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MSCIUSAESGSelectIndex(USD)MSCIUSAESGSelectIndex(USD)|msci.
comTheMSCIUSAESGSelectIndexisdesignedtomaximizeexposuretopositiveenvironmental,socialandgovernance(ESG)factorswhileexhibitingriskandreturncharacteristicssimilartothoseoftheMSCIUSAIndex.
TheIndexisoptimizedtobesectordiversied,targetingcompanieswithhighESGratingsineachsector.
RelativetotheMSCIUSAIndex,theMSCIUSAESGSelectIndextendstoover-weightcompanieswithhighESGratingsandunder-weightcompanieswithlowratings.
TheIndexisabenchmarkforinvestorswhoseekaninvestmentopportunitysetwithaveryhighESGscoreandcontrolledrisk.
ConstituentselectionisbasedondatafromMSCIESGResearch.
CUMULATIVEINDEXPERFORMANCE—NETRETURNS(USD)(AUG2010–JAN2021)Aug10Jul11May12Apr13Feb14Jan15Nov15Sep16Aug17Jun18May19Mar20Jan2150100200300400MSCIUSAESGSelectMSCIUSA421.
95415.
35ANNUALPERFORMANCE(%)YearMSCIUSAESGSelectMSCIUSA202024.
1820.
73201931.
9030.
882018-5.
81-5.
04201722.
4221.
19201612.
1310.
892015-2.
000.
69201413.
4912.
69201330.
7931.
79201210.
0315.
3320111.
441.
36INDEXPERFORMANCE—NETRETURNS(%)(JAN29,2021)ANNUALIZED1Mo3Mo1YrYTD3Yr5Yr10YrSinceAug31,2010MSCIUSAESGSelect-0.
4313.
8523.
45-0.
4313.
3117.
4312.
9214.
64MSCIUSA-0.
9614.
9619.
38-0.
9612.
0216.
1113.
0514.
81FUNDAMENTALS(JAN29,2021)DivYld(%)P/EP/EFwdP/BV1.
5130.
2423.
214.
901.
4831.
7722.
664.
33INDEXRISKANDRETURNCHARACTERISTICS(AUG31,2010–JAN29,2021)ANNUALIZEDSTDDEV(%)2SHARPERATIO2,3MAXIMUMDRAWDOWNBetaTrackingError(%)Turnover(%)13Yr5Yr10Yr3Yr5Yr10YrSinceAug31,2010(%)PeriodYYYY-MM-DDMSCIUSAESGSelect0.
982.
1528.
3118.
4515.
0113.
700.
681.
060.
901.
0132.
842020-02-19—2020-03-23MSCIUSA1.
000.
003.
1319.
0315.
3013.
750.
610.
970.
911.
0234.
162020-02-19—2020-03-231Last12months2Basedonmonthlynetreturnsdata3BasedonICELIBOR1MOnSeptember1,2010theFTSEKLDindexestransitionedtotheMSCIESGIndexes.
TheformerKLDindexeshadmultiplethirdpartyindexcalculatorsovertime.
ConsequentlytheMSCIESGindexhistorieshavebeenaggregatedandcompiledtocreateacontinuoustimeseriesfromavarietyofsources—sourceswhichmayhavefolloweddifferentindexcalculationmethodologiesinsomeinstances.
TheMSCIESGIndexesuseratingsandotherdatasuppliedbyMSCIESGResearchInc,asubsidiaryofMSCIInc.
TheMSCIUSAESGSelectIndexwaslaunchedonSep01,2010.
Datapriortothelaunchdateisback-testeddata(i.
e.
calculationsofhowtheindexmighthaveperformedoverthattimeperiodhadtheindexexisted).
Therearefrequentlymaterialdifferencesbetweenback-testedperformanceandactualresults.
Pastperformance--whetheractualorback-tested--isnoindicationorguaranteeoffutureperformance.
JAN29,2021MSCIUSAESGSelectIndex(USD)|msci.
comINDEXCHARACTERISTICSMSCIUSAESGSelectMSCIUSANumberofConstituents198620Weight(%)Largest5.
366.
72Smallest0.
090.
01Average0.
510.
16Median0.
300.
06TOP10CONSTITUENTSIndexWt.
(%)ParentIndexWt.
(%)SectorAPPLE5.
366.
72InfoTechMICROSOFTCORP5.
274.
96InfoTechALPHABETA2.
961.
63CommSrvcsTESLA2.
071.
76ConsDiscrACCENTUREA1.
880.
46InfoTechHOMEDEPOT1.
820.
87ConsDiscrFACEBOOKA1.
721.
85CommSrvcsBLACKROCKA1.
600.
32FinancialsNVIDIA1.
530.
95InfoTechSALESFORCE.
COM1.
490.
61InfoTechTotal25.
6820.
14FACTORS-KEYEXPOSURESTHATDRIVERISKANDRETURNMSCIFACTORBOXMSCIUSAESGSelectMSCIUSAUNDERWEIGHTNEUTRALOVERWEIGHTSelectIndex(USD)|msci.
comINDEXMETHODOLOGYMSCIUSAESGSelectIndexconstituentsareselectedfromtheMSCIUSAIndex,whichismadeupofsecuritiesoflargeandmidcapU.
S.
companies.
CompanieswithTobaccoinvolvementareexcludedfromtheIndex.
CompanieswithMSCIESGControversiesscorebelow3arenoteligiblefortheIndex.
Theuniverseofeligiblecompaniesareoptimizedusingparametersforpredictedtrackingerror(1.
8%),maximum(5%)andminimum(0.
1%)constituentweight,sectorvariationfromtheparentindex(+/-3%),turnoverandotherfactors.
Sinceconstituentselectionandweightsaredeterminedusingoptimization,theIndexisnotcapitalizationweighted.
AttheQuarterlyIndexReviews,companieswithMSCIESGControversiesscorebelow2areremoved.
TheIndexisoptimizedonaquarterlybasiscoincidingwiththeregularIndexReviewsoftheMSCIGlobalInvestableMarketIndexes.
ChangesareeffectiveatthebeginningofMarch,June,SeptemberandDecember.
FACTORBOXANDFaCSMETHODOLOGYMSCIFaCSisastandardmethod(MSCIFaCSMethodology)forevaluatingandreportingtheFactorcharacteristicsofequityportfolios.
MSCIFaCSconsistsofFactorGroups(e.
g.
Value,Size,Momentum,Quality,Yield,andVolatility)thathavebeenextensivelydocumentedinacademicliteratureandvalidatedbyMSCIResearchaskeydriversofriskandreturninequityportfolios.
TheseFactorGroupsareconstructedbyaggregating16factors(e.
g.
Book-to-Price,Earnings/DividendYields,LTReversal,Leverage,EarningsVariability/Quality,Beta)fromthelatestBarraglobalequityfactorriskmodel,GEMLT,designedtomakefundcomparisonstransparentandintuitiveforuse.
TheMSCIFactorBox,whichispoweredbyMSCIFaCS,providesavisualizationdesignedtoeasilycompareabsoluteexposuresoffunds/indexesandtheirbenchmarksalong6FactorGroupsthathavehistoricallydemonstratedexcessmarketreturnsoverthelongrun.
comTheMSCIUSAESGSelectIndexisdesignedtomaximizeexposuretopositiveenvironmental,socialandgovernance(ESG)factorswhileexhibitingriskandreturncharacteristicssimilartothoseoftheMSCIUSAIndex.
TheIndexisoptimizedtobesectordiversied,targetingcompanieswithhighESGratingsineachsector.
RelativetotheMSCIUSAIndex,theMSCIUSAESGSelectIndextendstoover-weightcompanieswithhighESGratingsandunder-weightcompanieswithlowratings.
TheIndexisabenchmarkforinvestorswhoseekaninvestmentopportunitysetwithaveryhighESGscoreandcontrolledrisk.
ConstituentselectionisbasedondatafromMSCIESGResearch.
CUMULATIVEINDEXPERFORMANCE—NETRETURNS(USD)(AUG2010–JAN2021)Aug10Jul11May12Apr13Feb14Jan15Nov15Sep16Aug17Jun18May19Mar20Jan2150100200300400MSCIUSAESGSelectMSCIUSA421.
95415.
35ANNUALPERFORMANCE(%)YearMSCIUSAESGSelectMSCIUSA202024.
1820.
73201931.
9030.
882018-5.
81-5.
04201722.
4221.
19201612.
1310.
892015-2.
000.
69201413.
4912.
69201330.
7931.
79201210.
0315.
3320111.
441.
36INDEXPERFORMANCE—NETRETURNS(%)(JAN29,2021)ANNUALIZED1Mo3Mo1YrYTD3Yr5Yr10YrSinceAug31,2010MSCIUSAESGSelect-0.
4313.
8523.
45-0.
4313.
3117.
4312.
9214.
64MSCIUSA-0.
9614.
9619.
38-0.
9612.
0216.
1113.
0514.
81FUNDAMENTALS(JAN29,2021)DivYld(%)P/EP/EFwdP/BV1.
5130.
2423.
214.
901.
4831.
7722.
664.
33INDEXRISKANDRETURNCHARACTERISTICS(AUG31,2010–JAN29,2021)ANNUALIZEDSTDDEV(%)2SHARPERATIO2,3MAXIMUMDRAWDOWNBetaTrackingError(%)Turnover(%)13Yr5Yr10Yr3Yr5Yr10YrSinceAug31,2010(%)PeriodYYYY-MM-DDMSCIUSAESGSelect0.
982.
1528.
3118.
4515.
0113.
700.
681.
060.
901.
0132.
842020-02-19—2020-03-23MSCIUSA1.
000.
003.
1319.
0315.
3013.
750.
610.
970.
911.
0234.
162020-02-19—2020-03-231Last12months2Basedonmonthlynetreturnsdata3BasedonICELIBOR1MOnSeptember1,2010theFTSEKLDindexestransitionedtotheMSCIESGIndexes.
TheformerKLDindexeshadmultiplethirdpartyindexcalculatorsovertime.
ConsequentlytheMSCIESGindexhistorieshavebeenaggregatedandcompiledtocreateacontinuoustimeseriesfromavarietyofsources—sourceswhichmayhavefolloweddifferentindexcalculationmethodologiesinsomeinstances.
TheMSCIESGIndexesuseratingsandotherdatasuppliedbyMSCIESGResearchInc,asubsidiaryofMSCIInc.
TheMSCIUSAESGSelectIndexwaslaunchedonSep01,2010.
Datapriortothelaunchdateisback-testeddata(i.
e.
calculationsofhowtheindexmighthaveperformedoverthattimeperiodhadtheindexexisted).
Therearefrequentlymaterialdifferencesbetweenback-testedperformanceandactualresults.
Pastperformance--whetheractualorback-tested--isnoindicationorguaranteeoffutureperformance.
JAN29,2021MSCIUSAESGSelectIndex(USD)|msci.
comINDEXCHARACTERISTICSMSCIUSAESGSelectMSCIUSANumberofConstituents198620Weight(%)Largest5.
366.
72Smallest0.
090.
01Average0.
510.
16Median0.
300.
06TOP10CONSTITUENTSIndexWt.
(%)ParentIndexWt.
(%)SectorAPPLE5.
366.
72InfoTechMICROSOFTCORP5.
274.
96InfoTechALPHABETA2.
961.
63CommSrvcsTESLA2.
071.
76ConsDiscrACCENTUREA1.
880.
46InfoTechHOMEDEPOT1.
820.
87ConsDiscrFACEBOOKA1.
721.
85CommSrvcsBLACKROCKA1.
600.
32FinancialsNVIDIA1.
530.
95InfoTechSALESFORCE.
COM1.
490.
61InfoTechTotal25.
6820.
14FACTORS-KEYEXPOSURESTHATDRIVERISKANDRETURNMSCIFACTORBOXMSCIUSAESGSelectMSCIUSAUNDERWEIGHTNEUTRALOVERWEIGHTSelectIndex(USD)|msci.
comINDEXMETHODOLOGYMSCIUSAESGSelectIndexconstituentsareselectedfromtheMSCIUSAIndex,whichismadeupofsecuritiesoflargeandmidcapU.
S.
companies.
CompanieswithTobaccoinvolvementareexcludedfromtheIndex.
CompanieswithMSCIESGControversiesscorebelow3arenoteligiblefortheIndex.
Theuniverseofeligiblecompaniesareoptimizedusingparametersforpredictedtrackingerror(1.
8%),maximum(5%)andminimum(0.
1%)constituentweight,sectorvariationfromtheparentindex(+/-3%),turnoverandotherfactors.
Sinceconstituentselectionandweightsaredeterminedusingoptimization,theIndexisnotcapitalizationweighted.
AttheQuarterlyIndexReviews,companieswithMSCIESGControversiesscorebelow2areremoved.
TheIndexisoptimizedonaquarterlybasiscoincidingwiththeregularIndexReviewsoftheMSCIGlobalInvestableMarketIndexes.
ChangesareeffectiveatthebeginningofMarch,June,SeptemberandDecember.
FACTORBOXANDFaCSMETHODOLOGYMSCIFaCSisastandardmethod(MSCIFaCSMethodology)forevaluatingandreportingtheFactorcharacteristicsofequityportfolios.
MSCIFaCSconsistsofFactorGroups(e.
g.
Value,Size,Momentum,Quality,Yield,andVolatility)thathavebeenextensivelydocumentedinacademicliteratureandvalidatedbyMSCIResearchaskeydriversofriskandreturninequityportfolios.
TheseFactorGroupsareconstructedbyaggregating16factors(e.
g.
Book-to-Price,Earnings/DividendYields,LTReversal,Leverage,EarningsVariability/Quality,Beta)fromthelatestBarraglobalequityfactorriskmodel,GEMLT,designedtomakefundcomparisonstransparentandintuitiveforuse.
TheMSCIFactorBox,whichispoweredbyMSCIFaCS,providesavisualizationdesignedtoeasilycompareabsoluteexposuresoffunds/indexesandtheirbenchmarksalong6FactorGroupsthathavehistoricallydemonstratedexcessmarketreturnsoverthelongrun.
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