Index Factsheet

MSCI USA Small Cap ESG Leaders Index (USD)The MSCI USA Small Cap ESG Leaders Index is a free ﬂoat-adjusted market capitalization-weighted index designed to represent theperformance of companies that are selected from the MSCI USA Small Cap Index (“Parent Index”) based on Environmental, Social andGovernance (ESG) criteria. These criteria exclude constituents based on involvement in speciﬁc business activities, as well as ESG ratingsand exposure to ESG controversies. The Indexes are derived from the MSCI USA Small Cap Index and aim to achieve sector weightsthat reﬂect the sector weights of the corresponding Parent Index. the MSCI USA Small Cap ESG Leaders Index consists of Small cap
companies in US markets. The Index construction targets 50% free ﬂoat-adjusted market capitalization coverage of each Global Industry
Classiﬁcation Standard (GICS®) sector by selecting constituents primarily based on criteria including the ESG rating, the trend in thatrating and the company’s industry-adjusted ESG score. The Index is a member of the MSCI ESG Leaders Index series.
For a complete description of the index methodology, please see Index methodology - MSCI.

CUMULATIVE INDEX PERFORMANCE — PRICE RETURNS (USD)(AUG 2009 – AUG 2024)

ANNUAL PERFORMANCE (%)

MSCI USA Small Cap ESG Leaders460.92MSCI USA Small Cap

444.6940020050
Aug 09Nov 10Feb 12

May 13

Aug 14

Nov 15

Feb 17

May 18Aug 19Nov 20Feb 22

May 23Year

MSCI USA Small
Cap ESG Leaders

MSCI USA
Small Cap

2023
2022
2021
2020
2019
2018
2017
2016
2015
2014
2013
2012
2011
2010

13.54
-17.09
19.18
15.03
24.01
-10.59
13.94
19.47
-4.58
5.16
36.23
14.36
-2.96
26.69

16.51-18.43
18.19
17.12
25.27
-11.37
15.56
17.79
-5.15
6.02
36.28
16.31
-4.35
26.33

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

FUNDAMENTALS (AUG 30, 2024)
ANNUALIZED

1 Mo

3 Mo

1 Yr

YTD

3 Yr

5 Yr

10 Yr DecSince
29, 2000MSCI USA Small Cap ESG
Leaders

-0.83

5.15

14.54

7.92

0.82

8.80

7.35

MSCI USA Small Cap

-0.48

5.57

15.75

8.48

1.09

9.42

7.52

Div Yld (%)

P/EP/E Fwd

P/BV

6.94

1.61

25.00

17.96

2.22

8.23

1.50

31.88

19.61

2.27INDEX RISK AND RETURN CHARACTERISTICS (DEC 29, 2000 – AUG 30, 2024)
ANNUALIZED STD DEV (%) 2Beta

MSCI USA Small Cap ESG
Leadersnana

MSCI USA Small Cap

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
Dec 29,2000(%)

Period YYYY-MM-DD

21.68

21.08

22.60

19.15

-0.02

0.39

0.38

na61.62

2007-06-04—2009-03-09

10.13

21.59

23.35

19.61

0.00

0.41

0.38

0.41

60.53

2007-06-04—2009-03-09

Tracking TurnoverError (%) (%) 12

Based on monthly price returns data

3

Based on NY FED Overnight SOFR from Sep 1 2021 & on ICE LIBOR 1M prior that date

The MSCI ESG Leaders Indexes are products of MSCI Inc. that utilize information such as company ratings and research produced and provided by MSCI ESG Research LLC(MSCI ESG Research), a subsidiary of MSCI Inc.
The MSCI USA Small Cap ESG Leaders Index was launched on Jan 02, 2007. 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 ESG Leaders Index (USD) | msci.com

AUG 30, 2024

Index Factsheet

INDEX CHARACTERISTICS
MSCI USA Small
Cap ESG Leaders

Number ofConstituentsTOP 10 CONSTITUENTSMSCI USA
Small Cap

722

Index
Wt. (%)

1,722

NUTANIX AREINSURANCE GRP AMERICAUS FOODS HOLDINGFLEX
CASEYS GENERAL STORESCOMFORT SYSTEMS USATOPBUILD CORPJONES LANG LASALLE
CURTISS-WRIGHT CORPGUIDEWIRE SOFTWARE
Total

Weight (%)

LargestSmallest
Average
Median0.64
0.01
0.14
0.10

0.32
0.00
0.06
0.04

0.64
0.60
0.57
0.57
0.56
0.53
0.52
0.50
0.50
0.49
5.49

ParentIndex
Wt. (%)

0.32
0.30
0.29
0.28
0.28
0.26
0.26
0.25
0.25
0.24
2.73

SectorInfo Tech
Financials
Cons Staples
Info Tech
Cons Staples
Industrials
Cons Discr
Real Estate
Industrials
Info Tech

FACTORS - KEY EXPOSURES THAT DRIVE RISK AND RETURNMSCI FACTOR BOX
UNDERWEIGHTMSCI FaCS
NEUTRAL

VALUE
Relatively Inexpensive Stocks

OVERWEIGHTLOW SIZE
Smaller Companies
MOMENTUM
Rising Stocks
QUALITY
Sound Balance Sheet Stocks
YIELD
Cash Flow Paid Out
LOW VOLATILITY
Lower Risk Stocks<-1.50MSCI USA Small Cap ESG Leaders

MSCI FaCS provides absolute factor exposuresrelative to abroad global index - MSCI ACWI IMI.

+1.5<MSCI USA Small Cap

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

SECTOR WEIGHTS
6.88%

11.71%

5.4%
11.89%

4.44%
4.04%
2.81%

14.25%

2.11%18.33%

18.13%

Financials 18.33%
Health Care 11.89%
Materials 5.4%

Industrials 18.13%

Consumer Discretionary 14.25%

Information Technology 11.71%
Energy 4.44%

Communication Services 2.81%

Real Estate 6.88%

Consumer Staples 4.04%
Utilities 2.11%

MSCI USA Small Cap ESG Leaders Index (USD) | 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.

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.
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