Equity Index Change ResearchGlobal
28 October 2011
Global Index Change Predictions
MSCI SAIR Nov 2011 -DB Predicted List - DM
Deutsche Bank Securities Inc.Deutsche Bank does and seeks to do business with companies covered in its research reports. Thus, investors should be awarethat the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report asonly a single factor in making their investment decision. DISCLOSURES AND ANALYST CERTIFICATIONS ARE LOCATED INAPPENDIX 1. MICA(P) 146/04/2011
G l o b a l M a r k e t s R e s e a r c h
G l o b a l E q u i t y I n d e & E T F R e s e a r c h
Contributors
Shan Lan
Head of Global Equity Index and ETF Research(+1) 212 250-2776shan.lan@db.com
Ari Rajendra
Head of European Equity Index Research(+44) 20 754-52282ari.rajendra@db.com
Jerome Blatter
Head of Asia-Pacific Equity Index Research(+852) 2203 6716jerome.blatter@db.com
Sebastian Mercado
Research Analyst(+1) 212 250-8690sebastian.mercado@db.com
Bo Huang
Research Analyst(+1) 212 250-0569bo-a.huang@db.com
Contacts
Aram Flores
Head of Index Research, Americas(+1) 212 250-0630aram.flores@db.com
Daniel J Arnold
Head of Index Research, Europe(+44) 20 754-74849daniel.j.arnold@db.com
MSCI will announce the results of the November 2011 Semi Annual Index Reviewon November 15
th
, 2011. All official changes to the MSCI indices will be effectiveafter market close on Wednesday, November 30, 2011.In this note, we have listed 23 potential Additions to, and 30 potential Deletionsfrom, the MSCI Developed Markets based on our best interpretation of the MSCImethodology. The differences between this updated list and our preliminary listpublished last October 13th are limited and due mainly to the use of different datacut-off dates and, for some stocks, updated free float and shares in issue data.As we did in our preliminary predictions report, we have, again, introduced threeconviction levels (High, Mid and Low) to be assigned against each name.In our analysis we have chosen a day from last week as the main data cut-off date,which we believe MSCI will most likely to use. MSCI does not disclose the dateused for their analysis until the actual announcement. This clearly makespredictions more difficult as potential changes could vary with significant marketmoves. To investigate the potential difference this may cause, we have furtherconducted the analysis using closing prices from two other days last week (Date 2& Date 3). We have highlighted the differences inside.Please note: MSCI announced on August 31st its finalized and confirmed changein its methodology dealing with securities with limited investability due to foreignownership restrictions. These changes will be implemented coinciding with theNovember 2011 SAIR. Under this new rule it is proposed that the free floats ofRyan Air (RYA ID) and MAP (MAP AT) are to be adjusted down to 0.13 (currently0.25) and 0.1 (currently at 0.2) respectively. However, MSCI will assess theconformity with minimum free float market capitalization threshold using the freefloat market cap before the adjustment. Therefore, these two companies are likelyto stay in the index with reduced weight. Please see Figure 4 within for details.
Figure 1: Potential change summary by market
Market Additions Deletions
Australia (AU) 1 3Canada (CA) 2 2Europe (EU) 11 17Hong Kong (HK) 2 1Japan (JP) 1 2United States (US) 6 5
Total 23 30
Source: Deutsche Bank, MSCI
In this report we also revisit the last six MSCI Semi-Annual Index Reviews (SAIR)to compare each rebalance performance, starting from a couple of weeks prior tothe official announcement date to a few days after the implementation date ofeach SAIR.
28 October 2011 Global Index Change PredictionsPage 2 Deutsche Bank Securities Inc.
Table of Contents
Potential MSCI Developed Markets Additions and Deletions ....... 3
Potential Additions .................................................................................................................... 3
Potential Deletions .................................................................................................................... 4
Companies Affected by New Foreign Room Rules .................................................................. 5
Historical Performance of SAIR Rebalance Trade ........................... 6
Overall Performance of Recent Reviews .................................................................................. 7
Methodology Highlights ................................................................. 10
Appendix A ....................................................................................... 11
DM Cross-Region Review Performance Comparisons ........................................................... 11
Appendix 1 ....................................................................................... 13
28 October 2011 Global Index Change PredictionsDeutsche Bank Securities Inc. Page 3
Potential MSCI DevelopedMarkets Additions andDeletions
Potential Additions
Figure 2 below lists the potential additions to MSCI World, comparing analysis based on theclosing prices of our primary chosen cut-off date with that of two other dates.We can see from Figure 2 that there are some minor differences in the results for the threedates presented. In order to provide an idea of conviction, we have introduced three levels(High, Mid, Low) to be assigned against each name as shown in the tables below. All weightchanges expressed are calculated using MSCI World as the benchmark. Please note that allnames have been ordered by Market, then by Conviction and finally by absolute Flow ($m).On October 13
th
, we published a preliminary list of Developed Market predictions titled“MSCI SAIR Nov 2011 DM Preliminary Predictions”. In Figures 2 and 3 below we haveflagged companies that have reappeared in this updated report. This is indicated in therightmost column (“Prelim. List”) in both tables.
Figure 2: MSCI Developed Markets Potential Additions
SedolBBG TickerNameMarketConvictionPrimaryCut-Off Cut-Off 2Cut-Off 3WeightChngFlow ($m)Shrs(m)DaysPrelim. List
6161729 CPB AT Campbell Brothers AU Mid 1 1 1 0.013% 132.6 2.9 13.6 1B4PT2P8 PPL CT Pembina Pipeline CA Mid 1 1 1 0.019% 56.4 2.2 9.6 1B619L15 TET CT Trilogy Energy CA Low 0 1 1 0.008% 22.9 0.7 2.0 07187627 LUPE SS Lundin Petroleum EU High 1 1 1 0.023% 222.7 9.3 2.4 1875413 TATE LN Tate & Lyle EU High 1 1 1 0.021% 203.9 19.7 13.5 1575809 MGGT LN Meggitt EU High 1 1 1 0.020% 189.6 32.6 7.8 0B08BR25 CPR IM Davide Campari-Milano EU High 1 1 1 0.010% 96.1 12.2 7.0 1B119QG0 PGHN SE Partners Group Holding EU High 1 1 1 0.009% 90.3 0.5 11.0 1B083BH4 SPSN SE Swiss Prime Site EU Mid 1 1 1 0.017% 161.4 1.9 14.5 1B1WVF68 ANDR AV Andritz EU Mid 1 1 1 0.015% 142.9 1.6 10.2 15476929 BARN SE Barry Callebaut EU Mid 1 1 1 0.008% 72.9 0.1 13.1 17294334 ZC FP Zodiac Aerospace EU Low 1 1 1 0.013% 128.4 1.6 10.3 1B0LKSK4 TNET BB Telenet EU Low 1 0 0 0.010% 94.4 2.4 12.2 07520794 BCVN SE Banque Cantonale Vaud EU Low 0 1 1 0.007% 65.8 0.1 15.2 16339872 142 HK First Pacific Co HK Mid 1 1 1 0.009% 116.4 117.7 12.0 1B4P8HQ1 2282 HK Mgm China HK Low 0 1 1 0.006% 70.5 52.3 4.0 06776349 8136 JT Sanrio Co JP High 1 1 1 0.010% 82.3 1.7 2.1 1B0539H3 HLF UN Herbalife US High 1 1 1 0.029% 85.2 1.5 1.0 12607647 KSU UN Kansas City Southern US High 1 1 1 0.028% 81.8 1.4 1.1 1B17W5V1 VRUS UW Pharmasset US Mid 1 1 1 0.026% 76.8 1.0 0.7 1B60Z8N5 LCAPA UW Liberty Capital A US Mid 1 1 1 0.022% 63.8 0.9 1.7 1B03GQS4 DLR UN Digital Realty Trust US Low 1 0 1 0.025% 73.5 1.2 0.9 1B2R9T17 ROVI UW Rovi US Low 0 0 1 0.024% 70.3 1.5 1.3 1
Source: Deutsche Bank, MSCI, Bloomberg Finance LP
Search History:
Result 00 of 00
00 results for result for
p.
Notes
Load more
