Index Factsheet

MSCI USA Value Extended ESG Focus Index (USD)
MSCI USA Value Extended ESG Focus Index is designed to maximize their exposure to positive environmental, social and governance(ESG) factors while exhibiting risk and return characteristics similar to those of the underlying market capitalization weighted index. TheIndexes are constructed by selecting constituents of a market capitalization weighted MSCI USA Value Index (the ‘Parent Index’) throughan optimization process that aims to maximize exposure to ESG factors for a target tracking error budget under certain constraints.
For a complete description of the index methodology, please see Index methodology - MSCI.

CUMULATIVE INDEX PERFORMANCE — GROSS RETURNS (USD)(NOV 2014 – AUG 2024)

ANNUAL PERFORMANCE (%)
MSCI USA
Value Extended
ESG Focus

Year

MSCI USA Value Extended ESG Focus
MSCI USA Value
235.35234.54
200

2023
2022
2021
2020
2019
2018
2017
2016
2015

MSCI USA Value

7.13
-6.95
26.10
2.89
26.47
-5.99
15.20
16.96
-1.96

9.24
-6.24
27.17
0.95
25.73
-7.18
15.37
16.87
-1.94

10050
Nov 14Sep 15

Jul 16May 17Feb 18Dec 18

Oct 19Aug 20

May 21Mar 22

Jan 23

Nov 23

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

FUNDAMENTALS (AUG 30, 2024)
ANNUALIZED1 Mo

3 Mo

1 Yr

YTD

3 Yr

5 Yr

10 Yr NovSince
25, 2014

MSCI USA Value Extended ESG
Focus

2.88

8.27

22.39

16.07

6.81

10.91

na

MSCI USA Value

2.88

7.83

22.76

15.92

7.94

11.12

na

Div Yld (%)

P/EP/E Fwd

P/BV

9.16

2.29

20.35

16.62

3.13

9.12

2.24

20.23

16.68

3.07

INDEX RISK AND RETURN CHARACTERISTICS (NOV 25, 2014 – AUG 30, 2024)
ANNUALIZED STD DEV (%) 2Beta

MSCI USA Value Extended ESG
1.00
Focus

0.83

1.00

0.00

MSCI USA Value

1Last 12 months

SHARPE RATIO 2 , 3

MAXIMUM DRAWDOWN

3 Yr

5 Yr

10 Yr

3 Yr

5 Yr

10 Yr

Since
Nov 25,
2014

30.06

16.57

17.75

na

0.28

0.55

na0.5536.48

2020-02-12—2020-03-23

16.94

16.25

17.71

na

0.35

0.56

na0.5537.10

2020-02-12—2020-03-23

Tracking TurnoverError (%) (%) 12

Based on monthly gross returns data3(%)

Period YYYY-MM-DDBased on NY FED Overnight SOFR from Sep 1 2021 & on ICE LIBOR 1M prior that date

MSCI USA Value Extended ESG Focus Index (USD) | msci.com

AUG 30, 2024

Index Factsheet

MSCI USA Value Extended ESG Focus Index (USD)

INDEX CHARACTERISTICS
Number ofConstituents

MSCI USA
Value Extended
ESG Focus

TOP 10 CONSTITUENTSMSCI USA Value

228

Index
Wt. (%)BROADCOMJPMORGAN CHASE & CO
UNITEDHEALTH GROUP
COCA COLA (THE)HOME DEPOTTEXAS INSTRUMENTS
EXXON MOBIL CORP
JOHNSON & JOHNSONPROCTER & GAMBLE COCHEVRON CORPTotal447

Weight (%)

LargestSmallest
Average
Median

2.73
0.05
0.44
0.32

2.99
0.01
0.22
0.10

2.73
2.66
2.53
1.98
1.93
1.65
1.58
1.58
1.55
1.19
19.39

ParentIndex
Wt. (%)

2.99
2.69
2.27
1.24
1.52
0.81
2.20
1.67
1.68
1.08
18.15

SectorInfo Tech
Financials
Health Care
Cons Staples
Cons Discr
Info Tech
EnergyHealth Care
Cons Staples
EnergySECTOR WEIGHTS
7.05%

5.51%

10.3%

4.63%
4.61%

12.57%

4.1%
2.88%
13.87%

18.15%

16.33%

Financials 18.15%

Health Care 16.33%

Industrials 13.87%

Information Technology 12.57%

Consumer Staples 10.3%

Consumer Discretionary 5.51%

Materials 4.63%

Energy 7.05%

Real Estate 4.61%

Utilities 4.1%

Communication Services 2.88%

The MSCI USA Value Extended ESG Focus Index was launched on Aug 29, 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 USA Value Extended ESG Focus Index (USD) | msci.com

AUG 30, 2024

Index Factsheet

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MSCI USA Value Extended ESG Focus Index (USD) | msci.com