MSCI EFM Central and East Europe and CIS Index (USD)
Transcription
MSCI EFM Central and East Europe and CIS Index (USD)
MSCI EFM Central and East Europe and CIS Index (USD) The MSCI EFM Central and East Europe and CIS Index captures large and mid cap representation across 4 Emerging Markets (EM) countries and 9 Frontier Markets (FM) countries*. With 76 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. Cumulative Index Performance — Gross Returns (May 2002 – Oct 2014) — USD 600 Annual Performance (%) EFM Central and East Europe & CIS MSCI Emerging Markets MSCI Frontier Markets EFM Central and East Europe & CIS MSCI Emerging Markets 1.91 18.49 -21.30 15.48 82.10 -68.63 24.70 47.96 49.58 38.50 61.35 -2.27 18.63 -18.17 19.20 79.02 -53.18 39.82 32.55 34.54 25.95 56.28 Year 2013 2012 2011 2010 411.99 400 2009 368.22 2008 2007 310.91 2006 2005 2004 2003 200 MSCI Frontier Markets 26.32 9.25 -18.38 24.24 11.72 -54.10 42.06 -8.86 72.74 22.67 43.56 50 May 02 Jun 03 Jun 04 Jul 05 Jul 06 Aug 07 Aug 08 Aug 09 Sep 10 Sep 11 Oct 12 Oct 13 Oct 14 Index Performance — Gross Returns (%) (October 31, 2014) Fundamentals (October 31, 2014) Annualized 1 Mo EFM Central and East Europe & CIS MSCI Emerging Markets MSCI Frontier Markets -2.90 1.19 -4.41 3 Mo 1 Yr YTD 3 Yr 5 Yr -6.73 -18.83 -15.98 -3.70 -4.14 0.98 3.97 3.59 -4.57 21.75 17.05 15.73 10 Yr -0.69 4.98 8.81 Since Div Yld (%) P/E P/E Fwd P/BV 4.46 2.76 3.80 6.89 12.86 11.95 na 10.47 na 0.81 1.54 1.82 May 31, 2002 4.38 9.56 10.90 12.07 7.70 11.06 Index Risk and Return Characteristics (October 31, 2014) Annualized Std Dev (%)2 Turnover (%)1 EFM Central and East Europe & CIS MSCI Emerging Markets MSCI Frontier Markets 6.65 5.85 44.95 1 Sharpe Ratio2,3 Maximum Drawdown Since 3 Yr 5 Yr 10 Yr 3 Yr 5 Yr 10 Yr May 31, 2002 (%) Period YYYY-MM-DD 22.03 15.49 10.57 25.30 18.54 13.08 31.41 23.84 21.09 -0.07 0.29 1.42 0.09 0.34 0.70 0.24 0.48 0.37 0.40 0.54 0.55 77.21 65.14 67.44 2008-05-21—2009-03-02 2007-10-29—2008-10-27 2008-01-15—2009-03-03 Last 12 months 2 Based on monthly gross returns data 3 Based on BBA LIBOR 1M * EM countries include: Czech Republic, Hungary, Poland and Russia. FM countries include: Bulgaria, Croatia, Estonia, Kazakhstan, Lithuania, Romania, Serbia, Slovenia, and Ukraine. The MSCI EFM Central and East Europe and CIS Index was launched on Feb 07, 2008. Data prior to the launch date is back-tested data (i.e. calculations of how the index might have performed over that time period had the index existed). There are frequently material differences between back-tested performance and actual results. Past performance -- whether actual or back-tested -- is no indication or guarantee of future performance. MSCI EFM Central and East Europe and CIS Index October 31, 2014 Index Characteristics Top 10 Constituents EFM Central and East Europe & CIS Number of Constituents Country GAZPROM (RUB) LUKOIL HOLDING(RUB) SBERBANK RUSSIA COM(RUB) MAGNIT GDR NORILSK NICKEL MMC(RUB) NOVATEK GDR (USD) PKO BANK POLSKI POWSZECHNY ZAKLAD UBEZP. TATNEFT COMMON (RUB) MOBILE TELESYS ADR (USD) Total 76 Mkt Cap (USD Millions) Index Largest Smallest Average Median 274,068.03 38,835.04 43.76 3,606.16 1,644.75 Sector Weights RU RU RU RU RU RU PL PL RU RU (USD Billions) Mkt Cap Wt. (%) Index Sector Sector 38.84 25.06 19.07 17.42 10.31 9.78 9.75 8.43 8.43 7.39 154.47 14.17 9.14 6.96 6.36 3.76 3.57 3.56 3.08 3.08 2.70 56.36 Energy Energy Financials Cons Staples Materials Energy Financials Financials Energy Telecom Srvcs 33.8 21.8 26.9 93.6 39.1 8.5 13.8 11.9 7.3 41.5 Wt. (%) Country Weights 9.61% 24.09% 6.79% 6.5% 3.14% 5.86% 25.85% 2.85% 1.73% 1.47% 1.54% 2.93% 0.15% 41.96% Energy 41.96% Financials 25.85% Telecommunication Services 6.5% Health Care 1.54% Materials 9.61% Utilities 5.86% Consumer Staples 6.79% Consumer Discretionary 1.73% 65.51% Russia 65.51% Kazakhstan 1.47% Poland 24.09% Czech Republic 3.14% Hungary 2.85% Other 2.93% Industrials 0.15% Index Methodology The index is based on the MSCI Global Investable Market Indexes (GIMI) Methodology - a comprehensive and consistent approach to index construction that allows for meaningful global views and cross regional comparisons across all market capitalization size, sector and style segments and combinations. This methodology aims to provide exhaustive coverage of the relevant investment opportunity set with a strong emphasis on index liquidity, investability and replicability. The index is reviewed quarterly - in February, May, August and November - with the objective of reflecting change in the underlying equity markets in a timely manner, while limiting undue index turnover. During the May and November semi-annual index reviews, the index is rebalanced and the large and mid capitalization cutoff points are recalculated. www.msci.com | [email protected] About MSCI MSCI Inc. is a leading provider of investment decision support tools to investors globally, including asset managers, banks, hedge funds and pension funds. MSCI products and services include indexes, portfolio risk and performance analytics, and ESG data and research. 1 The company's flagship product offerings are: the MSCI indexes with approximately USD 9 trillion estimated to be benchmarked to them on a worldwide basis ; Barra multi-asset class factor models, portfolio risk and performance analytics; RiskMetrics multi-asset class market and credit risk analytics; IPD real estate information, indexes and analytics; MSCI ESG (environmental, social and governance) Research screening, analysis and ratings; and FEA valuation models and risk management software for the energy and commodities markets. MSCI is headquartered in New York, with research and commercial offices around the world. 1 As of March 31, 2014, as reported on June 25, 2014 by eVestment, Lipper and Bloomberg. The information contained herein (the "Information") may not be reproduced or redisseminated in whole or in part without prior written permission from MSCI. 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