MSCI ACWI Climate
Indexes
August 30, 2024

© 2024 MSCI Inc. All rights reserved.
Please refer to the disclaimer at the end of this document.

Climate Indexes - Key Metrics
Return Metrics
1M
3M
YTD
1 Yr
5 Yr
Risk Metrics
Total risk (%)
Tracking error (%)
ESG and Climate Metrics
ESG Score
Implied Temperature Rise (°C)
Carbon Intensity to EVIC - Scope 1 + 2 + 3*
Number of Constituents
Average number of constituents

ACWI

ACWI Low Carbon Leaders

ACWI Low Carbon Target

ACWI Climate Action

ACWI Climate Change

ACWI Climate Paris Aligned

2.6
6.6
16.3
23.7
12.7

2.7
7.2
16.5
23.7
12.7

2.6
7.3
17.0
24.3
12.7

2.8
7.3
17.7
25.2
13.6

2.5
7.8
19.7
27.2
14.4

3.2
7.9
16.3
23.9
12.7

14.4
0.0

14.4
0.4

14.5
0.4

17.3
1.4

14.8
1.9

14.6
1.3

6.9
3.0
342

6.9
2.6
159

6.9
2.4
80

7.0
2.7
205

7.0
2.5
127

7.0
2.4
85

2667

2035

1742

1449

2542

1251

Gross returns in USD
As of August 30, 2024.* Wtd Avg t CO2e/$M EVIC2

3 Year Annualized Rolling Active Risk (%)
3 Year Annualized Rolling Active Risk (%)
3.0%

2.5%
ACWI Low Carbon Leaders
ACWI Low Carbon Target
ACWI Climate Action
ACWI Climate Change
ACWI Climate Paris Aligned

2.0%

1.5%

1.0%

0.5%

'18

'19

'20

'21

'22

'23

'24

3

3 Year Annualized Rolling Active Return (%)
3 Year Annualized Rolling Active Return (%)
20.0%

15.0%
ACWI Low Carbon Leaders
ACWI Low Carbon Target
ACWI Climate Action
ACWI Climate Change
ACWI Climate Paris Aligned

10.0%

5.0%

0.0%

-5.0%

-10.0%

'18

'19

'20

'21

'22

'23

'24

4

Climate Metrics
Climate change

Climate footprint
Carbon emissions (t CO2e/$M invested) - Scope 1 + 2
Carbon intensity (t CO2e/$M sales) - Scope 1 + 2
Wtd avg carbon intensity (t CO2e/$M sales)
Low carbon transition risks
Low carbon transition score
Solutions (%)
Product & operational transition (%)
Asset stranding (%)
Exposure to asset stranding risks
Potential carbon emissions (t CO2e/$M invested)
Fossil fuel reserves (%)
Thermal coal mining (%)
Thermal coal-based power generation (%)
Unconventional oil & gas extraction (%)
Exposure to clean technology solutions
Clean technologies solutions (> 20% revenue)
Clean technologies solutions revenue (wtd avg %)Green/fossil fuel-based net revenue exposure
Other climate metrics
Exposure to carbon-related assets (%)
Climate-related controversies (%, score ≤ 4)
Low carbon transition management score (% top quartile)

ACWI

ACWI Low Carbon
Leaders

ACWI Low Carbon
TargetACWI Climate
ActionACWI Climate
ChangeACWI Climate Paris
Aligned

74
166
122

31
84
89

15
50
49

39
111
92

29
83
68

11
41
39

6.0
11.1
20.9
2.0

6.2
11.5
16.9
1.7

6.3
12.4
8.2
2.6

6.2
13.5
15.4
1.3

6.6
20.3
8.3
0.2

6.6
19.3
8.1
0.0

1260
5.8
0.8
2.7
3.3

529
3.8
0.1
2.0
2.2

0
1.6
0.1
1.2
0.6

548
3.5
0.0
1.1
3.1

48
1.4
0.1
1.9
0.4

0
0.5
0.1
0.6
0.0

12.8
7.8
4.5

12.6
7.8
4.8

13.4
8.3
23.5

15.2
9.2
7.6

20.6
13.2
28.4

23.6
13.8
132.5

6.5
4.1
69.8

5.8
1.7
68.8

4.4
0.4
68.4

5.7
3.5
78.3

2.6
0.3
73.3

2.3
0.1
70.5

As of August 30, 2024.

5

Climate Metrics
Climate change

Carbon Footprint
Carbon Intensity to EVIC - Scope 1 + 2 + 3*
Carbon Intensity to EVIC - Scope 1 + 2*
Carbon intensity (t CO2e/$M sales) - Scope 1 + 2
Carbon Emissions to Sales - Scope 1 + 2 + 3**
Carbon Emissions to Sales - Scope 1 + 2**
Carbon emissions (t CO2e/$M invested) - Scope 1 + 2Companies Reporting scope 12 emissions (%)
Fossil Fuel Exposure
Potential carbon emissions (t CO2e/$M invested)
Fossil fuel reserves (%)
Thermal coal mining (%)
Unconventional oil & gas extraction (%)
Low Carbon Transition Risk Assessment
Low carbon transition score
Solutions (%)
Product & operational transition (%)
Asset stranding (%)

ACWI

ACWI Low Carbon
Leaders

ACWI Low Carbon
TargetACWI Climate
ActionACWI Climate
ChangeACWI Climate Paris
Aligned

342
46
166
796
122
74
93.5

159
22
84
587
89
31
92.8

80
10
50
431
49
15
92.4

205
29
111
580
92
39
96.0

127
20
83
446
68
29
93.9

85
8
41
411
39
11
92.7

1260
5.8
0.8
3.3

529
3.8
0.1
2.2

0
1.6
0.1
0.6

548
3.5
0.0
3.1

48
1.4
0.1
0.4

0
0.5
0.1
0.0

6.0
11.1
20.9
2.0

6.2
11.5
16.9
1.7

6.3
12.4
8.2
2.6

6.2
13.5
15.4
1.3

6.6
20.3
8.3
0.2

6.6
19.3
8.1
0.0

As of August 30, 2024.* Wtd Avg t CO2e/$M EVIC** Wtd Avg t CO2e/$M Sales

6

ESG Metrics
Integration, values and norms
Integration
ESG score
ESG leaders (AAA-AA) (%)
ESG laggards (B-CCC) (%)
ESG trend positive (%)
ESG trend negative (%)
Index ESG rating
Environmental pillar scoreSocial pillar score
Governance pillar score
Values and norms
Tobacco involvement (%)
Civilian firearms producers (%)
Ties to controversial weapons (%)
Global compact compliance violation (%)
Red flag controversies (%)
Orange flag controversies (%)

ACWI

ACWI Low Carbon Leaders

ACWI Low Carbon Target

ACWI Climate Action

ACWI Climate Change

ACWI Climate Paris Aligned

6.9
44.7
3.0
12.4
11.9
A
6.1
5.1
5.7

6.9
46.5
2.8
13.1
12.0
A
6.1
5.1
5.7

6.9
45.6
3.2
14.2
11.3
A
6.3
5.1
5.7

7.0
47.8
2.4
9.6
12.6
A
6.4
5.1
5.7

7.0
47.4
2.4
11.7
14.3
A
6.5
5.2
5.6

7.0
48.2
2.8
13.3
12.7
A
6.5
5.2
5.8

0.8
0.1
0.5
0.2
0.2
31.4

0.8
0.1
0.0
0.0
0.0
29.1

1.6
0.1
0.0
0.0
0.0
27.5

0.0
0.1
0.0
0.0
0.0
32.7

0.0
0.1
0.0
0.0
0.0
29.2

0.0
0.0
0.0
0.0
0.0
23.0

As of August 30, 2024.

7

GICS Sector Expsoures
Communication services
Consumer discretionary
Consumer staples
EnergyFinancials
Health care
Information technology
Industrials
Materials
Real estate
Utilities

ACWI

ACWI Low Carbon Leaders

ACWI Low Carbon Target

ACWI Climate Action

ACWI Climate Change

ACWI Climate Paris Aligned

7.5
10.2
6.4
4.2
16.2
11.4
24.7
10.6
4.0
2.2
2.6

7.8
9.6
6.4
3.8
18.2
11.4
24.9
10.1
3.1
2.4
2.3

8.5
9.6
6.0
2.9
18.1
11.7
25.0
10.3
2.5
3.0
2.5

8.3
10.7
6.4
3.8
15.6
11.8
27.5
8.3
3.5
1.9
2.2

7.2
12.7
3.8
0.4
14.3
13.0
32.0
8.9
2.0
3.1
2.6

6.9
9.4
2.2
0.0
17.9
12.8
27.0
12.6
2.7
5.6
2.9

As of Aug 30, 2024

8

Regional and Top Country Exposures
Regional Exposure
EM
Europe and Middle East
North America
Pacific

ACWI

ACWI Low Carbon Leaders

ACWI Low Carbon Target

ACWI Climate Action

ACWI Climate Change

ACWI Climate Paris Aligned

10.0
15.2
67.2
7.7

10.7
14.6
66.9
7.8

11.0
14.3
66.9
7.8

6.5
16.2
70.8
6.6

9.0
15.0
69.8
6.3

9.8
15.6
66.7
7.9

As of Aug 30, 2024

Top Country Exposure
USA
Japan
United Kingdom
CanadaFranceACWIACWI Low Carbon Leaders

ACWI Low Carbon Target

ACWI Climate Action

ACWI Climate Change

ACWI Climate Paris Aligned

64.4
5.2
3.4
2.7
2.6

63.9
5.3
3.1
3.0
2.5

63.6
5.4
3.1
3.3
2.2

68.3
4.5
3.3
2.5
2.8

67.7
4.4
2.6
2.0
2.8

62.7
5.3
2.3
3.9
2.9

Country exposures of ACWI Climate Indexes for the top 5 country exposures of MSCI ACWI Index.
As of Aug 30, 2024

9Brinson Attribution: Enterprise Carbon Intensity Reduction
MSCI ACWI Low Carbon Leaders Index: Attribution of the difference: -182.8
Real estate

0.2%

Health care

0.3%

Communication services

0.4%

Information technology

1.7%

Financials

2.7%

Consumer staples

2.8%

Utilities

6.4%

Consumer discretionary

9.1%

Industrials

20.3%

Materials

21.3%

Energy34.9%−70

Allocation

−60

−50

−40
Selection

−30

−20

−10

0

10

Interaction

Brinson Attribution based on difference between Enterprise Carbon Intensity (Scope 1+2+3) of ACWI Climate Indexes relative to MSCI ACWI Index. The exhibit demonstrates the role of sector allocation and security selection within the sector in the emission intensity reduction of therespective ACWI Climate Index relative to MSCI ACWI Index

10Brinson Attribution: Enterprise Carbon Intensity Reduction
MSCI ACWI Low Carbon Target Index: Attribution of the difference: -262.1
Real estate

1.1%

Communication services

1.1%

Health care

1.3%

Financials

2.8%

Information technology

2.9%

Consumer staples

4.0%

Utilities

6.4%

Consumer discretionary

8.3%

Materials

16.3%

Industrials

20.1%

Energy35.8%−120

Allocation

−100

−80

−60
Selection

−40

−20

0

20

Interaction

Brinson Attribution based on difference between Enterprise Carbon Intensity (Scope 1+2+3) of ACWI Climate Indexes relative to MSCI ACWI Index. The exhibit demonstrates the role of sector allocation and security selection within the sector in the emission intensity reduction of therespective ACWI Climate Index relative to MSCI ACWI Index

11

Brinson Attribution: Enterprise Carbon Intensity Reduction
MSCI ACWI Climate Action Index: Attribution of the difference: -136.5
Real estate-0.5%

Financials

1.4%

Consumer staples

1.9%

Communication services

2.0%

Health care

2.1%

Utilities

5.8%

Consumer discretionary

8.7%

Information technology

10.0%

Industrials

20.0%

Materials

20.4%

Energy28.3%−40

Allocation

−30

−20
Selection−100Interaction

Brinson Attribution based on difference between Enterprise Carbon Intensity (Scope 1+2+3) of ACWI Climate Indexes relative to MSCI ACWI Index. The exhibit demonstrates the role of sector allocation and security selection within the sector in the emission intensity reduction of therespective ACWI Climate Index relative to MSCI ACWI Index

12

Brinson Attribution: Enterprise Carbon Intensity Reduction
MSCI ACWI Climate Change Index: Attribution of the difference: -214.9
Financials-2.1%

Consumer staples-0.4%

Communication services-0.4%

Real estate

1.2%

Health care

2.5%

Utilities

4.7%

Information technology

10.2%

Consumer discretionary

10.3%

Industrials

15.1%

Materials

15.6%

Energy43.4%−150
Allocation

−125

−100

−75
Selection

−50

−25

0

25

50

Interaction

Brinson Attribution based on difference between Enterprise Carbon Intensity (Scope 1+2+3) of ACWI Climate Indexes relative to MSCI ACWI Index. The exhibit demonstrates the role of sector allocation and security selection within the sector in the emission intensity reduction of therespective ACWI Climate Index relative to MSCI ACWI Index

13

Brinson Attribution: Enterprise Carbon Intensity Reduction
MSCI ACWI Climate Paris Aligned Index: Attribution of the difference: -256.6
Communication services-0.5%

Consumer staples

0.6%

Health care

2.3%

Financials

2.9%

Information technology

3.3%

Real estate

3.9%

Utilities

6.9%

Consumer discretionary

7.2%

Materials

16.5%

Industrials

19.2%

Energy37.9%−150

Allocation

−100

−50
Selection

050Interaction

Brinson Attribution based on difference between Enterprise Carbon Intensity (Scope 1+2+3) of ACWI Climate Indexes relative to MSCI ACWI Index. The exhibit demonstrates the role of sector allocation and security selection within the sector in the emission intensity reduction of therespective ACWI Climate Index relative to MSCI ACWI Index

14

EFMGEMLT Perfomance Attribution
Performance Attribution
Total
BenchmarkActiveSpecific
Currencies
Common factor
Countries
Industries
StylesACWI Low Carbon Leaders

ACWI Low Carbon Target

ACWI Climate Action

ACWI Climate Change

ACWI Climate Paris Aligned

12.2
12.1
0.1
0.3
-0.0
-0.2
-0.0
-0.0
-0.1

12.3
12.1
0.2
0.3
-0.0
-0.1
0.0
-0.0
-0.2

13.0
12.1
0.9
0.9
0.1
-0.0
0.0
-0.0
-0.0

13.7
12.1
1.6
1.6
0.1
-0.1
-0.0
0.3
-0.3

12.3
12.1
0.2
0.5
-0.0
-0.3
-0.0
0.3
-0.5

Nov. 30, 2018, to Aug 30, 2024 with monthly data.

15

Appendix: ESG: Integration, values and norms
Definition
ESG score
ESG leaders (AAA-AA) (%)
ESG laggards (B-CCC) (%)
ESG trend positive (%)
ESG trend negative (%)
Index ESG rating
Environmental pillar scoreSocial pillar score
Governance pillar score
Tobacco involvement (%)
Civilian firearms producers (%)
Ties to controversial weapons (%)
Global compact compliance violation (%)
Red flag controversies (%)
Orange flag controversies (%)

Weighted average ESG Score. The ESG Score indicates how well the index companies manage their most material ESG risks relative to sector peers. Scores range from 10 (best) to 0
(worst).
Exposure to companies with an ESG rating of AAA or AA (best in class relative to peers).
Exposure to companies with an ESG rating of B or CCC (worst in class relative to peers).
Exposure to companies with a rating upgrade in the year prior to the most recent ESG rating.
Exposure to companies with a rating downgrade in the year prior to the most recent ESG rating.
The letter rating equates the ESG Score.
The Environmental Pillar Score indicates how well the index companies manage their most material environment risks. Scores range f rom 10 (best) to 0 (worst).
The Social Pillar Score indicates how well the index companies manage their most material social risks. Scores range from 10 (best) to 0 (worst).
The Governance Pillar Score indicates how well the index companies manage their most material governance risks. Scores range from 10 (best) to 0 (worst).
Exposure to companies flagged for involvement in tobacco. Specifically, tobacco producers and companies that derive 5% or more aggregate revenue from the manufacture, distribution,
retailing, licensing, and supply of tobacco products, as defined by the methodology of the MSCI Global ex Tobacco Involvement Indexes.
Exposure to civilian firearms producers.
Exposure to companies with ties to controversial weapons. MSCI ESG Research's Controversial Weapons definition covers cluster munitions, landmines, depleted uranium weapons,
biological/chemical weapons, blinding lasers, non-detectable fragments and incendiary weapons, as defined by the methodology of the MSCI Global Ex-Controversial Weapons Indexes.
Exposure to companies in violation of the UN Global Compact principles.
Exposure to companies with environment-, governance-, customer-, human rights-, or labor rights-related controversies that are assessed as "Very Severe".
Exposure to companies with ongoing environment-, governance-, customer-, human rights-, or labor rights-related controversies that are assessed as "Severe" and indicate structuralproblems at the company.

16

Appendix: ESG: Climate change
Definition
Carbon emissions (t CO2e/$M invested) - Scope 1 + 2
Carbon intensity (t CO2e/$M sales) - Scope 1 + 2
Wtd avg carbon intensity (t CO2e/$M sales)
Low carbon transition score
Solutions (%)
Product & operational transition (%)
Asset stranding (%)
Potential carbon emissions (t CO2e/$M invested)
Fossil fuel reserves (%)
Thermal coal mining (%)
Thermal coal-based power generation (%)
Unconventional oil & gas extraction (%)
Clean technologies solutions (> 20% revenue)
Clean technologies solutions revenue (wtd avg %)Green/fossil fuel-based net revenue exposure
Exposure to carbon-related assets (%)
Climate-related controversies (%, score ≤ 4)
Low carbon transition management score (% top quartile)

Scope 1 + Scope 2 Carbon emissions normalized for the index.
Efficiency of the index in terms of total Scope 1 and Scope 2 carbon emissions divided by total sales.
Exposure to carbon intensive companies based on Scope 1 and Scope 2 emissions.
Weighted average low Carbon Transition (LCT) score measuring companies' level of alignment to the LCT. Companies with higher LCT score are more aligned with the LCT
compared to the companies with lower scores. Scores range from 0 to 10.
Exposure to companies involved in low/zero carbon solutions that would have negative total carbon intensity and are likely to benefit in a low carbon scenario.
Exposure to companies with moderately to highly carbon intensive products or operations. Such companies' products or operations could go under transition in a low
carbon scenario.
Exposure to companies with very high risk exposure to transition risk and may face asset stranding risk in the short to medium term.
Carbon potential emissions normalized for the index.
Exposure to companies that own proved & probable coal and/or oil and natural gas reserves used for energy purposes. The definition is based on the MSCI Global Ex-Fossil
Fuel Indexes Methodology.
Exposure to companies that derive some of their revenue from thermal coal mining.
Exposure to companies that derive some of their revenue from thermal coal-based power generation.
Exposure to companies that derive revenues from unconventional oil and gas including oil sands, oil shale , shale gas, shale oil, coal seam gas, and coal bed methane. It
excludes all types of conventional oil and gas production.
Exposure to companies that derive 20% or more revenue from any of the five clean tech themes: alternative energy, energy efficiency, green building, pollution prevention, or
sustainable water.
Weighted average % revenue derived from any of the five clean tech themes including alternative energy, energy efficiency, green building, pollution prevention, or
sustainable water.
The ratio of the weighted average clean technologies solutions revenue (%) or "Green Revenue" to the weighted average fossil fuel revenue (%) defined as the weighted
average % revenue derived from any of the fossil fuel-related activities including thermal coal mining, oil and gas extraction, thermal coal-based power generation, and oil
and gas-based power generation.
Exposure to companies that belong to the following GICS industries: Energy Equipment & Services (101010), Oil, Gas & Consumable Fuels (101020), Electric Utilities(551010), Gas Utilities (551020), Multi-Utilities (551030).
Exposure to companies with climate change and energy-related controversies that are flagged as Red, Orange and Yellow, covering scores 0 to 4. Factors affecting thisevaluation include a history of involvement in GHG-related legal cases, widespread or egregious impacts due to corporate GHG emissions, resistance to improved practices,and criticism by NGOs and/or other third-party observers.
Exposure to companies that belong to the top quartile in terms of their Low Carbon Transition Management Score relative to companies in the relevant GICS Sub-Industry
that are constituents of the MSCI ACWI IMI.

17

Appendix: ESG: Climate change
Definition
Carbon Intensity to EVIC - Scope 1 + 2 + 3
Carbon Intensity to EVIC - Scope 1 + 2
Carbon intensity (t CO2e/$M sales) - Scope 1 + 2
Carbon Emissions to Sales - Scope 1 + 2 + 3
Carbon Emissions to Sales - Scope 1 + 2
Carbon emissions (t CO2e/$M invested) - Scope 1 + 2Companies Reporting scope 12 emissions (%)
Potential carbon emissions (t CO2e/$M invested)
Fossil fuel reserves (%)
Thermal coal mining (%)
Unconventional oil & gas extraction (%)
Low carbon transition score
Solutions (%)
Product & operational transition (%)
Asset stranding (%)

Weighted average Scope 1, Scope 2 and Scope 3 carbon emissions intensity normalized by enterprise value including cash. (Unit: tons of CO2/ $ million enterprise value
including cash)
Weighted average Scope 1 and Scope 2 carbon emissions intensity normalized by enterprise value including cash. (Unit: tons of CO2/ $ million enterprise value including cash)
Efficiency of the index in terms of total Scope 1 and Scope 2 carbon emissions divided by total sales.
Weighted average Scope 1, Scope 2 and Scope 3 carbon emissions intensity normalized by sales. (Unit: tons of CO2/ $ million sales)
Weighted average Scope 1 and Scope 2 carbon emissions intensity normalized by sales. (Unit: tons of CO2/ $ million sales)
Scope 1 + Scope 2 Carbon emissions normalized for the index.
Exposure to companies with Scope 1 and Scope 2 carbon intensities.
Carbon potential emissions normalized for the index.
Exposure to companies that own proved & probable coal and/or oil and natural gas reserves used for energy purposes. The definition is based on the MSCI Global Ex-Fossil Fuel
Indexes Methodology.
Exposure to companies that derive some of their revenue from thermal coal mining.
Exposure to companies that derive revenues from unconventional oil and gas including oil sands, oil shale , shale gas, shale oil, coal seam gas, and coal bed methane. It
excludes all types of conventional oil and gas production.
Weighted average low Carbon Transition (LCT) score measuring companies' level of alignment to the LCT. Companies with higher LCT score are more aligned with the LCT
compared to the companies with lower scores. Scores range from 0 to 10.
Exposure to companies involved in low/zero carbon solutions that would have negative total carbon intensity and are likely to benefit in a low carbon scenario.
Exposure to companies with moderately to highly carbon intensive products or operations. Such companies' products or operations could go under transition in a low carbon
scenario.
Exposure to companies with very high risk exposure to transition risk and may face asset stranding risk in the short to medium term.

18

Appendix: ESG: Climate change
Definition
Clean technologies solutions (> 20% revenue)
Green Revenues (wtd avg %)Count of Companies with Green Business >= 20%
Green/fossil fuel-based net revenue ratio
Companies with GHG emissions reduction targets (%)
Companies with SBTi-approved targets (%)
Count of Companies with approved SBTi
Thermal Coal (%)
Renewables (%)
Liquid Fuel (%)
Thermal Coal (GWh)
Renewables (GWh)
Liquid Fuel (GWh)

Exposure to companies that derive 20% or more revenue from any of the five clean tech themes: alternative energy, energy efficiency, green building, pollution prevention, or
sustainable water.
Weighted average of index constituents’ percentage of revenue derived from alternative energy, energy efficiency, green building, pollution prevention, sustainable water, or
sustainable agriculture.
Number of companies that derive 20% or more revenue from any of the five clean tech themes: alternative energy, energy efficiency, green building, pollution prevention, or
sustainable water.
The ratio of the weighted average clean technologies solutions revenue (%) or "Green Revenue" to the weighted average fossil fuel revenue (%) defined as the weighted average% revenue derived from any of the fossil fuel related activities including thermal coal mining, extraction, production and mining of conventional and unconventional oil and gas,
thermal coal based power generation, liquid fuel based power generation and natural gas based power generation.
Exposure to companies with carbon emissions reduction target/s.
Exposure to companies with one or more active carbon emissions reduction target/s approved by the Science Based Targets initiative (SBTi).
Number of companies with one or more active carbon emissions reduction target/s approved by the Science Based Targets initiative (SBTi).
Exposure to companies with that derive any revenues from thermal coal power generation.
Exposure to companies with that derive any revenues from renewable power generation.
Exposure to companies with that derive any revenues from liquid fuel power generation.
Weighted average power generation output (in GWh) from thermal coal.
Weighted average power generation output (in GWh) from renewables.
Weighted average power generation output (in GWh) from liquid fuels.

19

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