Also known as: MXWDLCT Index (Bloomberg) · 705451 (MSCI code)
At a glance
- Weighting schemeOptimized
- Review frequencySemi-annual
- Single cap20
| Field | Value | Source text | Reading (model) |
|---|---|---|---|
| M1 Identity, objective, classification · 10 fields | |||
| Minimum carbon exposure reduction | 30% | Maximize the reduction of carbon exposure relative to the respective Parent Index, measured by carbon emissions and fossil fuel reserves, while ensuring a reduction of at least 30%.Open p.3 ↗ |
The optimization seeks at least a 30% reduction in carbon exposure relative to the parent index. |
| Ex ante tracking error constraint | 50 bps | Control tracking error by applying an ex-ante tracking error constraint of 50 bps while minimizing carbon exposure.Open p.3 ↗ |
The optimization applies an ex-ante tracking error constraint of 50 basis points. |
| Active bias control | Sector, Country, Regional | Have low active sector, country, and regional biases relative to the respective Parent Index1.Open p.3 ↗ |
The indexes are designed to have low active sector, country, and regional biases relative to the parent index. |
| Index name | MSCI Global Low Carbon Target Indexes | The MSCI Global Low Carbon Target Indexes (the “Indexes”) are designed to address two dimensions of carbon exposure – carbon emissions and fossil fuel reserves.Open p.3 ↗ |
The official index family name is MSCI Global Low Carbon Target Indexes. |
| Administrator | MSCI Limited and MSCI Deutschland GmbH | MSCI Limited and MSCI Deutschland GmbH are the benchmark administrators for the MSCI indexes.Open p.4 ↗ |
MSCI Limited and MSCI Deutschland GmbH are the benchmark administrators for the indexes. |
| Index family | MSCI Global Low Carbon Target Indexes | The MSCI Global Low Carbon Target Indexes (the “Indexes”) are designed to address two dimensions of carbon exposure – carbon emissions and fossil fuel reserves.Open p.3 ↗ |
The indexes belong to the MSCI Global Low Carbon Target Indexes family. |
| Parent index | market capitalization weighted Parent Index | The Index is constructed by selecting constituents of a market capitalization weighted index (the “Parent Index”) through an optimization process that aims to:Open p.3 ↗ |
Each index is constructed by selecting constituents from a market capitalization weighted parent index. |
| Objective | The indexes are designed to address carbon emissions and fossil fuel reserves by maximizing carbon exposure reduction relative to the parent index, targeting at least a 30% reduction, controlling ex-ante tracking error at 50 bps, and maintaining low active sector, country, and regional biases. | The MSCI Global Low Carbon Target Indexes (the “Indexes”) are designed to address two dimensions of carbon exposure – carbon emissions and fossil fuel reserves.Open p.3 ↗ |
The indexes aim to reduce carbon emissions and fossil fuel reserve exposure by at least 30% relative to the parent index while targeting ex-ante tracking error of 50 bps and low active sector, country, and regional biases. |
| Market classification | Global | The MSCI Global Low Carbon Target Indexes (the “Indexes”) are designed to address two dimensions of carbon exposure – carbon emissions and fossil fuel reserves.Open p.3 ↗ |
The index family is global in scope. |
| Index family type | Climate | The MSCI Global Low Carbon Target Indexes (the “Indexes”) are designed to address two dimensions of carbon exposure – carbon emissions and fossil fuel reserves.Open p.3 ↗ |
The index family is a climate-oriented low-carbon index family. |
| M2 Universe · 3 fields | |||
| Eligible universe definition | Parent Index constituents after specified exclusions | The Eligible Universe for the Indexes is defined by applying the following exclusions on the constituents of the Parent Index.Open p.4 ↗ |
The eligible universe is the parent index's constituents after the specified carbon and ESG exclusions. |
| Parent universe index | Parent Index | The Eligible Universe for the Indexes is defined by applying the following exclusions on the constituents of the Parent Index.Open p.4 ↗ |
The eligible universe is formed from constituents of the relevant parent index after exclusions. |
| Exclusions | companies involved in controversial weapons, companies with red flag controversies, companies deriving 1% or more revenue from thermal coal mining and external sales, companies deriving 5% or more revenue from oil sands extraction | Controversial Weapons: All companies involved in Controversial Weapons as defined by the methodology of the MSCI Ex-Controversial Weapons Indexes.Open p.4 ↗ |
The parent-index universe excludes controversial weapons companies, red-flag controversy companies, thermal coal mining companies with at least 1% qualifying revenue, and oil sands extraction companies with at least 5% revenue. |
| M3 Eligibility screens · 4 fields | |||
| Required sustainability and climate assessments | MSCI Controversies, MSCI Climate Change Metrics, MSCI Business Involvement Screening Research (BISR) | Companies not assessed by MSCI Solutions on data for the following MSCI sustainability and climate product are not eligible for inclusion in the Indexes.Open p.5 ↗ |
Companies must be assessed by MSCI Solutions for MSCI Controversies, MSCI Climate Change Metrics, and MSCI Business Involvement Screening Research. |
| Controversial weapons categories | cluster bombs, Landmines, depleted uranium weapons, chemical and biological weapons, blinding laser weapons, non-detectable fragments, incendiary weapons using white phosphorus | Companies which meet the following Controversial Weapons criteria are excluded from the Index Cluster BombsOpen p.12 ↗ |
Controversial weapons exclusions cover cluster bombs, landmines, depleted uranium, chemical and biological weapons, blinding lasers, non-detectable fragments, and white phosphorus incendiary weapons. |
| Controversial weapons involvement criteria | producers of the weapons, producers of key components where applicable, ownership of 20% or more of a weapons or components producer, 50% ownership threshold for financial companies owning a manufacturer, 50% or more owned by an involved weapons or components producer, any identifiable controversial weapons revenue | Involvement criteria: Producers of the weapons Producers of key components of the weapons (only applies to cluster bombs, landmines, depleted uranium weapons as well as chemical and biological weapons)Open p.13 ↗ |
Controversial weapons eligibility considers production, key-component production, ownership thresholds, and zero-tolerance identifiable revenue. |
| Business or ESG exclusions | controversial weapons involvement, red flag controversy with MSCI Controversy Score of 0, thermal coal mining revenue threshold of 1% or more, oil sands extraction revenue threshold of 5% or more, missing MSCI Controversies assessment, missing MSCI Climate Change Metrics assessment, missing MSCI Business Involvement Screening Research assessment | Controversial Weapons: All companies involved in Controversial Weapons as defined by the methodology of the MSCI Ex-Controversial Weapons Indexes.Open p.4 ↗ |
Eligibility excludes controversial weapons, red-flag controversies, specified thermal coal and oil sands revenue exposure, and companies not assessed by the required MSCI sustainability and climate datasets. |
| M4 Selection and constituent count · 11 fields | |||
| Optimization objective | Minimize carbon exposure | Minimize the carbon exposure subject to a tracking error constraint of 50 basis points relative to the respective Parent IndexOpen p.5 ↗ |
The optimization minimizes the index's carbon exposure. |
| Tracking error constraint bps | 50 basis points | Minimize the carbon exposure subject to a tracking error constraint of 50 basis points relative to the respective Parent IndexOpen p.5 ↗ |
The optimization is subject to a 50 basis point tracking error constraint relative to the respective parent index. |
| Greenhouse gas intensity minimum reduction (%) | 30% | A minimum reduction of 30% in Greenhouse Gas (GHG) Intensity (Scope 1+2+3) relative to the respective Parent IndexOpen p.5 ↗ |
Greenhouse Gas Intensity covering Scope 1, 2, and 3 must be at least 30% lower than in the respective parent index. |
| Potential emissions intensity minimum reduction (%) | 30% | A minimum reduction of 30% in Potential Emissions Intensity relative to the Parent Index.Open p.5 ↗ |
Potential Emissions Intensity must be at least 30% lower than in the parent index. |
| Optimizer | Barra Open Optimizer with the relevant Barra Equity Model | The Indexes are constructed using the Barra Open Optimizer in combination with the relevant Barra Equity Model.Open p.5 ↗ |
The indexes are constructed using the Barra Open Optimizer together with the relevant Barra Equity Model. |
| Low weight security elimination | Securities weighing less than one-tenth of the parent index minimum weight are eliminated and their weight is redistributed proportionately. | After the optimization process, any securities with extremely low weights (less than 1/10th of the minimum weight in the Parent Index) are eliminated, and their weight is proportionately distributed over the remaining securitiesOpen p.5 ↗ |
After optimization, securities with weights below one-tenth of the parent index's minimum weight are removed and their weights are allocated proportionately to remaining securities. |
| One way turnover limit (%) | 10 percent per review | The one-way turnover of the Indexes is constrained to a maximum of 10% at each index reviewOpen p.5 ↗ |
One-way turnover is constrained to a maximum of 10% at each index review. |
| Constraint relaxation order | If no optimal solution exists, the turnover constraint is relaxed to as much as 20% in 1% steps; if still infeasible, predicted tracking error is relaxed in 10 basis point steps. | In the event that there is no optimal solution that satisfies all the optimization constraints, the turnover constraint will be relaxed up to a maximum turnover of 20% in steps of 1% until an optimal solution is found. If a feasible solution is still not found, the predicted tracking error is instead relaxed in steps of 10 basis points.Open p.5 ↗ |
When all constraints cannot be satisfied, the optimizer first relaxes turnover up to 20% in increments of 1%, and then relaxes predicted tracking error in increments of 10 basis points. |
| Selection method | Optimization | The Indexes are constructed using an optimization process that applies the following objective and constraintsOpen p.5 ↗ |
The indexes are constructed through an optimization process using the eligible universe, an objective, and constraints. |
| Ranking metrics | — | Minimize the carbon exposure subject to a tracking error constraint of 50 basis points relative to the respective Parent IndexOpen p.5 ↗ |
No ranking metrics are used; the optimizer minimizes carbon exposure rather than ranking securities by a metric. |
| Industry neutrality rule | Sector weights are constrained to within plus or minus 2 percentage points of the parent index, except that no Energy sector weight constraint is applied. | The sector weights in the Indexes will not deviate more than +/-2% from the sector weights in the Parent Index with the exception of the Energy Sector where the sector weight constraint is not appliedOpen p.5 ↗ |
Sector weights must remain within +/-2% of parent-index sector weights, except for the Energy sector, which is unconstrained. |
| M5 Weighting and capping · 7 fields | |||
| Relative constituent weight cap | Multiplier: 20; Reference: respective Parent Index weight | The maximum weight of an Index constituent will be restricted to 20 times its weight in the respective Parent IndexOpen p.5 ↗ |
Each constituent's weight may not exceed 20 times its respective parent-index weight. |
| Country weight deviation limit (%) | 2 percentage points | The country weight in the Indexes will not deviate more than +/-2% from the country weight in the respective Parent IndexOpen p.5 ↗ |
Index country weights may not deviate by more than plus or minus 2 percentage points from parent-index country weights. |
| China A Stock Connect group deviation limit (%) | 2 percentage points | The above country weight constraint will also apply on China A Stock Connect listings as a group separately in addition to the usual country weight constraint on ChinaOpen p.5 ↗ |
China A Stock Connect listings as a separate group are also subject to a plus or minus 2 percentage point country-weight deviation constraint. |
| Sector weight deviation limit (%) | 2 percentage points | The sector weights in the Indexes will not deviate more than +/-2% from the sector weights in the Parent Index with the exception of the Energy Sector where the sector weight constraint is not appliedOpen p.5 ↗ |
Sector weights may not deviate by more than plus or minus 2 percentage points from parent-index sector weights, except for Energy. |
| Weighting scheme | Optimized | The Indexes are constructed using an optimization process that applies the following objective and constraintsOpen p.5 ↗ |
Security weights are determined by the optimization rather than by a fixed market-capitalization or equal-weight formula. |
| Weight cap | 20 times parent weight multiplier | The maximum weight of an Index constituent will be restricted to 20 times its weight in the respective Parent IndexOpen p.5 ↗ |
A constituent's weight is capped at 20 times its weight in the respective parent index; this is a relative multiplier rather than a fixed percentage cap. |
| Cap application timing | At review | The one-way turnover of the Indexes is constrained to a maximum of 10% at each index reviewOpen p.5 ↗ |
The optimization weight constraints are applied when constructing the index at each index review. |
| M6 Review and rebalance schedule · 7 fields | |||
| Review process | At each index review, the optimization process outlined in Section 2 is implemented. | At each Index Review, the optimization process outlined in Section 2 is implemented.Open p.7 ↗ |
Each semi-annual index review implements the optimization process described in Section 2. |
| Review frequency | Semi-annual | The Indexes are reviewed on a semi-annual basis in May and November to coincide with the May and November Index Reviews of the MSCI Global Investable Market IndexesOpen p.7 ↗ |
The indexes are reviewed semi-annually. |
| Review types | Semi annual review | The Indexes are reviewed on a semi-annual basis in May and November to coincide with the May and November Index Reviews of the MSCI Global Investable Market IndexesOpen p.7 ↗ |
The stated scheduled index reviews are the May and November semi-annual reviews. |
| Review months | May, November | The Indexes are reviewed on a semi-annual basis in May and November to coincide with the May and November Index ReviewsOpen p.7 ↗ |
Index reviews occur in May and November. |
| Data cutoff rule | MSCI Solutions ESG data is generally used as of the end of the month preceding the index reviews; later-published ESG data may be used when month-end data is unavailable. | In general, MSCI uses MSCI Solutions data3 (i.e., MSCI Climate Change Metrics, MSCI Controversies and MSCI Business Involvement Screening Research) as of the end of the month preceding the Index Reviews.Open p.7 ↗ |
MSCI generally uses MSCI Solutions data as of the end of the month preceding the May and November reviews, but may use later-published ESG data for securities lacking that month-end data. |
| Announcement rule | Lead time: 9 business days; Timing: before the effective date | In general, the pro forma Index is announced nine business days before the effective date.Open p.7 ↗ |
The pro forma index is generally announced nine business days before the effective date. |
| Effective date rule | Changes are implemented as of the close of the last business day of May and November. | and the changes are implemented as of the close of the last business day of May and November.Open p.7 ↗ |
Review changes take effect as of the close of the last business day of May and November. |
| M7 Buffers and turnover control · 2 fields | |||
| Turnover objective | Corporate event treatment aims to minimize turnover outside index reviews. | The general treatment of corporate events in the Index aims to minimize turnover outside of Index Reviews.Open p.7 ↗ |
Ongoing corporate-event maintenance is designed to minimize turnover outside scheduled index reviews. |
| Intermediate parent index review neutralization | If the parent index is reviewed more frequently, changes made at intermediate parent index reviews are neutralized in the index. | if the frequency of Index Reviews in the Parent Index is greater than the frequency of Index Reviews in the Index, the changes made to the Parent Index during intermediate Index Reviews will be neutralized in the Index.Open p.7 ↗ |
Parent-index changes made at intermediate reviews that are more frequent than this index's reviews are neutralized. |
| M8 Corporate actions, IPOs, ad-hoc changes · 8 fields | |||
| Corporate event weighting factor adjustment | Changes in index market capitalization caused by corporate-event implementation are offset by a corresponding change in the Variable Weighting Factor (VWF). | Further, changes in index market capitalization that occur as a result of corporate event implementation will be offset by a corresponding change in the Variable Weighting Factor (VWF) of the constituent.Open p.7 ↗ |
The Variable Weighting Factor is adjusted to offset index market-capitalization changes resulting from corporate events. |
| Parent index deletions | Parent index deletions are reflected simultaneously. | Parent Index deletions will be reflected simultaneously.Open p.7 ↗ |
When a security is deleted from the parent index, the deletion is reflected in this index at the same time. |
| Security characteristic changes | A security remains an index constituent after changes in country, sector, size segment or other characteristics, with continued inclusion reassessed at the subsequent review. | A security will continue to be an Index constituent if there are changes in characteristics (country, sector, size segment, etc.) Reevaluation for continued inclusion in the Index will occur at the subsequent Index Review.Open p.8 ↗ |
Changes in security characteristics do not trigger immediate removal; the security is reassessed at the next index review. |
| Fast entry | Timing: between Index Reviews; Rule: New securities added to the parent index, including IPOs and other early inclusions, are not added to the index between index reviews | No new securities will be added (except where noted below) to the Index between Index Reviews.Open p.7 ↗ |
There is no early entry into this index: a new parent-index security such as an IPO or other early inclusion is not added between reviews. |
| Ad-hoc deletion | Acquisition | Parent Index deletions will be reflected simultaneously.Open p.7 ↗ |
Parent-index deletions are reflected simultaneously, and an existing constituent acquired by a non-constituent is deleted. |
| Replacement policy | None | No new securities will be added (except where noted below) to the Index between Index Reviews.Open p.7 ↗ |
No replacement security is added between reviews; new parent-index additions and acquiring non-constituents are not added. |
| Merger spinoff rules | Securities created from a spin-off of an existing constituent are added at event implementation and reassessed at the next review. For mergers and acquisitions, the acquirer's post-event weight includes shares used as deal consideration, cash proceeds are invested across the index, and an existing constituent acquired by a non-constituent is deleted without adding the acquirer. | All securities created as a result of the spin-off of an existing Index constituent will be added to the Index at the time of event implementation. Reevaluation for continued inclusion in the Index will occur at the subsequent Index Review.Open p.7 ↗ |
Spin-offs are added at implementation and reviewed later; merger consideration shares affect the acquirer's weight, cash proceeds are reinvested across the index, and non-constituent acquirers are not added. |
| Corporate actions guide ref | MSCI Corporate Events Methodology book | Further detail and illustration regarding specific treatment of corporate events relevant to this Index can be found in the MSCI Corporate Events Methodology book under the sections detailing the treatment of events in Capped Weighted and Non-Market Capitalization Weighted indexes.Open p.8 ↗ |
Further corporate-event treatment is specified in the MSCI Corporate Events Methodology book, in the sections on Capped Weighted and Non-Market Capitalization Weighted indexes. |
| M9 Calculation and return variants · 1 field | |||
| Index calculation methodology reference | MSCI Index Calculation Methodology | MSCI Index Calculation Methodology – https://www.msci.com/index/methodology/latest/IndexCalcOpen p.18 ↗ |
Calculation rules for the indexes are contained in the MSCI Index Calculation Methodology within the Methodology Set. |
| M10 Governance, change policy, disclosure · 5 fields | |||
| Administrators | MSCI Limited, MSCI Deutschland GmbH | MSCI Indexes are administered by MSCI Limited and MSCI Deutschland GmbH.Open p.9 ↗ |
MSCI Indexes are administered by MSCI Limited and MSCI Deutschland GmbH. |
| Msci solutions data provider | MSCI Solutions LLC | utilize information such as company ratings and research produced and provided by MSCI Solutions LLC (MSCI Solutions), a subsidiary of MSCI Inc.Open p.9 ↗ |
The indexes use company ratings and research produced and provided by MSCI Solutions LLC. |
| Methodology set | Description of methodology set, MSCI Corporate Events Methodology, MSCI Fundamental Data Methodology, MSCI Index Calculation Methodology, MSCI Index Glossary of Terms, MSCI Index Policies, MSCI Global Industry Classification Standard (GICS) Methodology, MSCI Global Investable Market Indexes Methodology, ESG Factors In Methodology | The Indexes are governed by a set of methodology and policy documents (“Methodology Set”), including the present index methodology document as mentioned belowOpen p.18 ↗ |
The indexes are governed by a Methodology Set comprising methodology and policy documents including corporate events, fundamental data, index calculation, glossary, policies, GICS, GIMI, and ESG factors documents. |
| Methodology set access | https://www.msci.com/index-methodology, Search Methodology by Index Name or Index Code | The Methodology Set for the Indexes can also be accessed from MSCI’s webpage https://www.msci.com/index-methodology in the section ‘Search Methodology by Index Name or Index Code’.Open p.18 ↗ |
The Methodology Set can be accessed on MSCI's index-methodology webpage by searching the index name or index code. |
| Barra model or optimizer version replacement | A major new release of the relevant Barra Equity Model or Barra Optimizer may replace the former version within a suitable timeframe. | A major new release of the relevant Barra Equity Model or Barra Optimizer may replace the former version within a suitable timeframe.Open p.15 ↗ |
A major new release of the relevant Barra Equity Model or Barra Optimizer may replace the prior version within a suitable timeframe. |
Open points · 32Model-written, for reference
- 1Index short name or abbreviation was not stated.
- 2Index code, ISIN, and third-party vendor tickers were not stated.
- 3Launch date, base date, base value, and calculation currency were not stated.
- 4Methodology version label and methodology date were not stated.
- 5Specific parent index or parent indexes for each index variant were not identified.
- 6Specific markets, exchanges, boards, and security types were not stated.
- 7Company nationality or country-assignment rule was not stated.
- 8Trading-history, liquidity, market-capitalization, free-float, foreign-room, voting-rights, minimum-price, financial, suspension, and extreme-price screens were not stated.
- 9Benchmark regulatory status and intended use cases such as ETF or derivatives underlyings were not stated.
- 10No fixed or target constituent count is stated.
- 11No tie-breaking rule for optimizer outcomes or tied securities is stated.
- 12No reserve list or ad-hoc replacement candidate pool is described.
- 13No free-float factor, Foreign Inclusion Factor, domestic inclusion factor, or foreign ownership limit treatment is stated.
- 14No fixed percentage single-issuer cap, top-N aggregate group cap, sector percentage cap, or country percentage cap is stated; only relative parent-index multiplier and deviation constraints are provided.
- 15No shares outstanding source or update timing is stated.
- 16No divisor adjustment rule for weight resets is stated.
- 17No rank buffer, size-segment buffer, existing-constituent liquidity buffer, or maximum turnover per review was stated.
- 18No separate rebalance frequency or weight-reset frequency distinct from the semi-annual reviews was stated.
- 19No fast-entry size threshold or excluded-board rule was stated; the document instead says new parent-index additions are not added.
- 20No deletion price or share/float-change implementation threshold was stated.
- 21The provided sections do not enumerate all ad-hoc deletion triggers beyond parent-index deletions and acquisition by a non-constituent.
- 22Formula type was not stated.
- 23Price source and treatment of unavailable prices were not stated.
- 24Calculation frequency and published index precision were not stated.
- 25Return variants, withholding tax basis, and dividend treatment were not stated.
- 26Specific divisor adjustment events, market disruption rules, and recalculation policy were not stated.
- 27Oversight body or committee was not identified.
- 28Discretionary decision points beyond replacement of a major Barra release were not stated.
- 29Methodology review frequency, external review, consultation procedure, and material-change definition were not stated.
- 30Notice period for methodology changes was not stated.
- 31Error correction and restatement policy was not stated.
- 32Disclosure channels, constituent publication frequency, and index cessation policy were not stated.
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