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I have Bloomberg Data PX_LAST for the MSCI world (MXWO Index). I also have Bloomberg Data PX_LAST for all subindices for the MSCI world. My goal is to compute from the subindices the return of the index. I tried log and percentage returns and aggregating based on these formulas. I weighted them like that, $$\textrm{weight Subindex}_i=\frac{\textrm{PX_LAST}_i}{\sum\textrm{PX_LAST}_j} $$ enter image description here

Unfortunately, the results do not match the returns of the index itself.

Where can I find information on how the MSCI world index is aggregated from its subindices?

Does anybody know how they are aggregated?

I found this link https://www.msci.com/index-methodology but wasn't lucky finding any info there either.

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The document you're looking for is MSCI Index Calculation Methodology. At a very high level, MSCI indices are market-cap weighted. A crude aggregation would require that you weight the component returns by their market cap as a percentage of total market cap. For example, US currently has a 59% weighting in the index (where 59% = US market cap / world market cap). Doing this should get you close, but if you need exact values, you need to follow the formulas in the document precisely.

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  • $\begingroup$ where can i get the market cap data? Thanks for the answer. $\endgroup$ – PalimPalim Jun 22 '17 at 19:55
  • $\begingroup$ It's not free. You can potentially use data from world-exchanges.org/home as a proxy. On the other hand, may I ask why you want to do this, given aggregate indices are readily available? $\endgroup$ – Helin Jun 22 '17 at 21:46
  • $\begingroup$ I would like to use it to benchmark different VaR models for the MSCI world. I would like to also add multivariate models as well as univariate ones. For the multivariates I need to know how the returns are aggregated. $\endgroup$ – PalimPalim Jun 23 '17 at 9:29

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