MSCI USA Low Size Index

The MSCI USA Low Size Index is based on the MSCI USA Index, its parent index, which includes large and mid-cap stocks of the US equity markets. The index aims to represent the performance of low size strategy by assigning weights in the inverse proportion of natural logarithm of total issuer market capitalization

Index code	722395
Inception date	April 20, 2020
Div Yld (%)	1.67
P/E	24.56
P/E Fwd	18.80
P/BV	3.32

Number of constituents	593
Index Market Cap	$48.98 T
Largest constituent Market Cap	$147.16 B
Smallest constituent Market Cap	$25.98 B
Average constituent Market Cap	$82.61 B
Median constituent Market Cap	$83.58 B

Data as of Sept. 30, 2024

		Annualized std dev (%)²	Sharpe ratio^2,3	Maximum drawdown
MSCI USA Low Size Index	19.20	18.71	20.18	16.84	0.27	0.56	0.59	58.34	2009-03-09 - 2007-07-13
MSCI ACWI IMI	2.23	16.70	17.69	14.97	0.34	0.62	0.58	58.28	2009-03-09 - 2007-10-31

Ticker	Provider	Name	Product type	Index name	Currency
SIZE US	iShares	iShares MSCI USA Size Factor ETF	ETF	MSCI USA Low Size Index	USD

ESG metrics

Summary

MSCI USA Low Size Index

Implied Temperature Rise

> 2.0°C - < 3.2°C

99.33% coverage

MSCI ACWI IMI

Implied Temperature Rise

> 2.0°C - < 3.2°C

94.69% coverage

MSCI USA Low Size Index	Score	Coverage
ESG Score	6.69	99.83%
UN Global Compact Violations % (*)	0.00%	99.83%
Red Flag ESG Controversies % (*)	0.21%	99.83%

MSCI ACWI IMI	Score	Coverage
ESG Score	6.72	88.49%
UN Global Compact Violations % (*)	0.15%	97.03%
Red Flag ESG Controversies % (*)	0.16%	97.03%

(*) Additional ESG factor not mentioned in the regulation but provided for transparency purposes.

Data available as of Sept. 30, 2024. The information was updated as part of the regular monthly update cycle.

MSCI ESG and climate ratings, research and data are produced by MSCI ESG Research LLC, a subsidiary of MSCI Inc. MSCI ESG Indexes, Analytics, Real Assets, and Private Capital Solutions are products of MSCI Inc. that utilize information from MSCI ESG Research LLC. MSCI Indexes are administered by MSCI Limited and MSCI Deutschland GmbH.

Consolidated environmental rating distribution

MSCI USA Low Size Index

MSCI ACWI IMI

MSCI USA Low Size Index	Score	Coverage
Environmental Pillar Score	5.62	99.83%
Aggregated Climate VaR %	-22.16%	--
Policy Risk Climate VaR %	-15.37%	99.83%
Technology Opportunities Climate VaR %	1.68%	91.57%
Physical Risk Climate VaR %	-8.47%	98.15%
Fossil Fuel-Based Sector Exposure (NACE) %	7.18%	100.00%
Enterprise Carbon Intensity (t CO2e/$M EVIC)	347.60	99.49%
Reported Emissions %	75.25%	--
Estimated Emissions %	24.13%	--
Wtd Avg Carbon Intensity (t CO2e/$M Sales)	849.48	99.83%
High Climate Impact Sector Exposure %	61.80%	100.00%
Fossil Fuel Reserves % (*)	3.82%	99.83%
Green Revenue	4.16	99.83%
Green Capex %	0.48%	7.42%
Green Bonds % (**)	--	--

MSCI ACWI IMI	Score	Coverage
Environmental Pillar Score	5.90	88.49%
Aggregated Climate VaR %	-20.29%	--
Policy Risk Climate VaR %	-12.90%	95.68%
Technology Opportunities Climate VaR %	1.97%	63.31%
Physical Risk Climate VaR %	-9.35%	80.58%
Fossil Fuel-Based Sector Exposure (NACE) %	7.36%	100.00%
Enterprise Carbon Intensity (t CO2e/$M EVIC)	367.13	96.17%
Reported Emissions %	83.09%	--
Estimated Emissions %	16.46%	--
Wtd Avg Carbon Intensity (t CO2e/$M Sales)	845.72	96.11%
High Climate Impact Sector Exposure %	60.11%	99.98%
Fossil Fuel Reserves % (*)	5.31%	97.10%
Green Revenue	7.67	99.70%
Green Capex %	0.53%	4.58%
Green Bonds % (**)	--	--

(*) Additional ESG factor not mentioned in the regulation but provided for transparency purposes.

(**) The universe of self-labelled green bonds is sourced from Refinitiv and Climate Bonds Initiative. Bonds included in the MSCI Fixed Income Indexes that are not identified as selflabelled green bonds based on data from Refinitiv and Climate Bonds Initiative are deemed non-compliant with the green bond criteria as defined by the MSCI ESG Research Green Bond Assessment methodology. Such bonds are counted towards the Coverage %.

Data available as of Sept. 30, 2024. The information was updated as part of the regular monthly update cycle.

MSCI ESG and climate ratings, research and data are produced by MSCI ESG Research LLC, a subsidiary of MSCI Inc. MSCI ESG Indexes, Analytics, Real Assets, and Private Capital Solutions are products of MSCI Inc. that utilize information from MSCI ESG Research LLC. MSCI Indexes are administered by MSCI Limited and MSCI Deutschland GmbH.

MSCI USA Low Size Index	Score	Coverage
Social Pillar Score	5.06	99.83%
Controversial Weapons %	0.64%	99.83%
Tobacco Involvement - Highly Restrictive %	0.87%	--
Tobacco Involvement - Moderately Restrictive % (*)	0.35%	99.83%
Social Violations (Count)	1.00	99.83%
Social Violations (% of Constituents)	0.17%	99.83%
Lack of Due Diligence Policy (ILO) %	0.00%	99.83%
Gender Pay Gap	15.92	80.61%
Female:Male Board Diversity Ratio	54.59	99.33%
Total Recordable Injury Rate	4.37	92.41%
Bribery and Corruption Controversies (Sum)	27.00	99.83%

MSCI ACWI IMI	Score	Coverage
Social Pillar Score	5.05	88.49%
Controversial Weapons %	0.43%	99.87%
Tobacco Involvement - Highly Restrictive %	0.71%	--
Tobacco Involvement - Moderately Restrictive % (*)	0.53%	99.87%
Social Violations (Count)	18.00	97.03%
Social Violations (% of Constituents)	0.20%	97.03%
Lack of Due Diligence Policy (ILO) %	0.00%	97.32%
Gender Pay Gap	14.41	63.30%
Female:Male Board Diversity Ratio	55.66	95.45%
Total Recordable Injury Rate	4.24	73.50%
Bribery and Corruption Controversies (Sum)	187.00	97.02%

MSCI USA Low Size Index	Score	Coverage
Governance Pillar Score	6.12	99.83%
Board Independence	82.35	99.83%
Board Gender Diversity	33.83	99.83%

MSCI ACWI IMI	Score	Coverage
Governance Pillar Score	5.70	88.49%
Board Independence	78.49	97.01%
Board Gender Diversity	33.80	97.01%

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ALNYLAM PHARMACEUTICALS	0.30%
PALANTIR TECHNOLOGIES A	0.28%
ZILLOW GROUP C	0.25%
APPLOVIN CORP A	0.25%
GE VERNOVA	0.25%
TEXAS PACIFIC LAND	0.24%
BEST BUY CO	0.23%
IRON MOUNTAIN	0.23%
BURLINGTON STORES	0.23%
AXON ENTERPRISE	0.23%

Index categories

Products for indexes

Direct Indexing

MSCI USA Low Size Index

Index risk and return characteristics

Top 10 constituents

Sector weights

Country weights

1 index-linked ETP

ESG metrics

Summary

MSCI USA Low Size Index

MSCI ACWI IMI

Consolidated environmental rating distribution

MSCI USA Low Size Index

MSCI ACWI IMI

Consolidated social rating distribution

MSCI USA Low Size Index

MSCI ACWI IMI

Consolidated governance rating distribution

MSCI USA Low Size Index

MSCI ACWI IMI

Want to learn more about MSCI indexes?
Get in touch.

		Annualized std dev (%)²			Sharpe ratio^2,3			Maximum drawdown
	Turnover(%)¹	3 YR	5 YR	10 YR	3 YR	5 YR	10 YR	%	Period YYYY-MM-DD
MSCI USA Low Size Index	19.20	18.71	20.18	16.84	0.27	0.56	0.59	58.34	2009-03-09 - 2007-07-13
MSCI ACWI IMI	2.23	16.70	17.69	14.97	0.34	0.62	0.58	58.28	2009-03-09 - 2007-10-31

Index categories

Products for indexes

Direct Indexing

MSCI USA Low Size Index

Index risk and return characteristics

Top 10 constituents

Sector weights

Country weights

1 index-linked ETP

ESG metrics

Summary

MSCI USA Low Size Index

MSCI ACWI IMI

Consolidated environmental rating distribution

MSCI USA Low Size Index

MSCI ACWI IMI

Consolidated social rating distribution

MSCI USA Low Size Index

MSCI ACWI IMI

Consolidated governance rating distribution

MSCI USA Low Size Index

MSCI ACWI IMI

Want to learn more about MSCI indexes?Get in touch.

Want to learn more about MSCI indexes?
Get in touch.