MSCI World ESG Screened Index (USD)

The MSCI World ESG Screened Index is based on the MSCI World Index, its parent index, and includes large and mid-cap securities across 23 Developed Markets (DM)* countries. The index excludes companies from the parent index that are associated with controversial, civilian and nuclear weapons and tobacco, that derive revenues from thermal coal and oil sands extraction and that are not compliant with the United Nations Global Compact principles.

CUMULATIVE INDEX PERFORMANCE — NET RETURNS (USD) ANNUAL PERFORMANCE (%)

(MAY 2012 – AUG 2021) MSCI World Year ESG Screened MSCI World

MSCI World ESG Screened 2020 17.56 15.90 MSCI World 329.90 2019 28.15 27.67 317.50 2018 -8.60 -8.71 300 2017 22.49 22.40 2016 7.02 7.51 2015 -0.08 -0.87 2014 5.39 4.94 200 2013 27.58 26.68

100

50 May 12 Mar 13 Dec 13 Sep 14 Jun 15 Apr 16 Jan 17 Oct 17 Jul 18 May 19 Feb 20 Nov 20 Aug 21

INDEX PERFORMANCE — NET RETURNS (%) (AUG 31, 2021) FUNDAMENTALS (AUG 31, 2021) ANNUALIZED Since 1 Mo 3 Mo 1 Yr YTD 3 Yr 5 Yr 10 Yr May 31, 2012 Div Yld (%) P/E P/E Fwd P/BV

MSCI World ESG Screened 2.64 6.25 30.03 18.19 15.60 15.28 na 13.76 1.57 24.04 19.96 3.37

MSCI World 2.49 5.88 29.76 17.94 14.96 14.83 na 13.29 1.66 23.87 19.54 3.31

INDEX RISK AND RETURN CHARACTERISTICS (MAY 31, 2012 – AUG 31, 2021) ANNUALIZED STD DEV (%) 2 SHARPE RATIO 2 , 3 MAXIMUM DRAWDOWN TrackingTurnover Since Beta 1 3 Yr 5 Yr 10 Yr 3 Yr 5 Yr 10 Yr May 31, (%) Period YYYY-MM-DD Error (%) (%) 2012

MSCI World ESG Screened 1.00 0.49 3.26 18.30 14.70 na 0.82 0.96 na 1.00 33.69 2020-02-12—2020-03-23

MSCI World 1.00 0.00 2.44 18.20 14.62 na 0.79 0.94 na 0.97 34.03 2020-02-12—2020-03-23

1 Last 12 months 2 Based on monthly net returns data 3 Based on ICE LIBOR 1M

* DM countries include: , , , , , , , , , Ireland, , , , , , , , , , , , the UK and the US. The MSCI World ESG Screened Index was launched on Oct 22, 2018. Data prior to the launch date is back-tested data (i.e. calculations of how the index might have performed over that time period had the index existed). There are frequently material differences between back-tested performance and actual results. Past performance -- whether actual or back-tested -- is no indication or guarantee of future performance.

MSCI World ESG Screened Index (USD) | msci.com AUG 31, 2021

INDEX CHARACTERISTICS TOP 10 CONSTITUENTS MSCI World MSCI World Index Parent Sector ESG Screened Wt. (%) Index Number of 1,475 1,557 Wt. (%) APPLE 4.45 4.23 Info Tech Constituents MICROSOFT CORP 3.78 3.59 Info Tech Weight (%) AMAZON.COM 2.59 2.47 Cons Discr Largest 4.45 4.23 FACEBOOK A 1.59 1.51 Comm Srvcs

Smallest 0.00 0.00 ALPHABET A 1.52 1.44 Comm Srvcs Average 0.07 0.06 ALPHABET C 1.50 1.42 Comm Srvcs Median 0.03 0.03 TESLA 0.99 0.94 Cons Discr NVIDIA 0.97 0.92 Info Tech JPMORGAN CHASE & CO 0.85 0.81 Financials JOHNSON & JOHNSON 0.79 0.76 Health Care Total 19.03 18.09

FACTORS - KEY EXPOSURES THAT DRIVE RISK AND RETURN MSCI FACTOR BOX MSCI FaCS

UNDERWEIGHT NEUTRAL OVERWEIGHT VALUE Relatively Inexpensive Stocks

LOW SIZE Smaller Companies

MOMENTUM Rising Stocks

QUALITY Sound Balance Sheet Stocks

YIELD Cash Flow Paid Out

LOW VOLATILITY Lower Risk Stocks

MSCI FaCS provides absolute factor exposures relative to a <-1.5 0 +1.5< broad global index - MSCI ACWI IMI.

MSCI World ESG Screened MSCI World Neutral factor exposure (FaCS = 0) represents MSCI ACWI IMI.

SECTOR WEIGHTS COUNTRY WEIGHTS

3.58% 9.75% 9.52% 6.84%

5.98% 3.24% 12.25% 3.87% 3.06%

2.88% 14.95%

2.51% 13.37% 1.74%

24% 68.33% 14.11%

Information Technology 24% Financials 14.11% Health Care 13.37% United States 68.33% Japan 6.84% 3.58% France 3.24%

Consumer Discretionary 12.25% Communication Services 9.75% Industrials 9.52% Canada 3.06% Other 14.95%

Consumer Staples 5.98% Materials 3.87% Real Estate 2.88% Energy 2.51%

Utilities 1.74%

MSCI World ESG Screened Index (USD) | msci.com AUG 31, 2021

INDEX METHODOLOGY The MSCI ESG Screened Indexes aim to represent the performance of an investment strategy that excludes companies from the parent index that are involved in business activities of Controversial Weapons, Nuclear Weapons, Civilian Firearms, Tobacco, Thermal Coal, Oil Sands. In addition to the above, companies that fail to comply with the United Nations Global Compact Principles are also excluded from the MSCI ESG Screened Indexes. The indexes are maintained following the MSCI Global Investable Indexes (GIMI) Methodology —a comprehensive and consistent approach to index construction that allows for meaningful global views and cross regional comparisons across all market capitalization size, sector and style segments and combinations. This methodology aims to provide exhaustive coverage of the relevant investment opportunity set with a strong emphasis on index liquidity, investability and replicability.

The index is reviewed in February, May, August and November, coinciding with the quarterly and semiannually index reviews of MSCI Global Investable Market Indexes.

FACTOR BOX AND FaCS METHODOLOGY MSCI FaCS is a standard method (MSCI FaCS Methodology) for evaluating and reporting the Factor characteristics of equity portfolios. MSCI FaCS consists of Factor Groups (e.g. Value, Size, Momentum, Quality, Yield, and Volatility) that have been extensively documented in academic literature and validated by MSCI Research as key drivers of risk and return in equity portfolios. These Factor Groups are constructed by aggregating 16 factors (e.g. Book-to-Price, Earnings/Dividend Yields, LT Reversal, Leverage, Earnings Variability/Quality, Beta) from the latest Barra global equity factor risk model, GEMLT, designed to make fund comparisons transparent and intuitive for use. The MSCI Factor Box, which is powered by MSCI FaCS, provides a visualization designed to easily compare absolute exposures of funds/indexes and their benchmarks along 6 Factor Groups that have historically demonstrated excess market returns over the long run.

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MSCI World ESG Screened Index (USD) | msci.com