Index Factsheet

MSCI Emerging Markets Value Factor Select Index(USD)The MSCI Emerging Markets Value Factor Select Index is based on the MSCI Emerging Markets Index, its Parent Index, and includes large
and mid-cap securities across 24 Emerging Markets (EM) countries*. The index is designed to represent the performance of a strategy
that seeks higher exposure to the Value factor, while covering 30% of weight within each country in the Parent Index.
For a complete description of the index methodology, please see Index methodology - MSCI.

CUMULATIVE INDEX PERFORMANCE — NET RETURNS (USD)(SEP 2009 – SEP 2024)

ANNUAL PERFORMANCE (%)

MSCI Emerging Markets Value Factor SelectMSCI Emerging Markets
200

191.18184.2010050
Sep 09Dec 10Mar 12

Jun 13

Sep 14

Dec 15

Mar 17

Jun 18

Sep 19MSCI Emerging
Markets Value
Factor SelectYearDec 20

Mar 22Jun 23

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

MSCI Emerging
Markets

16.20-17.17
7.52
7.45
11.13
-12.8028.60
17.04-17.40
-1.50
-1.46
17.40
-19.5719.70

9.83-20.09
-2.54
18.31
18.42
-14.5737.28
11.19-14.92-2.19-2.60
18.22-18.42
18.88

Sep 24INDEX PERFORMANCE — NET RETURNS (%) (SEP 30, 2024)

FUNDAMENTALS (SEP 30, 2024)
ANNUALIZED1 Mo

3 Mo

1 Yr

YTD

3 Yr

5 Yr

10 Yr DecSince
29, 2000MSCI Emerging Markets Value
Factor Select

5.91

8.87

27.98

18.57

4.95

7.64

4.38

MSCI Emerging Markets

6.68

8.72

26.05

16.86

0.40

5.75

4.02

Div Yld (%)

P/EP/E Fwd

P/BV

9.83

4.01

9.76

8.22

1.01

8.01

2.52

16.27

12.42

1.87

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

1.03

4.17

MSCI Emerging Markets

1.00

0.00

1Last 12 months

MAXIMUM DRAWDOWN

3 Yr

5 Yr

10 Yr

3 Yr

5 Yr

10 Yr

Since
Dec 29,2000(%)

Period YYYY-MM-DD

27.91

16.95

18.45

17.33

0.16

0.37

0.24

0.46

64.65

2007-10-29—2008-11-20

5.58

17.63

18.63

17.10

-0.09

0.27

0.22

0.39

65.25

2007-10-29—2008-10-27

Tracking TurnoverError (%) (%) 1

MSCI Emerging Markets Value
Factor SelectSHARPE RATIO 2 , 32

Based on monthly net returns data

3

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

MSCI Emerging Markets Value Factor Select Index (USD) | msci.com

SEP 30, 2024

Index Factsheet

MSCI Emerging Markets Value Factor Select Index (USD)

INDEX CHARACTERISTICS
Number ofConstituents

MSCI Emerging
Markets Value
Factor SelectTOP 10 CONSTITUENTSMSCI Emerging
Markets

292

ALIBABA GRP HLDG (HK)HON HAI PRECISION IND COCHINA CONSTRUCTION BK HINFOSYSBAIDU (HK)MEDIATEK INC
ICBC HVALE ONSAMSUNG ELECTRONICS PREFBANK OF CHINA H
Total

1,277

Weight (%)

LargestSmallest
Average
Median

5.82
0.02
0.34
0.17

9.00
0.00
0.08
0.03

SECTOR WEIGHTSCountryIndex
Wt. (%)

CNTW
CNIN
CNTW
CNBR
KR
CN

5.82
4.43
3.66
3.47
2.31
2.03
1.96
1.54
1.54
1.52
28.26

ParentIndex
Wt. (%)

Sector

2.60
0.89
0.88
0.90
0.37
0.68
0.50
0.48
0.39
0.45
8.15

Cons Discr
Info Tech
Financials
Info Tech
Comm Srvcs
Info Tech
Financials
Materials
Info Tech
Financials

COUNTRY WEIGHTS

6.48%

5.73%

8.54%

5.16%
4.84%

15%

13.75%

4.34%
17.57%16.32%

3.37%
3.37%
1.5%

22.62%

Financials 23.4%

16.86%

23.4%

Information Technology 22.62%

Communication Services 8.54%
Consumer Staples 5.16%

Materials 6.48%

Energy 4.84%

31.17%

Consumer Discretionary 15%

China 31.17%

Taiwan 16.86%

Industrials 5.73%

Brazil 4.34%

Other 17.57%

Utilities 3.37%

India 16.32%

South Korea 13.75%

Health Care 3.37%

Real Estate 1.5%

* EM countries include: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Kuwait, Malaysia, Mexico, Pakistan, Peru,Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates.
The MSCI Emerging Markets Value Factor Select Index was launched on Oct 04, 2023. 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 Emerging Markets Value Factor Select Index (USD) | msci.com

SEP 30, 2024

Index Factsheet

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