MSCI WORLD DIVERSIFIED MULTIPLE-FACTOR
INDEX (USD)
The MSCI World Diversified Multiple-Factor Index is based on the MSCI World Index, its parent index, which includes large and mid-cap
stocks across 23 Developed Markets (DM) countries*. The index aims to maximize exposure to four factors – Value, Momentum, Quality
and Low Size -- while maintaining a risk profile similar to that of the underlying parent index.
CUMULATIVE INDEX PERFORMANCE - GROSS RETURNS
(USD) (MAY 2002 – MAY 2017)
452.34
400
288.19
200
50
Aug 03
Nov 04
Feb 06
May 07
MSCI World
Diversified
Multiple-Factor
Year
MSCI World Diversified Multiple-Factor
MSCI World
May 02
ANNUAL PERFORMANCE (%)
Aug 08
Nov 09
Feb 11
INDEX PERFORMANCE — GROSS RETURNS
May 12
Aug 13
Nov 14
Feb 16
May 17
2016
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
5.89
3.01
8.85
31.09
15.90
0.01
17.21
33.94
-40.04
7.55
28.18
19.27
26.27
40.13
FUNDAMENTALS
(%) ( MAY 31, 2017 )
MSCI World
8.15
-0.32
5.50
27.37
16.54
-5.02
12.34
30.79
-40.33
9.57
20.65
10.02
15.25
33.76
( MAY 31, 2017 )
ANNUALIZED
1 Mo
3 Mo
1 Yr
YTD
3 Yr
5 Yr
10 Yr
Since
Nov 30, 1998
Div Yld (%)
P/E
P/E Fwd
P/BV
MSCI World Diversified
Multiple-Factor
2.48
5.63
16.96
11.09
7.91
14.63
5.98
9.97
2.29
16.99
14.77
2.07
MSCI World
2.21
4.96
17.09
10.55
6.33
13.05
4.44
5.47
2.41
21.70
16.61
2.32
INDEX RISK AND RETURN CHARACTERISTICS
( NOV 30, 1998 – MAY 31, 2017 )
ANNUALIZED STD DEV (%) 2
Beta
MSCI World Diversified
Multiple-Factor
MSCI World
Tracking Turnover
Error (%)
(%) 1
3 Yr
SHARPE RATIO 2 , 3
MAXIMUM DRAWDOWN
5 Yr
10 Yr
3 Yr
5 Yr
10 Yr
Since
Nov 30,
1998
(%)
Period YYYY-MM-DD
0.98
4.12
41.07
10.22
9.69
16.37
0.76
1.43
0.39
0.56
56.43
2007-07-13—2009-03-09
1.00
0.00
2.34
10.66
10.06
16.48
0.59
1.25
0.29
0.29
57.46
2007-10-31—2009-03-09
1
Last 12 months
2
Based on monthly gross returns data
3
Based on ICE LIBOR 1M
* 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 Diversified Multiple-Factor Index was launched on Mar 19, 2015. Data prior to the launch date is back-tested data (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 DIVERSIFIED MULTIPLE-FACTOR INDEX
MAY 31, 2017
INDEX CHARACTERISTICS
MSCI World Diversified
Multiple-Factor
Number of
Constituents
384
Largest
Smallest
Average
Median
2.12
0.01
0.26
0.19
TOP 10 CONSTITUENTS
MSCI World
1,646
Weight
(%)
2.22
0.00
0.06
0.03
NVIDIA
ACCENTURE A
AETNA
APPLIED MATERIALS
GENERAL MOTORS
KIMBERLY-CLARK CORP
NORTHROP GRUMMAN CORP
CIGNA CORP
ADIDAS
PHILLIPS 66
Total
SECTOR WEIGHTS
Country
Index
Wt. (%)
Parent Index
Wt. (%)
Sector
US
US
US
US
US
US
US
US
DE
US
2.12
2.07
1.39
1.35
1.27
1.27
1.18
1.13
0.98
0.97
13.74
0.21
0.21
0.14
0.14
0.13
0.13
0.12
0.11
0.10
0.10
1.38
Info Tech
Info Tech
Health Care
Info Tech
Cons Discr
Cons Staples
Industrials
Health Care
Cons Discr
Energy
COUNTRY WEIGHTS
8.36%
7.4%
9.17%
5.05%
4.49%
8.32%
4.27%
11.98%
17.1%
4.77%
4.4%
12.09%
2.54%
17.24%
12.89%
53.85%
16.1%
United States 53.85%
Information Technology 17.24%
Financials 12.09%
Energy 5.05%
Industrials 16.1%
Health Care 9.17%
Real Estate 4.77%
Consumer Discretionary 12.89%
Materials 8.36%
Utilities 4.4%
France 4.27%
Japan 11.98%
United Kingdom 8.32%
Switzerland 4.49%
Other 17.1%
Consumer Staples 7.4%
Telecommunication Services 2.54%
INDEX METHODOLOGY
The MSCI Diversified Multiple-Factor Indexes are constructed by optimizing from an underlying Parent Index using a Barra Equity Model to
maximize the index-level exposure to the targeted style factors while maintaining market risk similar to the Parent Index.
The MSCI Diversified Multiple-Factor 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-Annual Index Reviews (SAIRs) of the MSCI Global Investable Market Indexes.
ABOUT MSCI
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MSCI WORLD DIVERSIFIED MULTIPLE-FACTOR INDEX