MSCI Risk Control Indexes

Traditional market cap weighted indexes reflect the performance of equity markets with varying levels of volatility. The MSCI
Risk Control Indexes, however, aim to replicate the performance of a strategy that targets a specific level of risk by dynamicallyvarying the weights of an underlying MSCI parent index, based on the realized volatility of the index, and a cash component.
When the volatility of the underlying MSCI parent index is higher than the specific targeted risk level, the weight of the MSCI
parent index in the MSCI Risk Control Index is reduced to less than 100% and the rest is weighted to a cash component. When thevolatility of the underlying MSCI parent index is lower than the specific targeted risk level, the weight of the MSCI parent index inthe MSCI Risk Control Index is increased to more than 100% using leverage to achieve the specific targeted risk level.

Sample Cumulative Performance – USD Gross (MAR 1999 - OCT 2020)
650

450

550

350

450350250

250

MSCI Emerging Markets Risk Control 10%50

MSCI Emerging Markets

MSCI World Risk Control 10%300250

250200200150150

1001005050Mar 99Mar 00Mar 01
Mar 02Mar 03Mar 04
Mar 05
Mar 06
Mar 07
Mar 08Mar 09Mar 10Mar 11Mar 12Mar 13Mar 14Mar 15Mar 16Mar 17Mar 18Mar 19Mar 20300

MSCI EAFE Risk Control 10%MSCI EAFE

MSCI WorldMar 99Mar 00Mar 01Mar 02Mar 03Mar 04
Mar 05
Mar 06
Mar 07
Mar 08Mar 09Mar 10Mar 11Mar 12Mar 13Mar 14Mar 15Mar 16Mar 17Mar 18Mar 19
Mar 20Mar 99
Mar 00Mar 01Mar 02Mar 03Mar 04
Mar 05
Mar 06
Mar 07
Mar 08Mar 09Mar 10Mar 11Mar 12Mar 13Mar 14Mar 15Mar 16Mar 17Mar 18Mar 19Mar 2050Mar 99
Mar 00Mar 01Mar 02Mar 03Mar 04
Mar 05
Mar 06
Mar 07
Mar 08Mar 09Mar 10Mar 11
Mar 12
Mar 13
Mar 14
Mar 15
Mar 16
Mar 17
Mar 18Mar 19Mar 20150150

MSCI Europe Risk Control 10%

MSCI Europe

MSCI Risk Control Indexes | msci.com

Index Performance

ANNUALIZEDIndex

1 Month

3 Months

1 YearYear
to Date3 Years

5 Years

10 YearsSince
Mar 31, 1999MSCI World Risk Control 10%

-2.10

-0.61

0.28

-5.68

2.76

6.92

6.45

5.42

MSCI Emerging Markets Risk Control 10%

1.13

1.39

4.00

-3.48

0.90

6.20

1.61

3.69

MSCI EAFE Risk Control 10%-2.95-2.15-9.57-14.01

-3.08

1.95

2.36

-2.95

MSCI Europe Risk Control 10%

-3.28

-3.45

-9.33

-13.23

-3.82

0.88

1.67

-3.28

Index Risk Characteristics

ANNUALIZEDIndex

3 Years

5 Years

10 YearsSince
Mar 31, 1999MSCI World Risk Control 10%

12.74

11.03

10.28

10.14

MSCI Emerging Markets Risk Control 10%

12.32

11.28

11.39

11.48

MSCI EAFE Risk Control 10%

12.69

11.39

10.59

10.32

MSCI Europe Risk Control 10%

11.28

10.33

9.64

9.40

Key Methodology Features:• The MSCI Risk Control Index Methodology can be applied across all existing MSCI indexes and various currencies.
• Use of short-term and long-term volatility estimates accounts for both short-term and long-term volatility trends of the parent index.
• There are a range of risk control indexes already available on standard indexes – MSCI World, EAFE, Europe, EM, EM50, Kokusai
and USA with 10%, 12.5%, 15% and 17.5% target risk levels provided to represent different levels of risk tolerance.
• 5% buffers around the index leverage reduce turnover without significantly altering key index characteristics such as risk, returnand quality of risk control. This buffer level can be adjusted, as well as maximum leverage exposure.
• Total and Excess Return variants are available in variety of currencies.

Applications:
The MSCI Risk Control Indexes can be used as benchmarks for managed volatility strategies, or as a basis for financial products
such as exchange traded funds, structured products or other indexed investment products that enable institutional investors to target
specific levels of risk with dynamic combinations of an MSCI parent index and a cash component.
Bloomberg Tickers (in USD)
Index

TOTAL RETURNEXCESS RETURNMSCI World Risk Control 10%

MXWORCTU

MXWORCEUMSCI Emerging Markets Risk Control 10%

MXEFRCTU

MXEFRCEUMSCI EAFE Risk Control 10%

MXEARCTU

MXEARCEUMSCI Europe Risk Control 10%

MXEURCTU

MXEURCEU

About MSCIMSCI is a leading provider of critical decision support tools and services for the global investment community. With over 45 years ofexpertise in research, data and technology, we power better investment decisions by enabling clients to understand and analyze keydrivers 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.
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MSCI Risk Control Indexes | msci.com