Index Factsheet

MSCI USA Small Cap Extended ESG Focus Index(USD)The MSCI USA Small Cap Extended ESG Focus Index is based on MSCI USA Small Cap Index, its parent index, which includes small cap
stocks across the U.S. 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 USA Small Cap Index. The index is constructed byselecting constituents from MSCI USA Small Cap Index through an optimization process that aims to maximize exposure to ESG factors
for a target tracking error budget set to 50bps under certain constraints. The index is sector-diversiﬁed and targets companies with high
ESG ratings in each sector. Tobacco, Controversial Weapons, Producers of or ties with Civilian Firearms, Thermal Coal and Oil Sands are
not eligible for inclusion.
For a complete description of the index methodology, please see Index methodology - MSCI.

CUMULATIVE INDEX PERFORMANCE — GROSS RETURNS (USD)(NOV 2013 – AUG 2024)

ANNUAL PERFORMANCE (%)

300202320222021202020192018201720162015
2014

MSCI USA Small
Cap Extended
ESG Focus

YearMSCI USA Small Cap Extended ESG Focus
MSCI USA Small Cap

265.06262.24200

MSCI USA
Small Cap

17.26
-17.22
19.54
19.96
28.65
-9.57
17.09
19.76
-3.52
7.30

18.44
-17.17
19.56
18.90
27.38
-9.99
17.30
19.80
-3.65
7.55

10050
Nov 13

Oct 14

Sep 15

Aug 16

Jun 17

May 18Apr 19Mar 20Jan 21

Dec 21

Nov 22

Oct 23

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

FUNDAMENTALS (AUG 30, 2024)
ANNUALIZED1 Mo

3 Mo1 Yr

YTD

3 Yr

5 Yr

10 Yr NovSince
26, 2013

MSCI USA Small Cap Extended-0.35
ESG Focus

5.94

16.88

9.44

2.29

11.06

9.34

-0.33

5.96

17.56

9.52

2.64

11.05

9.18

MSCI USA Small Cap

Div Yld (%)

P/EP/E Fwd

P/BV

9.48

1.48

30.17

19.40

2.28

9.37

1.50

31.88

19.61

2.27

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

MSCI USA Small Cap Extended
1.00
ESG Focus

0.72

1.00

0.00

MSCI USA Small Cap

1Last 12 monthsSHARPE RATIO 2 , 3

MAXIMUM DRAWDOWN

3 Yr

5 Yr

10 Yr

3 Yr

5 Yr

10 Yr

Since
Nov 26,2013

30.50

21.51

23.13

19.55

0.05

0.47

0.47

0.49

41.95

2020-01-16—2020-03-23

10.13

21.61

23.34

19.61

0.07

0.47

0.46

0.48

42.43

2020-01-16—2020-03-23

Tracking TurnoverError (%) (%) 1

2

Based on monthly gross 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 Small Cap Extended ESG Focus Index (USD) | msci.com

AUG 30, 2024

Index Factsheet

MSCI USA Small Cap Extended ESG Focus Index (USD)

INDEX CHARACTERISTICS
Number ofConstituents

MSCI USA Small
Cap Extended
ESG Focus

TOP 10 CONSTITUENTSMSCI USA
Small Cap

896

Index
Wt. (%)CASEYS GENERAL STORESJANUS HENDERSONKBRUS FOODS HOLDINGREXFORD INDL REALTY
INGREDION INC
SPROUTS FARMERS MARKETJONES LANG LASALLEGUIDEWIRE SOFTWAREEAST WEST BANCORP
Total

1,722

Weight (%)

LargestSmallest
Average
Median

0.51
0.02
0.11
0.08

0.32
0.00
0.06
0.04

0.51
0.45
0.43
0.420.41
0.40
0.40
0.39
0.36
0.35
4.12

ParentIndex
Wt. (%)

0.28
0.10
0.19
0.29
0.23
0.18
0.22
0.25
0.24
0.24
2.23

SectorCons Staples
Financials
Industrials
Cons Staples
Real EstateCons Staples
Cons Staples
Real Estate
Info Tech
Financials

SECTOR WEIGHTS
6.1%

12.76%

5.17%
12.82%

4.69%
3.75%
2.27%

14.59%

2.13%
19.3%

16.42%

Industrials 19.3%

Financials 16.42%

Information Technology 12.82%
Materials 5.17%

Energy 4.69%

Consumer Discretionary 14.59%

Health Care 12.76%

Real Estate 6.1%

Consumer Staples 3.75%

Utilities 2.27%

Communication Services 2.13%

The MSCI USA Small Cap Extended ESG Focus Index was launched on Dec 12, 2017. 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 Small Cap Extended ESG Focus Index (USD) | msci.com

AUG 30, 2024

Index Factsheet

ABOUT MSCIMSCI is a leading provider of critical decision support tools and services for the global investment community. With over 45 years of expertise in research, data and technology, we power better investment
decisions by enabling clients to understand and analyze key drivers of risk and return and conﬁdently build more effective portfolios. We create industry-leading research-enhanced solutions that clients use
to gain insight into and improve transparency across the investment process. To learn more, please visit www.msci.com.
The information contained herein (the "Information") may not be reproduced or redisseminated in whole or in part without prior written permission from MSCI. The Information may not be used to verify orcorrect other data, to create indexes, risk models, or analytics, or in connection with issuing, offering, sponsoring, managing or marketing any securities, portfolios, ﬁnancial products or other investment
vehicles. Historical data and analysis should not be taken as an indication or guarantee of any future performance, analysis, forecast or prediction. None of the Information or MSCI index or other productor service constitutes an offer to buy or sell, or a promotion or recommendation of, any security, ﬁnancial instrument or product or trading strategy. Further, none of the Information or any MSCI index isintended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. The Information is provided "as is"and the user of the Information assumes the entire risk of any use it may make or permit to be made of the Information. NONE OF MSCI INC. OR ANY OF ITS SUBSIDIARIES OR ITS OR THEIR DIRECTOR INDIRECT SUPPLIERS OR ANY THIRD PARTY INVOLVED IN THE MAKING OR COMPILING OF THE INFORMATION (EACH, AN "MSCI PARTY") MAKES ANY WARRANTIES OR REPRESENTATIONS AND,TO THE MAXIMUM EXTENT PERMITTED BY LAW, EACH MSCI PARTY HEREBY EXPRESSLY DISCLAIMS ALL IMPLIED WARRANTIES, INCLUDING WARRANTIES OF MERCHANTABILITY AND FITNESS FORA PARTICULAR PURPOSE.WITHOUT LIMITING ANY OF THE FOREGOING AND TO THE MAXIMUM EXTENT PERMITTED BY LAW, IN NO EVENT SHALL ANY OF THE MSCI PARTIES HAVE ANY LIABILITYREGARDING ANY OF THE INFORMATION FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL (INCLUDING LOST PROFITS) OR ANY OTHER DAMAGES EVEN IF NOTIFIED OF THE POSSIBILITYOF SUCH DAMAGES. The foregoing shall not exclude or limit any liability that may not by applicable law be excluded or limited.
© 2024 MSCI Inc. All rights reserved.

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