Index Factsheet

MSCI World Momentum Index (USD)

The MSCI World Momentum Index is based on MSCI World, its parent index, which includes large and mid cap stocks across 23 Developed
Markets (DM) countries*. It is designed to reflect the performance of an equity momentum strategy by emphasizing stocks with high price
momentum, while maintaining reasonably high trading liquidity, investment capacity and moderate index turnover.
For a complete description of the index methodology, please see Index methodology - MSCI.

CUMULATIVE INDEX PERFORMANCE — GROSS RETURNS (USD) ANNUAL PERFORMANCE (%)

(NOV 2009 – NOV 2024) MSCI World
Year MSCI World
Momentum

MSCI World Momentum 672.29 2023 12.25 24.42

MSCI World 2022 -17.34 -17.73
600 2021 14.95 22.35
2020 28.70 16.50
474.91
2019 28.26 28.40
2018 -2.38 -8.20
400 2017 32.59 23.07
2016 4.75 8.15
2015 4.54 -0.32
2014 7.03 5.50
200 2013 30.28 27.37
2012 14.79 16.54
2011 4.79 -5.02
50 2010 16.54 12.34
Nov 09 Mar 11 May 12 Aug 13 Nov 14 Feb 16 May 17 Aug 18 Nov 19 Feb 21 May 22 Aug 23 Nov 24

INDEX PERFORMANCE — GROSS RETURNS (%) (NOV 29, 2024) FUNDAMENTALS (NOV 29, 2024)
ANNUALIZED

1 Mo 3 Mo 1 Yr YTD 3 Yr 5 Yr 10 Yr JunSince Div Yld (%) P/E P/E Fwd P/BV

30, 1994

MSCI World Momentum 4.15 4.79 40.00 34.03 8.07 13.53 12.72 11.42 1.46 28.16 22.17 4.61

MSCI World 4.62 4.49 28.39 22.34 9.31 12.96 10.63 8.56 1.70 23.54 19.63 3.63

INDEX RISK AND RETURN CHARACTERISTICS (JUN 01, 1994 – NOV 29, 2024)
ANNUALIZED STD DEV (%) 2 SHARPE RATIO 2 , 3 MAXIMUM DRAWDOWN
Since
Tracking Turnover
Beta 3 Yr 5 Yr 10 Yr 3 Yr 5 Yr 10 Yr Jun 01, (%) Period YYYY-MM-DD
Error (%) (%) 1 1994

MSCI World Momentum 0.91 7.56 121.30 17.61 17.79 15.00 0.32 0.67 0.76 0.60 55.53 2007-10-29—2009-03-09

MSCI World 1.00 0.00 2.36 16.90 17.85 15.04 0.39 0.64 0.63 0.45 57.46 2007-10-31—2009-03-09
1 2 3
Last 12 months Based on monthly gross returns data Based on NY FED Overnight SOFR from Sep 1 2021 & on ICE LIBOR 1M prior that date

* DM countries include: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway,
Portugal, Singapore, Spain, Sweden, Switzerland, the UK and the US.

The MSCI World Momentum Index was launched on Dec 11, 2013. Data prior to the launch date is back-tested test (i.e. calculations of how the index might have performed over
that time period had the index existed). There are frequently material differences between back-tested performance and actual results. Past performance -- whether actual or
back-tested -- is no indication or guarantee of future performance.

MSCI World Momentum Index (USD) | msci.com

NOV 29, 2024 Index Factsheet

INDEX CHARACTERISTICS TOP 10 CONSTITUENTS

MSCI World MSCI World Index Parent Sector
Momentum Wt. (%) Index
Number of 350 1,397 Wt. (%)
APPLE 5.16 5.03 Info Tech
Constituents
META PLATFORMS A 4.76 1.75 Comm Srvcs
Weight (%)
NVIDIA 4.63 4.73 Info Tech
Largest 5.16 5.03
BROADCOM 3.13 1.00 Info Tech
Smallest 0.01 0.00 JPMORGAN CHASE & CO 2.74 0.99 Financials
Average 0.29 0.07 WALMART 2.39 0.57 Cons Staples
Median 0.13 0.03 BERKSHIRE HATHAWAY B 2.13 0.89 Financials
COSTCO WHOLESALE CORP 1.82 0.60 Cons Staples
LILLY (ELI) & COMPANY 1.68 0.90 Health Care
ORACLE CORP 1.61 0.43 Info Tech
Total 30.05 16.88

FACTORS - KEY EXPOSURES THAT DRIVE RISK AND RETURN

MSCI FACTOR BOX MSCI FaCS
UNDERWEIGHT NEUTRAL OVERWEIGHT
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
<-1.5 0 +1.5< broad global index - MSCI ACWI IMI.
MSCI World Momentum MSCI World
Neutral factor exposure (FaCS = 0) represents
MSCI ACWI IMI.

SECTOR WEIGHTS COUNTRY WEIGHTS

8.35% 5.26%
6.86%
9.22% 4.62%
4.38%

4.12% 2.57%
12.02%

2.82% 2.47%

2.15% 8.51%

1.48%
76.56%
23.87%
24.72%

Information Technology 24.72% Financials 23.87% Industrials 12.02% United States 76.56% Canada 5.26% Japan 4.62% Germany 2.57%

Communication Services 9.22% Health Care 8.35% Consumer Staples 6.86% Australia 2.47% Other 8.51%

Consumer Discretionary 4.38% Utilities 4.12% Real Estate 2.82% Energy 2.15%

Materials 1.48%

MSCI World Momentum Index (USD) | msci.com

NOV 29, 2024 Index Factsheet

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
MSCI 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 and technology, we power better investment
decisions by enabling clients to understand and analyze key drivers 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.

The information contained herein (the "Information") may not be reproduced or redisseminated in whole or in part without prior written permission from MSCI. The Information may not be used to verify or
correct other data, to create indexes, risk models, or analytics, or in connection with issuing, offering, sponsoring, managing or marketing any securities, portfolios, financial products or other investment
vehicles. Historical data and analysis should not be taken as an indication or guarantee of any future performance, analysis, forecast or prediction. None of the Information or MSCI index or other product
or service constitutes an offer to buy or sell, or a promotion or recommendation of, any security, financial instrument or product or trading strategy. Further, none of the Information or any MSCI index is
intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. The Information is provided "as is"
and the user of the Information assumes the entire risk of any use it may make or permit to be made of the Information. NONE OF MSCI INC. OR ANY OF ITS SUBSIDIARIES OR ITS OR THEIR DIRECT
OR INDIRECT SUPPLIERS OR ANY THIRD PARTY INVOLVED IN THE MAKING OR COMPILING OF THE INFORMATION (EACH, AN "MSCI PARTY") MAKES ANY WARRANTIES OR REPRESENTATIONS AND,
TO THE MAXIMUM EXTENT PERMITTED BY LAW, EACH MSCI PARTY HEREBY EXPRESSLY DISCLAIMS ALL IMPLIED WARRANTIES, INCLUDING WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
A PARTICULAR PURPOSE. WITHOUT LIMITING ANY OF THE FOREGOING AND TO THE MAXIMUM EXTENT PERMITTED BY LAW, IN NO EVENT SHALL ANY OF THE MSCI PARTIES HAVE ANY LIABILITY
REGARDING ANY OF THE INFORMATION FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL (INCLUDING LOST PROFITS) OR ANY OTHER DAMAGES EVEN IF NOTIFIED OF THE POSSIBILITY
OF SUCH DAMAGES. The foregoing shall not exclude or limit any liability that may not by applicable law be excluded or limited.

© 2024 MSCI Inc. All rights reserved.

MSCI World Momentum Index (USD) | msci.com