Consultation on Potential
Enhancement to the MSCIJapan Empowering
Women Index (WIN)FEBRUARY 2023
This consultation may or may not lead to the implementation of any or all of the proposed changes in thehighlighted or any other MSCI indexes. Consultation feedback will remain confidential. MSCI may publicly disclose
feedback if specifically requested by specific market participants. In that case, the relevant feedback would be
published together with the final results of the consultation.

Information Classification: GENERAL© 2023 MSCI Inc. All rights reserved.
Please refer to the disclaimer at the end of this document.

Proposed Enhancement• MSCI proposes to remove the tilt by quality score from the weighting scheme of the MSCI Japan Empowering
Women Index (WIN).
• The proposal aims to align WIN with its core objective to provide exposure to Japanese companies promoting
and maintaining gender diversity relative to sector peers.
• Historically, the quality tilt has resulted in significant unintended exposures to other risk factors

WeightingschemeCurrent WIN Index

Proposal

Alternate Proposal

Security Weight = Mcap weight in parent
index * GD Score * Quality Score

Security Weight = Mcap weight inparent index * GD Score

Security Weight = Mcap weight inparent index * GD Score

5% Issuer Capping

5% Issuer Capping

5% Issuer Capping1(+/-) 2% Active sector weight

For more details, please refer to the methodology book at: https://www.msci.com/index-methodology.
1 Under the alternate proposal, sector weights are constrained after the application of Issuer capping. Hence, final issuer weights may be above 5%.

• MSCI invites feedback from market participants on or before February 28, 2023 and will announce the resultsof the consultation as well as the implementation timeline on or before March 7, 2023.

Information Classification: GENERAL

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Current WIN Methodology
Parent Index
Selection Criteria

Exclusions

Weighting Scheme

MSCI Japan Investable Market Index (IMI) Top 700 Index• New securities: Gender Diversity Score above the Sector Median• Existing constituents: Gender Diversity Score in top 65 percentile of the Sector• Companies classified as ‘REITs’ as per the Global Industry Classification Standard (GICS®)*• ESG Controversy Score = 0 or Human Rights Controversy Score <= 2 or Labor Rights Controversy Score <= 4
• Companies with missing ESG Gender Diversity Data or missing ESG Controversy Score
Security Weight = Mcap weight in parent index * GD Score * Quality Score
5% Issuer Capping

For more details, please refer to the methodology book at: https://www.msci.com/index-methodology.
*GICS is the global industry classification standard jointly developed by MSCI and S&P Global Market Intelligence.

Information Classification: GENERAL

3Style Factor Exposure
Although historically, the index had high exposure to quality and ESG risk factors as intended, italso had active exposure to other style factors

Under the proposal, the significant active exposure to style factors would be reduced

Period: Nov 29, 2019 to Dec 30, 2022, monthly data.

Information Classification: GENERALPerformance and Risk Exposure
Style Factor Performance Attribution

Unintended factor exposures had anegative contribution to recent
performance of WIN, while ESG and Quality
style factors contributed positively

Period: Nov 29, 2019 to Dec 30, 2022, monthly data.
Past performance does not guarantee future results.
past performance does not guarantee future results

Information Classification: GENERALOverall Performance
Based on historical simulation since Nov 2019, the removal of quality tilt would have resulted inhigher return

Period: Nov 29, 2019 to Jan 30, 2023, monthly data.
Past performance does not guarantee future results.

Information Classification: GENERAL

Alternate Proposal: Sector Exposures• Historically, the index had significant active sector exposures, due to the absence of any control• Alternate Proposal: Add active sector weight limits of (+/-) 2%, along with the removal of the Quality
Tilt from the security weighting scheme

Period: Nov 29, 2019 to Dec 30, 2022, monthly data.

Information Classification: GENERAL

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Simulated Impact – Key Metrics
Key Metrics
MSCI Japan IMI Top 700
Index

MSCI Japan Empowering Women (WIN) Current Index1

Proposal

Alternate

Total Return* (%)

1.0

-0.8

0.8

0.7

Total Risk (%)

17.0

17.4

16.8

16.7

Return / Risk

-0.00

-0.11

-0.01

-0.02

Sharpe Ratio

-0.04

-0.14

-0.05

-0.06

Active Return (%)

0.0

-1.8

-0.1

-0.2

Tracking Error (%)

0.0

Information Ratio

3.1

1.9

1.9

-0.58

-0.06

-0.11

Historical Beta

1.00

1.01

0.98

0.98

Number ofConstituents***

698

325

325

325

Turnover** (%)

1.6

31.9

23.7

26.1

Period: Nov 29, 2019 to Jan 20, 2023. * Gross returns annualized in USD ** Annualized one-way index turnover over index reviews *** Monthly averages
1Simulated Index as per the current MSCI Japan Empowering Women (WIN) Index

Past performance does not guarantee future results.

Information
GENERALMSCIClassification:
IndexMetrics®

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Simulated Impact – Historical Index Review Turnover

Past performance does not guarantee future results.

Information
GENERALMSCIClassification:
IndexMetrics®

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Simulated Impact – ESG Metrics

MSCI Japan IMI Top
700 Index

MSCI Japan Empowering
Women (WIN) - Current
Index1

Proposal

AlternateIntegration
ESG Score

6.8

7.3

7.2

7.2

ESG Leaders (AAA-AA) (%)

40.3

53.6

49.8

48.2

ESG Laggards (B-CCC) (%)

3.0

1.6

1.3

1.5

Governance Pillar Score

5.5

5.7

5.6

5.6

Female Directors (wtd Avg %)

16.9

18.5

18.0

17.9

Deviation from One Share One Vote (%)

1.9

0.7

1.3

1.3

Gender Diversity Score (wtd Avg %)

7.0

7.7

7.7

7.6

As of December 30, 2022.
1Simulated Index as per the current MSCI Japan Empowering Women (WIN) Index

Information
GENERALMSCIClassification:
IndexMetrics®

10

Simulated Impact – Transition Adds/Dels/Turnover• Based on a simulation of a methodology transition at the November 2022 Semi-Annual

Index Review, WIN would have incurred a one-way index turnover of 25.0% and 25.6% under
the proposal and the alternate proposal, respectively• The proposal and alternate proposal only impact the weighting scheme of WIN, hence theset of additions and deletions are not impacted

Current

Proposal

Alternate Proposal

Additions

26

26

26

Deletions

13

13

13

Turnover

10.3%

25.0%

25.6%

Simulated data as of the November 2022 Semi-Annual Index Review

Information Classification: GENERAL

Simulated Impact – Top Ten Security Weights (Current)
Simulated weights – Current Index
Security Name

Sector

Security Weight

TOYOTA MOTOR CORP

Consumer Discretionary

4.6%

TOKIO MARINE HOLDINGS

Financials

4.0%

TOKYO ELECTRON

Information Technology

3.7%

RECRUIT HOLDINGS CO

Industrials

3.7%

NINTENDO CO

Communication Services

3.4%

HOYA CORP

Health Care

3.2%

KDDI

Communication Services

2.5%

ITOCHU CORP

Industrials

2.1%

MITSUBISHI CORP

Industrials

1.8%

MURATA MANUFACTURING COInformation Technology

1.6%

Data as of the November 2022 Semi-Annual Index Review

Information Classification: GENERAL

Simulated Impact – Top Ten Security Weights (Proposal)
Simulated weights – Proposal
Security Name

Sector

Security Weight

TOYOTA MOTOR CORP

Consumer Discretionary

4.8%

MITSUBISHI UFJ FIN GRP

Financials

3.0%

SOFTBANK GROUP CORP

Communication Services

2.5%

DAIICHI SANKYO CO

Health Care

2.5%

KDDI

Communication Services

2.2%

RECRUIT HOLDINGS CO

Industrials

2.1%

TOKYO ELECTRON

Information Technology

2.0%

NINTENDO CO

Communication Services

2.0%

SUMITOMO MITSUI FINL GRP

Financials

2.0%

TAKEDA PHARMACEUTICAL

Health Care

2.0%

Simulated data as of the November 2022 Semi-Annual Index Review

Information Classification: GENERAL

Simulated Impact – Top Ten Security Weights (Alternate)
Simulated weights – Alternate proposal
Security Name

Sector

Security Weight

TOYOTA MOTOR CORP

Consumer Discretionary

6.6%

MITSUBISHI UFJ FIN GRP

Financials

2.4%

DAIICHI SANKYO CO

Health Care

2.4%

SOFTBANK GROUP CORP

Communication Services

2.2%

RECRUIT HOLDINGS CO

Industrials

2.1%

TOKYO ELECTRON

Information Technology

2.0%

KDDI

Communication Services

2.0%

TAKEDA PHARMACEUTICAL

Health Care

1.9%

MITSUBISHI CORP

Industrials

1.8%

NINTENDO CO

Communication Services

1.8%

Simulated data as of the November 2022 Semi-Annual Index Review

Information Classification: GENERAL

Discussion Points• Do you agree with the proposal to remove the sector relative quality score tilt from theweighting scheme of WIN?
• Do you agree with the alternate proposal to additionally incorporate a constraint on active
sector weights (+/-2%) in the weighting scheme of WIN?
– Is it acceptable to include issuers at a weight above 5% as the Issuer Capping is applied prior to theactive sector weight constraint?

• Should the changes be implemented, would you favor an implementation in one step or aphased approach (e.g., implementation in two steps as part of two subsequent index
reviews)• Clients may provide feedback through an online survey available on:https://www.msci.com/consultation-WIN-2023

Information Classification: GENERAL

Appendix

Information Classification: GENERAL

Simulated Impact* – GD Score Model Change
When compared to the simulated proforma index, effective Nov 2022
Semi-Annual Index Review, we observe 10 additions, 6 deletions and aone-way turnover of 3%
New model

Additions

10

Deletions

6

Turnover3.0%*Incremental Additions, Deletions and Turnover, when compared to the proforma MSCI Japan Empowering Women (WIN) Index as per the current model*Simulated data based on the Gender Diversity Scores as of Nov 30 th, 2022

Information Classification: GENERALKey Metrics

Past performance does not guarantee future results.

Information
GENERALMSCIClassification:
IndexMetrics®

18

Active Factor Family Exposures

Period: Nov 29, 2019 to Dec 30, 2022, monthly data.

Information
GENERALMSCIClassification:
IndexMetrics®

19

Active Factor Family Exposures

Period: Nov 29, 2019 to Dec 30, 2022, monthly data.

Information
GENERALMSCIClassification:
IndexMetrics®

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Active Factor Family Exposures

Period: Nov 29, 2019 to Dec 30, 2022, monthly data.

Information
GENERALMSCIClassification:
IndexMetrics®

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Active Sector Exposures
MSCI Japan Empowering Women (WIN) - Current Index (%)

Proposal (%)

Min

Max

Average

Current

Min

Max

Average

Energy

-0.0

0.4

0.3

-0.0

Energy

0.3

0.7

0.4

0.5

Materials

-1.8

1.7

-0.4

-1.4

Materials

-1.3

1.5

-0.3

-1.2

Industrials

-3.1

4.0

0.7

1.0

Industrials

-2.3

3.9

0.5

-0.6

Cons. Disc.

-9.1

-5.1

-6.4

-6.5

Cons. Disc.

-9.7

-4.1

-5.8

-5.9

Cons. Stap.

-1.7

2.7

-0.3

-1.6

Cons. Stap.

-0.7

1.2

0.3

-0.4

Health Care

2.5

7.6

5.5

2.8

Health Care

0.8

5.7

3.0

2.5

Financials

-0.7

5.9

2.1

5.9

Financials

-0.9

5.7

3.0

5.7

IT

-3.9

1.7

-0.6

1.2

IT

-3.7

1.1

-1.4

0.2

Comm. Serv.

-1.7

2.7

1.2

0.8

Comm. Serv.

1.3

4.4

2.7

1.6

Utilities

-0.0

0.6

0.3

0.4

Utilities

-0.2

0.2

-0.0

0.0

Real Estate

-3.5

-1.4

-2.3

-2.5

Real Estate

-3.1

-1.9

-2.4

-2.5

Period: Nov 29, 2019 to Dec 30, 2022, monthly data.

Current

Period: Nov 29, 2019 to Dec 30, 2022, monthly data.

Information
GENERALMSCIClassification:
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Active Sector Exposures
Alternate (%)
Min

Max

Average

Energy

0.2

0.6

0.4

Current
0.5

Materials

-1.2

1.4

-0.3

-1.2

Industrials

-2.3

2.8

0.2

-0.8

Cons. Disc.

-3.0

-1.4

-1.9

-1.7

Cons. Stap.

-0.8

2.0

0.3

-0.5

Health Care

0.6

2.5

1.6

2.0

Financials

-0.9

2.4

1.4

2.2

IT

-2.9

0.6

-1.4

0.1

Comm. Serv.

1.0

2.6

1.8

1.5

Utilities

-0.2

0.1

-0.0

0.0

Real Estate

-2.3

-1.5

-2.0

-2.1

Period: Nov 29, 2019 to Dec 30, 2022, monthly data.

Information
GENERALMSCIClassification:
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GEMLTESG Active Perf. Attribution: Styles

Period: Nov 29, 2019 to Dec 30, 2022.

Information
GENERALMSCIClassification:
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GEMLTESG Active Perf. Attribution: Styles

Period: Nov 29, 2019 to Dec 30, 2022.

Information
GENERALMSCIClassification:
IndexMetrics®

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GEMLTESG Active Perf. Attribution: Styles

Period: Nov 29, 2019 to Dec 30, 2022.

Information
GENERALMSCIClassification:
IndexMetrics®

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