Index Factsheet

MSCI EMU Climate Paris Aligned Index (EUR)
The MSCI EMU Climate Paris Aligned Index is based on the MSCI EMU Index, its parent index, and includes large and mid-cap securities
across 10 Developed Markets (DM) in EMU. The index is designed to support investors seeking to reduce their exposure to transition andphysical climate risks and who wish to pursue opportunities arising from the transition to a lower-carbon economy while aligning with theParis Agreement requirements. The index incorporates the TCFD recommendations and are designed to exceed the minimum standardsof the EU Paris-Aligned Benchmark.
For a complete description of the index methodology, please see Index methodology - MSCI.

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

ANNUAL PERFORMANCE (%)

MSCI EMU Climate Paris Aligned
MSCI EMU
221.52
208.13200

Year

MSCI EMU Climate
Paris Aligned

MSCI EMU

2023
2022
2021
2020
2019
2018
2017
2016
2015
2014

17.41
-14.28
22.19
2.17
27.72
-11.84
13.65
4.50
13.14
6.17

18.78
-12.47
22.16
-1.02
25.47
-12.71
12.49
4.37
9.81
4.32

10050
Nov 13Oct 14Sep 15Aug 16

Jun 17

May 18Apr 19Mar 20Jan 21

Dec 21

Nov 22

Oct 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 NovSince
26, 2013

MSCI EMU Climate Paris
Aligned

2.25

0.73

12.80

7.78

3.49

8.29

7.59

MSCI EMU

1.61

-0.49

15.28

10.53

5.47

8.65

7.04

Div Yld (%)

P/EP/E Fwd

P/BV

7.67

2.68

20.59

16.62

2.39

7.04

3.16

14.85

12.77

1.83

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

MSCI EMU Climate Paris
Aligned

0.96

2.39

MSCI EMU

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

18.71

15.99

17.63

15.58

0.18

0.49

0.53

0.54

37.37

2020-02-19—2020-03-18

3.36

15.78

18.00

16.05

0.30

0.50

0.49

0.49

38.07

2020-02-19—2020-03-18

Tracking TurnoverError (%) (%) 12

Based on monthly net returns data3(%)

Period YYYY-MM-DDBased on EMMI EURIBOR 1M from Sep 1 2021 & on ICE LIBOR 1M prior that date

*DM countries in the EMU include: Austria, Belgium, Finland, France, Germany, Ireland, Italy, the Netherlands, Portugal and Spain.
The MSCI EMU 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 EMU Climate Paris Aligned Index (EUR) | msci.com

AUG 30, 2024

Index Factsheet

INDEX CHARACTERISTICS
Number ofConstituentsTOP 10 CONSTITUENTSMSCI EMU Climate
Paris Aligned

MSCI EMU

128224

ASML HLDGSAP
SCHNEIDER ELECTRIC
LVMH MOET HENNESSYSIEMENSMUENCHENER RUECKVERSICHFERROVIAL
ALLIANZSANOFI
L'OREAL
Total

Weight (%)

LargestSmallest
Average
Median

6.82
0.01
0.78
0.49

6.20
0.03
0.45
0.20

CountryIndex
Wt. (%)NLDEFRFRDEDEESDEFRFR

6.82
5.03
4.37
4.18
2.90
2.69
2.46
2.42
2.42
2.18
35.48

ParentIndex
Wt. (%)

6.20
3.95
2.39
3.56
2.47
1.28
0.37
2.10
2.20
1.82
26.35

SectorInfo Tech
Info Tech
Industrials
Cons Discr
Industrials
Financials
Industrials
Financials
Health Care
Cons Staples

FACTORS - KEY EXPOSURES THAT DRIVE RISK AND RETURNMSCI FACTOR BOX

MSCI FaCS

UNDERWEIGHTNEUTRAL

VALUE
Relatively Inexpensive Stocks

OVERWEIGHTLOW SIZE
Smaller Companies
MOMENTUM
Rising Stocks
QUALITY
Sound Balance Sheet Stocks
YIELDCash 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 EMU Climate Paris Aligned

MSCI EMU

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

SECTOR WEIGHTS

COUNTRY WEIGHTS

8.33%

9.87%

7.11%
6.97%

13.26%

14.15%

5.96%
13.61%

3.57%
3.5%
3.35%

16.5%

24.08%

18.9%
32.32%

18.5%

Financials 18.9%

Industrials 18.5%

Consumer Discretionary 13.26%
Consumer Staples 6.97%

Information Technology 16.5%

Health Care 8.33%

Real Estate 3.57%

Utilities 7.11%

France 32.32%
Italy 5.96%

Germany 24.08%

Netherlands 14.15%

Spain 9.87%

Other 13.61%

Communication Services 3.5%

Materials 3.35%

MSCI EMU Climate Paris Aligned Index (EUR) | 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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