP
LMSGEMFP
Pacific
LMSPACFP
LMSSPACP
LMSVPACP
LMSVPACP
EMF Asia
LMSEMFAP
n/a
LMSVEMAP
LMSGEMAP
Sri Lanka
LMSSRILP
n/a
LMSVSRIP
LMSGSRIP
Morgan Stanley Capital International on Datastream
Reference
MSCI indices: historical changes
This section provides information about historical changes to MSCI indices such as a change in
status for a country from an emerging to a developed market.
Implementation of the Free Float Methodology 106
CII (Industrial Indices) Discontinuation 106
Changes to Developed/Emerging classifications, standalone indices and market weightings 106
Small Cap Historical Changes 108
Discontinuation of Non Free indices 109
Changes to Total Return datatypes 109
Renaming of MSCI Emerging Market and All Country indices 110
Provisional indices based on the removal of the LIF applied to MSCI Taiwan 111
MSCI quarterly structural changes 111
Issue 5
105
Reference
Implementation of the Free Float Methodology
The final phase of the implementation of the enhanced methodology to the MSCI Standard
index series was effective from the close of 31st May 2002. This is when the interim foreign
inclusion factors used for the MSCI Standard indices became fully free float adjusted. From 1st
June 2002 onwards the free float factors datatypes for both the constituents of the standard and
provisional indices (MSFIF and MSFMCF) are exactly the same:
MSFIF
Description
History
Foreign Inclusion Factor.
Fully adjusted free float data - based on
MSCI enhanced methodology
31 May 2001 to 31
May 2002
st
Indices
st
st
From 1 June 2002
MSFMCF
th
To 30 Nov 2001:
Free Market Cap Factor
st
st
From 1 Dec 2001 to 31 May 2002:
Interim Inclusion Factor
st
From 1 June 2002:
Foreign Inclusion Factor
th
Up to 30 Nov 2001, based on original
st
methodology, From 1 Dec 2001, based
st
on interim foreign inclusion factor, 1 June
2002, fully adjusted foreign inclusion
factor
Holds history of free
market cap factor MCF
back to start date,
st
interim FIF from 1 Dec
st
2001, full FIF from 1
June 2002
Constituents of
Provisional
indices
Constituents of
Standard indices
Constituents of
Standard indices
From 1st June 2002, both datatypes will be maintained and can be used to display the foreign
inclusion factors for the constituents of the MSCI standard indices.
CII (Industrial Indices) Discontinuation
The MSCI Country Industry Indices (CII) were discontinued on 13th July 2001. They were
replaced by the MSCI GICS series. MSCI GICS indices were not an exact replacement for the
CII series as GICS indices use a different methodology and classification system. GICS
indices offer three classification levels - sector, industry group and industry, whereas CII
offered two levels.
Changes to Developed/Emerging classifications, standalone
indices and market weightings
Developed/Emerging Classification Changes
MSCI Portugal
1st December 1997: MSCI changed the classification of Portugal from an Emerging Market to
a Developed Market.
MSCI Greece
1st June 2001: MSCI changed the classification of Greece from an Emerging Market to a
Developed Market.
106
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MSCI Malaysia
1st October 1998: Malaysia DM (MSMALY$/MSMALZ$) was removed from the developed
market regional indices owing to increased restrictions for foreign investors.
1st December 1998: Malaysia EM Free (MSMALF$) was removed from the MSCI Emerging
Market Free Index (MSEMKF$) and all sub-indices owing to increased restrictions for foreign
investors.
1st June 2000: Malaysia EM Free (MSMALF$) was reintroduced to the MSCI Emerging
Markets Free Index (MSEMKF$) and applicable sub-indices.
30th November 2000: MSCI ceased the calculation of the Developed Market Malaysia indices
(MSMALY$/L MSMALZ$/L) and removed Malaysia from all developed market products.
Standalone Index Changes
MSCI Egypt
1st June 2001 Egypt was added to applicable Emerging Market and Emerging Market Free
regional indices. Prior to this date Egypt was treated as a standalone index and was not a
constituent of any regional indices.
MSCI Morocco
1st June 2001 Morocco was added to applicable Emerging Market and Emerging Market Free
regional indices. Prior to this date Morocco was treated as a standalone index and was not a
constituent of any regional indices.
Miscellaneous
MSCI China
China was excluded from the MSCI AC Far East region until 1st October 1996.
MSCI Korea
MSCI Korea's market capitalisation was weighted within all Free indices by the following
factors:
•
prior to 30th September 1996
20% of market capitalisation
•
30 September 1996 to 31 August 1998 50% of market capitalisation
•
31st August 1998 to present
th
st
100% of market capitalisation
MSCI Taiwan
MSCI Taiwan's market capitalisation was weighted within all Free indices by the following
factors:
•
•
•
•
Issue 5
prior to 31st May 2000
st
50% of market capitalisation
th
31 May 2000 to 30 November 2000
th
th
30 November 2000 to 30 November 2001
th
30 November 2001 to present
65% of market capitalisation
80% of market capitalisation
100% of market capitalisation
107
Reference
Small Cap Historical Changes
On 1st October 2001, MSCI Small Cap indices became fully free float adjusted as part of
MSCI's transition to implement the enhanced free float methodology for all their indices. At
the same time, the Small Cap universe for each country was broadened to cover securities that
have a company market capitalisation in the range of U$200 to 1,500 million (previously the
range was U$200 to 800 million) thus meeting the objective of providing indices to represent
40% of the full market capitalisation of the eligible Small Cap universe within each country.
The change in methodology means that different datatypes should be used when retrieving
constituent and weightings data prior to 1st October 2001.
You can also access constituent weights with the WTIDX datatype.
Datatypes
New datatypes have been created for the constituents of the Small Cap indices:
Number of shares
Market value - U$
Market value - local
Market value in other currencies
Foreign inclusion factor
Market cap factor
After 1 October 2001
Before 1 October 2001
MSSNSH
MSZUSD
MSSMV
MSZXXX
MSSFIF
n/a
MSNOSH
MSVUSD
MSMV
MSVXXX
n/a
MSMCF
To obtain monthly constituent weights for the Small Cap indices prior to 1st October 2001 use:
X ( MSVUSD) × X ( MSMCF )
INDEX ( MSMV )
where INDEX represents the Small Cap index mnemonic.
To obtain constituent weights for the Small Cap indices after 1st October 2001 use:
X ( MSZUSD) × X ( MSSFIF )
INDEX ( MSMV )
where INDEX represents the Small Cap index mnemonic.
108
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Reference
Discontinuation of Non Free indices
On 31st October 2001 and 14th October 2001, MSCI discontinued many of their non-free
indices.
Non-Free indices were calculated from the view of a domestic investor. Free indices are
calculated from the view of an international investor and include restrictions placed on foreign
investment. Where only one index existed for a country, it was free. For example, UK, US,
and France had only one (free) index, whereas Singapore had both free and non free.
As part of MSCI's move to their enhanced methodology and free float weighting, non free
indices were discontinued with the exception of Singapore. Singapore was made an exception
because of the significant historical differences between free and non free indices.
Although there are no identical replacements, current indices are most similar to free versions.
When non free indices were discontinued, 'FORMER 'DEAD'' was added to their titles to
indicate a former non free index. All reference to free (F) in the title of the free indices was
then removed. For example, MSCI Free Brazil became MSCI Brazil.
When Non Free GICS indices were discontinued, the names of the indices were replaced by
the MSCI industry and sector codes which can be found in the MSCI handbook. For example,
MSCI Brazil Energy has been replaced with MSCI Brazil Former 10 $ 'Dead'.
Changes to Total Return datatypes
In June 2000, MSCI announced that it would replace its current total return methodology of
month-end dividend re-investment with Daily Total Returns (DTR) for most of its indices with
effect from 1st January 2001. The new dividend methodology is a more accurate reflection of
the marketplace, accounting for dividends the day the securities become ex-dividend.
To enable a smooth transition to the new index series, MSCI started providing provisional
daily total return data in July 2000. This data is available using the ND (net daily) and DR
(gross daily) datatypes and is available for all MSCI indices with the exception of the original
Country Industry Indices.
The existing monthly total return datatypes - RI (gross) and NR (net) remain as the official
MSCI total return datatypes and as from 1st January 2001 the data is provided on a daily basis.
Official history from the index base date to 29th December 2000 is monthly, and then daily
from 1st January 2001 onwards. MSCI has provided rebased daily history (back to 31st
December 1998) of daily total return data and this is available on the existing daily datatypes
ND (net) and DR (gross).
In summary:
•
Existing monthly RI (gross) and NR (net) datatypes are used to store daily history from 1st
January 2001 onwards. Monthly data is available back to the base date of each index until
29th December 2000 and then from 1st January 2001 the data is provided on a daily basis.
•
All MSCI indices with the exception of the original MSCI Country Industry Indices (CII)
moved from monthly to daily data with effect from 1st January 2001.
•
Net monthly total returns data is not available for Emerging Market indices so the start
date for NR for all Emerging Markets is 1st January 2001.
•
Existing daily datatypes DR (gross) and ND (net) continue to show daily history. Rebased
(linked) history back to 31st December 1998 is avaiable. Use the splice (SPLC#) function
to obtain more daily history by linking existing monthly data with daily back history data.
For example:
SPLC#(MSWRLD$(RI), MSWRLD$(DR),31/12/98)
Issue 5
109
Reference
Renaming of MSCI Emerging Market and All Country indices
Since 31st May 2001, MSCI has been free float adjusting all constituents in its international
indices, including adjusting them for foreign ownership restrictions faced by non-domestic
investors. Therefore, all MSCI international equity indices, regardless of whether or not they
have the suffix "Free", are fully investable by foreign investors. In order to more clearly brand
the MSCI regional Emerging Market and All Country indices, MSCI implemented the
following index naming convention as of the close of 29th January 2004:
•
MSCI renamed all regional Emerging Market and All Country indices that have the suffix
Free by deleting the word "Free" (or letter F).
Therefore, for example, the following indices have been renamed:
From
To
Emerging Markets Free (EMF)
All Country World Index Free
Emerging Markets (EM)
All Country World Index
MSCI intends to maintain the current branding of all developed market indices, including the
MSCI Singapore Free, EAFE Free, World Free, Pacific Free ex Japan and Far East Free
indices. The continued "Free" branding for certain Developed Market indices recognises that
these indices have histories different from the similar indices that do not have the suffix "Free".
Otherwise, these indices have the same current constituents and current performance.
Implementation on Datastream
Emerging Market and All Country index titles previously containing the word "Free" or the
letter F were altered on Datastream on 30th January 2004. Simultaneously, all corresponding
"non free" regions, which were discontinued on 31st October 2001, had the word "Former"
added to their titles. Discontinued "non free" ACS indices were renamed so that the part of
their titles that relates to the Global Industry Classification Standard (GICS) contains a
reference to the GICS code instead of its name. This is in line with the naming convention
already employed for country based discontinued "non free" Emerging Market ACS indices.
Therefore, for example, the following indices have been renamed:
110
From
To
MSCI AC World U$ 'Dead’
MSCI ACWI Energy 'Dead'
MSCI AC World Former U$ 'Dead'
MSCI ACWI Former 10 'Dead'
Morgan Stanley Capital International on Datastream
Reference
Provisional indices based on the removal of the LIF applied to
MSCI Taiwan
MSCI announced on June 18, 2004 that it will remove the Limited Investability Factor (LIF)
currently applied to the MSCI Taiwan Index. The change will be implemented in two separate
phases:
•
In the first phase, MSCI increased the LIF from 0.55 to 0.75 as of the close of 30th
November 2004.
•
In the second phase, MSCI will increase the LIF from 0.75 to 1 as of the close of 31st May
2005.
For performance measurement purposes, MSCI provided provisional index levels and market
caps based on the full removal of the LIF for MSCI Emerging Markets (EM), MSCI AC Far
East ex Japan, MSCI AC Asia Pacific ex Japan, and the MSCI Taiwan Index. The first delivery
of these indices was on September 1, 2004.
MSCI quarterly structural changes
Every quarter (end Feb, May, August and November), MSCI implement structural changes to
their indices. The quarterly structural changes take effect at the close of trading at the end of
the last business day of each quarter. This means that the constituent lists for the end of that
month do not reflect the changes. The first time that the new constituents can be seen is in the
daily list produced on the following day after the month end. Customers who subscribe to the
daily modules can obtain the latest list by adding a D to the end of the list eg LMSAUSTD is
the daily list for the constituents of the MSCI Australia index.
Proforma lists are available for two weeks before each quarterly rebalancing. See page 21 for
details.
Issue 5
111
Reference
Replicating MSCI indices
Local Currency
To create an MSCI index in local currency use:
n
It
= I t −1 ×
∑ Price(i)
i =1
t
× Nosh (i ) t −1 × Adj (i ) t × 1
n
∑ Price
i =1
t −1
× Nosh (i ) t −1 × 1
exch rate(i ) t −1
exch rate(i ) t −1
where:
t
n
=
=
time of calculation
number of securities in index at time t
sec urity price before ex − date of corporate action
Adj(i)t =
theoretical price after ex − date of corporate action
value of 1USD in the local currency of stock i
exch rate =
US Dollar
The formula used to create an MSCI index in US dollars is:
n
It
= I t −1 ×
∑ Price(i) × Nosh(i)
t
i =1
n
∑ Price
i =1
where:
t
n
=
=
Adj(i)t =
exch rate =
t −1
t −1
× Adj (i ) t × 1
× Nosh (i ) t −1 × 1
exch rate (i ) t
exch rate(i ) t −1
time of calculation
number of securities in index at time t
security price before ex − date of corporate action
theoretical price after ex − date of corporate action
value of 1USD in the local currency of stock i
The only difference between the formulae for the local currency and US dollar versions is that
the local currency index uses the same exchange rate in the numerator and denominator,
removing the impact of currency change on performance. Time variant exchange rates are used
for the USD calculation.
112
Morgan Stanley Capital International on Datastream
Reference
Replicating MSCI indices using Datastream Datatypes
Price Adjustment Factor (MSPAF)
The price adjustment factor adjusts a security’s price for corporate events. The price
adjustment factor enables you to replicate price index values through your own calculations
using the formulae below. You can also calculate corporate action adjusted market
capitalisation for the current calculation date. If no price adjustment factor applies, the field
will be displayed as 1.000.
Number of Shares for today’s Index (MSNSI)
This datatype is used to calculate the index market capitalization for index replication.
Local Currency
n
I t = I t −1 ×
∑ UP(i)
i =1
t
× MSNSI (i ) t × MSPAF (i ) t × MSFMCF (i ) t × 1
n
∑ UP(i)
i =1
t −1
× MSNSI (i ) t × MSFMCF (i ) t × 1
exch rate(i ) t −1
exch rate (i ) t −1
US Dollar
n
I t = I t −1 ×
∑ UP(i)
i =1
× MSNSI (i ) t × MSPAF (i ) t × MSFMCF (i ) t × 1
n
∑ UP(i)
i =1
Issue 5
t
t −1
× MSNSI (i ) t × MSFMCF (i ) t × 1
exch rate (i ) t
exch rate(i ) t −1
113
Reference
Definition of terms for MSCI indices
All Country (AC)
MSCI All Country indices represent both the developed and the emerging markets for a
particular region. For example, the All Country Far East index includes both developed
markets such as Hong Kong and Singapore and emerging markets such as Indonesia and
Thailand. The MSCI All Country World Index includes 49 markets, of which emerging
markets represent approximately 4.5%.
Developed Markets
MSCI covers 23 developed markets. If there is no designation (such as “EM” or “AC”) before
a regional or composite index, this signifies that the index consists of developed markets only.
Emerging Markets (EM)
MSCI covers 27 emerging markets. Designation as an emerging market is determined by a
number of factors. The most important factor is a country’s Gross Domestic Product Per Capita
(GDP/Capita). MSCI uses the World Bank’s 1996 preliminary definition of a country where
GDP/Capita is above USD 9,385 as a high-income country. In addition, MSCI evaluates
factors such as local government regulations that limit or ban foreign ownership; an inadequate
regulatory environment; greater perceived investment risk than in the developed markets; or a
general perception by the investment community that the country should be classified as
“emerging.” Two countries, Israel and Taiwan, are above the World Bank’s GDP/Capita
definition of a high-income country, but are classified as “emerging” nonetheless due to local
regulatory factors and investor perception.
Euro
The narrow Euro series is a subset of the Standard broad benchmarks comprising the largest
and most liquid securities. The MSCI Pan-Euro index (MSPEUR$) is the narrower version of
MSCI Europe (MSEROP$) while the MSCI Euro index (MSEURIL) is the narrower version of
MSCI EMU (MSEMUIL). These narrow indices capture about 90% of their broad benchmark
counterparts’ market cap, but only 40% of their names. Country and industry weights in the
narrow Euro indices are respected relative to the broad benchmarks. This allows the MSCI
Pan-Euro and Euro indices to track the broad benchmarks accurately with significantly fewer
securities, making them ideal for derivatives trading.
The MSCI European Union (EU) index (MSECOM$) includes by design all EU member states
for which MSCI calculates a country index, regardless of their emerging market or developed
market status. Consequently, following the accession of the Czech Republic, Hungary and
Poland to the EU, the MSCI indices for these countries will be included in the MSCI EU index.
The list LMSECOM will be accessible only to clients with access to both Core Developed and
Core Emerging Markets modules. Valuation ratios and market value are available to
customers with either module.
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Free
MSCI Free indices reflect actual buyable opportunities for global investors by taking into
account local market restrictions on share ownership by foreigners. These restrictions can
assume several forms: (1) specific classes of shares may be excluded from foreign investment;
(2) specific securities or classes of shares for an individual company may have limits for
foreign investors; and (3) the combination of regulations governing qualifications for
investment, repatriation of capital and income, and low foreign ownership limits may create a
difficult investment environment for the foreign investor. Original Free indices were available
for eight markets: Brazil, China, Indonesia, Malaysia, Philippines, Singapore, and Thailand.
Following the discontinuation of the non free indices for these markets (except for Singapore)
on 14 November 2001, the free indices were renamed by removing the “Free”; for example
MSCI Brazil Free became MSCI Brazil. Both MSCI Singapore and MSCI Singapore Free
continue to be calculated.
Small Cap
The MSCI Small Cap indices are an expansion of the MSCI developed market universe. This
index series more than doubles the number of securities previously included in the MSCI
indices for the 24 developed markets. The Small Cap index series provides comparable
benchmarks for this asset class across international markets.
Value & Growth
The MSCI Value and Growth indices cover the full range of developed, emerging and All
Country MSCI indices, including Free indices where applicable. The indices were originally
based on price/ book value (P/BV) to divide the standard MSCI country indices into two subindices: Value and Growth.
At the end of May 2003, the methodology for the Value and Growth indices was enhanced so
that eight variables (three for value and five for growth) are used to more accurately reflect
value and growth style. An inclusion factor is used to determine how much of the security
should be attributed to a growth or value index. As a result of these changes, a constituent of a
standard index may be represented in both the value index and a growth index at a partial
weight or indeed not at all.
Issue 5
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Reference
116
Morgan Stanley Capital International on Datastream
Index
10/40 indices, 7, 11, 69
A
AC. See All Country
Advance Corporate Events datatypes, 90
All country, 52
definition, 114
All Country indices, 10, 52, 110
All Country Sector (ACS) indices, 7, 11, 59
Asia Pacific indices, 11
B
Balance sheet datatypes, 98
Balance sheets, 23
Bar charts, 35
Base date, 45
BDATE datatype (base date), 45
Blue book stocks, 20
C
Changes
Classification, 106
to constituents, 111
to indices, 105
Charges, 9
Charts, 35
flexible, 36
horizontal bar, 35
China, 107
Classification Changes, 106
Classification datatypes, 86
Code datatypes, 85
Code Lookup, 25
Codes, 25, 45
Country and region, 65
Industry, 66
Industry group, 66
Sector, 66
Company descriptors and flags, 97
Company details, 23
Company monthly ratios, 96
Company-level data, 23
market value, 38
searching, 33
weightings analysis, 37
weightings reports, 38
Company-level data descriptors, 85
Company-level data indicators, 85
Constituent changes, 111
Constituent indices, 56
Constituent lists
countries, 15
stocks, 17
Constituent status, 20
Constituent stocks, 23
Constituent weighting, 37
Constituents
Country Industry indices, 67
Value and growth datatypes, 94
Constructing mnemonics
All Country Sector indices, 64
Converting currency, 13
Issue 4
Core Value and Growth Plus indices, 11
Corporate action datatypes, 90
Countries
All country, 52
Developed market, 46
Emerging market, 50
Hedged, 54
Countries covered, list, 55
Country and region codes, 65
Country and regional indices, 5
Country codes, 101
Country coverage, 19
Country coverage lists, 101
Country Industry Indices, 106
Currency codes, 101
Currency conversion, 13
Customer publications, 42
D
Daily constituent lists, 18
Daily Total Return data, 109
Data, downloading, 27
Data available summary, 9
Datastream
DDE, 27
documentation, 42
downloading data, 27
expressions, 35
functions, 35
graphics, 35
horizontal bar chart, 35
mnemonics, 45
reports, 30
reports, flexible, 31
weighting analysis, 37
weightings reports, 38
Datastream Advance for Office, 28
example, 20
Datastream graphics, flexible, 36
Datastream Navigator, 25, 45
Datastream Research Support extranet, 42
Datatype
BDATE (base date), 45
MSIXIN (constituent status indicator), 20
MSMV (market value, local currency), 38
MSTSC (time series ID), 26
MSVxxx (market value, any currency), 38
TIME (update time stamp), 26
WTIDX (weighting), 37
Datatypes, 83
associated market index, 87
balance sheet, 98
classification, 86
code, 85
company descriptors, 97
company flags, 97
company monthly ratios, 96
company-level data descriptors, 85
company-level data indicators, 85
constituents of small cap indices, 88
corporate actions, 90
corporate events, advance, 90
dividend, 88
117
Index
foreign inclusion factors, 90
income statement, 99
index, 84
index for associated market, 87
next day, 86
price, 87, 88
proforma, 86
search, 89
value and growth, 94
Definition of terms, 43, 114
Descriptors
company-level, 97
company-level datatypes, 85
Developed markets, 46
definition, 114
global expressions, 46, 50, 52
indices, 10
Discontinued stocks, 24
Dividend datatypes, 88
Documentation, 42
Downloading data, 27
Dropped stocks, 24
E
Egypt, 107
EM. See Emerging markets
Emerging markets
definition, 114
indices, 10, 110
Enhanced index module, 11
Equity search, 33
Euro series, definition, 114
Exchange rates, 13, 101
list, 55
Expression Builder, 37
Expressions, 35, 36
Extended
definition, 115
indices, 6
Extranet support site, 42
F
Flag, non-comparable, 99
Flags, company-level, 97
Foreign inclusion factors datatypes, 90
Forex, 13
Free
definition, 115
indices, 105
Free Float methodology, 106
Frequency of update, 25
Functions, 35, 36
Fundamental data
balance sheet, 98
income statement, 99
G
GDP weighted indices, 6
GDP weighting, 37
GICS. See Global Industrial Classification Standard
Global Expressions, developed market, 46, 50, 52
Global Industrial Classification Standard, 7, 72
classification, 59
Country industry, 64
Graphics, flexible, 36
Graphs, 35
Greece, 106
118
Growth
definition, 115
indices, 5
Growth Plus indices, 11
H
Hedge Fund indices, 7, 68
Hedged, 54
indices, 6
HELP MSCI? program, 45
Help online, 41
Historical changes, 105
Historical daily constituent lists, 18
Historical month end constituent lists, 17
Horizontal bar chart, 35
I
Income statement, 23
datatypes, 99
Index
base date, 45
datatypes, 84
methodology, 41
rebalancing, 21
restructuring, 111
Index constituents, countries, 15
Index for market associated with stock, 87
Indicator, constituent status, 20
Indicators, company-level datatypes, 85
Indices
10/40, 69
access to data, 25
All Country, 10, 52, 110
All Country Sector (ACS), 7, 11, 59
Asia Pacific, 11
codes, 45
company-level data, 23
constituents, 23, 67
Country Industry, 106
datatypes, 83
developed market, 10, 46
emerging market, 10, 50, 110
enhanced, 11
extended, 6
free, 105
GDP weighted, 6
GDP weights, 37
growth, 5
hedge Fund, 68
hedged, 6, 54
industrial, GICS classification, 59
market value, 38
mnemonics, 45
month-end data, 32
non-free, 109
replicating, 112
reports, 30
small cap, 6, 11, 108
updates, 25
US Equity, 71
value, 5
Indices as constituents, 56
Industrial indices, GICS classification, 59
Industry codes, 66
Industry group codes, 66
ISO currency codes, 101
Morgan Stanley Capital International on Datastream
Index
Korea, 107
Non-comparable flag, 99
Non-free indices, 109
Number of shares, 23
L
O
Licence agreement, 3
Limited Investability Factor, 111
Lists
All Country Sector constituents, 19
countries covered, 55
country coverage, 19, 101
daily constituents, 18
exchange rates, 55
historical daily, 18
historical month end, 17
index constituents, 15
monthly constituents, 17
next day constituents, 18
proforma, 21
stock constituents, 17
total universe, 101
total Universe, 20
value/growth, 19
Online help, 41
Overview, MSCI indices, 5
M
Ratios, company monthly datatypes, 96
Rebalancing, 21
Red book stocks, 20
Regional indices constituents, 56
Regions
all country, 52
developed market, 46
emerging market, 50
hedged, 54
Replicating MSCI indices, 112
Reports, 30
Revisions ratio, 37
K
Malaysia, 107
Manuals, 42
Market index for stocks, 87
Market value, 23, 38
any currency, 38
datatype, 38
Mnemonics, 25, 45
constructing, 64
proforma lists, 104
Modules
10/40 indices, 11
All Country Sector indices, 11
Core Asia Pacific Markets, 11
Core Developed Markets, 10
Core Emerging Markets, 10
Core Value and Growth Plus, 11
Enhanced index, 11
Small Cap, 11
Modules available, 9
Month-end data, 32
Morgan Stanley Capital International, 41
Morocco, 107
MSCI, 41
codes, 45
market value, 38
methodology, 41
time series ID, 45
weightings reports, 38
MSCI modules, 9
MSCI program, 26
MSCI web site, 41
MSIXIN datatype (constituent status indicator), 20
MSMV datatype (market value, local currency), 38
MSTSC datatype (time series ID), 26
MSVxxx datatype (market value, any currency), 38
Mutual funds indices, 11
N
Navigator, 25, 45
Next day
constituent lists, 18
datatypes, 86
Issue 4
P
PE band chart, example, 23
Portugal, 106
Price adjustment factor, 113
Price datatypes, 87, 88
Proforma
datatypes, 86
list mnemonics, 104
lists, 21
Q
Quarterly structural changes, 111
R
S
Screening, 33
Search, 33
Search datatypes, 89
Sector codes, 66
Small cap
datatypes for constituents, 88
definition, 115
indices, 6, 11, 108
Stock constituent lists, 17
Stock prices, 23
Stock-level data, 23
Stocks, discontinued, 24
Support on the internet, 42
T
Taiwan, 107, 111
TIME datatype (update time stamp), 26
Total Return data, daily, 109
Total universe lists, 20, 101
U
UCITS
benchmarks, 11
compliant funds, 69
Update times, 25
US Equity indices, 8, 71
User guides, 42
119
Index
V
W
Value
definition, 115
indices, 5, 11
Value and growth
constituent datatypes, 94
constituent lists, 19
index datatypes, 94
Weighting, constituent, 37
Weightings
analysis, 37
GDP, 37
reports, 38
World indices, constituents, 56
WTIDX datatype (weighting), 37
120
Morgan Stanley Capital International on Datastream