MSCI World Quality Index

MSCI WORLD QUALITY INDEX (USD)
The MSCI World Quality Index is based on MSCI World, its parent index, which includes large and mid cap stocks across 23 Developed
Market (DM) countries*. The index aims to capture the performance of quality growth stocks by identifying stocks with high quality
scores based on three main fundamental variables: high return on equity (ROE), stable year-over-year earnings growth and low financial
leverage. The MSCI Quality Indexes complement existing MSCI Factor Indexes and can provide an effective diversification role in a portfolio
of factor strategies.
CUMULATIVE INDEX PERFORMANCE - GROSS RETURNS
300
ANNUAL PERFORMANCE (%)
(USD) (DEC 2001 – DEC 2016)
Year
MSCI World Quality
MSCI World
297.22
253.59
200
100
50
Dec 01
Apr 03
Jun 04
Sep 05
Dec 06
Mar 08
Jun 09
Sep 10
INDEX PERFORMANCE — GROSS RETURNS
Dec 11
Mar 13
Jun 14
Sep 15
Dec 16
MSCI World Quality
2016
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
5.12
4.25
9.01
27.74
13.66
4.43
11.36
33.49
-33.47
16.76
16.78
6.00
12.68
21.99
FUNDAMENTALS
(%) ( DEC 30, 2016 )
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
( DEC 30, 2016 )
ANNUALIZED
MSCI World Quality
MSCI World
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
1.81
2.43
-1.09
1.97
5.12
8.15
5.12
8.15
6.11
4.38
11.64
11.04
7.66
4.41
10.55
7.13
2.18
2.48
19.68
21.93
17.12
16.27
5.36
2.24
INDEX RISK AND RETURN CHARACTERISTICS
( JUN 01, 1994 – DEC 30, 2016 )
ANNUALIZED STD DEV (%) 2
Beta
MSCI World Quality
MSCI World
0.87
1.00
Tracking Turnover
Error (%)
(%) 1
4.64
0.00
23.01
2.45
1
SHARPE RATIO 2 , 3
MAXIMUM DRAWDOWN
3 Yr
5 Yr
10 Yr
3 Yr
5 Yr
10 Yr
Since
Jun 01,
1994
10.85
11.09
10.56
11.20
14.38
16.52
0.57
0.42
1.08
0.97
0.51
0.28
0.60
0.35
Last 12 months
2
Based on monthly gross returns data
3
(%)
Period YYYY-MM-DD
48.01
57.46
2007-10-31—2009-03-09
2007-10-31—2009-03-09
Based on ICE LIBOR 1M
* Developed Market 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 Quality Index was launched on Dec 18, 2012. 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 QUALITY INDEX
DEC 30, 2016
INDEX CHARACTERISTICS
MSCI World Quality
Number of
Constituents
TOP 10 CONSTITUENTS
MSCI World
300
1,654
Weight
Largest
Smallest
Average
Median
APPLE
MICROSOFT CORP
JOHNSON & JOHNSON
ALPHABET C
ALPHABET A
ROCHE HOLDING GENUSS
NESTLE
PROCTER & GAMBLE CO
DISNEY (WALT)
INTEL CORP
Total
(%)
5.16
0.01
0.33
0.12
1.85
0.00
0.06
0.03
SECTOR WEIGHTS
Country
Index
Wt. (%)
Parent Index
Wt. (%)
Sector
US
US
US
US
US
CH
CH
US
US
US
5.16
5.02
3.57
2.49
2.43
2.25
2.22
2.14
1.78
1.75
28.81
1.85
1.37
0.94
0.71
0.69
0.48
0.66
0.64
0.47
0.51
8.32
Info Tech
Info Tech
Health Care
Info Tech
Info Tech
Health Care
Cons Staples
Cons Staples
Cons Discr
Info Tech
COUNTRY WEIGHTS
15.31%
7.19%
14.78%
6.02%
2.62%
16.29%
2.46%
2.74%
0.91%
1.67%
0.73%
10.09%
0.09%
0.05%
16.34%
72.29%
30.4%
Information Technology 30.4%
Consumer Staples 16.34%
Consumer Discretionary 15.31%
Financials 2.46%
Energy 0.09%
Industrials 14.78%
Telecommunication Services 0.91%
Health Care 16.29%
Materials 2.62%
United States 72.29%
Denmark 1.67%
United Kingdom 7.19%
Switzerland 6.02%
Japan 2.74%
Other 10.09%
Real Estate 0.73%
Utilities 0.05%
INDEX METHODOLOGY
The MSCI Quality Indexes aim to capture the quality factor with a simple and transparent methodology that ensures reasonably high trading liquidity and investment capacity of
constituent companies, as well as moderate index turnover. A quality score for each security is calculated by combining Z scores of three winsorized fundamental variables—Return
on Equity, Debt to Equity and Earnings Variability. MSCI then averages the Z scores of each of the three fundamental variables to calculate a composite quality Z score for each security,
and then ranks all constituents of the parent index based on their quality scores.
The MSCI Quality Indexes are constructed with a fixed number of securities approach. A fixed number of securities with the highest positive quality scores is determined for each MSCI
Quality Index with the goal of achieving high exposure to the quality factor while maintaining sufficient index market capitalization and number of securities coverage. All securities
eligible for inclusion in the MSCI Quality Indexes are weighted by the product of their market cap weight in the parent index and their quality score. Issuer weights are capped at 5%.
The Quality indexes are rebalanced semi-annually, as of the close of the last business day of November and May.
ABOUT MSCI
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of performance and risk in their portfolios, broad asset class coverage and innovative research. Our line of products and services includes indexes, analytical models, data, real estate benchmarks and ESG
research. MSCI serves 98 of the top 100 largest money managers, according to the most recent P&I ranking. For more information, visit us at www.msci.com.
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MSCI WORLD QUALITY INDEX