MSCI Indexes with IDCo Fair Value Pricing

Two industry leaders – MSCI and Interactive Data – collaborated to create the MSCI Indexes with IDCo Fair Value Pricing, which helps active fund managers explain the artificial tracking error between a fund’s fair value adjusted NAV and an MSCI index calculated using closing prices. The MSCI Indexes with IDCo Fair Value Pricing are calculated using fair value adjustment factors as of the close of the New York Stock Exchange provided by Interactive Data’s (IDCo) Fair Value Information Service.

• After the close of the exchanges in Americas (t), the initial security weights for the rebalanced index for t+1 are calculated
• For each constituent, the Fair Value return is calculated using the FV evaluated adjustment factor from Interactive Data and the 4:00P.M. EST WM/Reuters exchange rate
• The fair value adjusted index return is then calculated as the weighted sum of the constituents’ fair value returns
• The fair value adjusted index level is derived by multiplying this fair value adjusted index return with the official USD closing level of the index for day t to derive the fair value adjusted index level