Index Factsheet

MSCI USA ESG Enhanced Focus CTB Index (USD)The MSCI USA ESG Enhanced Focus CTB Index is based on the MSCI USA Index, its parent index, and includes large and mid-cap securitiesof the U.S. equity markets. 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 greenhouse gases (GHG) as well as their exposure topotential emissions risk of fossil fuel reserves by thirty percent (30%). The Index also aims to maintain risk and return characteristics
similar to its underlying market capitalization weighted index (the MSCI USA Index). Additionally, the index aims to exceed the minimum
technical requirements laid out for EU Climate Transition Benchmarks in the EU Delegated Acts.
For a complete description of the index methodology, please see Index methodology - MSCI.

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

ANNUAL PERFORMANCE (%)
MSCI USAESG EnhancedFocus CTBYearMSCI USA ESG Enhanced Focus CTB

463.24MSCI USA460.184002002023
20222021
2020
2019
2018
2017
2016
20152014
2013

MSCI USA

25.38-21.58
26.70
22.27
31.82
-5.02
20.86
11.02
0.27
13.25
32.98

26.49
-19.85
26.45
20.73
30.88
-5.04
21.19
10.89
0.69
12.69
31.79

50
Nov 12

Nov 13

Nov 14

Nov 15

Oct 16

Oct 17

Oct 18

Oct 19Sep 20

Sep 21

Sep 22

Sep 23

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 NovSince30, 2012MSCI USA ESG Enhanced
Focus CTB

2.39

7.78

25.33

17.97

6.68

14.86

12.07

MSCI USA

2.37

7.30

26.56

18.80

8.06

15.31

12.28

Div Yld (%)

P/EP/E Fwd

P/BV

13.86

1.30

27.19

21.71

5.17

13.93

1.30

26.69

21.64

5.01

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

MSCI USA ESG Enhanced
Focus CTB

1.00

0.65

MSCI USA

1.00

0.00

1Last 12 months

SHARPE RATIO 2 , 3

MAXIMUM DRAWDOWN

3 Yr

5 Yr

10 Yr

3 Yr

5 Yr10 YrSince
Nov 30,
2012

26.48

18.29

18.46

15.55

0.26

0.72

0.71

0.86

33.72

2020-02-19—2020-03-23

1.91

17.99

18.35

15.47

0.34

0.75

0.72

0.87

34.16

2020-02-19—2020-03-23

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

MSCI USA ESG Enhanced Focus CTB Index (USD) | msci.com

AUG 30, 2024

Index Factsheet

MSCI USA ESG Enhanced Focus CTB Index (USD)

INDEX CHARACTERISTICS
Number ofConstituents

MSCI USAESG Enhanced
Focus CTB

LargestSmallest
Average
MedianTOP 10 CONSTITUENTSMSCI USA

543

Index
Wt. (%)APPLE
NVIDIAMICROSOFT CORPAMAZON.COM
ALPHABET C
META PLATFORMS A
LILLY (ELI) & COMPANYJPMORGAN CHASE & CO
BROADCOM
UNITEDHEALTH GROUP
Total

601

Weight (%)
6.75
0.00
0.18
0.03

6.80
0.01
0.17
0.06

6.75
6.24
6.08
3.35
2.77
2.12
1.79
1.43
1.41
1.28
33.21

ParentIndex
Wt. (%)

6.80
6.04
5.96
3.38
1.71
2.31
1.57
1.31
1.451.1031.64

SectorInfo Tech
Info Tech
Info Tech
Cons Discr
Comm Srvcs
Comm Srvcs
Health Care
Financials
Info Tech
Health Care

SECTOR WEIGHTS
8.4%

8.01%

8.77%

4.25%
3.49%

13.89%

2.62%
2.1%
1.68%

13.9%

32.89%

Information Technology 32.89%

Health Care 13.9%

Consumer Discretionary 8.77%

Industrials 8.4%

Consumer Staples 4.25%

Real Estate 3.49%

Financials 13.89%
Communication Services 8.01%

Energy 2.62%

Utilities 2.1%

Materials 1.68%

The MSCI USA ESG Enhanced Focus CTB Index was launched on Jan 15, 2019. 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 ESG Enhanced Focus CTB Index (USD) | msci.com

AUG 30, 2024

Index Factsheet

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