VA LU E

FA CT ORINVESTINGMSCISIZE

FA CT ORMOMEN TUMdi ty

VA LU EMOMEN TUM

MOMEN TUM

Gro wt h

SIZELiquiYIELDBENCHMARKFA CTO R

ANAL IT YC SQU AL IT Y BENCHMARKI NDE X

VO LA TIL IT YYIELDVO LA TILI TY

QU AL IT YRESEARCHVA LU EI NVESTINGQU AL IT Y

DIVIDEND YIELDSIZEINVESTINGMSCID IVIDEND YIELDQU AL IT Y

SIZEGROWTHI NDEX

VA LU EI NVESTINGI NVESTINGMOME NT UM

Gro wt hLiqui di ty
FA CT ORMSCIFA CT ORMSCIM ARKVA L
BEN U ECH
SIZE

QU AL IT YGROWTHI NDEXI NDE XMSCIDIVIDENDRESEARCH

BENCHMARK

Gro wt hSIZERESEARC H

SIZE

VA LU EVO LA TILI TY

SIZE VA LU E

SIZE MSCIYIELDSIZEGROWT HFA CT OR INVESTINGQU AL IT Y MSCII NDEXdi tydiDIVIDEND

QU AL IT Yit y

INVESTING
VO LA TIL IT Y

Liquity

MOMEN TUM

VO LA TILI TY

LiquidFA CT ORRESEARCHYIELDRESEARCH SIZEBENCHMARKGro wt h LiquiY
LI T

GBENCHMARKQU ARESEARCHFA CT OR INVESTINBENCHMARKINVESTING

DI NDEXINDEXQU AL IT Y FA CTO R

FA CT ORit yGT IN
VES DR IND YIELTO
FA C IVIDENQU AL IT Y

BENCHMARK

LiquidYELD

MOMEN TUM

QU AL IT Y

VA LU EVO LA TIL IT Y

SIZE MSCIVO LA TILI TY

FA CTO R
BENCHMARKINVESTING

QU AL IT Y

Gro wt h

MSCImsci.com

Focus: Size

VALUE

SIZE

MOMENTUMQUALITYYIELDVOLATILITYGROWTHLIQUIDITY

Factor focus: Size 1Factor focus:
Size

Performance &implementation

In the realm of investing, a factor is any characteristic that helps explain the long-term risk andreturn performance of an asset. MSCI Factor Indexes are designed to capture the return of factors
which have historically demonstrated excess market returns over the long run.
MSCI Factor Indexes are rulesbased, transparent indexes
targeting stocks with favorable
factor characteristics – asbacked by robust academic
findings and empirical results– and are designed for simple
implementation, replicability,
and use for both traditional
indexed and active mandates.

Defining Size
The Size factor has captured
the tendency of small-cap
stocks to outperform bigger
companies over the longrun. Size is categorized as a“pro-cyclical” factor, meaning
it has tended to benefit

2 Factor focus: Sizeduring periods of economic
expansion (see “Performanceand Implementation”). The
size premium has been partof institutional investing for
decades. In the past few years,
it has become a building blockof many factor-based indexes.1
The MSCI Equal Weighted
Indexes tend to overweightsmaller cap companies relative
to the benchmark parent index• Index constituents areweighted equally at eachrebalance date, effectively
removing the influence ofthat constituent’s price (highor low) from the index

Why investors use
size strategies
University of Chicago Ph.D. Rolf
Banz identified the size factor inU.S. stocks in 1981.2 Proponentsof the size effect advanceseveral explanations for it. Banz
suggested that it stems from aflaw in the capital asset pricing
model (CAPM, the standard
method of projecting risk andreturn from stock investments)
or from insufficient information
about companies that get scantcoverage by equity analysts.
The research on size took off
after economists Eugene Fama
and Kenneth French included
it as a key component in theirinfluential three-factor model.

MSCI World Factor Indexes
Over time, individual factors have delivered outperformance relative to the market.

WorldWorld Enhanced Value

World Quality

World Equal Weighed

World Minimum Volatility (USD)

World Momentum

World Growth Target

World High Dividend Yield

The MSCI World Equal Weighted Index has historically generated excess returns over the long run witha 1.4% annual return over the MSCI World Index since 1999 as represented above.

Factor focus: Size 3

Long-term performance: December 1999 - December 2023

How factors have performed
relative to each other:

Long-term performance

Size

Although factor strategies have exhibited long-term outperformance, in the short-term, factor
performance has been cyclical and has generated periods of underperformance.

Size-based investing has been
an integral part of the investment
process for decades. More recently,
transparent and rules-based factor
indexes have become effective tools togain exposure to the size premium.

4 Factor focus: SizeWorld

World Enhanced Value

World Quality

World Equal Weighed

World Minimum Volatility (USD)

World Momentum

World Growth Target

World High Dividend Yield

The analysis and observations in this report are limited solely to the period of the relevant historical data, backtest or simulation. Past performance — whether actual, back tested or simulated — is noindication or guarantee of future performance. None of the information or analysis herein is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind ofinvestment decision or asset allocation and should not be relied on as such. The time periods covered in the charts in this paper were dictated by the data available when we conducted the simulations
which produced them. There are frequently material differences between backtested or simulated performance results and actual results subsequently achieved by any investment strategy.

Factor focus: Size 5

Conclusion
Although size-based investing has been a strategy for decades, it
is only in recent years that transparent, rules-based indexes haveprovided effective ways to expose portfolios to the size premium.
The advent of products such as the MSCI Equal Weighted Indexes,in addition to small cap, and size tilt indexes, gives investors several
ways to access the size premium.

Footnotes
1 Oberoi R., A. Rao, L. Mrig and R.A. Subramanian (2016). “One Size Does Not
Fit All: Understanding Factor Investing.” MSCI Research Insight.
2 Banz, R.W. (1981). “The Relationship between Return and Market Value ofCommon Stocks.” Journal of Financial Economics, Vol. 9, No. 1, pp. 3-18.

Learn more about Factor Investing at
www.msci.com/factor-investing

About MSCI Inc.
MSCI is a leading provider of critical decision support tools
and services for the global investment community. With
over 50 years of expertise in research, data and technology,
we power better investment decisions by enabling clientsto understand and analyze key drivers of risk and returnand confidently build more effective portfolios. We create
industry-leading research-enhanced solutions that clientsuse to gain insight into and improve transparency across theinvestment 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 ESG Research. The Information may not be
used to verify or correct other data, to create any derivative works, 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.
MSCI ESG Research is provided by MSCI Inc.’s subsidiary, MSCI ESG Research LLC, a Registered Investment Adviser under the Investment Advisers Act of 1940. MSCI ESG Research materials, including
materials utilized in any MSCI ESG Indexes or other products, have not been submitted to, nor received approval from, the United States Securities and Exchange Commission or any other regulatory body.
None of the Information or MSCI index or other product or 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 is intended to constitute a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. MSCI ESG and climate
ratings, research and data are produced by MSCI ESG Research LLC, a subsidiary of MSCI Inc. MSCI ESG Indexes, Analytics and Real Estate are products of MSCI Inc. that utilize information from MSCIESG Research LLC. MSCI Indexes are administered by MSCI Limited (UK) and MSCI Deutschland GmbH . The Information is provided “as is” and the user of the Information assumes the entire risk of anyuse it may make or permit to be made of the Information. NONE OF MSCI INC. OR ANY OF ITS SUBSIDIARIES OR ITS OR THEIR DIRECT OR INDIRECT SUPPLIERS OR ANY THIRD PARTY INVOLVED INTHE MAKING OR COMPILING OF THE INFORMATION (EACH, AN “INFORMATION PROVIDER”) MAKES ANY WARRANTIES OR REPRESENTATIONS AND, TO THE MAXIMUM EXTENT PERMITTED BY LAW,EACH INFORMATION PROVIDER HEREBY EXPRESSLY DISCLAIMS ALL IMPLIED WARRANTIES, INCLUDING WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE. WITHOUTLIMITING ANY OF THE FOREGOING AND TO THE MAXIMUM EXTENT PERMITTED BY LAW, IN NO EVENT SHALL ANY OF THE INFORMATION PROVIDERS HAVE ANY LIABILITY REGARDING ANY OF THEINFORMATION FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL (INCLUDING LOST PROFITS) OR ANY OTHER DAMAGES EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
The foregoing shall not exclude or limit any liability that may not by applicable law be excluded or limited. Privacy notice: For information about how MSCI collects and uses personal data, please refer toour Privacy Notice at https://www.msci.com/privacy-pledge.

6 Factor focus: Size©2024 MSCI Inc. All rights reserved | CBR0524

Factor focus: Size 7