MSCI BRAZIL SIZE TILT INDEX (USD)
The MSCI Brazil Size Tilt Index is based on MSCI Brazil Index, its parent index, which includes large and mid-cap stocks of the Brazilian
markets. It aims to reflect the performance of a low size strategy with relatively high investment capacity. The indexes are created by
including all the constituents in the parent index and weighting the constituents using the square root of their market capitalization weight.
CUMULATIVE INDEX PERFORMANCE - PRICE RETURNS
800
ANNUAL PERFORMANCE (%)
(USD) (MAY 2002 – MAY 2017)
Year
MSCI Brazil Size Tilt
MSCI Brazil
600
400
321.81
303.73
200
0
May 02
Aug 03
Nov 04
Feb 06
May 07
Aug 08
Nov 09
Feb 11
INDEX PERFORMANCE — PRICE 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
MSCI Brazil
Size Tilt
MSCI Brazil
58.11
-42.39
-16.09
-17.70
-0.47
-22.69
8.19
126.93
-53.97
50.49
38.64
38.51
29.46
117.47
61.34
-43.45
-17.39
-18.68
-3.50
-24.85
3.78
121.25
-57.64
75.35
40.52
49.96
30.49
102.85
FUNDAMENTALS
(%) ( MAY 31, 2017 )
( MAY 31, 2017 )
ANNUALIZED
1 Mo
3 Mo
1 Yr
YTD
3 Yr
5 Yr
10 Yr
Since
May 31, 1994
Div Yld (%)
P/E
P/E Fwd
P/BV
MSCI Brazil Size Tilt
-3.95
-7.91
38.55
4.89
-7.83
-6.54
-3.68
5.15
3.10
16.50
12.39
1.66
MSCI Brazil
-5.20
-9.96
38.21
3.58
-8.69
-7.32
-4.49
5.57
3.30
15.18
11.07
1.58
INDEX RISK AND RETURN CHARACTERISTICS
( MAY 31, 1994 – MAY 31, 2017 )
ANNUALIZED STD DEV (%) 2
Beta
MSCI Brazil Size Tilt
MSCI Brazil
0.94
1.00
Tracking Turnover
Error (%)
(%) 1
6.27
0.00
11.52
2.14
1
SHARPE RATIO 2 , 3
MAXIMUM DRAWDOWN
3 Yr
5 Yr
10 Yr
3 Yr
5 Yr
10 Yr
Since
May 31,
1994
35.07
37.56
29.66
31.66
32.79
34.40
-0.08
-0.07
-0.09
-0.10
0.02
0.01
0.24
0.26
Last 12 months
2
Based on monthly price returns data
3
(%)
Period YYYY-MM-DD
76.22
81.81
2008-05-30—2016-01-21
2008-05-19—2016-01-21
Based on ICE LIBOR 1M
The MSCI Brazil Size Tilt Index was launched on Feb 26, 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 BRAZIL SIZE TILT INDEX
MAY 31, 2017
INDEX CHARACTERISTICS
TOP 10 CONSTITUENTS
MSCI Brazil Size Tilt
Number of
Constituents
MSCI Brazil
57
57
Weight
Largest
Smallest
Average
Median
(%)
5.23
0.33
1.75
1.53
11.23
0.23
1.75
0.91
ITAU UNIBANCO PN
AMBEV ON (NEW)
BANCO BRADESCO PN
BM&F BOVESPA ON
ITAUSA PN
VALE PN A
CCR ON
ULTRAPAR PART ON
BANCO BRASIL ON
CIELO ON
Total
Index
Wt. (%)
Parent Index
Wt. (%)
Sector
5.23
4.75
3.99
3.74
2.95
2.80
2.71
2.63
2.49
2.49
33.78
11.23
8.63
8.22
3.72
3.46
4.86
1.96
2.65
2.38
2.73
49.83
Financials
Cons Staples
Financials
Financials
Financials
Materials
Industrials
Energy
Financials
Info Tech
SECTOR WEIGHTS
7.96%
9.01%
6.43%
10.1%
4.1%
3.86%
2.8%
13.43%
2.49%
25.24%
14.58%
Financials 25.24%
Industrials 9.01%
Consumer Staples 14.58%
Energy 7.96%
Telecommunication Services 3.86%
Materials 13.43%
Consumer Discretionary 6.43%
Real Estate 2.8%
Utilities 10.1%
Health Care 4.1%
Information Technology 2.49%
INDEX METHODOLOGY
The MSCI Size Tilt Indexes aim to reflect the performance of a low size strategy with high investment capacity. The MSCI Size Tilt Indexes are
created by including all the constituents in the Parent Index and weighting the constituents using the square root of their market capitalization
weight. The MSCI Size Tilt Indexes aim to capture the Low Size premium with a simple and transparent methodology while maintaining
reasonably high trading liquidity and investment capacity of constituent companies, as well as moderate Index turnover. The MSCI Size Tilt
Indexes are rebalanced on a semi-annual basis, as of the close of the last business day of May and November, coinciding with the May and
November Semi-Annual Index Review of the MSCI Standard Indexes. The pro forma MSCI Size Tilt Indexes are announced nine business days
before the effective date. A constituent deleted from the MSCI Parent Index following a corporate event or during the Quarterly Index Review
of the Parent Index will be simultaneously deleted from the MSCI Size Tilt Index.
ABOUT MSCI
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MSCI BRAZIL SIZE TILT INDEX