Our Q4 MSCI rebalancing predictions

Ahead of each quarter’s MSCI World rebalancing, we assess the accuracy of our predictions for the prior quarter’s rebalancing and release our predictions for upcoming changes to the index. With the fourth-quarter 2026 rebalancing announcement set for November 11, we evaluate our performance for the third quarter of 2026 and look ahead at the approaching announcement. 

For the third quarter, we got all 29 of our predictions correct. However, we erred on the side of caution given some uncertainty during the initial phase of the pricing window, causing us to miss on some of the deletions. During the quarter, MSCI announced eight adds and 37 deletes in the MSCI World Index, for a total of 45 constituent changes. Consequently, our Rebalance Accuracy Score came in at 64, below our longer-term average, even though we had no incorrect selections. 

We always like to emphasize that every rebalance is different. This is why we tend to put more weight on our cumulative average score as an indication of the efficiency of our approach, rather than focusing on the score from a single quarter. Figure 1 highlights the durability of our approach over time, reflecting a process designed to remain robust and consistent across varied market and index environments. 

Figure 1: MSCI rebalance prediction history

Source: L&G – Asset Management, America. Data as of October 23, 2026.

Our latest predictions

Figure 2 highlights our predictions for the fourth-quarter 2026 MSCI rebalance. The key dates for this cycle are the following:

• 10 business day window: Oct 19 - Oct 30.
• Announcement: November 11.
• Implementation point: Close of Monday, November 30, but may be different for some markets (e.g., market holiday, exchange closures).

Figure 2: Our MSCI predictions for Q4 2026

Benchmark	Country	Name	Prediction
World ex USA	Australia	PLS GROUP LTD	DELETE
World ex USA	Australia	VICINITY CENTRES	DELETE
World ex USA	Australia	XERO LTD	DELETE
World ex USA	Canada	ARITZIA INC-SV	ADD
World ex USA	Canada	ELEMENT FLEET MANAGEMENT	DELETE
World ex USA	Finland	ELISA OYJ	DELETE
World ex USA	Japan	NISSAN MOTOR CO LTD	DELETE
World ex USA	Japan	NIPPON BUILDING FUND INC	DELETE
World ex USA	Japan	DAITO TRUST CONSTRUCT CO LTD	DELETE
World ex USA	Singapore	CAPITALAND ASCENDAS REIT	DELETE
World ex USA	Sweden	VERISURE PLC	DELETE
World ex USA	United Kingdom	AIRTEL AFRICA PLC	DELETE
USA	United States	MODERNA INC	ADD
USA	United States	STRATEGY INC	DELETE
USA	United States	CORTEVA INC	DELETE
USA	United States	LENNOX INTERNATIONAL INC	DELETE
USA	United States	TEXTRON INC	DELETE
USA	United States	FABRINET	DELETE
USA	United States	IREN LTD	DELETE
USA	United States	COOPER COS INC/THE	DELETE
USA	United States	FIDELITY NATIONAL FINANCIAL	DELETE
USA	United States	MCCORMICK & CO-NON VTG SHRS	DELETE
USA	United States	DECKERS OUTDOOR CORP	DELETE
USA	United States	AST SPACEMOBILE INC	DELETE
USA	United States	WATSCO INC	DELETE
USA	United States	REGENCY CENTERS CORP	DELETE
USA	United States	CHARTER COMMUNICATIONS INC-A	DELETE
USA	United States	DICK'S SPORTING GOODS INC	DELETE
USA	United States	ANNALY CAPITAL MANAGEMENT IN	DELETE
USA	United States	MID-AMERICA APARTMENT COMM	DELETE
USA	United States	CARLYLE GROUP INC/THE	DELETE
USA	United States	NEUROCRINE BIOSCIENCES INC	DELETE
USA	United States	FLUTTER ENTERTAINMENT PLC	DELETE
USA	United States	WEYERHAEUSER CO	DELETE

Source: L&G – Asset Management, America. Data as of October 23, 2026. For illustrative purposes only.

Prediction process 

We have designed and implemented a low active risk approach to capture outperformance created by index micro inefficiencies. In our investment approach, we target a variety of opportunities, one being rebalance predictions, where we model widely followed approaches to predict index additions and deletions. This predictive capability provides an opportunity for us to optimize portfolio adjustments before official index announcements, potentially enhancing returns. Here’s how it works for an MSCI rebalance: 

• On a quarterly basis, MSCI will re-establish its market cap weighted index series using a publicly available methodology, which means it can be independently modeled with reasonable certainty. 
• We identify which companies we believe will be reclassified between the Standard (Large + Mid Cap) indices and Small Cap indices. 
• MSCI selects one of ten days at the end of the month prior to the actual rebalance to crystalize sizing classifications. 
• A public notification of the changes happens approximately two weeks before the rebalance, with the rebalance happening at the end of the month (February, May, August, November cycle). 

After the rebalance period ends, we evaluate our predictions based on the following method: 

• Correct prediction (i.e., True positive; 1 point)—We assign ourselves one point for every accurate add or delete prediction. 
• Incorrect prediction (i.e., False positive; -1 point)—One point is deducted for every prediction that is not ultimately added or deleted by MSCI. 
• No prediction (i.e., False negative; 0 points)—No points are assigned or deducted for an add or delete that was not originally predicted. 
• We add up the total number of points and divide it by the total number of adds and deletes implemented by MSCI to determine the Rebalance Accuracy Score. While we do not expect to achieve perfect accuracy, our aim is to maximize correct predictions and minimize mistakes. Accurately predicting this information in advance is knowing what trillions of dollars are likely to do before they do it.

Disclosures

Unless otherwise stated, references herein to "L&G" and “L&G – Asset Management” refer to the global asset management business of Legal & General Group plc. that includes Legal & General Investment Management Ltd. (a U.K. FCA authorized adviser), Legal & General Investment Management America, Inc. (a U.S. SEC registered investment adviser) Legal & General Investment Management Asia Limited (a Hong Kong SFC registered adviser), Legal & General Investment Management Japan KK (licensed by the FAS in Japan), and LGIM Singapore Pte. Ltd. (licensed by the MAS in Singapore). The LGIM Stewardship Team acts on behalf of all such locally authorized entities.

This material is intended to provide only general educational information and market commentary. Views and opinions expressed herein are as of the date set forth above and may change based on market and other conditions. The material may not be reproduced or distributed. The material is for informational purposes only and is not intended as a solicitation to buy or sell any securities or other financial instrument or to provide any investment advice or service. L&G – Asset Management, America does not guarantee the timeliness, sequence, accuracy or completeness of information included. Past performance should not be taken as an indication or guarantee of future performance and no representation, express or implied, is made regarding future performance.

Certain of the information contained herein represents or is based on forward-looking statements or information, including descriptions of anticipated market changes and expectations of future activity. Forward-looking statements and information are inherently uncertain and actual events or results may differ from those projected. Therefore, undue reliance should not be placed on such forward-looking statements and information. There is no guarantee that L&G – Asset Management, America’s investment or risk management processes will be successful.