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MSCI World ESG Screened Index (USD) 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: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, 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% United Kingdom 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. ABOUT MSCI MSCI is a leading provider of critical decision support tools and services for the global investment community. With over 45 years of expertise in research, data and technology, we power better investment decisions by enabling clients to understand and analyze key drivers of risk and return and confidently build more effective portfolios. We create industry-leading research-enhanced solutions that clients use to gain insight into and improve transparency across the investment process. To learn more, please visit www.msci.com. The information contained herein (the "Information") may not be reproduced or redisseminated in whole or in part without prior written permission from MSCI. The Information may not be used to verify or correct other data, to create indexes, risk models, or analytics, or in connection with issuing, offering, sponsoring, managing or marketing any securities, portfolios, financial products or other investment vehicles. Historical data and analysis should not be taken as an indication or guarantee of any future performance, analysis, forecast or prediction. None of the Information or MSCI index or other product or service constitutes an offer to buy or sell, or a promotion or recommendation of, any security, financial instrument or product or trading strategy. Further, none of the Information or any MSCI index is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. The Information is provided "as is" and the user of the Information assumes the entire risk of any use it may make or permit to be made of the Information. NONE OF MSCI INC. OR ANY OF ITS SUBSIDIARIES OR ITS OR THEIR DIRECT OR INDIRECT SUPPLIERS OR ANY THIRD PARTY INVOLVED IN THE MAKING OR COMPILING OF THE INFORMATION (EACH, AN "MSCI PARTY") MAKES ANY WARRANTIES OR REPRESENTATIONS AND, TO THE MAXIMUM EXTENT PERMITTED BY LAW, EACH MSCI PARTY HEREBY EXPRESSLY DISCLAIMS ALL IMPLIED WARRANTIES, INCLUDING WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE.WITHOUT LIMITING ANY OF THE FOREGOING AND TO THE MAXIMUM EXTENT PERMITTED BY LAW, IN NO EVENT SHALL ANY OF THE MSCI PARTIES HAVE ANY LIABILITY REGARDING ANY OF THE INFORMATION FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL (INCLUDING LOST PROFITS) OR ANY OTHER DAMAGES EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. The foregoing shall not exclude or limit any liability that may not by applicable law be excluded or limited. © 2021 MSCI Inc. All rights reserved. MSCI World ESG Screened Index (USD) | msci.com.
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