Index Factsheet

MSCI EAFE Climate Paris Aligned Index (USD)The MSCI EAFE Climate Paris Aligned Index is based on the MSCI World Index, its parent index, and includes large and midcap securities across 21 Developed Markets (DM)* countries excluding the U.S. and Canada. The index is designed to support
investors seeking to reduce their exposure to transition and physical climate risks and who wish to pursue opportunities arisingfrom the transition to a lower-carbon economy while aligning with the Paris Agreement requirements. The index incorporates
the TCFD recommendations and are designed to exceed the minimum standards of the EU Paris-Aligned Benchmark.

CUMULATIVE INDEX PERFORMANCE — NET RETURNS (USD)(NOV 2013 – JUL 2022)
200

ANNUAL PERFORMANCE (%)

MSCI EAFE Climate Paris Aligned
MSCI EAFE

150
138.29129.80Year

MSCI EAFE Climate
Paris Aligned

MSCI EAFE

2021
2020
2019
2018
2017
2016
2015
2014

11.04
10.28
24.53
-13.74
25.17
0.22
2.55
-2.60

11.26
7.82
22.01
-13.79
25.03
1.00
-0.81
-4.90

100

50
Nov 13

Aug 14

May 15

Jan 16

Oct 16

Jul 17

Mar 18Dec 18Aug 19

May 20Feb 21

Oct 21

Jul 22INDEX PERFORMANCE — NET RETURNS (%) (JUL 29, 2022)

FUNDAMENTALS (JUL 29, 2022)
ANNUALIZED

1 Mo

3 Mo

1 Yr

YTD

3 Yr

5 Yr

10 Yr NovSince
26, 2013

MSCI EAFE Climate Paris
Aligned

6.59

-3.96

-16.17-17.83

3.43

2.67

na

MSCI EAFE

4.98

-4.04

-14.32-15.56

3.16

2.61

na

Div Yld (%)

P/EP/E Fwd

P/BV

3.81

2.74

18.82

15.95

2.05

3.05

3.23

14.93

12.44

1.69

INDEX RISK AND RETURN CHARACTERISTICS (NOV 26, 2013 – JUL 29, 2022)
ANNUALIZED STD DEV (%) 2Beta

MSCI EAFE Climate Paris
Aligned

1.00

1.73

MSCI EAFE

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
Nov 26,
2013

11.09

18.62

16.22

na

0.24

0.17

na

0.27

32.75

2020-01-17—2020-03-23

2.52

18.20

15.97

na

0.23

0.17

na

0.22

34.12

2018-01-25—2020-03-23

Tracking TurnoverError (%) (%) 12

Based on monthly net returns data

3(%)

Period YYYY-MM-DD

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

* DM countries include: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal,Singapore, Spain, Sweden, Switzerland and the UK.
The MSCI EAFE Climate Paris Aligned Index was launched on Feb 25, 2022. 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 actual or back-tested -- is no indication or guarantee of future performance.

MSCI EAFE Climate Paris Aligned Index (USD) | msci.com

JUL 29, 2022

Index Factsheet

INDEX CHARACTERISTICS
Number ofConstituentsTOP 10 CONSTITUENTSMSCI EAFE Climate
Paris Aligned

MSCI EAFE

444802NESTLEASML HLDGROCHE HOLDING GENUSSNOVO NORDISK B
SCHNEIDER ELECTRICASTRAZENECA
LVMH MOET HENNESSY
ABB LTDFANUC
RED ELECTRICA CORP
Total

Weight (%)

LargestSmallest
Average
Median

2.35
0.01
0.23
0.12

2.41
0.00
0.120.06

CountryIndex
Wt. (%)

CH
NL
CH
DKFR
GB
FRCHJPES

2.35
1.77
1.76
1.61
1.49
1.42
1.41
1.17
1.13
1.09
15.20

ParentIndex
Wt. (%)

2.41
1.61
1.63
1.38
0.52
1.43
1.34
0.35
0.23
0.06
10.94

SectorCons Staples
Info Tech
Health Care
Health Care
Industrials
Health Care
Cons Discr
Industrials
Industrials
Utilities

FACTORS - KEY EXPOSURES THAT DRIVE RISK AND RETURNMSCI FACTOR BOX

MSCI FaCS

UNDERWEIGHTNEUTRAL

VALUE
Relatively Inexpensive Stocks

OVERWEIGHTLOW SIZE
Smaller Companies
MOMENTUMRising Stocks
QUALITY
Sound Balance Sheet Stocks
YIELD
Cash Flow Paid Out
LOW VOLATILITY
Lower Risk Stocks<-1.50MSCI FaCS provides absolute factor exposuresrelative to abroad global index - MSCI ACWI IMI.

+1.5<

MSCI EAFE Climate Paris Aligned

MSCI EAFE

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

SECTOR WEIGHTS

COUNTRY WEIGHTS
8.54%

9.83%

5.57%
11.17%

5.11%
3.86%

12.61%

3.25%

13.8%

19.57%
19.29%

Financials 19.57%

34.74%
6.71%

19.53%

12.81%
13.6%

Industrials 19.29%

Information Technology 11.17%
Consumer Staples 8.54%

Health Care 13.8%

Japan 19.53%

Consumer Discretionary 9.83%

Utilities 5.57%

Real Estate 5.11%

Australia 6.71%

United Kingdom 13.6%

Switzerland 12.81%

France 12.61%

Other 34.74%

Materials 3.86%

Communication Services 3.25%

MSCI EAFE Climate Paris Aligned Index (USD) | msci.com

JUL 29, 2022

Index Factsheet

INDEX FRAMEWORKThe MSCI Climate Paris Aligned Indexes are constructed from their corresponding Parent Indexes following an optimization-based
approach and aim to exceed the minimum technical requirements laid out in the draft EU Delegated Act, while aligning with therecommendations of the TCFD. The indexes are designed to align with a 1.5°C climate scenario using the MSCI Climate Value-atRisk and a “self-decarbonization” rate of 10% year on year. The indexes aim to reduce exposure to physical risk arising from extreme
weather events by at least 50% and shift index weight from “brown” to “green” using the MSCI Low Carbon transition score and byexcluding categories of fossil-fuel-linked companies. Furthermore, the indexes also aim to increase the weight of companies which
are exposed to climate transition opportunities and reduce the weight of companies which are exposed to climate transition risks.
Finally, the indexes seek to reduce the weight of companies assessed as high carbon emitters using scope 1, 2 and 3 emissions
and increase the weight of companies with credible carbon reduction targets through a the weighting scheme while achieving botha modest tracking error and a low turnover. The indexes are rebalanced on a semi-annual basis, as of the close of the last business
day of May and November, coinciding with the May and November Semi Annual Index Review of the MSCI Global Investable MarketIndexes.
This summary is provided for illustrative purposes only and does not include all material elements of the index or its methodology. For a complete
description of the index methodology, please see Index methodology - MSCI.

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.

ABOUT MSCIMSCI 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
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to gain insight into and improve transparency across the investment process. To learn more, please visit www.msci.com.
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