|12 February, 2020

Index Plays Series: Expect a marginal rebalance with $180mln of net passive inflows into MENA

This note is the second of our MSCI MENA Index Plays Series, tracking all MENA countries that are included in MSCI indexes

This note is the second of our MSCI MENA Index Plays Series, tracking all MENA countries that are included in MSCI indexes, whether part of the Standard Index (SI) or the Small Cap (SC) Index.

MSCI is due to announce the results of its upcoming February 2020 Quarterly Index Review (QIR) on 12 February, with any index changes to come into effect starting end of session 2 March 2020. For the February 2020 QIR, the liquidity cutoff date will be the last business day of December and the market cap cutoff date will be any one of the last 10 business days of January. We would like to highlight that MSCI results could differ from ours as the exact pricing cutoff date has not announced, and MSCI could use different free float figures from our own.

Expect 2 potential exclusions and 1 potential inclusion in North Africa

For the upcoming February 2020 QIR, we expect a total of 2 exclusions and 1 inclusion from North African equity markets, targeting only Morocco with expected net passive inflows amounting to USD3mn, which is the aggregation of net passive outflows of USD1mn from Morocco’s Standard Index (ticker: MXMA) and a total of USD4mn of net passive inflows into Morocco’s Small Cap Index (ticker: MXMASC). In terms of potential deletions, we expect the deletion of MNG MC from MXMA (with total passive outflows amounting to USD0.7mn, equivalent to 6.1 days/trade based on the 3M ADVT of USD0.1mn) and RDS MC from MXMASC (with total passive outflows amounting to USD0.04mn, equivalent to 0.1 days/trade based on the 3M ADVT of USD0.3mn). In terms of potential additions, we expect the addition of MNG MC to MXMASC (with total passive inflows amounting to USD3.9mn, equivalent to 33.4 days/ trade based on the 3M ADVT of USD0.1mn). We expect MNG MC to have a proforma weight of 4.4% of MXMASC post rebalance compared to a current weight of 0.8% out of MXMA.

Anticipate a further 1 exclusion and 1 inclusion into GCC and Levant markets

We expect a total of 1 deletion and 1 inclusion from GCC and Levant equity markets, targeting only Qatar with expected net passive inflows amounting to USD177mn, resulting from total net passive outflows of USD32mn from Qatar’s Standard Index (ticker: MXQA) and a total of USD209mn of net passive inflows into Qatar’s Small Cap Index (ticker: MXQASC). In terms of potential deletions, we expect the deletion of QATI QD from MXQA (with total passive outflows amounting to USD32mn, equivalent to 61.4 days/trade based on the 3M ADVT of USD0.5mn). In terms of potential additions, we expect the addition of QATI QD to MXQASC (with total passive inflows amounting to USD209mn, equivalent to 398.4 days/trade based on the 3M ADVT of USD0.5mn). We expect QATI QD to have a proforma weight of 15.1% of MXQASC post rebalance compared to a current weight of 2.3% out of MXQA. 

Ahmed Hesham
Associate Director | Equity & Quantitative Strategy
Tel: +2 02 2461 6442
ahhassan@beltonefinancial.com 

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