MSCI KLD 400 Social Index

(USD)

The MSCI KLD 400 Social Index comprises companies with high Environmental, Social and Governance
(ESG) ratings and excludes companies involved in Alcohol, Gambling, Tobacco, Military Weapons, Civilian
Firearms, Nuclear Power, Adult Entertainment, and Genetically Modified Organisms (GMO). The Index aims
to serve as a benchmark for investors whose objectives include owning companies with very high ESG ratings
and avoiding companies that are incompatible with specific values-based criteria. Launched in May 1990 as
the Domini 400 Social Index, it is one of the first Socially Responsible Investing (SRI) indexes. Constituent
selection is based on data from MSCI ESG Research.

Cumulative Index Performance Gross Returns (Aug 1999 Aug 2014) USD

Annual Performance (%)

Year

MSCI KLD 400 Social Index

MSCI USA

MSCI KLD 400

Social Index

MSCI USA

36.20
13.24
1.60
11.89
31.73
-34.94
3.72
13.26
3.00
10.31
28.47
-20.10
-12.08
-14.24

32.61
16.13
1.99
15.45
27.14
-37.14
6.03
15.32
5.72
10.71
29.11
-22.71
-12.03
-12.54

2013
2012

200

2011

197.69
194.07

2010
2009
2008
2007

150

2006
2005
2004
2003
2002

100

2001
2000

50
Aug 99

Nov 00

Feb 02

May 03

Aug 04

Nov 05

Feb 07

May 08

Aug 09

Nov 10

Feb 12

May 13

Aug 14

Index Performance Gross Returns (%) (August 29, 2014)

Fundamentals (August 29, 2014)

Annualized

MSCI KLD 400 Social Index

MSCI USA

1 Mo

3 Mo

1 Yr

YTD

3.75
4.01

4.65
4.75

25.03
25.22

9.50
9.88

3 Yr

5 Yr

10 Yr

20.79 16.38
20.61 17.02

8.13
8.58

Since

Div Yld (%)

P/E

P/E Fwd

P/BV

10.53
10.13

1.86
1.94

20.44
19.21

16.74
16.04

3.27
2.77

Apr 30, 1990

Index Risk and Return Characteristics (August 29, 2014)

Annualized Std Dev (%)2
Turnover
(%)1

MSCI KLD 400 Social Index

MSCI USA

22.83
2.36

Sharpe Ratio2,3

3 Yr

5 Yr

10 Yr

3 Yr

5 Yr

10 Yr

11.21
11.71

12.95
13.29

14.62
14.74

1.73
1.65

1.23
1.24

0.48
0.51

Last 12 months

Based on monthly gross returns data

Maximum Drawdown
Since

Apr 30, 1990

na
0.50

(%)

Period YYYY-MM-DD

53.71
54.91

2007-10-092009-03-09
2007-10-092009-03-09

Based on BBA LIBOR 1M

On September 1, 2010 the FTSE KLD indexes transitioned to the MSCI ESG Indexes. The former KLD indexes had multiple third party index calculators over time. Consequently the MSCI ESG index
histories have been aggregated and compiled to create a continuous time series from a variety of sourcessources which may have followed different index calculation methodologies in some instances.
The MSCI ESG Indexes use ratings and other data supplied by MSCI ESG Research Inc, a subsidiary of MSCI Inc.
The MSCI KLD 400 Social Index was launched on May 01, 1990. 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 KLD 400 Social Index

August 29, 2014

Index Characteristics

Top 10 Constituents

MSCI KLD 400 Social Index

Number of
Constituents

Mkt Cap

397

Wt. (%)

Index

Sector

Sector

225.35
206.31
190.24
176.76
173.62
165.49
163.56
163.55
149.42
140.81
1,755.11

3.07
2.81
2.59
2.41
2.36
2.25
2.23
2.23
2.03
1.92
23.89

Cons Staples
Telecom Srvcs
Info Tech
Health Care
Info Tech
Health Care
Info Tech
Info Tech
Info Tech
Cons Staples

28.8
84.9
11.2
17.5
10.2
16.4
9.6
9.6
8.8
18.0

PROCTER & GAMBLE CO

VERIZON COMMUNICATIONS
IBM CORP
MERCK & CO
INTEL CORP
GILEAD SCIENCES
GOOGLE C
GOOGLE A
ORACLE CORP
PEPSICO
Total

Mkt Cap

(USD Millions)

Index
Largest
Smallest
Average
Median

(USD Billions)

7,347,299.52
225,345.12
108.28
18,507.05
8,293.25

Wt. (%)

Sector Weights
10.65%

9.79%
5.97%

12.42%

3.33%
3.31%
1.94%

13.73%
23.19%
15.68%

Information Technology 23.19%

Financials 15.68%

Consumer Discretionary 12.42%

Consumer Staples 10.65%

Energy 5.97%

Materials 3.33%

Health Care 13.73%

Industrials 9.79%

Telecommunication Services 3.31%

Utilities 1.94%

Index Methodology
The selection universe for the MSCI KLD 400 Social Index is the MSCI USA IMI ESG Index, which is made up of securities of large, mid and small cap U.S.
companies selected using an ESG Best-in-Class methodology. Companies involved in the following activities are excluded from the selection universe:
Alcohol, Gambling, Tobacco, Military Weapons, Civilian Firearms, Nuclear Power, Adult Entertainment, and Genetically Modified Organisms (GMO). The
MSCI KLD 400 Social Index is designed to maintain similar sector weights as the MSCI USA Index and targets a minimum count of 200 large and mid cap
constituents. Companies must have an IVA rating above 'BB' and an Impact Monitor Score greater than 2 to be eligible for the Index. At every Quarterly
Index Review, constituents are deleted if they are deleted from the MSCI USA IMI ESG Index, fail the values based exclusion screens, or have declining
ESG performance or involvement in very severe business controversies. At every Quarterly Index Review, additions are made to the MSCI KLD 400 Social
Index to restore the number of index constituents to 400. Companies are added to the MSCI KLD 400 Social Index from the list of eligible additions based
on considerations of ESG performance, sector alignment and size representation. The Index is float-adjusted market capitalization weighted. The MSCI
KLD 400 Social Index is reviewed quarterly coinciding with the regular Index Reviews of the MSCI Global Investable Market Indexes. Changes are effective
at the beginning of March, June, September and December.

www.msci.com | clientservice@msci.com

About MSCI

MSCI Inc. is a leading provider of investment decision support tools to investors globally, including asset managers, banks, hedge funds and pension funds. MSCI products and services include indexes, portfolio risk and performance analytics,
and ESG data and research.
1

The company's flagship product offerings are: the MSCI indexes with approximately USD 9 trillion estimated to be benchmarked to them on a worldwide basis ; Barra multi-asset class factor models, portfolio risk and performance analytics;
RiskMetrics multi-asset class market and credit risk analytics; IPD real estate information, indexes and analytics; MSCI ESG (environmental, social and governance) Research screening, analysis and ratings; and FEA valuation models and risk
management software for the energy and commodities markets. MSCI is headquartered in New York, with research and commercial offices around the world.
1

As of March 31, 2014, as reported on June 25, 2014 by eVestment, Lipper and Bloomberg.

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