Index Factsheet

MSCI Europe ESG Leaders Index (USD)The MSCI Europe ESG Leaders Index is a free ﬂoat-adjusted market capitalization-weighted index designed to represent the performanceof companies that are selected from the MSCI Europe Index (“Parent Index”) based on Environmental, Social and Governance (ESG) criteria.
These criteria exclude constituents based on involvement in speciﬁc business activities, as well as ESG ratings and exposure to ESG
controversies. The Indexes are derived from the MSCI Europe Index and aim to achieve sector weights that reﬂect the sector weights of thecorresponding Parent Index. the MSCI Europe ESG Leaders Index consists of Large and Mid cap companies across 15 developed markets
countries*. The Index construction targets 50% free ﬂoat-adjusted market capitalization coverage of each Global Industry Classiﬁcation
Standard (GICS®) sector by selecting constituents primarily based on criteria including the ESG rating, the trend in that rating and thecompany’s industry-adjusted ESG score. The Index is a member of the MSCI ESG Leaders Index series.
For a complete description of the index methodology, please see Index methodology - MSCI.

CUMULATIVE INDEX PERFORMANCE — GROSS RETURNS (USD)(JUL 2009 – JUL 2024)

ANNUAL PERFORMANCE (%)

MSCI Europe ESG Leaders
MSCI Europe

307.98300

280.43200

10050
Jul 09Oct 10

Jan 12

Apr 13

Jul 14

Oct 15

Jan 17

Apr 18Jul 19Oct 20Jan 22

Apr 23Year

MSCI Europe
ESG Leaders

MSCI Europe

2023
2022
2021
2020
2019
2018
2017
2016
2015
2014
2013
2012
2011
2010

21.56
-16.91
16.78
9.95
26.59
-13.10
24.94
-2.08
1.21
-5.39
26.96
21.03
-9.18
5.15

20.66
-14.53
16.97
5.93
24.59
-14.3226.24
0.22-2.34-5.68
25.96
19.93
-10.50
4.49

Jul 24INDEX PERFORMANCE — GROSS RETURNS (%) (JUL 31, 2024)

FUNDAMENTALS (JUL 31, 2024)
ANNUALIZED

1 Mo

3 Mo

1 Yr

YTD

3 Yr

5 Yr

10 Yr SepSince
28, 2007MSCI Europe ESG Leaders

0.86

4.97

12.35

9.57

4.47

9.62

6.12

MSCI Europe

2.16

4.92

11.36

8.66

4.65

8.66

5.41

Div Yld (%)

P/EP/E Fwd

P/BV

4.00

3.02

17.21

15.08

2.50

3.52

3.17

14.89

13.42

2.08

INDEX RISK AND RETURN CHARACTERISTICS (SEP 28, 2007 – JUL 31, 2024)
ANNUALIZED STD DEV (%) 2Beta

MSCI Europe ESG Leaders

0.98

1.83

MSCI Europe

1.00

0.00

1Last 12 months

SHARPE RATIO 2 , 3

MAXIMUM DRAWDOWN

3 Yr

5 Yr

10 Yr

3 Yr

5 Yr

10 Yr

Since
Sep 28,2007(%)

Period YYYY-MM-DD

10.53

18.45

18.85

16.12

0.16

0.47

0.35

0.23

63.81

2007-10-31—2009-03-09

3.36

18.28

19.17

16.40

0.16

0.41

0.30

0.2162.72

2007-10-31—2009-03-09

Tracking TurnoverError (%) (%) 12

Based on monthly gross returns data

3Based on NY FED Overnight SOFR from Sep 1 2021 & on ICE LIBOR 1M prior that date

The MSCI ESG Leaders Indexes are products of MSCI Inc. that utilize information such as company ratings and research produced and provided by MSCI ESG Research LLC(MSCI ESG Research), a subsidiary of MSCI Inc.
* Developed Markets countries in Europe include: Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden,Switzerland and the UK.
The MSCI Europe ESG Leaders Index was launched on Oct 01, 2007. Data prior to the launch date is back-tested test (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 actualor back-tested -- is no indication or guarantee of future performance.

MSCI Europe ESG Leaders Index (USD) | msci.com

JUL 31, 2024

Index Factsheet

INDEX CHARACTERISTICS
Number ofConstituents

MSCI Europe
ESG Leaders

TOP 10 CONSTITUENTSMSCI Europe

213417

NOVO NORDISK B
ASML HLDG
ASTRAZENECANOVARTIS
LVMH MOET HENNESSYHSBC HOLDINGS (GB)UNILEVER PLC (GB)TOTALENERGIESSCHNEIDER ELECTRIC
L'OREAL
Total

Weight (%)

LargestSmallest
Average
Median

7.53
0.04
0.47
0.21

3.89
0.02
0.24
0.10

CountryIndex
Wt. (%)

DK
NL
GB
CH
FR
GB
GB
FR
FR
FR

7.53
6.42
4.30
3.85
3.40
2.98
2.68
2.53
2.29
1.82
37.80

ParentIndex
Wt. (%)

3.89
3.32
2.22
1.99
1.76
1.54
1.39
1.31
1.18
0.94
19.54

Sector

Health Care
Info Tech
Health Care
Health Care
Cons Discr
Financials
Cons Staples
EnergyIndustrials
Cons Staples

FACTORS - KEY EXPOSURES THAT DRIVE RISK AND RETURNMSCI FACTOR BOX
UNDERWEIGHTMSCI FaCS
NEUTRAL

VALUE
Relatively Inexpensive Stocks

OVERWEIGHTLOW SIZE
Smaller Companies
MOMENTUM
Rising Stocks
QUALITY
Sound Balance Sheet Stocks
YIELD
Cash Flow Paid Out
LOW VOLATILITY
Lower Risk Stocks<-1.50MSCI Europe ESG Leaders

MSCI FaCS provides absolute factor exposuresrelative to abroad global index - MSCI ACWI IMI.

+1.5<MSCI Europe

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

SECTOR WEIGHTS

COUNTRY WEIGHTS
8.18%

9.33%

5.92%

10.04%

10.38%
23.26%

11.86%

3.95%
3.86%
3.26%

16.39%

14.29%

0.82%
19.19%

19.06%

Health Care 19.19%

Financials 19.06%

Consumer Staples 10.04%

Industrials 16.39%

United Kingdom 22.48%

Consumer Discretionary 9.33%

Information Technology 8.18%

Materials 5.92%

Communication Services 3.26%

Real Estate 0.82%

Energy 3.95%

22.48%
17.73%

Netherlands 11.86%

France 17.73%
Denmark 10.38%

Switzerland 14.29%
Other 23.26%

Utilities 3.86%

MSCI Europe ESG Leaders Index (USD) | msci.com

JUL 31, 2024

Index Factsheet

MSCI FACTOR BOX AND FaCS FRAMEWORK (Please refer to complete description of the MSCI FaCS methodology here)
MSCI FaCS is a standard method for evaluating and reporting the Factor characteristics of equity portfolios. MSCI FaCS consistsof 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 constructedby 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 exposuresof funds/indexes and their benchmarks along 6 Factor Groups that have historically demonstrated excess market returns overthe long run.

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