MSCI Frontier Markets Small Cap Index (USD)

The MSCI Frontier Markets Small Cap Index captures small cap representation across 27 Frontier Markets countries*. The index
includes 149 constituents, covering about 14% of the free float-adjusted market capitalization in each country.

CUMULATIVE INDEX PERFORMANCE — PRICE RETURNS (USD) ANNUAL PERFORMANCE (%)

(NOV 2010 – MAY 2021) MSCI Frontier MSCI Frontier
Year Markets Small Cap Markets

MSCI Frontier Markets Small Cap 2020 0.89 -2.45

MSCI Frontier Markets 2019 -5.70 13.54
150 2018 -20.13 -19.06
2017 19.51 27.69
2016 10.60 -1.28
2015 -11.32 -17.32
110.02
2014 2.19 2.90
2013 28.12 21.36
100
95.01 2012 3.08 4.89
2011 -31.16 -22.14

50
Nov 10 Oct 11 Aug 12 Jul 13 May 14 Apr 15 Feb 16 Jan 17 Nov 17 Oct 18 Aug 19 Jul 20 May 21

INDEX PERFORMANCE — PRICE RETURNS (%) (MAY 31, 2021) FUNDAMENTALS (MAY 31, 2021)
ANNUALIZED

1 Mo 3 Mo 1 Yr YTD 3 Yr 5 Yr 10 Yr NovSince Div Yld (%) P/E P/E Fwd P/BV

30, 2010

MSCI Frontier Markets Small

6.05 10.13 39.37 13.90 -1.11 2.44 1.01 -0.49 3.02 15.12 na 1.17
Cap
MSCI Frontier Markets 3.53 9.88 33.41 10.34 3.06 4.42 1.37 0.91 2.86 17.51 na 2.12

INDEX RISK AND RETURN CHARACTERISTICS (MAY 31, 2021)

ANNUALIZED STD DEV (%) 2 SHARPE RATIO 2 , 3 MAXIMUM DRAWDOWN
Since
Turnover 3 Yr 5 Yr 10 Yr 3 Yr 5 Yr 10 Yr Nov 30, (%) Period YYYY-MM-DD
(%) 1 2010
MSCI Frontier Markets Small
58.60 16.16 13.98 12.88 -0.07 0.16 0.09 -0.02 46.20 2018-01-26—2020-04-02
Cap
MSCI Frontier Markets 51.23 17.97 15.65 13.77 0.19 0.28 0.12 0.09 41.64 2014-07-30—2020-03-23
1 2 3
Last 12 months Based on monthly price returns data Based on ICE LIBOR 1M

* Frontier Markets countries include: Bahrain, Bangladesh, Burkina Faso, Benin, Croatia, Estonia, Guinea-Bissau, Iceland, Ivory Coast, Jordan, Kenya, Lithuania, Kazakhstan,
Mauritius, Mali, Morocco, Niger, Nigeria, Oman, Romania, Serbia, Senegal, Slovenia, Sri Lanka, Togo, Tunisia and Vietnam.

The MSCI Frontier Markets Small Cap Index was launched on Dec 01, 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 Frontier Markets Small Cap Index (USD) | msci.com

MAY 31, 2021

INDEX CHARACTERISTICS TOP 10 CONSTITUENTS

MSCI Frontier Markets Small Cap Country Float Adj Mkt Index Sector
Number of 149 Cap Wt. (%)
( USD Billions)
Constituents KCB GROUP KE 0.95 3.09 Financials
Mkt Cap ( USD Millions)
SSI SECURITIES CORP VN 0.76 2.46 Financials
Index 30,673.87
KVIKA BANKI IS 0.72 2.34 Financials
Largest 946.58 PHAT DAT REAL ESTATE VN 0.65 2.12 Real Estate
Smallest 31.26 SODEP MARSA MAROC MA 0.61 1.99 Industrials
Average 205.86 PETROL SI 0.61 1.98 Cons Discr
Median 152.29 HAGAR IS 0.56 1.81 Cons Staples
SIMINN IS 0.55 1.78 Comm Srvcs
GULF FINANCE HOUSE BH 0.52 1.69 Financials
BEXIMCO PHARMACEUTICALS BD 0.51 1.68 Health Care
Total 6.42 20.94

FACTORS - KEY EXPOSURES THAT DRIVE RISK AND RETURN

MSCI FACTOR BOX MSCI FaCS
UNDERWEIGHT NEUTRAL OVERWEIGHT
VALUE
Relatively Inexpensive Stocks

LOW SIZE
Smaller Companies

MOMENTUM
Rising Stocks

QUALITY
Sound Balance Sheet Stocks

YIELD
Cash Flow Paid Out

LOW VOLATILITY
Lower Risk Stocks

MSCI FaCS provides absolute factor exposures

relative to a
<-1.5 0 +1.5< broad global index - MSCI ACWI IMI.
MSCI Frontier Markets Small Cap MSCI Frontier Markets
Neutral factor exposure (FaCS = 0) represents
MSCI ACWI IMI.

SECTOR WEIGHTS COUNTRY WEIGHTS

12.05% 6.45% 35.44%

5.96% 6.54%

4.01%
13.04% 7.62%
3.89%

3.7%

1.92% 12.26%
13.76%
1.51% 24.17%
33.72% 13.96%

Financials 33.72% Consumer Staples 13.76% Industrials 13.04% Vietnam 24.17% Iceland 13.96% Bangladesh 12.26% Morocco 7.62%

Real Estate 12.05% Consumer Discretionary 6.45% Materials 5.96% Croatia 6.54% Other 35.44%

Utilities 4.01% Energy 3.89% Communication Services 3.7% Health Care 1.92%

Information Technology 1.51%

MSCI Frontier Markets Small Cap Index (USD) | msci.com

MAY 31, 2021

INDEX METHODOLOGY
The index is based on the MSCI Global Investable Market Indexes (GIMI) Methodology —a comprehensive and consistent approach
to index construction that allows for meaningful global views and cross regional comparisons across all market capitalization size,
sector and style segments and combinations. This methodology aims to provide exhaustive coverage of the relevant investment
opportunity set with a strong emphasis on index liquidity, investability and replicability. The index is reviewed quarterly—in February,
May, August and November—with the objective of reflecting change in the underlying equity markets in a timely manner, while
limiting undue index turnover. During the May and November semi-annual index reviews, the index is rebalanced and the small
capitalization cutoff points are recalculated.

FACTOR BOX AND FaCS METHODOLOGY

MSCI FaCS is a standard method (MSCI FaCS Methodology) for evaluating and reporting the Factor characteristics of equity
portfolios. MSCI FaCS consists of Factor Groups (e.g. Value, Size, Momentum, Quality, Yield, and Volatility) that have been
extensively documented in academic literature and validated by MSCI Research as key drivers of risk and return in equity
portfolios. These Factor Groups are constructed by aggregating 16 factors (e.g. Book-to-Price, Earnings/Dividend Yields, LT
Reversal, Leverage, Earnings Variability/Quality, Beta) from the latest Barra global equity factor risk model, GEMLT, designed to
make fund comparisons transparent and intuitive for use. The MSCI Factor Box, which is powered by MSCI FaCS, provides a
visualization designed to easily compare absolute exposures of funds/indexes and their benchmarks along 6 Factor Groups that
have historically demonstrated excess market returns over the long run.

ABOUT MSCI
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decisions by enabling clients to understand and analyze key drivers of risk and return and confidently build more effective portfolios. We create industry-leading research-enhanced solutions that clients use
to gain insight into and improve transparency across the investment process. To learn more, please visit www.msci.com.

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MSCI Frontier Markets Small Cap Index (USD) | msci.com