Index Factsheet

MSCI World Small Cap ESG Enhanced Focus CTB
Index (USD)The MSCI World Small Cap ESG Enhanced Focus CTB Index is based on the MSCI World Small Cap Index, its parent index, and includes
small-cap securities across 23 Developed Markets (DM)* countries. The index is designed to maximize exposure to positive environmental,social and governance (ESG) factors while reducing the carbon equivalent exposure to carbon dioxide (CO2) and other greenhousegases (GHG) as well as their exposure to potential emissions risk of fossil fuel reserves by thirty percent (30%). The Index also aims tomaintain risk and return characteristics similar to those of its underlying market capitalization weighted index (the MSCI World Small CapIndex).Additionally, the index aims to exceed the minimum technical requirements laid out for EU Climate Transition Benchmarks in theEU Delegated Acts.
For a complete description of the index methodology, please see Index methodology - MSCI.

CUMULATIVE INDEX PERFORMANCE — NET RETURNS (USD)(MAY 2016 – SEP 2024)

ANNUAL PERFORMANCE (%)
MSCI World Small
Cap ESG EnhancedFocus CTB

Year

MSCI World Small Cap ESG Enhanced Focus CTB
MSCI World Small Cap
202.00200

199.982023
20222021
2020
2019
2018
2017

MSCI World
Small Cap

14.07
-18.95
15.45
16.08
27.12
-13.3222.45

15.76-18.75
15.75
15.96
26.19
-13.8622.66

10050
May 16

Feb 17

Oct 17

Jun 18Mar 19Nov 19Jul 20

Apr 21

Dec 21Aug 22

May 23

Jan 24

Sep 24INDEX PERFORMANCE — NET RETURNS (%) (SEP 30, 2024)

FUNDAMENTALS (SEP 30, 2024)
ANNUALIZED1 Mo

3 Mo

1 Yr

YTD

3 Yr

5 Yr

10 Yr MaySince
31, 2016MSCI World Small Cap ESG
Enhanced Focus CTB

1.98

9.39

23.89

10.40

1.32

8.54

na

MSCI World Small Cap

1.87

9.39

24.87

11.02

2.20

9.00

na

Div Yld (%)

P/EP/E Fwd

P/BV

8.67

2.00

24.92

17.21

1.92

8.80

2.06

23.95

16.65

1.83

INDEX RISK AND RETURN CHARACTERISTICS (MAY 31, 2016 – SEP 30, 2024)
ANNUALIZED STD DEV (%) 2Beta

MSCI World Small Cap ESG
Enhanced Focus CTB

1.00

0.80

MSCI World Small Cap

1.00

0.00

1Last 12 months

SHARPE RATIO 2 , 3

MAXIMUM DRAWDOWN

3 Yr5 Yr

10 Yr

3 Yr

5 Yr

10 Yr

Since
May 31,
2016

30.18

19.85

21.62

na-0.01

0.38

na0.4341.05

2020-01-20—2020-03-23

10.93

19.78

21.60

na0.030.40

na0.4440.93

2020-01-20—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

MSCI World Small Cap ESG Enhanced Focus CTB Index (USD) | msci.com

SEP 30, 2024

Index Factsheet

MSCI World Small Cap ESG Enhanced Focus CTB Index (USD)

INDEX CHARACTERISTICS
Number ofConstituents

MSCI World Small
Cap ESG EnhancedFocus CTB

TOP 10 CONSTITUENTSMSCI World
Small Cap

3,780

US FOODS HOLDINGDT MIDSTREAMSPROUTS FARMERS MARKETGUIDEWIRE SOFTWAREKBR
ROYAL GOLDACUITY BRANDSBADGER METER
RYDER SYSTEMINTERMEDIATE CAPITAL GRP
Total

4,052

Weight (%)

LargestSmallest
Average
Median

0.57
0.00
0.03
0.01

0.22
0.00
0.02
0.01

SECTOR WEIGHTSCountryIndex
Wt. (%)USUSUS
USUSUS
US
USUS
GB

0.57
0.50
0.49
0.46
0.46
0.46
0.46
0.42
0.42
0.38
4.60

ParentIndex
Wt. (%)

0.18
0.09
0.14
0.18
0.11
0.11
0.10
0.08
0.08
0.11
1.16

SectorCons Staples
EnergyCons Staples
Info Tech
Industrials
Materials
Industrials
Info Tech
Industrials
Financials

COUNTRY WEIGHTS

10.33%

7.06%

6.21%

4.53%

5.94%

12.11%

3.62%

4.45%

12.73%

14.36%

4.36%
2.86%
14.5%

2.41%
20.76%

14.6%

Industrials 20.76%

Consumer Discretionary 14.6%

Information Technology 12.73%
Materials 5.94%

Energy 4.45%

Communication Services 2.86%

Health Care 10.33%

Financials 14.5%
Real Estate 7.06%

59.17%

United States 59.17%
Australia 3.62%

Japan 12.11%

United Kingdom 6.21%

Canada 4.53%

Other 14.36%

Consumer Staples 4.36%
Utilities 2.41%* DM countries include: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway,Portugal, Singapore, Spain, Sweden, Switzerland, the UK and the US.
The MSCI World Small Cap ESG Enhanced Focus CTB Index was launched on Aug 27, 2021. Data prior to the launch date is back-tested test (i.e. calculations of how theindex 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 World Small Cap ESG Enhanced Focus CTB Index (USD) | msci.com

SEP 30, 2024

Index Factsheet

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