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Msci Russia Local Liquidity Screened Capped Index (Rub) MSCI RUSSIA LOCAL LIQUIDITY SCREENED CAPPED INDEX (RUB) The MSCI Russia Local Liquidity Screened Capped Index is based on the MSCI Russia Index, its parent index which captures Russian large and mid-cap securities. The index is designed to include only Russian listed securities with a 3-Month Annualized Traded Value equal or greater than USD 1 billion. The index is free float-adjusted market capitalization weighted and at each Quarter end if an equity’s weight is greater than 16.5% then it gets capped down to 15%. Inter-quarter, group entity weights will fluctuate according to market movements and may exceed 15%. CUMULATIVE INDEX PERFORMANCE - NET RETURNS (RUB) (MAY 2008 – SEP 2018) ANNUAL PERFORMANCE (%) MSCI Russia Local Year Liquidity Screened MSCI Russia MSCI Russia Local Liquidity Screened 15% Capped 15% Capped MSCI Russia 2017 -1.46 -0.78 200 193.74 2016 32.24 29.40 2015 32.18 26.85 150 152.53 2014 -3.08 -1.89 2013 8.09 8.38 100 2012 10.36 8.09 2011 -14.04 -15.35 2010 21.26 19.90 50 2009 113.03 102.74 0 May 08 Apr 09 Feb 10 Dec 10 Nov 11 Sep 12 Jul 13 Jun 14 Apr 15 Feb 16 Jan 17 Nov 17 Sep 18 INDEX PERFORMANCE — NET RETURNS (%) ( SEP 28, 2018 ) FUNDAMENTALS ( SEP 28, 2018 ) ANNUALIZED Since Div Yld (%) P/E P/E Fwd P/BV 1 Mo 3 Mo 1 Yr YTD 3 Yr 5 Yr 10 Yr May 30, 2008 MSCI Russia Local Liquidity 6.76 13.95 34.37 29.90 22.26 17.35 13.49 6.61 5.39 5.50 5.92 0.76 Screened 15% Capped MSCI Russia 6.76 10.88 29.41 24.10 19.36 15.08 10.72 4.17 5.42 7.08 5.77 0.94 INDEX RISK AND RETURN CHARACTERISTICS ( SEP 28, 2018 ) ANNUALIZED STD DEV (%) 2 MAXIMUM DRAWDOWN Turnover 3 Yr 5 Yr 10 Yr (%) Period YYYY-MM-DD (%) 1 MSCI Russia Local Liquidity 10.19 12.21 16.31 22.97 73.97 2008-06-17—2008-10-24 Screened 15% Capped MSCI Russia 4.11 12.84 16.09 22.92 75.25 2008-06-17—2008-10-24 1 Last 12 months 2 Based on monthly net returns data The MSCI Russia Local Liquidity Screened Capped Index was launched on Jun 02, 2014. 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 RUSSIA LOCAL LIQUIDITY SCREENED CAPPED INDEX SEP 28, 2018 INDEX CHARACTERISTICS TOP 10 CONSTITUENTS MSCI Russia Local Liquidity Float Adj Mkt Cap Index Sector Screened 15% Capped ( RUB Billions) Wt. (%) Number of 21 GAZPROM (RUB) 1,824.14 15.72 Energy Constituents LUKOIL HOLDING(RUB) 1,778.83 15.33 Energy Mkt Cap ( RUB Millions) TATNEFT COMMON (RUB) 1,386.59 11.95 Energy Index 11,607,332.57 SBERBANK RUSSIA COM(RUB) 1,266.66 10.91 Financials Largest 1,824,137.06 NOVATEK (RUB) 1,158.09 9.98 Energy Smallest 71,980.56 NORILSK NICKEL MMC(RUB) 784.51 6.76 Materials Average 552,730.12 ROSNEFT (RUB) 681.80 5.87 Energy Median 287,202.55 ALROSA (RUB) 299.59 2.58 Materials MAGNIT(RUB) 297.75 2.57 Cons Staples MOBILE TELESYS (RUB) 296.33 2.55 Telecom Srvcs Total 9,774.29 84.21 SECTOR WEIGHTS 15.61% 13.51% 2.57% 2.55% 1.83% 63.94% Energy 63.94% Materials 15.61% Financials 13.51% Consumer Staples 2.57% Telecommunication Services 2.55% Utilities 1.83% INDEX METHODOLOGY The MSCI Russia Local Liquidity Screened Capped Index (the “Index”) applies liquidity screenings on the MSCI Russia Index and replaces American Depositary Receipts (ADRs) and Global Depositary Receipts (GDRs) included in the MSCI Russia Index with corresponding Russian listings where available. For all constituents of the MSCI Russia Index for which ADRs or GDRs are used, the listing is replaced with a Russian listing as the price source. Securities with a 3-Month Annualized Traded Value lower than USD 1 Billion based on a 3 month period are excluded from the Index. The 3-Month Annualized Traded Value is obtained by taking the average of the monthly median traded values of the previous 3 months for the listing under consideration and annualizing it by multiplying it by 12. If the free float-adjusted market capitalization weight of any group entity in the Index is greater than 16.5%, then its weight is capped to 15%. The Index is rebalanced on a quarterly basis coinciding with the Semi-Annual and Quarterly Index Reviews of the MSCI Global Investable Market Indexes, usually as of the close of the last business day of February, May, August and November. ABOUT MSCI For more than 40 years, MSCI' research-based indexes and analytics have helped the world' leading investors build and manage better portfolios. Clients rely on our offerings for deeper insights into the drivers of performance and risk in their portfolios, broad asset class coverage and innovative research. Our line of products and services includes indexes, analytical models, data, real estate benchmarks and ESG research. MSCI serves 99 of the top 100 largest money managers, according to the most recent P&I ranking. For more information, visit us at 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. © 2018 MSCI Inc. All rights reserved. MSCI RUSSIA LOCAL LIQUIDITY SCREENED CAPPED INDEX.
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