Also known as: MXWOCLPU Index (Bloomberg) · 735619 (MSCI code)
At a glance
- Weighting schemeOptimized
- Review frequencySemi-annual
| Field | Value | Source text | Reading (model) |
|---|---|---|---|
| M1 Identity, objective, classification · 11 fields | |||
| Climate data provider | MSCI Solutions LLC | The Indexes use company ratings and research provided by MSCI Solutions LLC (“MSCI Solutions”)4 to determine eligibility for index inclusion.Open p.5 ↗ |
MSCI Solutions LLC provides the company ratings and research used to determine index inclusion eligibility. |
| Index name | MSCI Climate Paris Aligned PAB Indexes | The MSCI Climate Paris Aligned PAB Indexes1 (“the Indexes”) are designed to support investors seeking to reduce their exposure to transition and physical climate risksOpen p.4 ↗ |
The official index family name is MSCI Climate Paris Aligned PAB Indexes. |
| Index short name | Indexes | The MSCI Climate Paris Aligned PAB Indexes1 (“the Indexes”) are designedOpen p.4 ↗ |
The document refers to the family in the plural as “the Indexes.” |
| Administrator | MSCI Limited and MSCI Deutschland GmbH | MSCI Limited and MSCI Deutschland GmbH are the benchmark administrators for the MSCI indexes.Open p.5 ↗ |
MSCI Limited and MSCI Deutschland GmbH are the benchmark administrators for the MSCI indexes. |
| Index family | MSCI Climate Paris Aligned PAB Indexes | The MSCI Climate Paris Aligned PAB Indexes1 (“the Indexes”) are designedOpen p.4 ↗ |
The indexes form the MSCI Climate Paris Aligned PAB Indexes family. |
| Parent index | Corresponding market capitalization weighted Parent Index | The Indexes are constructed from their corresponding market capitalization weighted indexes (“the Parent Indexes”) through an optimization processOpen p.4 ↗ |
Each index is constructed from its corresponding market capitalization weighted Parent Index. |
| Benchmark type | Regulated benchmark | The Indexes incorporate the TCFD recommendations and are designed to exceed the minimum standards of the EU Paris-Aligned Benchmark2.Open p.4 ↗ |
The indexes are designed to exceed the minimum standards of the EU Paris-Aligned Benchmark and the EU Delegated Act requirements. |
| Objective | Reduce exposure to transition and physical climate risks, pursue lower-carbon transition opportunities, and align with Paris Agreement requirements. | are designed to support investors seeking to reduce their exposure to transition and physical climate risks and who wish to pursue opportunities arising from the transition to a lower-carbon economy while aligning with the Paris Agreement requirements.Open p.4 ↗ |
The indexes are designed to support investors reducing transition and physical climate risks, pursuing lower-carbon transition opportunities, and aligning with the Paris Agreement. |
| Market classification | Global | The Indexes are constructed from their corresponding market capitalization weighted indexes (“the Parent Indexes”) through an optimization processOpen p.4 ↗ |
The family is not limited in the supplied text to a single market and uses corresponding parent indexes, implying applicability across global parent benchmarks. |
| Index family type | Climate | The MSCI Climate Paris Aligned PAB Indexes1 (“the Indexes”) are designed to support investors seeking to reduce their exposure to transition and physical climate risksOpen p.4 ↗ |
The index family is a climate index family designed for Paris alignment and climate-risk reduction. |
| Limitations | The methodology aims for a modest tracking error and low turnover compared with the Parent Index, and depends on MSCI Solutions sustainability and climate data. | The Indexes use company ratings and research provided by MSCI Solutions LLC (“MSCI Solutions”)4 to determine eligibility for index inclusion.Open p.5 ↗ |
The indexes seek modest tracking error and low turnover, and eligibility relies on ratings and research from MSCI Solutions. |
| M2 Universe · 3 fields | |||
| Eligible universe construction | Parent Index constituents after specified exclusion criteria | The Eligible Universe is constructed from the constituents of the Parent Index by excluding securities based on the exclusion criteria listed below:Open p.5 ↗ |
The Eligible Universe consists of Parent Index constituents that survive the listed exclusion criteria. |
| Parent universe index | Parent Index | The Eligible Universe is constructed from the constituents of the Parent Index by excluding securities based on the exclusion criteria listed below:Open p.5 ↗ |
The Eligible Universe is constructed from constituents of the Parent Index. |
| Exclusions | Controversial Weapons, Environmental Harm, Controversies, Oil & Gas, Power Generation, Tobacco, Thermal Coal Mining, Thermal Coal Distribution, Civilian Firearms, Nuclear Weapons, Companies unrated by MSCI Solutions on required sustainability and climate products | 1. Controversial Weapons: All companies involved in Controversial Weapons as defined by the methodology of the MSCI Ex-Controversial Weapons Indexes.Open p.5 ↗ |
The universe excludes companies involved in specified weapons, environmental or general severe controversies, fossil fuels and power generation thresholds, tobacco, thermal coal, civilian firearms, nuclear weapons, and required unrated companies. |
| M3 Eligibility screens · 8 fields | |||
| Required msci solutions ratings | MSCI Controversies, MSCI Climate Change Metrics, MSCI Business Involvement Screening Research (BISR) | Companies not assessed by MSCI Solutions on data for any of the following MSCI sustainability and climate products are not eligible for inclusion in the Indexes: MSCI Controversies MSCI Climate Change Metrics MSCI Business Involvement Screening Research (BISR)Open p.9 ↗ |
Companies must be assessed by MSCI Solutions on MSCI Controversies, MSCI Climate Change Metrics, and MSCI Business Involvement Screening Research. |
| Environmental controversy thresholds | Red flag score: 0; Orange flag score: 1 | classified as Red (MSCI Environmental Controversy Score of 0) or Orange Flags (score of 1).Open p.5 ↗ |
Environmental controversies scored 0 as a Red Flag or 1 as an Orange Flag result in exclusion. |
| General controversy threshold | Red flag score: 0 | All companies assessed as having involvement in Controversies that are classified as Red Flags (MSCI Controversy Score of 0).Open p.5 ↗ |
Companies assessed with a Red Flag MSCI Controversy Score of 0 are excluded. |
| Oil and gas revenue threshold | Minimum value: 10% | All companies that derive 10% or more revenue from oil and gas related activitiesOpen p.5 ↗ |
Companies deriving 10% or more revenue from specified oil and gas activities are excluded. |
| Power generation revenue threshold | Minimum value: 50% | All companies that derive 50% or more revenue from thermal coal-based power generation, liquid fuel based-power generation and natural gas-based power generation5.Open p.5 ↗ |
Companies deriving 50% or more revenue from specified fossil-fuel-based power generation are excluded. |
| Thermal coal mining revenue threshold | Minimum value: 1% | Thermal Coal Mining: All companies that derive 1% or more revenue (either reported or estimated) from the mining of thermal coalOpen p.5 ↗ |
Companies deriving 1% or more revenue from thermal coal mining and external sales are excluded. |
| Civilian firearms revenue threshold | Minimum value: 5% | All companies that derive 5% or more aggregate revenue from the production and distributionOpen p.6 ↗ |
Companies deriving 5% or more aggregate revenue from specified civilian firearms or ammunition production and distribution are excluded. |
| Business or ESG exclusions | Category: Controversial weapons; Rule: Exclude all companies involved in Controversial Weapons as defined by MSCI Ex-Controversial Weapons Indexes, Category: Environmental harm; Rule: Exclude companies with Red or Orange Flag environmental controversies, corresponding to MSCI Environmental Controversy Score 0 or 1, Category: Severe controversies; Rule: Exclude companies with Red Flag controversies, corresponding to MSCI Controversy Score 0, Category: Oil and gas; Rule: Exclude companies deriving 10% or more revenue from oil and gas related activities, subject to stated exceptions, Category: Power generation; Rule: Exclude companies deriving 50% or more revenue from thermal coal, liquid fuel, or natural gas-based power generation, Category: Tobacco; Rule: Exclude companies with tobacco involvement as defined by MSCI Global ex Tobacco Involvement Indexes, Category: Thermal coal mining; Rule: Exclude companies deriving 1% or more reported or estimated revenue from thermal coal mining and external sales, subject to stated exceptions, Category: Thermal coal distribution; Rule: Exclude companies with evidence of thermal coal distribution or transport involvement, including physical trading, Category: Civilian firearms; Rule: Exclude producers of civilian firearms or small arms ammunition and companies deriving at least 5% aggregate revenue from specified civilian production and distribution, Category: Nuclear weapons; Rule: Exclude companies meeting specified nuclear weapons business involvement criteria | 1. Controversial Weapons: All companies involved in Controversial Weapons as defined by the methodology of the MSCI Ex-Controversial Weapons Indexes.Open p.5 ↗ |
Eligibility applies business, controversy, weapons, fossil fuel, tobacco, thermal coal, civilian firearms, and nuclear weapons exclusions. |
| M4 Selection and constituent count · 10 fields | |||
| Constituent active weight band (%) | -2 percent active weight | Constituent Active Weight16 +/- 2%Open p.8 ↗ |
Each constituent's active weight relative to the Parent Index is constrained to +/-2%, subject to specified index exceptions. |
| Minimum constituent weight (%) | 0.01% | Minimum constituent weight 0.01%Open p.8 ↗ |
Each constituent has a minimum weight of 0.01%. |
| Maximum security weight multiple of parent weight | 20 x | Security Weight as a multiple of its weight in the Parent Index 20xOpen p.8 ↗ |
A security's weight may not exceed 20 times its weight in the Parent Index. |
| Country neutrality rule | Active country weights are generally constrained to +/-5% relative to the Parent Index, with special treatment for countries below 2.5% parent weight. | Active Country Weights17 +/- 5%Open p.8 ↗ |
Active country weights are generally limited to +/-5% versus the Parent Index, while countries below 2.5% in the parent have an upper bound of three times parent weight. |
| One way turnover limit (%) | 5% | One Way Turnover18 5%Open p.8 ↗ |
One-way turnover is constrained to 5% at the Semi-Annual Index Review, subject to relaxation rules when no feasible solution exists. |
| Infeasibility relaxation procedure | One-way turnover and active sector constraints are alternately relaxed in 1% steps, up to 20% turnover and +/-20% sector active weights; otherwise the index is not rebalanced. | Relax the one-way index turnover constraint in steps of 1% up to 20% Relax the active sector weight constraint in steps of 1% up/down to +/-20%Open p.9 ↗ |
If no feasible optimum exists, turnover and active sector constraints are alternately relaxed by 1% steps until turnover reaches 20% or sector active weights reach +/-20%; if still infeasible, the index is not rebalanced. |
| Equity risk model | MSCI Barra Global Equity Model for Long-Term Investors (GEMLTL) | The Indexes currently use an optimization setup using the MSCI Barra Global Equity Model for Long- Term Investors (GEMLTL).Open p.29 ↗ |
The optimization uses the MSCI Barra Global Equity Model for Long-Term Investors. |
| Selection method | Optimization | At each Index Review, the indexes are constructed using an optimization process that aims to achieve replicability and investability as well as minimize ex-ante tracking error relative to the Parent IndexOpen p.6 ↗ |
Indexes are constructed through an optimization process using eligible securities, specified objectives and constraints, and the Barra Open Optimizer. |
| Ranking metrics | Name: Ex ante tracking error relative to parent index; Direction: Minimize; Step order: 1, Name: Greenhouse gas intensity scope 1 2 3; Direction: At least 50 percent reduction relative to parent; Step order: 2, Name: Annual greenhouse gas intensity reduction; Window: per annum; Direction: At least 10 percent reduction relative to base date; Step order: 2, Name: high_climate Impact_gics_sector_active_weight; Direction: At least 0 percent active weight relative to parent; Step order: 2, Name: Companies setting targets aggregate weight; Direction: At least 20 percent increase relative to parent; Step order: 2, Name: Weighted average potential emissions intensity; Direction: At least 50 percent reduction relative to parent; Step order: 2, Name: Aggregated climate value at risk; Direction: Greater than or equal to maximum of negative 5 percent or parent climate var; Step order: 2, Name: Low carbon transition score; Direction: At least 10 percent weighted average increase relative to parent; Step order: 2, Name: Weighted average physical risk climate value at risk aggressive scenario; Direction: At least 50 percent reduction relative to parent; Step order: 2, Name: Green revenue to fossil fuels based revenue ratio; Direction: At least 4 times parent ratio; Step order: 2, Name: Weighted average green revenue; Direction: At least 100 percent increase relative to parent; Step order: 2, Name: Index implied temperature rise; Direction: At most 2 degrees celsius; Step order: 2, Name: Aggregate cumulative projected emissions; Direction: At most 1 5 degrees celsius aligned; Step order: 2 | minimize ex-ante tracking error relative to the Parent Index subject to the following constraints:Open p.6 ↗ |
The optimizer minimizes ex-ante tracking error while satisfying climate, transition-opportunity, diversification, and risk-aversion constraints. |
| Industry neutrality rule | Active sector weights are constrained to plus or minus 5 percent relative to the Parent Index, except that the Energy GICS Sector is not constrained. | Active Sector Weights (the Energy GICS Sector is not constrained) +/- 5%Open p.8 ↗ |
Sector allocation is controlled through active GICS sector weights of +/-5% versus the Parent Index, with the Energy sector unconstrained. |
| M5 Weighting and capping · 4 fields | |||
| Common factor risk aversion | 0.0075 | Common Factor Risk Aversion19
0.0075Open p.8 ↗ |
The optimizer uses a common factor risk aversion parameter of 0.0075. |
| Specific risk aversion | 0.075 | Specific Risk Aversion20
0.075Open p.8 ↗ |
The optimizer uses a specific risk aversion parameter of 0.075. |
| Weighting scheme | Optimized | the indexes are constructed using an optimization process that aims to achieve replicability and investability as well as minimize ex-ante tracking error relative to the Parent IndexOpen p.6 ↗ |
Security weights are produced by an optimization that minimizes tracking error subject to climate, diversification, turnover, and risk constraints. |
| Cap application timing | At review | At each Index Review, the indexes are constructed using an optimization processOpen p.6 ↗ |
Optimization constraints, including constituent, sector, country, and turnover limits, are applied at each Index Review. |
| M6 Review and rebalance schedule · 8 fields | |||
| Coincides with parent index reviews | Yes | coinciding with the May and November Index Review of the MSCI Global Investable Market Indexes.Open p.10 ↗ |
The May and November reviews coincide with the May and November index reviews of the MSCI Global Investable Market Indexes. |
| Review frequency | Semi-annual | The Indexes are reviewed on a semi-annual basis, as of the close of the last business day of May and November, coinciding with the May and November Index Review of the MSCI Global Investable Market Indexes.Open p.10 ↗ |
The indexes are reviewed semi-annually as of the close of the last business day of May and November. |
| Review types | Semi annual review, Ad hoc | The Indexes are reviewed on a semi-annual basis, as of the close of the last business day of May and November, coinciding with the May and November Index Review of the MSCI Global Investable Market Indexes.Open p.10 ↗ |
Scheduled index maintenance occurs through semi-annual index reviews, with ongoing event-related changes handled outside those reviews. |
| Review months | May, November | The Indexes are reviewed on a semi-annual basis, as of the close of the last business day of May and November, coinciding with the May and November Index Review of the MSCI Global Investable Market Indexes.Open p.10 ↗ |
The index reviews occur in May and November. |
| Data cutoff rule | MSCI Solutions data as of the end of the month preceding the May and November index reviews is generally used for rebalancing. | In general, MSCI uses MSCI Solutions data (including MSCI Climate Change Metrics, MSCI Climate Value-at-Risk, MSCI Sustainable Impact Metrics, MSCI Controversies and MSCI Business Involvement Screening Research) as of the end of the month preceding the Index Reviews for the rebalancing of the Indexes.Open p.10 ↗ |
MSCI generally uses MSCI Solutions data as of the end of the month preceding the index reviews for rebalancing. |
| Announcement rule | Pro forma indexes are generally announced nine business days before the effective date. | The pro forma Indexes are in general announced nine business days before the effective date.Open p.10 ↗ |
Pro forma indexes are generally announced nine business days before the effective date. |
| Effective date rule | Changes are effective as of the close of the last business day of May and November. | The Indexes are reviewed on a semi-annual basis, as of the close of the last business day of May and November, coinciding with the May and November Index Review of the MSCI Global Investable Market Indexes.Open p.10 ↗ |
The semi-annual reviews are effective as of the close of the last business day of May and November. |
| Rebalance frequency | Semi-annual | as of the end of the month preceding the Index Reviews for the rebalancing of the Indexes.Open p.10 ↗ |
The indexes are rebalanced at the May and November semi-annual index reviews. |
| M8 Corporate actions, IPOs, ad-hoc changes · 9 fields | |||
| Corporate events turnover objective | The general treatment of corporate events aims to minimize turnover outside index reviews. | The general treatment of corporate events in the Indexes aims to minimize turnover outside of Index Reviews.Open p.10 ↗ |
Corporate events are generally handled to minimize turnover outside index reviews. |
| Variable weighting factor offset | Yes | 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.10 ↗ |
Changes in index market capitalization resulting from corporate-event implementation are offset by a corresponding change in the Variable Weighting Factor. |
| Intermediate parent index changes neutralized | Yes | Additionally, 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.10 ↗ |
If the parent index has reviews more frequently than this index, changes made at intermediate parent-index reviews are neutralized in this index. |
| Security characteristic changes | Securities remain constituents when characteristics such as country, sector, or size segment change, and are reevaluated at the subsequent index 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.11 ↗ |
Changes in security characteristics such as country, sector, or size segment do not cause immediate removal; inclusion is reviewed at the next index review. |
| Fast entry | Timing: A new security added to the Parent Index, such as an IPO or other early inclusion, is not added to the Index between Index Reviews | A new security added to the Parent Index (such as IPO and other early inclusions) will not be added to the index.Open p.10 ↗ |
New securities, including IPOs and other early inclusions added to the parent index, are not added to this index between index reviews. |
| Ad-hoc deletion | Acquisition, Delisting | Parent Index deletions will be reflected simultaneously.Open p.10 ↗ |
An existing constituent is deleted if acquired by a non-constituent, and parent-index deletions are reflected simultaneously. |
| Replacement policy | None | No new securities will be added (except where noted below) to the Index between Index Reviews.Open p.10 ↗ |
No replacement security is added between reviews; new securities are generally not added, and an acquiring non-constituent is not inserted when a constituent is acquired. |
| Merger spinoff rules | Spin-off securities are added at event implementation if also added to the Parent Index and reviewed at the next index review; in mergers or acquisitions, the acquirer's post-event weight reflects shares used as deal consideration and cash proceeds are invested across the index; if a constituent is acquired by a non-constituent, the constituent is deleted and the acquirer is not added. | 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 if the spin-off security is also added to the Parent Index.Open p.11 ↗ |
Spin-offs are added at implementation only if also added to the parent index, while mergers and acquisitions are reflected according to deal consideration, with cash proceeds invested across the index. |
| Corporate actions guide ref | MSCI Corporate Events Methodology | Further detail and illustration regarding specific treatment of corporate events relevant to this Index can be found in the MSCI Corporate Events Methodology.Open p.11 ↗ |
Further corporate-event treatment is provided in the MSCI Corporate Events Methodology. |
| M9 Calculation and return variants · 1 field | |||
| Index calculation methodology reference | MSCI Index Calculation Methodology | MSCI Index Calculation Methodology – www.msci.com/index/methodology/latest/IndexCalcOpen p.31 ↗ |
The indexes refer to the separate MSCI Index Calculation Methodology within their governing methodology set. |
| M10 Governance, change policy, disclosure · 4 fields | |||
| Administrators | MSCI Limited, MSCI Deutschland GmbH | MSCI Indexes are administered by MSCI Limited and MSCI Deutschland GmbH.Open p.12 ↗ |
MSCI Indexes are administered by MSCI Limited and MSCI Deutschland GmbH. |
| 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, MSCI Global ex Controversial Weapons Indexes Methodology, MSCI Global ex Tobacco Involvement Index, MSCI EU CTB/PAB Index Framework, 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 below:Open p.31 ↗ |
The indexes are governed by a methodology set comprising the listed MSCI methodology and policy documents. |
| Barra model or optimizer 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.30 ↗ |
A major new Barra Equity Model or Barra Optimizer release may replace the prior version within a suitable timeframe. |
| Change announcement | MSCI methodology webpage, 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.31 ↗ |
The methodology set can be accessed on MSCI's index methodology webpage and through the section for searching methodology by index name or code. |
Open points · 22Model-written, for reference
- 1No index-specific code, ISIN, third-party ticker, launch date, base date, base value, or calculation currency was printed.
- 2No methodology version label or methodology edition date was printed.
- 3The supplied sections do not list specific markets, exchanges, boards, or security types for the family beyond constituents of the corresponding Parent Index.
- 4No minimum trading history, liquidity screen, size threshold, free-float threshold, foreign-room threshold, voting-rights threshold, minimum price, financial screen, suspension rule, or extreme price screen was stated.
- 5The exact parent index for each member of the family is not specified.
- 6No fixed target constituent count or constituent-count range was stated.
- 7No tie-breaking rule for optimizer outcomes or tied metrics was stated.
- 8No reserve list or pre-ranked replacement-candidate rule was stated.
- 9No explicit free-float factor methodology or Foreign Inclusion Factor bands were stated.
- 10No domestic inclusion factor treatment was stated.
- 11No foreign ownership limit treatment was stated.
- 12No explicit single-issuer percentage cap, group cap, sector percentage cap, or country percentage cap separate from active-weight optimization constraints was stated.
- 13No shares outstanding source or update timing was stated.
- 14No divisor adjustment or Price Adjustment Factor rule was stated.
- 15No rank buffer, size-segment buffer, liquidity buffer for existing constituents, or maximum turnover per review was stated.
- 16No deletion price or implementation price convention was stated.
- 17No numerical threshold for interim share or free-float changes was stated.
- 18The fast-entry rule states that parent-index early inclusions are not added, but no size threshold or excluded boards were provided.
- 19No formula type, price source, calculation frequency, published-level precision, return variants, withholding-tax basis, dividend treatment, divisor-adjustment events, market-disruption rule, or recalculation policy is stated; these may be covered by the referenced MSCI Index Calculation Methodology.
- 20No oversight committee or body is identified.
- 21No discretionary decision points, methodology review frequency, external review, material-change definition, consultation procedure, notice period, error-correction or restatement policy, constituent-list publication frequency, or index cessation policy is stated.
- 22Not coveredM7 Buffers and turnover control: not covered by this edition
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