Classification Benchmark (“ICB”) Supersector, as reported by Institutional
Shareholder Services
(“ISS”). The GHG targets signal is based on the
robustness of an issuer’s GHG reduction targets, including whether they are part of the Science Based Targets initiative
(“SBTi”) framework; this is assessed by ISS based
on its own ESG ratings data and SBTi data.
The value score is calculated from the following signals: current book value-to-price ratio, dividend yield (i.e.,
12-month trailing dividend divided by total market capitalization), earnings yield (i.e., 12-month net income
divided by total market capitalization), cash flow yield (i.e., 12-month cash flow divided by total market capitalization) and time series normalized cash flow yield over the previous 36 months.
The low volatility
score is based on prior 12-month volatility, as calculated by the Index Provider.
The size score seeks to measure an
issuer’s market capitalization relative to other companies in the Parent Index.
The maximum weight of a single security is
10%, and the sum of security weights that are individually greater than 4.5% must be less than 22.5% of
the Underlying Index. The Index Provider also applies other constraints, such as country and sector exposures relative to the Parent Index, among others. The Underlying Index is reviewed and rebalanced quarterly.
As of August 31, 2023, the Underlying Index
consisted of approximately 588 constituents from companies in the following countries or regions: Brazil,
Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Kuwait, Malaysia, Mexico, Philippines, Poland, Qatar, Saudi Arabia,
South Africa, South Korea, Taiwan, Thailand, Turkey and the United Arab Emirates.
As of August 31, 2023, a significant portion
of the Underlying Index is represented by securities of companies in the financials and technology industries or sectors. The components of the Underlying Index are likely to change over time.
BFA uses an indexing
approach to try to achieve the Fund’s investment objective. Unlike many investment companies, the Fund does not try to
“beat” the index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued.
Indexing may eliminate the chance that the
Fund will substantially outperform the Underlying Index but also may reduce some of the risks of active
management, such as poor security selection. Indexing seeks to achieve lower costs and better after-tax performance by aiming to keep portfolio turnover low in comparison to actively managed investment companies.
BFA uses a representative sampling indexing
strategy to manage the Fund. “Representative sampling” is an indexing strategy that involves
investing in a representative sample of securities that collectively has an investment profile similar to that of an applicable underlying index. The securities selected are expected to have, in the aggregate, investment characteristics (based on factors such as market capitalization and industry weightings), fundamental characteristics (such as return variability and yield) and liquidity measures similar to those of an applicable underlying index. The Fund