The MSCI Europe Climate Paris Aligned Index is based on the MSCI Europe Index, its parent index, and includes large and mid-cap securities across 15 Developed Markets (DM) in Europe. The indexes are designed to support investors seeking to reduce their exposure to transition and physical climate risks and who wish to pursue opportunities arising from the transition to a lower-carbon economy while aligning with the Paris Agreement requirements. The index incorporates the TCFD recommendations and are designed to exceed the minimum standards of the EU Paris-Aligned Benchmark. For a complete description of the index methodology, please see Index methodology - MSCI.

ANNUAL PERFORMANCE (%)
INDEX PERFORMANCE — NET RETURNS   (%) (AUG 30, 2024) FUNDAMENTALS  (AUG 30, 2024)
INDEX RISK AND RETURN CHARACTERISTICS  (NOV 26, 2013 – AUG 30, 2024)
* DM countries include: Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the UK. The MSCI Europe Climate Paris Aligned Index was launched on Oct 26, 2020. Data prior to the launch date is back-tested test (Le. calculations of how the index might have AUG 30, 2024
FACTORS - KEY EXPOSURES THAT DRIVE RISK AND RETURN ●  Industrials 20.82%   ●  Financials 19.91%   ●  Health Care 18.5% Consumer Discretionary 9.96% Consumer Staples 6.3%   ●  Materials 5.26%   ●  Utilities 4.86%   ●  Real Estate 3.75% ● Communication Services 2.49%
MSCI FaCS
o VALUE Relatively Inexpensive Stocks LOW SIZE Smaller Companies MOMENTUM Rising Stocks QUALITY Sound Balance Sheet Stocks YIELD Cash Flow Paid Out LOW VOLATILITY Lower Risk Stocks MSCI FaCS provides absolute factor exposures relative to a broad global index - MSCI ACWI IMI. Neutral factor exposure (FaCS = 0) represents MSCI ACWI IMI.
COUNTRY WEIGHTS
● United Kingdom 18.69%  ● Switzerland 17.48%  ● France 15.53%  ● Germany 11.08% ● Netherlands 6.74%   ● Other 30.48% MSCI FACTOR BOX AND FaCS FRAMEWORK (Please refer to complete description of the MSCI FaCS methodology  here) MSCI FaCS is a standard method for evaluating and reporting the Factor characteristics of equity portfolios. MSCI FaCS consists of Factor Groups (e.g. Value, Size, Momentum, Quality, Yield, and Volatility) that have been extensively documented in academic literature and validated by MSCI Research as key drivers of risk and return in equity portfolios. These Factor Groups are constructed by aggregating 16 factors (e.g. Book-to-Price, Earnings/Dividend Yields, LT Reversal, Leverage, Earnings Variability/Quality, Beta) from the latest Barra global equity factor risk model, GEMLT, designed to make fund comparisons transparent and intuitive for use. The MSCI Factor Box, which is powered by MSCI FaCS, provides a visualization designed to easily compare absolute exposures of funds/indexes and their benchmarks along 6 Factor Groups that have historically demonstrated excess market returns over the long run.
ABOUT MSCI
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