MSCI Inc. (the “Index Provider” or “MSCI”) to measure the performance of large and mid-capitalization equity securities listed on stock exchanges in the U.S. that, in the aggregate, have lower volatility relative to the large- and mid-cap U.S. equity market. In constructing the Underlying Index, MSCI uses a rules-based methodology The Enhanced MSCI Standard Indexes are composed of the MSCI Large Cap and Mid Cap Indexes. The MSCI Global Small Cap Index transitioned to the MSCI Small Cap Index resulting from the Global Investable Market Indexes methodology, and contains no overlap with constituents of the transitioned MSCI Standard Indexes. INVESTMENT CALCULATOR Investment Month. Investment Day. Investment Year. Investment. Units. Investment Date Original Shares Original Value AUM in ETF s Linked to MSCI Indexes. Index methodology » Index resources

LUE INDEXES METHODOLOGY | DECEMBER 2019 3 Maintaining the Indexes 3.1 Quarterly Index Reviews The MSCI Fixed Income Value Indexes are rebalanced on a quarterly basis, usually as of the close of the last business day of a month. This approach aims to capture timely updates to the Value characteristics of the companies and coincide with the The MSCI Equity Indexes are calculated using the Laspeyres concept of a weighted arithmetic average together with the concept of chain-linking. MSI country and regional equity Indexes are calculated in local currency as well as in USD, with price, gross and net returns. The MSCI Quality Indexes aim to reflect the performance of the Quality factor with a simple and transparent methodology while ensuring reasonably high trading liquidity and investment capacity of constituent companies, as well as moderate Index turnover. Quality is an objective measure of certain historical variables and is not an endorsement or MSCI QUALITY INDEXES METHODOLOGY | AUGUST 2014 3 MAINTAINING MSCI QUALITY INDEXES 3.1 SEMI-ANNUAL INDEX REVIEWS The MSCI Quality Indexes are rebalanced on a semi-annual basis, usually as of the close of the last business day of May and November, coinciding with the May and November Semi- MSCI VALUE WEIGHTED INDEXES METHODOLOGY | AUGUST 2012 APPENDIX I: REGIONAL INDEXES MSCI defines the following six regional reference value weighted indexes which are constructed from the respective regional parent indexes using the methodology as described in this document. Any other country/regional sub-indexes are then derived from The MSCI Emerging Markets Index stands for Morgan Stanley Capital International (MSCI), and is an index used to measure equity market performance in global emerging markets. It is just one index The MSCI indices are market cap weighted indices, which means that stocks are weighted according to their market capitalization, calculated as stock price multiplied by total number of shares

MSCI INDEX CALCULATION METHODOLOGY | JANUARY 2019 INTRODUCTION This methodology book describes MSIs general Index calculation methodology for the MSCI Equity Indexes. MSCI provides two ways of calculating MSCI Equity Indexes, either by using the Price Adjustment Factor (PAF) or the Index Divisors (Index Divisors methodology available as an

The MSCI Equity Indexes are calculated using the Laspeyres concept of a weighted arithmetic average together with the concept of chain-linking. MSI country and regional equity Indexes are calculated in local currency as well as in USD, with price, gross and net returns. The MSCI Quality Indexes aim to reflect the performance of the Quality factor with a simple and transparent methodology while ensuring reasonably high trading liquidity and investment capacity of constituent companies, as well as moderate Index turnover. Quality is an objective measure of certain historical variables and is not an endorsement or MSCI QUALITY INDEXES METHODOLOGY | AUGUST 2014 3 MAINTAINING MSCI QUALITY INDEXES 3.1 SEMI-ANNUAL INDEX REVIEWS The MSCI Quality Indexes are rebalanced on a semi-annual basis, usually as of the close of the last business day of May and November, coinciding with the May and November Semi- MSCI VALUE WEIGHTED INDEXES METHODOLOGY | AUGUST 2012 APPENDIX I: REGIONAL INDEXES MSCI defines the following six regional reference value weighted indexes which are constructed from the respective regional parent indexes using the methodology as described in this document. Any other country/regional sub-indexes are then derived from

Methodology: The indexes are constructed by optimizing an MSCI parent index to achieve a high, stable level of exposure to a single target factor and low exposure to all other factors, while remaining investable, replicable and with moderate index turnover. Each index is composed of long and short stocks, with gross leverage of 2 (100%

The MSCI Equity Indexes are calculated using the Laspeyres concept of a weighted arithmetic average together with the concept of chain-linking. MSI country and regional equity Indexes are calculated in local currency as well as in USD, with price, gross and net returns. The MSCI Quality Indexes aim to reflect the performance of the Quality factor with a simple and transparent methodology while ensuring reasonably high trading liquidity and investment capacity of constituent companies, as well as moderate Index turnover. Quality is an objective measure of certain historical variables and is not an endorsement or MSCI QUALITY INDEXES METHODOLOGY | AUGUST 2014 3 MAINTAINING MSCI QUALITY INDEXES 3.1 SEMI-ANNUAL INDEX REVIEWS The MSCI Quality Indexes are rebalanced on a semi-annual basis, usually as of the close of the last business day of May and November, coinciding with the May and November Semi- MSCI VALUE WEIGHTED INDEXES METHODOLOGY | AUGUST 2012 APPENDIX I: REGIONAL INDEXES MSCI defines the following six regional reference value weighted indexes which are constructed from the respective regional parent indexes using the methodology as described in this document. Any other country/regional sub-indexes are then derived from The MSCI Emerging Markets Index stands for Morgan Stanley Capital International (MSCI), and is an index used to measure equity market performance in global emerging markets. It is just one index The MSCI indices are market cap weighted indices, which means that stocks are weighted according to their market capitalization, calculated as stock price multiplied by total number of shares

LUE INDEXES METHODOLOGY | DECEMBER 2019 3 Maintaining the Indexes 3.1 Quarterly Index Reviews The MSCI Fixed Income Value Indexes are rebalanced on a quarterly basis, usually as of the close of the last business day of a month. This approach aims to capture timely updates to the Value characteristics of the companies and coincide with the

MSCI Inc. (the “Index Provider” or “MSCI”) to measure the performance of large and mid-capitalization equity securities listed on stock exchanges in the U.S. that, in the aggregate, have lower volatility relative to the large- and mid-cap U.S. equity market. In constructing the Underlying Index, MSCI uses a rules-based methodology

LUE INDEXES METHODOLOGY | DECEMBER 2019 3 Maintaining the Indexes 3.1 Quarterly Index Reviews The MSCI Fixed Income Value Indexes are rebalanced on a quarterly basis, usually as of the close of the last business day of a month. This approach aims to capture timely updates to the Value characteristics of the companies and coincide with the

MSCI Index Calculation Methodology May 2012 5 Introduction This methodology book describes MSIs general Index calculation methodology for the MSI Equity Indices. MSCI provides two ways of calculating MSCI Equity Indices, either by using the Price Adjustment Factor (PAF) or the Index Divisors (Index Divisors methodology available as an appendix). MSCI Index Methodology Search To use the "Search Methodology by Index Name or Index Code" tool, type in the first four letters of the index name leaving out "MSCI" (e.g., for MSCI Emerging Market Index, type in Emer) or the index code, wait for the list of indexes to appear, choose the index and click "Go". MSCI INDEX CALCULATION METHODOLOGY | JANUARY 2019 INTRODUCTION This methodology book describes MSIs general Index calculation methodology for the MSCI Equity Indexes. MSCI provides two ways of calculating MSCI Equity Indexes, either by using the Price Adjustment Factor (PAF) or the Index Divisors (Index Divisors methodology available as an LUE INDEXES METHODOLOGY | DECEMBER 2019 3 Maintaining the Indexes 3.1 Quarterly Index Reviews The MSCI Fixed Income Value Indexes are rebalanced on a quarterly basis, usually as of the close of the last business day of a month. This approach aims to capture timely updates to the Value characteristics of the companies and coincide with the

LUE INDEXES METHODOLOGY | DECEMBER 2019 3 Maintaining the Indexes 3.1 Quarterly Index Reviews The MSCI Fixed Income Value Indexes are rebalanced on a quarterly basis, usually as of the close of the last business day of a month. This approach aims to capture timely updates to the Value characteristics of the companies and coincide with the The MSCI Equity Indexes are calculated using the Laspeyres concept of a weighted arithmetic average together with the concept of chain-linking. MSI country and regional equity Indexes are calculated in local currency as well as in USD, with price, gross and net returns. The MSCI Quality Indexes aim to reflect the performance of the Quality factor with a simple and transparent methodology while ensuring reasonably high trading liquidity and investment capacity of constituent companies, as well as moderate Index turnover. Quality is an objective measure of certain historical variables and is not an endorsement or MSCI QUALITY INDEXES METHODOLOGY | AUGUST 2014 3 MAINTAINING MSCI QUALITY INDEXES 3.1 SEMI-ANNUAL INDEX REVIEWS The MSCI Quality Indexes are rebalanced on a semi-annual basis, usually as of the close of the last business day of May and November, coinciding with the May and November Semi-

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