Index Factsheet

MSCI World Climate Paris Aligned Index (USD)The MSCI World Climate Paris Aligned Index is based on the MSCI World Index, its parent index, and includes large and mid-cap securities
across 23 Developed Markets (DM)* countries. The index is designed to support investors seeking to reduce their exposure to transitionand physical climate risks and who wish to pursue opportunities arising from the transition to a lower-carbon economy while aligningwith the Paris Agreement requirements. The index incorporates the TCFD recommendations and are designed to exceed the minimum
standards of the EU Paris-Aligned Benchmark.
For a complete description of the index methodology, please see Index methodology - MSCI.

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

ANNUAL PERFORMANCE (%)

MSCI World Climate Paris Aligned
300

MSCI World

294.22273.18200

Year

MSCI World Climate
Paris Aligned

MSCI World

2023
2022
2021
2020
2019
2018
2017
2016
2015
2014

25.32
-21.57
21.86
18.18
29.37
-7.50
23.78
8.14
1.47
6.94

23.79
-18.14
21.82
15.90
27.67
-8.71
22.40
7.51
-0.87
4.94

10050
Nov 13

Oct 14

Sep 15Aug 16

Jun 17May 18

Apr 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 World Climate Paris
Aligned

3.31

7.98

25.23

16.63

5.79

13.01

10.34

MSCI World

2.64

6.58

24.43

16.72

6.90

13.11

9.57

Div Yld (%)

P/EP/E Fwd

P/BV

10.54

1.62

25.38

20.95

3.76

9.78

1.78

22.33

18.77

3.43

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

MSCI World Climate Paris
Aligned

1.01

1.54

MSCI World

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

10.17

18.21

18.28

15.25

0.22

0.64

0.62

0.65

33.25

2020-02-12—2020-03-23

2.25

17.24

17.76

15.01

0.28

0.66

0.58

0.61

34.03

2020-02-12—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

* DM countries include: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway,Portugal, Singapore, Spain, Sweden, Switzerland, the UK and the US.
The MSCI World 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 World Climate Paris Aligned Index (USD) | msci.com

AUG 30, 2024

Index Factsheet

INDEX CHARACTERISTICS
Number ofConstituentsTOP 10 CONSTITUENTSMSCI World Climate
Paris Aligned

MSCI World

602

Index
Wt. (%)

1,429

APPLE
MICROSOFT CORP
NVIDIAAMAZON.COM
ALPHABET C
META PLATFORMS A
LILLY (ELI) & COMPANY
BROADCOMJPMORGAN CHASE & CO
TESLA
Total

Weight (%)

LargestSmallest
Average
Median

5.11
0.01
0.17
0.08

4.87
0.00
0.07
0.03

5.11
4.65
4.47
2.38
1.69
1.68
1.35
1.19
1.15
1.04
24.69

ParentIndex
Wt. (%)

Sector

4.87
4.27
4.32
2.42
1.22
1.65
1.12
1.04
0.94
0.89
22.74

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

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

VALUE
Relatively Inexpensive Stocks

OVERWEIGHTLOW SIZESmaller Companies
MOMENTUM
Rising Stocks
QUALITY
Sound Balance Sheet Stocks
YIELD
Cash 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 World Climate Paris Aligned

MSCI World

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

SECTOR WEIGHTS

COUNTRY WEIGHTS
8.98%

12.55%

13.65%

4.62%

5.48%

6.71%

3.53%

5.91%

3.35%

2.97%

13.32%

2.44%
2.06%
0.04%

17.34%

27.36%

Information Technology 27.36%

Financials 17.34%

Industrials 12.55%

Consumer Discretionary 8.98%

Real Estate 5.91%

Utilities 2.97%

Materials 2.44%

69.71%

Health Care 13.65%

United States 69.71%

Communication Services 6.71%

France 3.35%

Japan 5.48%

Canada 4.62%

Switzerland 3.53%

Other 13.32%

Consumer Staples 2.06%

Energy 0.04%

MSCI World Climate Paris Aligned 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.
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 anindication 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 World Climate Paris Aligned Index (USD) | msci.com