MSCI Equity
Benchmark Family– Benchmark
Statement
Document Author
November 2022

November 2022

MSCI EQUITY BENCHMARK FAMILY – BENCHMARK STATEMENT | NOVEMBER 2022

Contents

Benchmark Statement: MSCI Equity Indexes

3

1

Objective of the Indexes in the Family

32Methodology and Index Design Guidelines and Reviews

5

3

Index Content Governance5

4

Index Calculation and Discretion65

Corrections

7

6

Consultations

8

7

Index Terminations

9

8

Index Usage

10

9

ESG Disclosures10

10

Additional Information

Appendix I – Key Terms© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

12
13

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Benchmark Statement: MSCI Equity Indexes
1

Objective of the Indexes in the Family

1.1

The MSCI equity benchmark family is comprised of indexes whose aim is toaccurately and objectively measure performance of a market or economic reality as
represented by an investment opportunity set accessible to institutional investors
based on a market, market segment, theme, or investment strategy. MSCI’s primaryequity index methodology is the MSCI Global Investable Market Index (“GIMI”)
methodology. Other equity indexes within the family, including custom indexes, are in
general derived and maintained based on the universe of securities used by the MSCI
Global Investable Market Indexes, i.e., the MSCI Global Investable Equity Universe.
Any exception to this rule would be highlighted in the respective equity index
methodology books.

1.2

The equity universe from which MSCI constructs all of its equity indexes iscomprised of 99% of the free float adjusted market capitalization of the underlying
total equity market. An equity index representing a particular market, market
segment, theme or investment strategy will reflect the relevant proportion of thisuniverse.

1.3

The geographical boundaries of indexes in the family are based on the MSCI Market
Classification Framework, which sets forth increasing equity market accessibility
requirements when moving from Stand Alone Markets to Frontier Markets (“FM”), to
Emerging Markets (“EM”) to Developed Markets (“DM”). Any market covered by MSCI
needs to exhibit at least some accessibility by international institutional investors tobe eligible for designation as a Stand-Alone Market.

1.4

These boundaries are illustrated in the following table:© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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1 The MSCI Standalone Market Indexes are not included in the MSCI Emerging Markets Index or MSCI Frontier Markets Index.
However, these indexes use either the Emerging Markets or the Frontier Markets methodological criteria concerning size andliquidity
2 The West African Economic and Monetary Union (WAEMU) consists of the following countries: Benin, Burkina Faso, Ivory Coast,
Guinea-Bissau, Mali, Niger, Senegal and Togo. Currently the MSCI WAEMU Indexes include securities classified in Benin, Senegal,
Ivory Coast and Burkina Faso.

1.5Groupings of MSCI equity indexes include GIMI regional and market indexes andrelated size, style and sector indexes. These indexes serve as the parent indexes forother MSCI equity indexes that address specific investment themes such as MSCI
Factor Indexes, MSCI ESG Indexes, MSCI Climate Indexes, MSCI Thematic Indexes
and MSCI Strategy ex Factor Indexes.

1.6

A particular equity index will be governed by a number of methodology documents,
including the specific equity index methodology (as well as a parameter sheet if
required), the MSCI Global Investable Market Indexes Methodology (or other parent
index methodology), the MSCI Index Calculation Methodology, the MSCI Corporate
Events Methodology, the MSCI Fundamental Data Methodology and the MSCI Index
Policies.

1.7

The MSCI equity benchmark family also includes custom indexes that may include
specific screens, exclusion lists, or alternative weightings on parent indexes
described above in section 1.6.

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1.8

The MSCI equity benchmark family contains both Significant and Non-Significant
indexes as defined by Regulation (EU) 2016/1011 of the European Parliament and of
the Council of 8 June 2016 on indexes used as benchmarks.

2

Methodology and Index Design Guidelines andReviews

2.1

Indexes in the MSCI equity benchmark family aim to accurately and objectively
measure performance of a market or economic reality as represented by aninvestment opportunity set accessible to institutional investors based on a market,
market segment, theme, or investment strategy. Indexes in the MSCI equity
benchmark family are constructed and maintained with the following prime
objectives in mind:•

Representativeness•

Replicability•

Efficiency

2.2

The index design objectives are achieved through the use of a transparent rulesbased methodological approach to index construction and maintenance.

2.3

MSCI indexes are rebalanced on a regular schedule ranging from daily to annually.
The vast majority of the indexes are rebalanced on semi-annual or quarterly basis. A
rebalancing may also be triggered by conditions specified in the relevant
methodology.

2.4

As part of the regular index rebalancing process, MSCI indexes are reviewed relative
to the market or strategy they are designed to reflect. This assists in the evaluationof methodologies for both consistency and effectiveness and may highlightsituations where changes in the methodology are warranted to reflect changes in theunderlying market opportunity.

3

Index Content Governance
MSCI’s Index Policy Committee (“IPC”) and Equity Index Committee (“EIC”) presideover content matters relating to its indexes in the MSCI equity benchmark family,such as the development and interpretation of MSCI index methodologies.

3.1

The EIC is primarily responsible for supervising the design, development, approvaland interpretation of index methodologies. EIC discussions may be informed by
feedback from the investment community. Nonetheless, all decisions taken by thecommittees are the sole responsibility of its members.

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3.2

Additionally, for GIMI indexes and certain other designated methodologies, all results
and analysis related to Index Reviews are presented to, reviewed, discussed, andapproved by the EIC.

3.3

The IPC is responsible for final decisions on market classifications and may beconsulted on selected index terminations and serves as an escalation point for the
EIC. Relevant topics deemed to have material importance, as determined by the EIC,
are discussed and decided by the IPC.

4

Index Calculation and Discretion

4.1

MSCI indexes in the MSCI equity benchmark family are calculated using transacted
security prices from stock exchanges. MSCI does not use any bids, asks, or any
estimations as alternatives to stock prices. MSCI equity indexes do not use“contributed” input data.
•

Notwithstanding this, there are index-level calculations for the equity family thatuse fixed parameter inputs to adjust the return in a transparent way as detailed ineach specific index methodology, in order to best reflect specific use cases for
those indexes. The list of such indexes includes, but is not limited to, the MSCI
decrement indexes for which the adjustment to the index level return represents
the effect of an assumed “synthetic dividend”1. As an illustration, the index
methodology in this case asserts that the MSCI decrement indexes therefore
have limited uses and, in particular, they are not suitable for use within financial
products that solely aim to replicate the performance of the underlying reference
index [as it will systematically underperform the underlying reference index]. In
other example methodologies for use within indexed products or as benchmarks,
the fixed parameters may represent fixed fees, average financing costs, themandated target performance spread or another relevant metric.

4.2

The return of the indexes is determined in a number of currencies including USD and
EUR.

4.3

The MSCI equity indexes rely on the continued availability of transacted security
prices from stock exchanges and permission for MSCI to use such data for
determining the MSCI equity indexes. To the extent that such data is temporarily or
permanently unavailable (whether as a result of a market disruption event orotherwise), the MSCI index methodologies apply the fall back measures as described
below.

4.4

In case of market closure or if a security does not trade on a specific day or a
specific period, MSCI carries forward the latest available closing price to calculate its
equity indexes. In case of market outage, MSCI will use the prices provided up to the
1 Please refer to MSCI Decrement Indexes methodology at https://www.msci.com/index-methodology© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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point of the outage of that market for calculation of MSCI indexes on that day. If
MSCI determines that another price is more appropriate based on the circumstances,an announcement would be sent to clients with the related information. All suchdeterminations are made by the EIC.
4.5

The rules for MSCI index construction, maintenance and calculation are contained inpublicly available methodology books and complemented with internal guidelines
and operating procedures. Each process is conducted by well-trained personnel
according to documented rules and operating procedures.

4.6

MSCI’s rules-based index methodologies provide that discretion is not used in the
production of the indexes except in unusual cases not effectively addressed by themethodology. These include, but may not be limited to:•

Corporate events not previously encountered or unusually complex in nature,•

Structural changes to the underlying markets,•

Operational issues at stock exchanges,•

Geo-political events,•

Events beyond human control

4.7

Where there may be a need to take an action that is not prescribed in themethodology, senior members across the MSCI Index Research and DataManagement departments will develop a proposed approach with the goal ofremaining consistent with the goals of the methodology and ensuring timely
calculation and distribution. These proposals are reviewed by the EIC. In cases whentime permits and the cases are deemed material, MSCI may consult with clients on
the proposed approach. MSCI will then announce the decided action to all market
participants at the same time.

4.8

Typically, MSCI does not perform explicit ex-post analysis of decisions other than
through its regular reviews of indexes and methodologies but always welcomes
feedback from market participants on decisions made.

4.9

The framework described above eliminates the exercise of discretion by an individualand ensures any required exercise of discretion is managed through escalation tocommittees of experts. All committees are governed by terms of reference and all
decisions are appropriately documented and archived. The IPC and EIC currently
each have at least 6 members respectively and decisions are reached by consensus.

5

Corrections

5.1

In the case of data errors that occur in the determination or calculation of an index in
the MSCI equity benchmark family, if the impact of the error is below a documented
threshold, no historical index restatement is made.

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5.2

If the impact of the error on performance is above this threshold at the index level,
indexes are restated historically.

5.3

In certain circumstances, such as errors in the list of index constituents (e.g., asecurity is unintentionally omitted), or the error affects a large number of securities(e.g. a third of the prices in a particular market are in error) MSCI may also correct
and restate history, even if the aggregate impact is small.

5.4

MSCI applies a 12-month correction period for index errors. Errors discovered thatare older than 12 months are generally not corrected.

5.5Corrections related to regular index rebalancings or corporate events are assessedon a case by case basis. MSCI typically considers the following factors indetermining the most appropriate corrective action: index investability andreplicability as well as potential reverse turnover.

5.6

All corrections are announced simultaneously to all market participants.

6

Consultations

6.1

MSCI indexes in the MSCI equity benchmark family are regularly reviewed andevaluated by the Index Research team. MSCI conducts consultations before making
any material changes to an index methodology.

6.2

A consultation begins in general with an announcement giving the highlights of the
MSCI proposal(s) and indicating the location of the consultation document on
MSCI’s website. The announcement is widely distributed through multiple channels,
including the MSCI website, Bloomberg and Reuters, and directly to MSCI’s clients.
These consultations provide market participants the time and opportunity tocomment on any potential changes to the index methodology.

6.3

Once a consultation is closed and MSCI has gathered all required feedback, the EIC
and, if appropriate, the IPC, reviews the feedback and makes a decision. Any decision
to implement changes is announced publicly prior to implementation.

6.4

The final decision, including the rationale that has led to it and high level participation
statistics, is communicated publicly to all market participants at once. Most
consultation participants request that their feedback remains confidential. MSCI may
nevertheless publicly disclose feedback if specifically requested by respective
market participants. In that case, the relevant feedback would be published together
with the final results of the consultation.

6.5

If the final decision is to change the methodology, it will be part of theannouncement, including the timeframe for the implementation of the change.
Subsequently, MSCI will update the relevant methodology books.

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6.6

The length of a consultation and lead time provided for implementation varies
depending on the complexity of the topic, breadth of client impact as well as impact
on the index composition, and is clearly communicated as part of the consultation
process. The length of a consultation needs to be sufficient for market participants
to meaningfully review what is proposed and respond.

6.7

For custom indexes, changes to any client specifications are discussed directly withthe relevant client.

7

Index Terminations

7.1

While terminations of MSCI indexes in the MSCI equity benchmark family are rare,
MSCI has clear written policies to address them. There may be certain
circumstances where the methodology cannot be adapted in which case terminating
the index may be required. These circumstances are generally not within MSCI’s
control and may include significant changes to the structure of underlying market,
drastic changes to the market infrastructure, lack of access to necessary data, geo‐
political events, and regulatory changes. Additionally, factors such as methodology
convergence or low usage may result in MSCI’s proposal to terminate an index.

7.2

In all of these cases if an index termination is proposed or required, MSCI would
proceed as follows:•

The EIC would review the appropriateness and impact of a potential termination.

•

MSCI may perform a consultation including a discussion of possible alternatives,
if any.

•MSCI would announce the termination of the index in advance.

•

If practicable, MSCI would continue to calculate the index for an announced
period of time to give users the opportunity to transition to another index orotherwise prepare for the termination of the MSCI index.

•

In the event that an appropriate alternative MSCI index is established, the detailsof the methodology governing this index as well as the timing of the transition
would be publically announced in advance of the implementation.

7.3

Indexes may also be discontinued if fewer than the required minimum number of
securities are eligible for inclusion when applying a given methodology to a market.
For example, this could happen in GIMI Large, Mid or Small Cap Indexes or indexes
based on the GICS® segmentation. In these cases, the index can no longer becalculated in compliance with the applicable methodology and it will simply stop.
MSCI may resume calculation of such indexes if, over time, enough securities
become eligible.

7.4

The termination of a custom index is handled in consultation with the relevant client.

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8

Index Usage

8.1

MSCI indexes in the MSCI equity benchmark family may be used for a variety of
purposes, including for research or use as the basis for index-linked investment
products. They may be used by a variety of market participants including but notlimited to asset owners, portfolio managers, broker-dealers, and researchers. Not alluses are appropriate for all users. Market participants should use their judgment
when selecting an index for a particular purpose.

8.2

MSCI indexes, and the effectiveness of index methodologies can be affected by anumber of factors, most of which are beyond MSCI’s control. These may include, but
are not limited to, structural changes to the underlying market including decreases inthe size and liquidity of the relevant market segment, infrastructure changes, geo‐
political events, and regulatory changes. These circumstances may result in amaterial change the methodology as a result. In rare cases, these circumstances
may result in the termination of an index.

8.3

If financial product issuers or investment managers choose to use an MSCI index in
the MSCI equity benchmark family as the basis of an index-linked financial product oran investment fund, they should consider this possibility, including the potential needto terminate or modify the terms of a financial product resulting from the terminationof the calculation of the index.

8.4

MSCI assumes no responsibility for potential use of its indexes in the MSCI equity
benchmark family for particular purpose by clients, whether that use is for research,
benchmarking, the basis for an index-linked financial product or investment fund, orsome other use. The effective representation of a market or strategy is the primary
aim for MSCI.

9

ESG Disclosures

9.1

ESG disclosures are provided as per the following regulations:•

Commission Delegated Regulation (EU) 2020/1816 of 17 July 2020
supplementing Regulation (EU) 2016/1011 of the European Parliament and of theCouncil, as it forms part of UK domestic law by virtue of the European Union(Withdrawal) Act 2018, as regards the explanation in the benchmark statement of
how environmental, social and governance factors are reflected in eachbenchmark provided and published.

•

Commission Delegated Regulation (EU) 2020/1817 of 17 July 2020
supplementing Regulation (EU) 2016/1011 of the European Parliament and of theCouncil, as it forms part of UK domestic law by virtue of the European Union(Withdrawal) Act 2018, as regards the minimum content of the explanation on© 2022 MSCI Inc. All rights reserved. Please refer to the disclaimer at the end of this document.

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how environmental, social and governance factors are reflected in thebenchmark methodology.
9.2

The ESG disclosures pertaining to Commission Delegated Regulation (EU)2020/1816, as it forms part of UK domestic law by virtue of the European Union(Withdrawal) Act 2018, for indexes in the MSCI equity benchmark family are
published by MSCI at: https://www.msci.com/index-profile.

9.3

The ESG disclosures pertaining to Commission Delegated Regulation (EU)2020/1817 of 17 July 2020 as it forms part of UK domestic law by virtue of theEuropean Union (Withdrawal) Act 2018, are provided together with the methodology
documents governing a specific MSCI index in the MSCI equity benchmark family
and can be accessed using the search function on www.msci.com/indexmethodology/.

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10

Additional Information

10.1

Detailed methodology and policy documents, a search function to find themethodology documents governing a specific MSCI index in the MSCI equity
benchmark family and vendor reference codes, if available, can be found on
www.msci.com/.

DATE OF PUBLICATION: November 23, 2022
DATE OF LAST UPDATE: November 13, 2022

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Appendix I – Key Terms
Key term

Definition

All Country World
Index (ACWI)Countries

Countries classified as either Developed Markets or Emerging Markets.

Developed Market(DM)An equity market that has met the quantitative and qualitative criteria
defined within the Market Classification Framework pertaining toeconomic development, size and liquidity, and market accessibility thatclassifies it as a Developed Market.

Emerging Market(EM)An equity market that has met the quantitative and qualitative criteria
defined within the Market Classification Framework pertaining to sizeand liquidity and market accessibility that classifies it as an Emerging
Market.

Equity Index
Committee (EIC)The Equity Index Committee (EIC) is primarily responsible for thesupervision of the design, development, approval and interpretation ofindex methodologies. Decisions taken by the EIC are the sole
responsibility of its members. The committee is staffed strictly by MSCI
employees.

Equity Market

Geographical entity used as a basis for the construction andmaintenance of the GIMI defined as a country or a group of countries.

Equity Universe

Universe of eligible equity securities.
Example: the Developed Markets Equity Universe consists of eligible
equity securities in Developed Markets.

ESG Indexes

Indexes that are designed to accurately and objectively measure theperformance by an investment opportunity set that represents aninvestment strategy focused on environmental, social and governance(ESG) themes.

Factor Indexes

Indexes that are designed to accurately and objectively measure theperformance by an investment opportunity set that represents the returnof factors and additional systematic risk premia, which have historicallydemonstrated excess market returns over the long run.

Free Float

The proportion of shares outstanding that is available to investors forpurchase in the public equity markets.

Free Float-Adjusted
MarketCapitalization

The market capitalization of an equity security that is adjusted for its
Free Float

Frontier Market(FM)An equity market that has met the quantitative and qualitative criteria
defined within the Market Classification Framework, pertaining to size

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and liquidity and market accessibility that classifies it as a FrontierMarket.
Global Investable
Market Indexes(GIMI)

Family of MSCI indexes constructed and maintained based on the MSCI
Global Investable Market Indexes (GIMI) Methodology.

Global Investable
Equity Universe

Aggregation of all Market Investable Equity Universes

Index Policy
Committee (IPC)

The Index Policy Committee (IPC) is responsible for final decisions withrespect to market classifications and may be consulted on selectedindex terminations and is an escalation point for the EIC. Relevant topics
deemed to have material importance, as determined by the EIC, arediscussed and decided by the IPC.

Investment Universe

Universe of Equity Markets sharing similar investment characteristics.
There are three investment universes (Developed Markets, Emerging
Markets, and Frontier Markets).

MarketClassification
Framework

Rules used to classify Equity Markets into Investment Universes.

Market Investable
Equity Universe

Market universe of investable equity securities derived from theapplication of investability requirements to the securities in the Equity
Universe classified in that market.

Standalone Market

An Equity Market that is provided on a standalone basis, and hence does
not meet all of the criteria as defined in the Market Classification
Framework necessary to deem it a Developed, Emerging or FrontierMarket.

Strategy (Ex-Factor)
Indexes

Indexes that are designed to accurately and objectively measure theperformance by an investment opportunity set that represents a strategy
used in connection with certain investment approaches, such as
portfolios managing specific equity and currency exposures or portfolios
subject to concentration restrictions imposed by regulatory requirements
as an example.

Thematic Indexes

Indexes that are designed to accurately and objectively measure theperformance by an investment opportunity set that represents aninvestment strategy that seeks to identify specific social, economic,
industrial, environmental or demographic trends and their long-term
secular, cyclical and structural influences on the world’s economies andmarkets.

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