OREANDA-NEWS. February 12, 2010. In the run-up to the MSCI announcement on February Indices review set for 10 February, we have carefully examined the history of stocks included into the MSCI Russia Standard Index since 2001. Our analysis of stock returns focuses on two key points in time: the announcement date of the new MSCI Index constituents and their implementation date. We also have evaluated the potential candidates to be included in the MSCI Russia Standard Index.

Our key findings are:

- Stocks included into MSCI Russia Standard Index, by and large, underperform the index following implementation

- However, during the short period between the inclusion date and the implementation date, we have documented newcomers outperforming the MSCI Russia Index (both the new members’ median and average returns for that period exceed 7%). As such, we would recommend the following statistically market-neutral trading strategy: go long on newly announced constituents versus short on MSCI Russia on the announcement date and close the trade on the implementation date.

- We have tested an ‘insider trading’ hypothesis. We studied returns of would-be inclusions and have found no outperformance of the index whatsoever, until the candidate is publicly announced.

- We think that on 10t February MRKH will be announced as the sole new inclusion to the MSCI Russia Standard Index. We also believe that there will be no exclusions.