Consultation on Potential
Enhancement of the MSCI Climate
Change Indexes methodology toalign with the minimum
requirements for EU Climate
Transition Benchmarks

January 2021

Information Classification: GENERAL© 2020 MSCI Inc. All rights reserved.
Please refer to the disclaimer at the end of this document.

Executive Summary

MSCI presents a consultation on proposals for the Potential Enhancement of the
MSCI Climate Change Indexes Methodology to align with the minimum
requirements for EU Climate Transition Benchmarks (EU CTBs).

MSCI invites feedback from market participants on or before February 26, 2021
and will announce the results of the consultation on or before March 31, 2021.
Changes if any would be implemented with sufficient advance notification.

Information Classification: GENERAL

2

Summary• As per announcement dated November 07, 2019, MSCI announced that
“Assuming that the final CTB and PAB requirements do not materially diverge from the recommendation included in the TEG's
Final Report, MSCI intends to transition the methodology of the existing MSCI Climate Change indexes to the MSCI Provisional
Climate Change EU Climate Transition indexes methodology by April 30, 2020. This transition will be subject to a global public
consultation as per MSCI's policies.”• The final delegated acts for the minimum requirements for EU CTBs (EU DA) were published in the Official Journal1 on
December 03, 2020.
• MSCI proposes to enhance the MSCI Climate Change Indexes methodology in order to align with the minimum
requirements for EU CTBs.
• The proposed index methodology retains the re-weighting based on the MSCI Low Carbon Transition Assessment
framework but adds incremental steps with an aim to align with the minimum requirements for EU CTBs.

1. https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=OJ:L:2020:406:TOC

Information Classification: GENERAL

3

Requirements of EU Climate Transition Benchmarks

Additional
Requirements

Minimum Requirements for
CTB as per EU DA

Effective• The below table summarizes the requirements for EU CTBs as per the DelegatedActs and the implementationin the Date –Requirement
as per EU DA
Proposed Index methodology at each Semi-Annual Index Review.
Carbon Intensity Reduction(Articles 9 & 7)

At least 30% reduction relative to Parent Index (Article 9)
At least 7% annualized decarbonization (Article 7)

Allocation to High Climate Impact Sector (Article
3)

At least equivalent exposure to High Climate Impact Sector
relative to Parent Index

ESG Exclusions (Article 10):Controversial Weapons*

Starting 2023, EU CTBs are required to exclude
companies involved in the activities listed
alongside

Violation of UNGC/OECD guidelines*

Cultivation and manufacturing of Tobacco

Immediate2023

Significant harm to environmental objectives*

Potential Emissions Intensity

At least 30% reduction in Potential Emissions Intensity relative
to the Parent Index

Green Revenues to Brown Revenues Ratio

At least equivalent ratio of Green Revenue to Brown Revenues
to that of the Parent Index* Exclusions implemented in the proposed index methodology on slide 6.

Information Classification: GENERAL

Not arequirement as
per DelegatedActs but
imposed as anadditional
requirement in
the proposed
enhancements
4

Existing Alignment of MSCI Climate Change Indexes with EU CTB• Historically MSCI Climate Change Indexes have met many of the minimum
requirements for EU CTB• The below table shows the alignment of the regional MSCI Climate Change Indexes as of
the November 2020 Semi-Annual Index Review (SAIR) against the minimum requirements of
EU CTBs.

Meets requirement✓

Nearly meets requirement1

Does not meet requirement



MSCI Climate Change Indexes

Requirements
for EU CTB(Immediate)

Requirements
for EU CTB(Effective 2023)

Additional
Requirements
Imposed

ACWI

World

EM

Europe

EMU

USA

Japan

Scope 123 Intensity reduction relative to Parent Index

✓

✓

✓





✓



Annualized Self-Decarbonization (Scope 1+2)2















Active weight in High Climate Impact relative to Parent Index (%)















Controversial Weapons (%)

✓

✓

✓

✓

✓

✓

✓

Red Flag ESG Controversies (%)















Red and Orange Flag Environmental Controversies (%)















Potential Emissions Intensity relative to Parent Index

✓

✓

✓

✓

✓

✓

✓

Green Revenue to Brown Revenue Ratio as a multiple of Parent Index

✓

✓

✓

✓

✓

✓

✓

• The Proposed Enhancement would modify (usually modestly) the core index tilt methodology with incremental and gradual
underweighting of the worst emitters in Transition and Asset Stranding categories until the requirements are met.
1.
2.

“Nearly meets requirement” is defined as a deviation of +/- 5% from the asset weight requirement thresholds or a self-decarbonization exceeding 3.5%.
The annualized self-decarbonization is measured relative to the Scope 1+2 Emissions Intensity as of November 27, 2013.

Information Classification: GENERAL

5

Climate Change Index Methodology: Proposal

Exclusions

Security Weighting• Controversial Weapons• Additional screening for ESG Red Flags (and hence UNGC violators)• Additional screening for Orange Flag Environmental Controversies1• Additional screening for Tobacco Manufacturers (Applied from 2023)• As per current MSCI Climate Change Index Methodology

Climate Sector Neutrality• Renormalize weights with High/Low Impact Sectors2• Security weights are capped at 5%3 and excess weights would be distributed while
retaining climate impact sector weights

EU CTB Compliance Check• If required, the very worst emitters are further downweighted in steps until the selfdecarbonization test and other EU CTB requirements in Slide 4 are passed.

1.
2.
3.

Exclusion of companies with Orange Flag Environmental Controversies is aimed at addressing the requirement to exclude companies significantly harming environmental objectives.
For ‘Narrow” Indexes where the maximum security weight in the Parent Index exceeds 10%, the security capping is applied at the level of the maximum security weight in the Parent Index
The weight of all stocks in the High Climate Impact Sector will be proportionately increased so that the overall allocation to the High Climate Impact Sector is equivalent to that in the Parent Index. The
weight of all stocks in the Low Climate Impact Sector will be proportionately decreased so that the total weight of all constituents is 100%

Information Classification: GENERAL

6

Regional Simulation Summary – Carbon Intensity Reduction•

Mild downweighting only was required in November 2020 SAIR to meet the 7% year-on-year decarbonization test. No
downweighting required to meet the Potential Emissions Intensity or Green Revenue to Brown Revenue Ratio tests.

•

The table shows the alignment metrics for the Proposed Index (Sim)1 against the Parent Index as of the November 2020 SAIR.
Proposed Index (Sim)
Target

ACWI

World

EM

Europe

EMU

USA

Japan

Number of Stocks Downweighted

316

161

126

39

22

75

57

Active Share relative to Climate Sector Neutral Step (%)

2.0

2.1

2.9

3.2

2.7

2.9

7.1

Requirements for EU CTB
Scope 123 Intensity reduction% relative to Parent Index

30

47.2

46.7

46.3

49.7

47.3

46.6

42.6

Annualized Self-Decarbonization%1

7

7.1

7.2

8.6

8.0

7.4

7.2

7.5

Active weight in High Climate Impact relative to Parent Index (%)

0

0

0

0

0

0

0

0

Controversial Weapons (Weight %)

0

0

0

0

0

0

0

0

Red Flag ESG Controversies (Weight %)

0

0

0

0

0

0

0

0

Red and Orange Flag Environmental Controversies (Weight %)

0

0

0

0

0

0

0

0

Potential Emissions Intensity Reduction% relative to Parent Index

30

95.5

94.7

95.1

97.7

93.5

97.0

64.2

Green Revenue to Brown Revenue Ratio (multiple of Parent Index)

1

11.1

11.0

6.9

13.6

6.2

13.6

7.8

Additional Requirements Imposed1.

“Proposed Index (Sim)” is a simulated index with the Proposed Index Methodology in which the decarbonization is applied using Scope 1+2 Emissions up to November 2019. In the May 2020 SAIR, a “base reset’ is applied,
Scope 3 emissions are considered in addition to Scope 1+2, and the decarbonization requirement is not applied. In the November 2020 SAIR, the decarbonization is applied using Scope 1+2+3 emissions.

2.

As of December 01, 2020. ESG Data as of October 30, 2020

Information Classification: GENERAL

7

Regional Summary – Low Carbon Transition Assessment• The enhancement proposed has little effect on the Low Carbon Transition (LCT) Assessment of the
Climate Change Indexes• The table1 below summarizes some of the key LCT Assessment metrics for the Proposed Index (Sim)2, compared against the current MSCI
Climate Change Indexes.
ACWI

World

EM

Europe

EMU

USA

Japan

Weighted Average LCT Score

6.5

6.5

6.4

6.5

6.5

6.5

6.4

Solutions (%)

15.1

15.5

8.3

12.1

13.3

15.5

13.6

Operational Transition (%)

4.3

4.0

6.3

7.3

6.2

2.6

2.9

Product Transition (%)

1.1

1.2

1.3

1.6

2.9

0.5

2.6

Asset Stranding (%)

0.0

0.0

0.1

Weighted Average LCT Score

6.5

6.5

6.3

6.4

6.4

6.5

6.4

Solutions (%)

14.3

14.7

7.4

11.3

12.1

14.9

12.2

Operational Transition (%)

4.4

4.2

6.7

7.5

6.3

3.1

4.0

Product Transition (%)

1.8

1.7

2.2

3.2

4.4

1.0

3.2

Asset Stranding (%)

0.0

0.0

0.2

Proposed Index (Sim)0.0

Current MSCI Climate Change Index

0.0

1.

As of December 01, 2020. ESG Data as of October 30, 20202.

“Proposed Index (Sim)” is a simulated index with the Proposed Index Methodology in which the decarbonization is applied using Scope 1+2 Emissions up to November 2019. In the May 2020 SAIR, a “base reset’ is applied,
Scope 3 emissions are considered in addition to Scope 1+2, and the decarbonization requirement is not applied. In the November 2020 SAIR, the decarbonization is applied using Scope 1+2+3 emissions.

Information Classification: GENERAL

8

Regional Summary – Financial Metrics• A simulated transition from the Climate Change Index to the Proposed Index (Sim)1 shows modest turnover. The incremental
changes to the methodology also have minimal impact on the Risk/Return characteristics over the simulated period 2.
Proposed Index (Sim)NOC (June 01, 2020)

ACWI

World

EM

Europe

EMU

USA

Japan

2819

1537

1282

411

233

585

319

Proposed Index (Sim) relative to GIMI Parent Index
Active Return (%)

1.5

1.5

1.0

1.0

1.1

1.9

0.5

Active Risk (%)

1.2

1.2

1.4

1.5

1.1

1.4

1.5

Active Share (%)

16.6

16.7

16.7

18.6

18.0

16.3

13.5

Proposed Index (Sim) relative to Climate Change Index
Active Return (%)

0.3

0.3

0.2

0.4

0.5

0.4

0.1

Active Risk (%)

0.4

0.4

0.6

0.7

0.8

0.5

0.2

Active Share (%)

8.4

8.2

10.6

9.2

8.9

8.2

3.2

May’20 Climate Change (%)

3.3

2.6

9.4

3.2

4.1

2.9

2.8

May’20 Transition (%)

8.2

7.8

13.5

10.7

9.8

7.2

3.9

Nov’20 Proposed Index (Sim) (%)

5.6

5.7

6.6

6.4

4.7

5.8

8.2

Nov’20 Transition (%)

10.0

9.4

11.4

9.2

10.4

9.4

10.0

Turnover1.

“Proposed Index (Sim)” is a simulated index with the Proposed Index Methodology in which the decarbonization is applied using Scope 1+2 Emissions up to November 2019. In the May 2020 SAIR, a “base reset’ is applied,
Scope 3 emissions are considered in addition to Scope 1+2, and the decarbonization requirement is not applied. In the November 2020 SAIR, the decarbonization is applied using Scope 1+2+3 emissions.

2.

Simulation Period - Nov 29, 2013 to Oct 30, 2020

Information Classification: GENERAL

9

Appendix

Information Classification: GENERALExisting Alignment of MSCI Climate Change Indexes with EU CTB
The below table shows summarizes the alignment of the regional MSCI Climate Change Indexes as of the November 2020
Semi-Annual Index Review (SAIR) against the minimum requirements of EU CTBs.
MSCI Climate Change Indexes
Target

ACWI

World

EM

Europe

EMU

USA

Japan

Scope 123 Intensity reduction% relative to Parent Index

30

33.6

32.3

31.3

28.5

25.5

32.0

20.6

Annualized Self-Decarbonization% (Scope 1+2)1

7

5.8

6.3

-0.5

5.5

5.0

5.8

4.1

Active weight in High Climate Impact relative to Parent Index (%)

0

-4.4

-3.9

-4.9

-2.8

-2.9

-3.1

-1.7

Controversial Weapons (%)

0

0

0

0

0

0

0

0

Red Flag ESG Controversies (%)

0

1.1

1.1

1.0

1.4

1.9

1.1

0.1

Red and Orange Flag Environmental Controversies (%)

0

0.8

0.8

0.8

2.6

3.7

0.3

0.1

Potential Emissions Reduction% relative to Parent Index

30

80.7

77.0

82.9

75.4

74.6

82.1

63.3

Green Revenue to Brown Revenue Ratio relative to Parent Index

1

6.2

6.2

4.4

6.0

3.9

6.0

4.0

Requirements for EU CTB (Immediate)

Requirements for EU CTB (Effective 2023)

Additional Requirements Imposed

1.

The annualized self-decarbonization is measured relative to the Scope 1+2 Emissions Intensity as of November 27, 2013. An annualized decarbonization of 5.77% represents an annualized decrease in theintensity of the index by 5.77%.

Information Classification: GENERAL

11

Steps for EU CTB Compliance Check
1.

Check whether all targets for the Index are met. If all targets are met, then no downweighting is required.

2.

Divide securities in the universe into “Top Half” (Lowest Intensity) and “Bottom Half” (Highest Intensity) basedon Scope 1+2+3 Intensity

3.

Select the worst stock in the “Bottom Half” and reduce its weight in steps of 25% (free weight) and distributethe free weight among the stocks of “Top Half” in proportion of their weight at step 2.

4.

If the weight of worst stock from step 2 has been down weighted by more than 75% then select the next worst
stock and repeat step 3.

5.

Relaxation Steps :a. If all socks in the “Bottom Half have been down weighted by 75%” and targets are still not met thenrepeat step 3 and 4 by down weighting worst stock by 90% of its weight from step 2.
b. Relaxation Step If targets are not met at step 5a., then repeat step 3 and 4 by excluding – down
weighting by 100%, the worst stock.

6.

STOP : If the targets are still not met at step 6 then the index is rebalanced with stock weights at the end ofstep 6.

Worst Stocks : In Step 1, if targets are not met on emission reduction then the worst stock is the stock with largest
Scope 1+2+3 Intensity.
1.

Stocks in Solutions LCT Category are not eligible for downweighting

Information Classification: GENERAL

Summary of Regional Index Simulation Results• The following slides present the simulated historical results of the Proposed Index
methodology against the corresponding GIMI Parent Indexes and the Current Climate
Change Indexes• We observe that over the simulation period, the Proposed Index methodology would haveoutperformed both the corresponding GIMI Parent Index and the corresponding MSCI
Climate Change Index, without significantly impacting the tracking error.
• The Indexes also show similar Climate Change metrics compared to that of the MSCI
Climate Change Indexes.

Information Classification: GENERALKey metrics - ACWIKey metrics
MSCI ACWI Index

MSCI ACWI Climate Change Index

ACWI Proposed Index (Sim)Total return* (%)

7.3

8.5

8.8

Total risk (%)

13.4

13.3

13.3

Return / risk

0.54

0.64

0.66

Sharpe ratio

0.48

0.57

0.60

Active return (%)

0.0

1.2

1.5

Tracking error (%)

0.0

1.0

1.2

Information Ratio

nan

1.17

1.25

Historical beta

1.00

0.99

0.99

Number of constituents***

2620

2465

2395

Turnover** (%)

2.2

4.2

4.9

Price to book***

2.2

2.3

2.4

Price to earnings***

18.6

18.6

18.9

Dividend yield*** (%)

2.5

2.4

2.3

Period: Nov 29, 2013 to Oct 30, 2020. * Gross returns annualized in USD ** Annualized one-way index turnover over index reviews *** Monthly averages

Performance (%)
MSCI ACWI Index

MSCI ACWI Climate Change Index

YTD

-0.7

2.5

3.8

1 Yr

5.3

8.9

10.3

3 Yr

6.1

7.7

8.3

5 Yr

8.7

9.8

10.1

10 Yr

nan

nan

nan

Gross returns for the period ending Oct 30, 2020
Returns are annualized for periods longer than a year

MSCI IndexMetrics®

Information Classification: GENERALACWI Proposed Index (Sim)ESG metrics - ACWIClimate change
MSCI ACWI Index

MSCI ACWI Climate Change Index

ACWI Proposed Index (Sim)Climate footprint
Carbon emissions (t CO2e/$M invested)

123

60

58

Carbon intensity (t CO2e/$M sales)

209

116

116

Wtd avg carbon intensity (t CO2e/$M sales)

161

91

93

Low carbon transition risks
Low carbon transition score

6.1

6.4

6.4

Solutions (%)

6.3

11.3

11.4

Product & operational transition (%)

13.7

6.4

6.4

Asset stranding (%)

0.3

0.0

0.0

Potential carbon emissions (t CO2e/$M invested)

2801

539

347

Fossil fuel reserves (%)

4.4

1.7

1.4

Thermal coal mining (%)

1.0

0.4

0.3

Thermal coal-based power generation (%)

3.1

1.8

1.8

Unconventional oil & gas extraction (%)

1.8

0.4

0.2

Clean technologies solutions (> 20% revenue)

4.8

8.6

9.3

Clean technologies solutions revenue (wtd avg %)

4.4

6.7

7.1

Green/brown net revenue exposure

2.8

12.1

13.3

Exposure to carbon-related assets (%)

5.7

2.1

2.1

Climate-related controversies (%, score ≤ 4)

0.2

0.0

0.0

Low carbon transition management score (% top quartile)

69.9

71.9

71.3

Exposure to asset stranding risks

Exposure to clean technology solutions

Other climate metrics

As of October 30, 2020

MSCI IndexMetrics®

Information Classification: GENERALKey metrics - World
Key metrics
MSCI World Index

MSCI World Climate Change Index

World Proposed Index (Sim)Total return* (%)

7.7

8.9

9.2

Total risk (%)

13.4

13.4

13.3

Return / risk

0.57

0.66

0.69

Sharpe ratio

0.51

0.60

0.63

Active return (%)

0.0

1.2

1.5

Tracking error (%)

0.0

1.1

1.2

Information Ratio

nan

1.12

1.22

Historical beta

1.00

0.99

0.99

Number of constituents***

1637

1556

1518

Turnover** (%)

1.8

3.8

4.6

Price to book***

2.3

2.4

2.5

Price to earnings***

19.4

19.3

19.6

Dividend yield*** (%)

2.4

2.3

2.3

Period: Nov 29, 2013 to Oct 30, 2020. * Gross returns annualized in USD ** Annualized one-way index turnover over index reviews *** Monthly averages

Performance (%)
MSCI World Index

MSCI World Climate Change Index

World Proposed Index (Sim)

YTD

-1.0

2.3

3.4

1 Yr

4.7

8.4

9.7

3 Yr

6.6

8.2

8.8

5 Yr

8.7

10.0

10.2

10 Yr

nan

nan

nan

Gross returns for the period ending Oct 30, 2020
Returns are annualized for periods longer than a year

MSCI IndexMetrics®

Information Classification: GENERALESG metrics - World
Climate change
MSCI World Index

MSCI World Climate Change Index

World Proposed Index (Sim)Climate footprint
Carbon emissions (t CO2e/$M invested)

101

51

50

Carbon intensity (t CO2e/$M sales)

175

102

104

Wtd avg carbon intensity (t CO2e/$M sales)

148

85

86

Low carbon transition risks

Low carbon transition score

6.2

6.4

6.4

Solutions (%)

6.8

12.6

12.7

Product & operational transition (%)

13.3

6.1

6.1

Asset stranding (%)

0.1

0.0

0.0

Potential carbon emissions (t CO2e/$M invested)

1766

385

178

Fossil fuel reserves (%)

4.1

1.7

1.4

Thermal coal mining (%)

0.9

0.3

0.3

Thermal coal-based power generation (%)

3.3

1.9

1.9

Unconventional oil & gas extraction (%)

1.8

0.4

0.2

Clean technologies solutions (> 20% revenue)

5.0

9.4

10.2

Clean technologies solutions revenue (wtd avg %)

4.4

7.1

7.6

Green/brown net revenue exposure

2.8

12.9

14.4

Exposure to carbon-related assets (%)

5.6

2.2

2.1

Climate-related controversies (%, score ≤ 4)

0.2

0.0

0.0

Low carbon transition management score (% top quartile)

72.8

74.3

73.6

Exposure to asset stranding risks

Exposure to clean technology solutions

Other climate metrics

As of October 30, 2020

MSCI IndexMetrics®

Information Classification: GENERALKey metrics – EM (Emerging Markets)
Key metrics
MSCI EM (Emerging Markets) Index

MSCI EM (Emerging Markets) Climate Change Index

EM Proposed Index (Sim)Total return* (%)

4.0

4.8

5.0

Total risk (%)

16.8

16.6

16.5

Return / risk

0.24

0.29

0.30

Sharpe ratio

0.19

0.24

0.25

Active return (%)

0.0

0.8

1.0

Tracking error (%)

0.0

1.2

1.4

Information Ratio

nan

0.71

0.72

Historical beta

1.00

0.99

0.98

Number of constituents***

983

909

877

Turnover** (%)

5.9

8.2

9.3

Price to book***

1.6

1.7

1.7

Price to earnings***

13.9

14.3

14.6

Dividend yield*** (%)

2.6

2.5

2.5

Period: Nov 29, 2013 to Oct 30, 2020. * Gross returns annualized in USD ** Annualized one-way index turnover over index reviews *** Monthly averages

Performance (%)
MSCI EM (Emerging Markets) Index

MSCI EM (Emerging Markets) Climate Change Index

YTD

1.1

2.4

4.8

1 Yr

8.7

10.6

13.3

3 Yr

2.4

3.0

3.7

5 Yr

8.3

8.5

8.9

10 Yr

nan

nan

nan

Gross returns for the period ending Oct 30, 2020
Returns are annualized for periods longer than a year

MSCI IndexMetrics®

Information Classification: GENERALEM Proposed Index (Sim)ESG metrics – EM (Emerging Markets)
Climate change
MSCI EM (Emerging Markets)
Index

MSCI EM (Emerging Markets) Climate
Change Index

EM Proposed Index(Sim)

Carbon emissions (t CO2e/$M invested)

274

129

124

Carbon intensity (t CO2e/$M sales)

394

196

192

Wtd avg carbon intensity (t CO2e/$M sales)

243

148

151

Low carbon transition score

6.0

6.3

6.3

Solutions (%)

2.4

6.3

6.8

Product & operational transition (%)

16.5

9.1

8.9

Asset stranding (%)

1.0

0.2

0.2

Potential carbon emissions (t CO2e/$M invested)

9732

1748

1676

Fossil fuel reserves (%)

6.6

1.9

1.3

Thermal coal mining (%)

1.9

0.7

0.2

Thermal coal-based power generation (%)

1.5

0.9

0.8

Unconventional oil & gas extraction (%)

2.0

0.5

0.6

Clean technologies solutions (> 20% revenue)

3.5

6.2

6.9

Clean technologies solutions revenue (wtd avg %)

4.1

5.3

5.8

Green/brown net revenue exposure

2.5

9.5

9.4

Exposure to carbon-related assets (%)

6.2

1.7

1.8

Climate-related controversies (%, score ≤ 4)

0.0

0.0

0.0

Low carbon transition management score (% top quartile)

50.5

51.0

52.0

Climate footprint

Low carbon transition risks

Exposure to asset stranding risks

Exposure to clean technology solutions

Other climate metrics

As of October 30, 2020

MSCI IndexMetrics®

Information Classification: GENERALKey metrics - Europe
Key metrics
MSCI Europe Index

MSCI Europe Climate Change Index

Europe Proposed Index (Sim)Total return* (%)

1.4

1.9

2.4

Total risk (%)

14.5

14.5

14.3

Return / risk

0.10

0.13

0.17

Sharpe ratio

0.04

0.08

0.11

Active return (%)

0.0

0.5

1.0

Tracking error (%)

0.0

1.2

1.5

Information Ratio

nan

0.45

0.64

Historical beta

1.00

0.99

0.98

Number of constituents***

441

418

402

Turnover** (%)

1.8

3.6

5.1

Price to book***

1.8

1.9

2.0

Price to earnings***

17.7

17.9

18.4

Dividend yield*** (%)

3.4

3.3

3.2

Period: Nov 29, 2013 to Oct 30, 2020. * Gross returns annualized in USD ** Annualized one-way index turnover over index reviews *** Monthly averages

Performance (%)
MSCI Europe Index

MSCI Europe Climate Change Index

Europe Proposed Index (Sim)

YTD

-13.6

-11.2

-8.9

1 Yr

-9.0

-6.0

-3.5

3 Yr

-1.9

-1.2

-0.0

5 Yr

2.2

2.5

3.1

10 Yr

nan

nan

nan

Gross returns for the period ending Oct 30, 2020
Returns are annualized for periods longer than a year

MSCI IndexMetrics®

Information Classification: GENERALESG metrics - Europe
Climate change
MSCI Europe Index

MSCI Europe Climate Change Index

Europe Proposed Index (Sim)Climate footprint
Carbon emissions (t CO2e/$M invested)

164

89

90

Carbon intensity (t CO2e/$M sales)

171

109

119

Wtd avg carbon intensity (t CO2e/$M sales)

142

91

97

Low carbon transition risks
Low carbon transition score

6.1

6.4

6.4

Solutions (%)

4.1

10.1

11.1

Product & operational transition (%)

21.8

11.1

11.1

Asset stranding (%)

0.0

0.0

0.0

Potential carbon emissions (t CO2e/$M invested)

3702

876

278

Fossil fuel reserves (%)

6.2

2.0

1.5

Thermal coal mining (%)

1.1

0.3

0.0

Thermal coal-based power generation (%)

3.9

2.4

2.7

Unconventional oil & gas extraction (%)

3.1

0.7

0.4

Clean technologies solutions (> 20% revenue)

5.2

9.4

10.4

Clean technologies solutions revenue (wtd avg %)

4.0

6.3

6.8

Green/brown net revenue exposure

3.3

11.9

12.4

Exposure to carbon-related assets (%)

8.6

4.0

4.2

Climate-related controversies (%, score ≤ 4)

0.4

0.1

0.0

Low carbon transition management score (% top quartile)

80.4

80.7

80.1

Exposure to asset stranding risks

Exposure to clean technology solutions

Other climate metrics

As of October 30, 2020

MSCI IndexMetrics®

Information Classification: GENERALKey metrics - EMU
Key metrics
MSCI EMU Index

MSCI EMU Climate Change Index

Total return* (%)

1.5

2.1

EMU Proposed Index (Sim)2.6

Total risk (%)

16.3

16.3

16.0

Return / risk

0.09

0.13

0.16

Sharpe ratio

0.04

0.08

0.11

Active return (%)

0.0

0.6

1.1

Tracking error (%)

0.0

0.8

1.1

Information Ratio

nan

0.72

0.99

Historical beta

1.00

1.00

0.98

Number of constituents***

242

228

220

Turnover** (%)

2.1

4.6

6.4

Price to book***

1.6

1.6

1.7

Price to earnings***

17.8

18.2

18.6

Dividend yield*** (%)

3.2

3.0

3.0

Period: Nov 29, 2013 to Oct 30, 2020. * Gross returns annualized in USD ** Annualized one-way index turnover over index reviews *** Monthly averages

Performance (%)
MSCI EMU Index

MSCI EMU Climate Change Index

EMU Proposed Index (Sim)

YTD

-13.5

-12.1

-10.4

1 Yr

-9.7

-7.9

-6.0

3 Yr

-3.3

-2.7

-1.2

5 Yr

2.5

3.0

3.8

10 Yr

nan

nan

nan

Gross returns for the period ending Oct 30, 2020
Returns are annualized for periods longer than a year

MSCI IndexMetrics®

Information Classification: GENERALESG metrics - EMU
Climate change
MSCI EMU Index

MSCI EMU Climate Change Index

EMU Proposed Index (Sim)

Carbon emissions (t CO2e/$M invested)

210

126

131

Carbon intensity (t CO2e/$M sales)

192

130

147

Wtd avg carbon intensity (t CO2e/$M sales)

176

116

123

Climate footprint

Low carbon transition risks
Low carbon transition score

6.0

6.4

6.4

Solutions (%)

4.6

11.9

12.9

Product & operational transition (%)

22.3

10.6

10.4

Asset stranding (%)

0.0

0.0

0.0

Potential carbon emissions (t CO2e/$M invested)

1788

447

490

Fossil fuel reserves (%)

5.6

2.3

2.6

Thermal coal mining (%)

0.0

0.0

0.0

Thermal coal-based power generation (%)

6.5

4.1

4.6

Unconventional oil & gas extraction (%)

2.2

0.6

0.6

Clean technologies solutions (> 20% revenue)

7.1

13.2

14.3

Clean technologies solutions revenue (wtd avg %)

5.1

7.7

8.1

Green/brown net revenue exposure

3.1

9.1

8.4

Exposure to carbon-related assets (%)

10.6

6.4

7.1

Climate-related controversies (%, score ≤ 4)

0.0

0.0

0.0

Low carbon transition management score (% top quartile)

79.8

82.9

83.5

Exposure to asset stranding risks

Exposure to clean technology solutions

Other climate metrics

As of October 30, 2020

MSCI IndexMetrics®

Information Classification: GENERALKey metrics - USA
Key metrics
MSCI USA Index

MSCI USA Climate Change Index

USA Proposed Index (Sim)Total return* (%)

11.4

12.9

13.3

Total risk (%)

13.9

13.9

14.0

Return / risk

0.82

0.92

0.95

Sharpe ratio

0.76

0.86

0.89

Active return (%)

0.0

1.5

1.9

Tracking error (%)

0.0

1.3

1.4

Information Ratio

nan

1.18

1.36

Historical beta

1.00

1.00

1.00

Number of constituents***

627

584

572

Turnover** (%)

1.8

4.1

4.7

Price to book***

3.1

3.3

3.4

Price to earnings***

21.4

21.0

21.3

Dividend yield*** (%)

2.0

1.9

1.9

Period: Nov 29, 2013 to Oct 30, 2020. * Gross returns annualized in USD ** Annualized one-way index turnover over index reviews *** Monthly averages

Performance (%)
MSCI USA Index

MSCI USA Climate Change Index

USA Proposed Index (Sim)

YTD

4.5

8.1

9.2

1 Yr

11.2

15.3

16.5

3 Yr

11.1

13.0

13.7

5 Yr

12.0

13.6

14.0

10 Yr

nan

nan

nan

Gross returns for the period ending Oct 30, 2020
Returns are annualized for periods longer than a year

MSCI IndexMetrics®

Information Classification: GENERALESG metrics - USA
Climate change
MSCI USA Index

MSCI USA Climate Change Index

USA Proposed Index (Sim)

Carbon emissions (t CO2e/$M invested)

67

32

31

Carbon intensity (t CO2e/$M sales)

167

89

89

Wtd avg carbon intensity (t CO2e/$M sales)

147

83

84

Climate footprint

Low carbon transition risks
Low carbon transition score

6.2

6.5

6.5

Solutions (%)

8.5

13.8

14.2

Product & operational transition (%)

9.3

4.1

4.1

Asset stranding (%)

0.0

0.0

0.0

Potential carbon emissions (t CO2e/$M invested)

732

130

50

Fossil fuel reserves (%)

2.9

1.4

1.2

Thermal coal mining (%)

0.2

0.1

0.1

Thermal coal-based power generation (%)

3.4

1.9

1.8

Unconventional oil & gas extraction (%)

1.4

0.3

0.1

Clean technologies solutions (> 20% revenue)

5.1

9.9

10.7

Clean technologies solutions revenue (wtd avg %)

4.7

7.7

8.3

Green/brown net revenue exposure

3.0

13.8

15.7

Exposure to carbon-related assets (%)

4.8

1.7

1.6

Climate-related controversies (%, score ≤ 4)

0.0

0.0

0.0

Low carbon transition management score (% top quartile)

72.2

73.7

72.9

Exposure to asset stranding risks

Exposure to clean technology solutions

Other climate metrics

As of October 30, 2020

MSCI IndexMetrics®

Information Classification: GENERALKey metrics - Japan
Key metrics
MSCI Japan Index

MSCI Japan Climate Change Index

Japan Proposed Index (Sim)Total return* (%)

5.0

5.4

5.5

Total risk (%)

12.6

12.5

12.5

Return / risk

0.40

0.43

0.44

Sharpe ratio

0.33

0.37

0.38

Active return (%)

0.0

0.4

0.5

Tracking error (%)

0.0

1.4

1.5

Information Ratio

nan

0.27

0.34

Historical beta

1.00

0.99

0.98

Number of constituents***

319

316

313

Turnover** (%)

1.8

3.0

3.3

Price to book***

1.3

1.4

1.4

Price to earnings***

15.1

15.7

15.8

Dividend yield*** (%)

2.1

2.0

2.0

Period: Nov 29, 2013 to Oct 30, 2020. * Gross returns annualized in USD ** Annualized one-way index turnover over index reviews *** Monthly averages

Performance (%)
MSCI Japan Index

MSCI Japan Climate Change Index

Japan Proposed Index (Sim)

YTD

-1.9

-3.2

-3.2

1 Yr

1.5

0.2

0.3

3 Yr

2.0

2.0

2.1

5 Yr

5.5

5.6

5.7

10 Yr

nan

nan

nan

Gross returns for the period ending Oct 30, 2020
Returns are annualized for periods longer than a year

MSCI IndexMetrics®

Information Classification: GENERALESG metrics - Japan
Climate change
MSCI Japan Index

MSCI Japan Climate Change Index

Japan Proposed Index (Sim)

Carbon emissions (t CO2e/$M invested)

193

118

83

Carbon intensity (t CO2e/$M sales)

168

115

84

Wtd avg carbon intensity (t CO2e/$M sales)

78

60

55

Climate footprint

Low carbon transition risks
Low carbon transition score

6.1

6.4

6.4

Solutions (%)

3.9

10.3

10.6

Product & operational transition (%)

16.2

7.3

7.0

Asset stranding (%)

0.0

0.0

0.0

Exposure to asset stranding risks
Potential carbon emissions (t CO2e/$M invested)

433

85

22

Fossil fuel reserves (%)

4.8

2.5

2.5

Thermal coal mining (%)

3.9

2.2

2.2

Thermal coal-based power generation (%)

2.6

1.6

1.5

Unconventional oil & gas extraction (%)

0.9

0.3

0.3

Clean technologies solutions (> 20% revenue)

4.3

8.1

8.4

Clean technologies solutions revenue (wtd avg %)

4.7

6.3

6.5

Green/brown net revenue exposure

6.2

19.2

25.7

Exposure to carbon-related assets (%)

1.9

0.7

0.5

Climate-related controversies (%, score ≤ 4)

0.0

0.0

0.0

Low carbon transition management score (% top quartile)

73.4

73.9

73.9

Exposure to clean technology solutions

Other climate metrics

As of October 30, 2020

MSCI IndexMetrics®

Information Classification: GENERAL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
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