Index Factsheet

MSCI Japan Climate Paris Aligned Index (USD)he MSCI Japan Climate Paris Aligned Index is an index constructed from the MSCI Japan Index and includes large and mid-cap securitiesof the Japanese equity markets. The index is designed to support investors seeking to reduce their exposure to transition and physicalclimate risks and who wish to pursue opportunities arising from 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 theEU Paris-Aligned Benchmark.
For a complete description of the index methodology, please see Index methodology - MSCI.

CUMULATIVE INDEX PERFORMANCE — NET RETURNS (USD)(NOV 2013 – AUG 2024)

ANNUAL PERFORMANCE (%)

MSCI Japan Climate Paris Aligned
200

MSCI Japan
184.43158.03

150

100

50
Nov 13

Oct 14

Sep 15

Aug 16

Jun 17

May 18Apr 19Mar 20Jan 21MSCI Japan
ClimateParis AlignedYear

Dec 21

Nov 22

Oct 23

2023
2022
2021
2020
2019
2018
2017
2016
2015
2014

MSCI Japan

16.08-23.65
-1.53
12.61
22.59
-12.23
24.79
3.06
10.51
-2.69

20.32
-16.65
1.71
14.48
19.61-12.88
23.99
2.38
9.57
-4.02

Aug 24INDEX PERFORMANCE — NET RETURNS (%) (AUG 30, 2024)

FUNDAMENTALS (AUG 30, 2024)
ANNUALIZED1 Mo

3 Mo

1 Yr

YTD

3 Yr

5 Yr

10 Yr NovSince
26, 2013

MSCI Japan Climate Paris
Aligned

4.01

9.96

14.32

7.32

-2.42

3.34

4.64

MSCI Japan

0.51

5.58

19.69

13.00

3.80

8.12

6.36

Div Yld (%)

P/EP/E Fwd

P/BV

4.34

1.75

21.25

20.87

2.10

5.85

2.18

15.47

14.59

1.47

INDEX RISK AND RETURN CHARACTERISTICS (NOV 26, 2013 – AUG 30, 2024)
ANNUALIZED STD DEV (%) 2Beta

MSCI Japan Climate Paris
Aligned

1.02

3.25

MSCI Japan

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

27.69

18.06

17.26

14.72

-0.23

0.15

0.27

0.26

37.91

2021-09-14—2022-10-13

3.67

16.16

15.86

14.03

0.11

0.43

0.39

0.37

33.42

2021-09-14—2022-10-21

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

The MSCI Japan Climate Paris Aligned Index was launched on Oct 26, 2020. 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 Japan Climate Paris Aligned Index (USD) | msci.com

AUG 30, 2024Index Factsheet

INDEX CHARACTERISTICS
Number ofConstituents

MSCI Japan
ClimateParis Aligned

TOP 10 CONSTITUENTSMSCI Japan

70IndexWt. (%)SONY GROUP CORPDAIICHI SANKYO COKEYENCE CORPCHUGAI PHARMACEUTICAL CO
FAST RETAILING CO
TOYOTA MOTOR CORPADVANTEST CORPASTELLAS PHARMAHOYA CORPRECRUIT HOLDINGS CO
Total

203

Weight (%)

LargestSmallest
Average
Median

4.55
0.07
1.43
1.19

5.03
0.06
0.49
0.24

4.55
4.08
4.08
3.73
3.36
3.29
3.04
2.94
2.77
2.66
34.49

ParentIndex
Wt. (%)

3.05
1.94
2.33
0.85
1.40
5.03
0.87
0.56
1.24
2.31
19.58

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

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 Japan Climate Paris Aligned

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

+1.5<MSCI Japan

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

SECTOR WEIGHTS
11.3%
13.06%

8.54%
7.48%

15.72%

1.07%

21.88%
20.95%

Health Care 21.88%

Information Technology 20.95%

Industrials 15.72%

Consumer Discretionary 13.06%

Real Estate 11.3%

Financials 8.54%

Communication Services 7.48%

Consumer Staples 1.07%

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

AUG 30, 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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