Index review: MSCI is out, implementation 29/5 (close)

Research evidence excerpt

Index review: MSCI is out, implementation 29/5 (close)

Equity Research - 13 May 2026 08:20 CEST

Index review: MSCI is out, implementation 29/5 Fast comment: Index research

(close)

• MSCI index review announced 12/5 after market, implementation

29/5 (close)

• Demant to stay (positive near-term), Var Energi to enter (came as a

surprise)

• MSCI Standard (large): Var Energi and Millicom to enter standard.

Holmen B to leave

MSCI: 3 standard (large cap changes)

Changes to MSCI index review (out after market close 12/5) will be

implemented after close on 29/5 (close).Var Energi and Millicom to

enter (standard/large) while Holmen B to leave. Most days to cover in

Holmen B. We recommend buying additions and selling deletions with an

exit on implementation day. On average 8% return (observation period

2011-2025).

Performance on MSCI Index Changes: small caps

On average, additions (small caps) have outperformed deletions by 8%

(period 2011-2025) from announcement date to effective date. On average

10x higher than normal volume on additions and 14x higher volume on

deletions (on implementation day).For microcaps we expect less impact &

days to cover vs. small cap changes. Days to cover range from 2 DTC to

28 DTC for standard changes. Scandi Standard and BW Energy with most

days to cover (inclusion) and Marimekko most days to cover (exclusion)

Comments on MSCI: Demant should benefit share price wise

There was some speculation on a potential exit Demant (didn't happen)

which we think could be a positive near-term share price trigger. Short

base is 26% (FF adj.) and 54 days to cover. Var Energi came in as

a surprise and should most likely outperform the energy sector until

inclusion. Finally, Norion stayed in MSCI Standard but will most likely