A look under the hood

What’s the end result? While we understand the desire to have a look at index back tests, we encourage you not to focus on past performance. These funds are based on ongoing megatrends continually shaping our future. On that basis, the underlying indices we developed with MSCI were constructed with a forwardlooking view in mind, not a backward-looking one.

How the indices have performed

Chart Source: Lyxor International Asset Management, Bloomberg. Period from 29/11/2013 (earliest available historical index data) to 28/02/2020. Performances of thematic indices are back tests and do not represent a live track record. Past performance is not a reliable indicator of future results. MSCI ACWI IMI Equal Weighted index used as a reference benchmark for a more like-for-like comparison, as the market cap weighted MSCI ACWI IMI index skews towards the largest companies.

Index name	MSCI ACWI IMI	MSCI ACWI IMI Equal Weighted	MSCI ACWI IMI Future Mobility ESG Filtered	MSCI ACWI IMI Millennials ESG Filtered	MSCI ACWI IMI Smart Cities ESG Filtered	MSCI ACWI IMI Disruptive Tech ESG Filtered	MSCI ACWI IMI Digital Economy ESG Filtered
Total Return* (%)	6.4	3.0	7.7	8.8	12.6	12.6	16.3
Total Risk (%)	11.7	12.6	20.3	13.2	15.3	17.8	17.3
Return/Risk	0.55	0.24	0.38	0.67	0.82	0.71	0.94
Sharpe Ratio	0.46	0.16	0.33	0.59	0.75	0.65	0.88
Active Return (%)	0.0	-3.4	1.2	2.3	6.1	6.2	9.9
Tracking Error (%)	0.0	3.6	11.2	5.2	8.0	10.3	10.8
Information Ratio	NaN	-0.93	0.11	0.45	0.77	0.60	0.91
Historical Beta	1.00	1.03	1.55	1.03	1.12	1.27	1.17
No of Stocks***	8662	8662	60	145	91	125	96
Turnover** (%)	2.0	18.9	42.0	37.7	38.4	41.1	38.1
Price To Book***	2.1	1.5	2.3	3.4	2.9	4.2	4.8
Price to Earnings***	19.1	25.2	18.8	30.0	29.7	5956.1	54.7
Dividend Yield*** (%)	2.4	2.3	1.6	1.4	1.4	0.6	0.5

Table Source: MSCI. Period from 29/11/2013 (earliest available index historical data) to 28/02/2020. Past performance is not a reliable indicator of future results. *Gross returns annualised in USD. **Annualised one-way index turnover over index reviews. ***Monthly averages.

How ‘green’ are the exposures?

As a result of the ESG filtering process, and using the MSCI All Country World IMI Equal Weighted index as a reference benchmark, all five of the thematic indices have higher overall MSCI ESG scores, and have much stronger values-based metrics.

Index names	MSCI ACWI IMI	MSCI ACWI IMI Equal Weighted	MSCI ACWI IMI Future Mobility ESG Filtered	MSCI ACWI IMI Millennials ESG Filtered	MSCI ACWI IMI Smart Cities ESG Filtered	MSCI ACWI IMI Disruptive Tech ESG Filtered	MSCI ACWI IMI Digital Economy ESG Filtered
Integration
Key Integration Metrics
ESG Score	5.8	4.6	5.2	5.3	4.6	4.7	4.9
ESG Leaders (AAA-AA) (%)	25.0	10.4	11.9	18.2	9.3	9.3	13.2
ESG Laggards (B-CCC) (%)	9.1	20.3	18.2	12.9	19.1	18.6	18.5
ESG Trend Positive (%)	12.6	10.4	15.5	11.9	12.6	9.8	15.4
ESG Negative (%)	4.7	4.2	16.0	6.0	7.1	4.8	4.8
Index ESG Rating	A	BB	BB	BBB	BB	BB	BBB
ESG Pillars
Environmental Pillar Score	5.4	4.4	4.8	4.3	4.5	5.6	4.4
Social Score	4.8	4.5	4.3	4.7	4.9	4.4	4.4
Governance Score	5.3	5.1	5.3	5.3	5.1	5.0	5.2
Key Governance Metrics
Board Independence (Wtd Avg %)	75.0	65.7	68.7	68.2	67.9	74.9	68.6
Female Directors (Wtd Avg %)	26.2	18.7	17.7	22.1	19.4	20.0	21.3
Deviation from One Share One Vote (%)	23.7	18.1	10.6	21.8	14.2	10.3	21.5
Values
Tobacco Producers (%)	1.0	0.5	0.0	0.0	0.0	0.0	0.0
Civilian Firearms Producers (%)	0.2	0.1	0.0	0.0	0.0	0.0	0.0
Ties to Controversial Weapons (%)	0.7	0.2	0.0	0.0	0.0	0.0	0.0
Global Compact Compliance Violation/Watch List (%)	1.7	0.3	0.0	0.0	0.0	0.0	0.0
Red Flag Controversies (%)	2.4	0.3	0.0	0.0	0.0	0.0	0.0
Orange Flag Controversies (%)	22.9	3.6	5.7	0.9	0.9	2.6	2.1

Table Source: MSCI, as at 28/02/2020. MSCI ACWI IMI Equal Weighted index used as a reference benchmark for a more like-for-like comparison, as the market cap weighted MSCI ACWI IMI index skews towards the largest companies

Why we
trust MSCI

As a recognised leader in both ESG research and indexing, we have total confidence in MSCI’s capabilities in building these indices and excluding low performing companies based on ESG criteria.

MSCI’s ESG and indexing capabilities are:

Recognised by the biggest ETF providers in the world
Trusted by 99 out of the top 100 largest money managers⁵
Used by passive and active managers alike

⁵Source: P&I ranking, as at May 2019.

MSCI ESG Research

Key figures

200+

dedicated ESG analysts⁶

40+

years’ experience collecting, cleaning and standardising ESG data⁶

7,500+

companies rated (13,500 total issuers including subsidiaries)⁶

1,000+

ESG equity and fixed income indices use MSCI ESG data6⁶

⁶Source: MSCI ESG Research as of October 2019. Includes full time employees and allocated staff performing non-investment advisory tasks.