Index Factsheet

MSCI World ex USA Select Value Momentum BlendIndex (USD)The MSCI World ex USA Select Value Momentum Blend Index is based on MSCI World ex USA, its parent index, which includes large andmid-cap stocks across 22 of 23 Developed Markets (DM) countries* excluding the US. The index is designed to represent the performanceof a strategy that seeks higher exposure to value and momentum factors within the parent index while also maintaining moderate Index
turnover and lower realized volatility than traditional cap weighted indexes.
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 World ex USA Select Value Momentum BlendMSCI World ex USA
238.23230.12200

10050
Sep 09Dec 10Mar 12

Jun 13

Sep 14

Dec 15

Mar 17

Jun 18

Sep 19MSCI World ex
USA Select Value MSCI World ex USAMomentum Blend

YearDec 20

Mar 22Jun 23

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

14.42
-13.67
12.17
1.28
15.77
-17.18
27.10
2.19
-2.15
-2.14
25.23
17.57
-13.9116.73

17.94-14.29
12.62
7.59
22.49
-14.09
24.21
2.75
-3.04
-4.32
21.02
16.41
-12.21
8.95

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

FUNDAMENTALS (SEP 30, 2024)
ANNUALIZED

1 Mo

3 Mo

1 Yr

YTD

3 Yr

5 Yr

10 Yr MaySince
31, 1999

MSCI World ex USA Select
Value Momentum Blend

1.18

9.21

22.94

15.04

5.01

6.50

4.33

MSCI World ex USA

1.11

7.76

24.98

13.10

5.65

8.36

5.68

Div Yld (%)

P/EP/E Fwd

P/BV

8.21

3.85

10.80

9.34

0.97

5.04

2.98

15.79

14.07

1.91

INDEX RISK AND RETURN CHARACTERISTICS (MAY 31, 1999 – SEP 30, 2024)
ANNUALIZED STD DEV (%) 2

Beta

MSCI World ex USA Select
Value Momentum Blend

0.95

4.69

MSCI World ex USA

1.00

0.00

1

Last 12 months

SHARPE RATIO 2 , 3

MAXIMUM DRAWDOWN

3 Yr

5 Yr

10 Yr

3 Yr

5 Yr

10 Yr

Since
May 31,
1999

43.97

16.08

17.14

15.00

0.17

0.32

0.24

0.44

61.78

2007-10-31—2009-03-09

3.24

16.95

17.79

15.20

0.20

0.41

0.33

0.25

60.37

2007-10-31—2009-03-09

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

MSCI World ex USA Select Value Momentum Blend Index (USD) | msci.com

SEP 30, 2024

Index Factsheet

MSCI World ex USA Select Value Momentum Blend Index (USD)

INDEX CHARACTERISTICS
Number ofConstituents

MSCI World ex
USA Select ValueMomentum Blend

TOP 10 CONSTITUENTSMSCI World ex USA

239817Weight (%)

LargestSmallest
Average
Median

1.16
0.06
0.42
0.34

1.93
0.01
0.120.06

DEUTSCHE TELEKOM
IMPERIAL BRANDSTESCOLOBLAW
BRITISH AMERICAN TOBACCO
WILMAR INTERNATIONAL
ORANGEACS ACTIV CONST Y SVCSCK HUTCHISON HOLDINGSINDUSTRIVARDEN C
Total

SECTOR WEIGHTSCountryIndex
Wt. (%)

DE
GB
GBCA
GB
SG
FR
ES
HK
SE

1.16
1.14
1.11
1.06
1.05
1.04
1.01
0.98
0.96
0.90
10.41

ParentIndex
Wt. (%)

0.52
0.12
0.17
0.10
0.37
0.03
0.11
0.04
0.08
0.03
1.57

SectorComm Srvcs
Cons Staples
Cons Staples
Cons Staples
Cons Staples
Cons Staples
Comm Srvcs
Industrials
Industrials
Financials

COUNTRY WEIGHTS

8.04%

6.55%

8.94%

4.7%

8.99%

4.65%

34.78%
5.76%
10.71%

3.7%
3.67%

11.81%

11.69%
23.35%

15.61%

Financials 23.35%

Industrials 15.61%

Health Care 8.99%

Communication Services 8.94%

Materials 6.55%

24.65%
12.41%

Consumer Staples 11.81%

Information Technology 4.7%

Consumer Discretionary 8.04%
Utilities 4.65%

Japan 24.65%

United Kingdom 12.41%

Canada 5.76%

Other 34.78%

France 11.69%

Germany 10.71%

Real Estate 3.7%

Energy 3.67%*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 and the UK.
The MSCI World ex USA Select Value Momentum Blend Index was launched on Jul 25, 2017. Data prior to the launch date is back-tested test (i.e. calculations of how theindex 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 ex USA Select Value Momentum Blend Index (USD) | msci.com

SEP 30, 2024

Index Factsheet

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