MSCI Europe Value Weighted Index

MSCI EUROPE VALUE WEIGHTED INDEX (USD)
The MSCI Europe Value Weighted Index is based on a traditional market cap weighted parent index, the MSCI Europe Index, which
includes large and mid cap stocks across 15 European Developed Markets (DM) countries*. The MSCI Europe Value Weighted
Index reweights each security of the parent index to emphasize stocks with lower valuations. Index weights are determined
using fundamental accounting data—sales, book value, earnings and cash earnings—rather than market prices.
CUMULATIVE INDEX PERFORMANCE - NET RETURNS
300
ANNUAL PERFORMANCE (%)
(USD) (MAR 2002 – MAR 2017)
223.06
212.36
200
100
50
Mar 02
Jun 03
Sep 04
Dec 05
MSCI Europe
Value Weighted
Year
MSCI Europe Value Weighted
MSCI Europe
Mar 07
Jun 08
Sep 09
INDEX PERFORMANCE — NET RETURNS
Dec 10
Mar 12
Jun 13
Sep 14
Dec 15
Mar 17
2016
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
4.66
-7.36
-7.66
26.68
19.04
-15.60
0.29
43.07
-49.89
12.96
35.72
9.74
22.55
44.74
FUNDAMENTALS
(%) ( MAR 31, 2017 )
MSCI Europe
-0.40
-2.84
-6.18
25.23
19.12
-11.06
3.88
35.83
-46.42
13.86
33.72
9.42
20.88
38.54
( MAR 31, 2017 )
ANNUALIZED
1 Mo
3 Mo
1 Yr
YTD
3 Yr
5 Yr
10 Yr
Since
Jun 30, 1994
Div Yld (%)
P/E
P/E Fwd
P/BV
MSCI Europe Value Weighted
4.33
6.55
14.73
6.55
-2.50
5.20
-0.54
7.21
3.68
20.12
13.29
1.32
MSCI Europe
4.02
7.44
9.76
7.44
-1.51
5.63
0.70
7.01
3.32
21.65
15.10
1.84
INDEX RISK AND RETURN CHARACTERISTICS
( JUN 01, 1994 – MAR 31, 2017 )
ANNUALIZED STD DEV (%) 2
Beta
MSCI Europe Value Weighted
MSCI Europe
1.08
1.00
Tracking Turnover
Error (%)
(%) 1
3.50
0.00
15.37
1.85
1
SHARPE RATIO 2 , 3
MAXIMUM DRAWDOWN
3 Yr
5 Yr
10 Yr
3 Yr
5 Yr
10 Yr
Since
Jun 01,
1994
14.37
12.86
16.44
14.37
23.20
20.45
-0.13
-0.08
0.37
0.43
0.05
0.09
0.31
0.32
Last 12 months
2
Based on monthly net returns data
3
(%)
Period YYYY-MM-DD
67.91
62.99
2007-10-31—2009-03-09
2007-10-31—2009-03-09
Based on ICE LIBOR 1M
* DM countries in Europe include: Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the UK.
The MSCI Europe Value Weighted Index was launched on Dec 07, 2010. 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 EUROPE VALUE WEIGHTED INDEX
MAR 31, 2017
INDEX CHARACTERISTICS
TOP 10 CONSTITUENTS
MSCI Europe
Value Weighted
Number of
Constituents
446
Largest
Smallest
Average
Median
3.16
0.00
0.22
0.09
MSCI Europe
446
Weight
HSBC HOLDINGS (GB)
BP
ROYAL DUTCH SHELL A
BANCO SANTANDER
TOTAL
BNP PARIBAS
NESTLE
ROYAL DUTCH SHELL B
ALLIANZ
DAIMLER
Total
(%)
2.90
0.02
0.22
0.10
SECTOR WEIGHTS
Country
Index
Wt. (%)
Parent Index
Wt. (%)
Sector
GB
GB
GB
ES
FR
FR
CH
GB
DE
DE
3.16
2.37
2.35
2.15
1.94
1.65
1.64
1.61
1.48
1.41
19.77
1.95
1.31
1.39
1.09
1.40
0.86
2.90
1.24
1.03
0.86
14.02
Financials
Energy
Energy
Financials
Energy
Financials
Cons Staples
Energy
Financials
Cons Discr
COUNTRY WEIGHTS
7.74%
8.29%
7.13%
10.25%
7.25%
9.79%
21.18%
5.4%
4.85%
16.15%
2.25%
10.29%
0.95%
10.47%
32.38%
Financials 32.38%
Energy 10.47%
Consumer Discretionary 10.25%
Health Care 7.13%
Utilities 5.4%
Information Technology 2.25%
Industrials 10.29%
Consumer Staples 8.29%
16.96%
28.67%
United Kingdom 28.67%
Materials 7.74%
Spain 7.25%
France 16.96%
Germany 16.15%
Switzerland 9.79%
Other 21.18%
Telecommunication Services 4.85%
Real Estate 0.95%
INDEX METHODOLOGY
Each MSCI Value Weighted Index is constructed from a market cap weighted MSCI parent index. The MSCI Value Weighted Index methodology
eﬀectively tilts the parent index towards stocks with lower valuations by reweighting each constituent of the parent index according to four
fundamental accounting variables: sales, book value, earnings and cash earnings. The Value Weighted Index ﬁrst calculates a weight (or a
3-yr average weight) for each accounting variable for each constituent independently. These weights are then averaged to determine a ﬁnal
constituent-level value weight. The index is rebalanced semiannually in May and November.
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MSCI EUROPE VALUE WEIGHTED INDEX

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