MSCI Europe Small Cap Value Weighted Index

MSCI EUROPE SMALL CAP VALUE WEIGHTED
INDEX (EUR)
The MSCI Europe Small Cap Value Weighted Index is based on a traditional market cap weighted parent index, the MSCI Europe Small Cap
Index, which includes small cap stocks across 15 Developed Markets (DM) countries*. The MSCI Europe Small Cap Value Weighted Index
reweights each security of the parent index to emphasize stocks with lower valuations. Index weights are determined using fundamental
accounting data—sales, book value, earnings and cash earnings—rather than market prices.
CUMULATIVE INDEX PERFORMANCE - NET RETURNS
400
ANNUAL PERFORMANCE (%)
(EUR) (MAR 2001 – MAR 2016)
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
358.52
338.40
300
200
100
50
Mar 01
Jun 02
Sep 03
Dec 04
Mar 06
MSCI Europe
Small Cap
Value Weighted
Year
MSCI Europe Small Cap Value Weighted
MSCI Europe Small Cap
Jun 07
Sep 08
INDEX PERFORMANCE — NET RETURNS
Dec 09
Mar 11
Jun 12
Sep 13
Dec 14
Mar 16
MSCI Europe
Small Cap
16.29
3.55
42.06
29.34
-24.74
22.09
82.51
-53.76
-7.57
34.32
35.76
25.73
36.81
-21.45
23.53
6.47
33.41
26.98
-17.45
29.91
59.50
-51.87
-7.51
29.92
37.05
23.16
34.28
-25.71
FUNDAMENTALS ( MAR 31, 2016 )
(%) ( MAR 31, 2016 )
ANNUALIZED
MSCI Europe Small Cap Value
Weighted
MSCI Europe Small Cap
1 Mo
3 Mo
1 Yr
YTD
3 Yr
5 Yr
10 Yr
Since
Dec 29, 2000
4.05
-5.01
-6.55
-5.01
14.35
9.68
5.78
8.74
3.27
-5.71
-1.29
-5.71
15.20
11.70
6.02
8.15
Div Yld (%)
P/E
P/E Fwd
P/BV
3.01
2.48
22.01
23.00
14.71
16.27
1.20
1.83
INDEX RISK AND RETURN CHARACTERISTICS ( MAR 31, 2016 )
ANNUALIZED STD DEV (%) 2
MSCI Europe Small Cap Value
Weighted
MSCI Europe Small Cap
SHARPE RATIO 2 , 3
MAXIMUM DRAWDOWN
Turnover
(%) 1
3 Yr
5 Yr
10 Yr
3 Yr
5 Yr
10 Yr
Since
Dec 29, 2000
(%)
Period YYYY-MM-DD
26.14
14.45
16.65
22.32
1.00
0.62
0.30
0.41
67.43
2007-06-01—2009-03-09
11.57
12.98
14.11
18.73
1.16
0.84
0.33
0.41
65.64
2007-06-01—2009-03-09
1
Last 12 months
2
Based on monthly net returns data
3
Based on BBA LIBOR 1M
* Developed Markets countries in Europe include: Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the UK.
The MSCI Europe Small Cap Value Weighted Index was launched on Dec 04, 2014. 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 EUROPE SMALL CAP VALUE WEIGHTED INDEX
MAR 31, 2016
INDEX CHARACTERISTICS
TOP 10 CONSTITUENTS
MSCI Europe Small Cap Value Weighted
Number of
Constituents
Country
922
HOME RETAIL GROUP
RALLYE
EIFFAGE
DCC (GB)
SMURFIT KAPPA GROUP
SUBSEA 7
TULLOW OIL
AIR FRANCE-KLM
FIRSTGROUP
WOOD GROUP (JOHN)
Total
Mkt Cap ( EUR Millions)
Index
Largest
Smallest
Average
Median
838,861.40
7,074.58
0.18
909.83
598.21
SECTOR WEIGHTS
Mkt Cap
( EUR Billions)
Index
Wt. (%)
Sector Sector
Wt. (%)
7.07
6.38
6.36
6.10
5.12
5.08
4.87
4.78
4.70
4.60
55.07
0.84
0.76
0.76
0.73
0.61
0.61
0.58
0.57
0.56
0.55
6.56
Cons Discr 6.2
Cons Staples 13.4
Industrials 2.8
Industrials 2.7
Materials 6.9
Energy 8.5
Energy 8.2
Industrials 2.1
Industrials 2.1
Energy 7.7
GB
FR
FR
GB
IE
NO
GB
FR
GB
GB
COUNTRY WEIGHTS
7.11%
8.9%
6.04%
5.68%
13.67%
7.2%
30.89%
7.56%
4.32%
2.57%
9.58%
1.39%
23.47%
Industrials 26.86%
Materials 8.9%
26.86%
Financials 23.47%
Energy 7.11%
Consumer Staples 5.68%
Consumer Discretionary 13.67%
Information Technology 6.04%
Health Care 4.32%
10.66%
34.1%
United Kingdom 34.1%
Switzerland 7.2%
Germany 10.66%
France 9.58%
Italy 7.56%
Other 30.89%
Utilities 2.57%
Telecommunication Services 1.39%
INDEX METHODOLOGY
Each MSCI Value Weighted Index is constructed from a market cap weighted MSCI parent index. The MSCI Value Weighted Index methodology
eﬀectively tilts the parent index towards stocks with lower valuations by reweighting each constituent of the parent index according to four
fundamental accounting variables: sales, book value, earnings and cash earnings. The Value Weighted Index ﬁrst calculates a weight (or a
3-yr average weight) for each accounting variable for each constituent independently. These weights are then averaged to determine a ﬁnal
constituent-level value weight. The index is rebalanced semiannually in May and November.
ABOUT MSCI
For more than 40 years, MSCI' research-based indexes and analytics have helped the world' leading investors build and manage better portfolios. Clients rely on our oﬀerings for deeper insights into the drivers
of performance and risk in their portfolios, broad asset class coverage and innovative research. Our line of products and services includes indexes, analytical models, data, real estate benchmarks and ESG
research. MSCI serves 98 of the top 100 largest money managers, according to the most recent P&I ranking. For more information, visit us at www.msci.com.
The information contained herein (the "Information") may not be reproduced or redisseminated in whole or in part without prior written permission from MSCI. The Information may not be used to verify or
correct other data, to create indexes, risk models, or analytics, or in connection with issuing, oﬀering, sponsoring, managing or marketing any securities, portfolios, ﬁnancial products or other investment vehicles.
Historical data and analysis should not be taken as an indication or guarantee of any future performance, analysis, forecast or prediction. None of the Information or MSCI index or other product or service
constitutes an oﬀer to buy or sell, or a promotion or recommendation of, any security, ﬁnancial instrument or product or trading strategy. Further, none of the Information or any MSCI index is intended to
constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. The Information is provided "as is" and the user of the
Information assumes the entire risk of any use it may make or permit to be made of the Information. NONE OF MSCI INC. OR ANY OF ITS SUBSIDIARIES OR ITS OR THEIR DIRECT OR INDIRECT SUPPLIERS OR
ANY THIRD PARTY INVOLVED IN THE MAKING OR COMPILING OF THE INFORMATION (EACH, AN "MSCI PARTY") MAKES ANY WARRANTIES OR REPRESENTATIONS AND, TO THE MAXIMUM EXTENT PERMITTED BY
LAW, EACH MSCI PARTY HEREBY EXPRESSLY DISCLAIMS ALL IMPLIED WARRANTIES, INCLUDING WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE. WITHOUT LIMITING ANY OF
THE FOREGOING AND TO THE MAXIMUM EXTENT PERMITTED BY LAW, IN NO EVENT SHALL ANY OF THE MSCI PARTIES HAVE ANY LIABILITY REGARDING ANY OF THE INFORMATION FOR ANY DIRECT, INDIRECT,
SPECIAL, PUNITIVE, CONSEQUENTIAL (INCLUDING LOST PROFITS) OR ANY OTHER DAMAGES EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. The foregoing shall not exclude or limit any liability that
may not by applicable law be excluded or limited.
© 2016 MSCI Inc. All rights reserved.
MSCI EUROPE SMALL CAP VALUE WEIGHTED INDEX

Download Report