Convenient listing of additions and removals of companies in international indices?

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financeisfun
Posts: 65
Joined: Tue May 02, 2017 12:47 pm

Convenient listing of additions and removals of companies in international indices?

Post by financeisfun » Tue May 23, 2017 10:46 pm

Wikipedia has a nice section that lists out additions to, and removals from, the S&P 500.



Is there a similar listing of additions and removals for international indices, such as MSCI EAFE, MSCI ACWI ex US, and MSCI ACWI ex US IMI? I found this page, which links to documents that list additions and removals for individual-country indices, but is there a way to see how this maps to the indices I listed above? For instance, I'm not sure if all of the listings in MSCI's small cap indices document are included in the MSCI ACWI ex US IMI, which includes small caps.



Thank you!



Edit:



I think https://www.msci.com/eqb/pressreleases/ ... _QIRPR.pdf provides some insight:

MSCI Global Standard Indexes: Fifty-seven securities will be added to and 28 securities will be deleted from the

MSCI ACWI Index.



MSCI Global Small Cap Indexes: There will be 311 additions to and 189 deletions from the MSCI ACWI Small

Cap Index.



MSCI Global Investable Market Indexes: There will be 308 additions to and 157 deletions from the MSCI ACWI

Investable Market Index (IMI).



MSCI Global All Cap Indexes: There will be 361 additions to and 111 deletions from the MSCI World All Cap

Index.
MSCI ACWI Index additions/deletions listed here (all additions and deletions in this "Standard Indexes" document count, since ACWI includes all 46 markets -- see Edit 2): https://www.msci.com/eqb/gimi/stdindex/ ... icList.pdf



MSCI ACWI Small Cap Index additions/deletions listed here (all additions and deletions in this "Small Cap Indexes" document count, since ACWI includes all 46 markets): https://www.msci.com/eqb/gimi/smallcap/ ... icList.pdf



I'm still working through it, but I don't think that the ACWI IMI and World All Cap Index additions and deletions are easily isolated (naively, one would assume that the ACWI IMI additions and deletions, for instance, would be a sum of all additions and deletions in the "Standard Indexes" document and the "Small Cap Indexes" document, but perhaps there are gaps and/or overlaps that make this assumption untrue).



Edit 2:



Ok, I'm going to use this post to collect some interesting (at least to me!) reference information (hopefully others will find this useful):



MSCI "Standard" Indexes: cover large- and mid-cap (no small-cap) securities in various markets, covering approximately 85% of each market’s free-float adjusted market capitalization:



Examples:

MSCI Investable Market Indexes (IMI): cover all investable large-, mid-, and small-cap securities in various markets, targeting approximately 99% of each market’s free-float adjusted market capitalization:



Examples:

MSCI All Cap Indexes: cover large-, mid-, small-, and micro-cap securities in developed markets and large-, mid-, and small-cap securities in emerging markets, covering approximately 99% of each market’s free-float adjusted market capitalization:



Examples: For additional graphical reference:



Here is a useful breakdown of the MSCI ACWI, Emerging, and Frontier indices (from https://www.msci.com/market-cap-weighted-indexes or https://www.msci.com/documents/1296102/ ... ay2017.pdf):

Image



And here's a breakdown of the MSCI EAFE Index (from https://www.msci.com/eafe):

Image
Last edited by financeisfun on Thu May 25, 2017 12:19 am, edited 10 times in total.

financeisfun
Posts: 65
Joined: Tue May 02, 2017 12:47 pm

Re: Convenient listing of additions and removals of companies in international indices?

Post by financeisfun » Wed May 24, 2017 10:22 am

I guess this is something that most people don't really care about (or there isn't any convenient listing!) :(

Dirghatamas
Posts: 506
Joined: Fri Jan 01, 2016 6:18 pm

Re: Convenient listing of additions and removals of companies in international indices?

Post by Dirghatamas » Wed May 24, 2017 1:58 pm

OK I will bite. I don't know if there is an official site but here is what I do. Because I am a world stock investor, I keep a spreadsheet which lists all the companies I own and how many dollars I have invested in them. Why? I don't worry about countries but when random news happens e.g. VW diesel scandal or BP oil spill, sometimes I am curious about how much dent this can have on my portfolio..and the spreadsheet gives my exposure.

Anyway, relevant to your question, different brokerages make it easy or hard. In particular Vanguard is not very software friendly. But Blackrock/iShares is. If you search for iShares followed by whatever index you are interested in, their ETF that follows that index will pop up. If you go down the page, they have a section on detailed holdings. That is a 1 click downloadable link to excel. Now you have all the (thousands of) companies along with their weight in that index.

You could keep that in excel say at the beginning of each year and the next year, download the new version and do a diff. Because all these indices are passive and are market cap weighted (unlike the slightly active S& P500), the only reasons for a change are delisting, M&A so very few will change. That's what I would do if I was curious about your question.

GLState
Posts: 115
Joined: Wed Feb 15, 2017 10:38 am

Re: Convenient listing of additions and removals of companies in international indices?

Post by GLState » Wed May 24, 2017 3:23 pm

Dirghatamas wrote:OK I will bite. I don't know if there is an official site but here is what I do. Because I am a world stock investor, I keep a spreadsheet which lists all the companies I own and how many dollars I have invested in them. Why? I don't worry about countries but when random news happens e.g. VW diesel scandal or BP oil spill, sometimes I am curious about how much dent this can have on my portfolio..and the spreadsheet gives my exposure.

Anyway, relevant to your question, different brokerages make it easy or hard. In particular Vanguard is not very software friendly. But Blackrock/iShares is. If you search for iShares followed by whatever index you are interested in, their ETF that follows that index will pop up. If you go down the page, they have a section on detailed holdings. That is a 1 click downloadable link to excel. Now you have all the (thousands of) companies along with their weight in that index.

You could keep that in excel say at the beginning of each year and the next year, download the new version and do a diff. Because all these indices are passive and are market cap weighted (unlike the slightly active S& P500), the only reasons for a change are delisting, M&A so very few will change. That's what I would do if I was curious about your question.
Dirghatamas' method is also what I do if I want a list of constituents for an index. Indexes are licensed so few companies make their lists available for download. Until a couple of years ago, S&P Dow Jones made their index constituent lists available every quarter. CRSP still have their lists available, but, in general, if you want an up-to-date list of an index, you'll have to pay a data provider. http://www.crsp.com/indexes-pages/retur ... stituents
edit: Barcharts.com also has constituent lists for a few major domestic S&P and Russell indices. https://www.barchart.com/stocks/indices ... sell1000#/
Last edited by GLState on Wed May 24, 2017 3:38 pm, edited 2 times in total.

financeisfun
Posts: 65
Joined: Tue May 02, 2017 12:47 pm

Re: Convenient listing of additions and removals of companies in international indices?

Post by financeisfun » Wed May 24, 2017 3:29 pm

I think https://www.msci.com/eqb/pressreleases/ ... _QIRPR.pdf answers some questions:
MSCI Global Standard Indexes: Fifty-seven securities will be added to and 28 securities will be deleted from the
MSCI ACWI Index.

MSCI Global Small Cap Indexes: There will be 311 additions to and 189 deletions from the MSCI ACWI Small
Cap Index.

MSCI Global Investable Market Indexes: There will be 308 additions to and 157 deletions from the MSCI ACWI
Investable Market Index (IMI).

MSCI Global All Cap Indexes: There will be 361 additions to and 111 deletions from the MSCI World All Cap
Index.
MSCI Global Standard Indexes (which I suppose is the same as the ACWI index, based on what they wrote above) additions/deletions listed here: https://www.msci.com/eqb/gimi/stdindex/ ... icList.pdf

MSCI Global Small Cap Indexes additions/deletions listed here: https://www.msci.com/eqb/gimi/smallcap/ ... icList.pdf

I'm still working through it, but I don't think that the ACWI IMI and World All Cap Index are contained in a single document -- it must be a combination of certain portions of the provided documents (or not provided at all).

financeisfun
Posts: 65
Joined: Tue May 02, 2017 12:47 pm

Re: Convenient listing of additions and removals of companies in international indices?

Post by financeisfun » Wed May 24, 2017 3:39 pm

Dirghatamas wrote: Now you have all the (thousands of) companies along with their weight in that index.

You could keep that in excel say at the beginning of each year and the next year, download the new version and do a diff. Because all these indices are passive and are market cap weighted (unlike the slightly active S& P500), the only reasons for a change are delisting, M&A so very few will change. That's what I would do if I was curious about your question.
Or even every quarter, if one is so inclined!

By the way, how is the S&P 500 more active than these international indices? Are you saying that the additions to/deletions from the international indices are purely based on some market cap thresholds (the total number clearly fluctuates, as the number of additions doesn't equal the number of deletions) whereas the S&P 500 companies are somewhat cherry-picked?


financeisfun
Posts: 65
Joined: Tue May 02, 2017 12:47 pm

Re: Convenient listing of additions and removals of companies in international indices?

Post by financeisfun » Wed May 24, 2017 11:32 pm

GLState wrote:S&P 500 Index Methodology https://us.spindices.com/documents/meth ... ndices.pdf
MSCI Index Methodology https://www.msci.com/index-methodology
Thanks for the links; I'll have to read through them (or find abridged versions :happy) at some point.

I've made some additions to my initial post; it's still a work-in-progress and will be cleaned up and refined in due time.

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