MSCI USA Momentum Index

Aug 31, 2017 - Data prior to the launch date is back-tested data (i.e. calculations of how ... of products and services includes indexes, analytical models, data, ...
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MSCI USA MOMENTUM INDEX (USD)

The MSCI USA Momentum Index is based on MSCI USA Index, its parent index, which captures large and mid cap stocks of the US market. It is designed to reflect the performance of an equity momentum strategy by emphasizing stocks with high price momentum, while maintaining reasonably high trading liquidity, investment capacity and moderate index turnover.

CUMULATIVE INDEX PERFORMANCE - GROSS RETURNS

(USD) (AUG 2002 – AUG 2017)

Year

MSCI USA Momentum MSCI USA

465.06

400 371.09

200

50 Aug 02

Nov 03

Feb 05

May 06

ANNUAL PERFORMANCE (%)

Aug 07

Nov 08

Feb 10

May 11

INDEX PERFORMANCE — GROSS RETURNS

Aug 12

Nov 13

Feb 15

May 16

Aug 17

MSCI USA Momentum

MSCI USA

5.13 9.30 14.69 34.80 15.10 6.09 18.21 17.64 -40.89 17.80 10.75 19.31 16.86 26.17

11.61 1.32 13.36 32.61 16.13 1.99 15.45 27.14 -37.14 6.03 15.32 5.72 10.71 29.11

2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003

FUNDAMENTALS

(%) ( AUG 31, 2017 )

( AUG 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 USA Momentum

1.50

5.40

22.79

24.01

14.18

17.16

9.44

13.38

1.49

21.35

17.32

2.98

MSCI USA

0.33

3.01

16.23

12.13

9.37

14.29

7.67

9.88

1.98

23.01

17.95

3.13

INDEX RISK AND RETURN CHARACTERISTICS

( JUN 01, 1994 – AUG 31, 2017 )

ANNUALIZED STD DEV (%) 2 Beta

MSCI USA Momentum MSCI USA

0.95 1.00

7.53 0.00

SHARPE RATIO 2 , 3

MAXIMUM DRAWDOWN

5 Yr

10 Yr

3 Yr

5 Yr

10 Yr

Since Jun 01, 1994

108.52 9.65 2.66 10.19

9.98 9.61

15.92 15.21

1.38 0.89

1.61 1.41

0.60 0.51

0.70 0.53

1

2

Tracking Turnover Error (%) (%) 1

3 Yr

Last 12 months

Based on monthly gross returns data

3

(%)

Period YYYY-MM-DD

55.94 54.91

2007-12-26—2009-03-09 2007-10-09—2009-03-09

Based on ICE LIBOR 1M

The MSCI USA Momentum Index was launched on Feb 15, 2013. 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 USA MOMENTUM INDEX

AUG 31, 2017

INDEX CHARACTERISTICS

TOP 10 CONSTITUENTS

MSCI USA Momentum

Number of Constituents

MSCI USA

124

634 Weight

Largest Smallest Average Median

(%)

5.19 0.08 0.81 0.40

3.88 0.01 0.16 0.06

MICROSOFT CORP JPMORGAN CHASE & CO APPLE BANK OF AMERICA CORP COMCAST CORP A (NEW) UNITEDHEALTH GROUP HOME DEPOT NVIDIA BOEING CO CHARTER COMM A (NEW) Total

Index Wt. (%)

Parent Index