Index Factsheet

MSCI Canada ESG Focus Index (USD)The MSCI Canada ESG Focus Index is based on MSCI Canada Index, its parent index, which includes large and mid cap stocks acrossthe Canadian equity markets. The Index is designed to maximize exposure to positive environmental, social and governance (ESG)
factors while exhibiting risk and return characteristics similar to those of the MSCI Canada Index. The index is constructed by selecting
constituents from MSCI Canada Index through an optimization process that aims to maximize exposure to ESG factors for a target tracking
error budget under certain constraints. The index is sector-diversiﬁed and targets companies with high ESG ratings in each sector. Tobaccoand Controversial Weapons companies are not eligible for inclusion.
For a complete description of the index methodology, please see Index methodology - MSCI.

CUMULATIVE INDEX PERFORMANCE — NET RETURNS (USD)(MAY 2012 – AUG 2024)

ANNUAL PERFORMANCE (%)

MSCI Canada ESG Focus
MSCI Canada
210.27200

200.39100

Year

MSCI Canada
ESG Focus

MSCI Canada

2023
20222021
2020
20192018
2017
2016201520142013

14.34-16.60
24.71
6.08
27.41
-16.61
16.66
24.48-24.54
2.14
6.00

15.44
-12.87
25.98
5.32
27.50
-17.2016.07
24.56-24.16
1.50
5.63

50
May 12

Jun 13

Jun 14

Jun 15

Jun 16

Jul 17

Jul 18Jul 19Jul 20Jul 21Aug 22Aug 23

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

FUNDAMENTALS (AUG 30, 2024)
ANNUALIZED

1 Mo

3 Mo

1 Yr

YTD

3 Yr

5 Yr

10 Yr MaySince
31, 2012

MSCI Canada ESG Focus

4.93

8.25

18.16

8.88

2.30

8.04

3.62

MSCI Canada

4.05

6.91

19.81

11.035.25

9.70

4.33

Div Yld (%)

P/EP/E Fwd

P/BV

5.83

3.28

18.62

14.81

2.03

6.25

2.95

18.11

14.55

2.08

INDEX RISK AND RETURN CHARACTERISTICS (MAY 31, 2012 – AUG 30, 2024)
ANNUALIZED STD DEV (%) 2Beta

MSCI Canada ESG Focus

1.01

1.30

MSCI Canada

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
May 31,
2012

23.98

19.19

20.95

18.27

0.04

0.37

0.20

0.34

42.52

2020-02-20—2020-03-23

1.80

18.50

20.53

18.00

0.19

0.45

0.23

0.36

42.55

2020-02-20—2020-03-23

Tracking TurnoverError (%) (%) 1

2

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 Canada ESG Focus Index was launched on Aug 03, 2018. 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 Canada ESG Focus Index (USD) | msci.com

AUG 30, 2024

Index Factsheet

INDEX CHARACTERISTICS
Number ofConstituentsTOP 10 CONSTITUENTSMSCI Canada
ESG Focus

MSCI Canada

46IndexWt. (%)

87

ROYAL BANK OF CANADATORONTO-DOMINION BANKENBRIDGEBANK NOVA SCOTIA
CANADIAN NATL RAILWAYSHOPIFY A
CANADIAN IMPERIAL BANKNATIONAL BANK OF CANADASUN LIFE FINANCIAL
WHEATON PRECIOUS METALS
Total

Weight (%)

LargestSmallest
Average
Median

9.78
0.08
2.17
1.66

8.09
0.10
1.15
0.56

9.78
6.22
6.07
4.80
4.76
4.66
3.79
3.49
3.49
3.32
50.37

ParentIndex
Wt. (%)

8.09
5.03
4.06
2.90
3.05
4.25
2.60
1.48
1.51
1.33
34.29

SectorFinancials
Financials
EnergyFinancials
Industrials
Info Tech
Financials
Financials
Financials
Materials

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

+1.5<

MSCI Canada ESG Focus

MSCI Canada

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

SECTOR WEIGHTS
9.95%
13.32%

9.06%
3.82%
3.07%

17.34%

2.1%
0.31%

41.03%

Financials 41.03%

Energy 17.34%

Information Technology 9.95%
Utilities 3.07%

Industrials 13.32%

Materials 9.06%

Consumer Discretionary 2.1%

Consumer Staples 3.82%
Real Estate 0.31%

MSCI Canada ESG Focus 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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