Morgan Stanley 
Expanded Horizons IndexSM

Morgan Stanley Expanded Horizons IndexSM
 

Morgan Stanley Expanded Horizons IndexSM

 
 
 
Index Description

A diversified index drawing from a variety of fixed income and global equity asset classes that seeks to achieve attractive growth while maintaining a 5% level of volatility across market cycles.

The Index employs a rules-based, forward-looking allocation methodology to make monthly asset class allocations based on momentum and valuation measures and short-term volatility.

The Index allocates to index futures and U.S.-listed exchange-traded funds (ETFs) in order to achieve exposure to treasuries, bonds and US, international and emerging market equities (the "Index Components").

The Index is calculated on an excess return basis, and therefore its level is determined by the weighted return of the portfolio of Index Components reduced by the return on an equivalent cash investment receiving the Federal Funds rate.

 
 
Index Level & Performance

Data based on simulated returns from December 31, 2001 to December 5, 2019 (Index live date) and actual thereafter. Back-tested performance is hypothetical and has been provided for informational purposes only. Past performance is no guarantee or indication of future results, and current performance may be lower or higher than the figures shown. Please click here important disclosures on hypothetical performance results.

 

MS Expanded Horizons IndexSM information is as of the dates presented, unless otherwise noted. Returns for less than one year are cumulative (not annualized).

As of 04/30/2024

As of 04/30/2024


Base 100
Base 100
Past performance is not a reliable indicator of future results.
 
 
Average Annual Excess Returns As of 04/30/2024 As of 03/31/2024
1 YR 3 YRS 5 YRS 10 YRS Since Inception
MS Expanded Horizons IndexSM (%) 0.12 -3.31 -0.64 1.21 4.18
1 YR 3 YRS 5 YRS 10 YRS Since Inception
MS Expanded Horizons IndexSM (%) 3.31 -2.05 0.04 1.44 4.31
2023 2022 2021 2020 2019 2018 2017
MS Expanded Horizons IndexSM (%) 1.11 -12.84 4.73 1.41 8.56 -4.50 9.55
 
Average Annual Total Returns
As of 04/30/2024
TIMEFRAME MS Expanded Horizons IndexSM (%)
1 Yr 0.12
3 Yr -3.31
5 Yr -0.64
10 Yr 1.21
Since Inception 4.18
As of 03/31/2024
TIMEFRAME MS Expanded Horizons IndexSM (%)
1 Yr 3.31
3 Yr -2.05
5 Yr 0.04
10 Yr 1.44
Since Inception 4.31
TIMEFRAME MS Expanded Horizons IndexSM (%)
2023 1.11
2022 -12.84
2021 4.73
2020 1.41
2019 8.56
2018 -4.50
2017 9.55
Past performance is not a reliable indicator of future results.
 
 
 
MS Expanded Horizons Performance As of 04/30/2024
 
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2002 0.09 0.50 1.92 0.34 -0.43 -3.09 -2.10 1.47 1.28 -0.56 0.90 2.37 2.58
2003 -0.34 1.83 -0.22 1.63 4.01 0.46 0.04 1.86 0.91 2.92 1.28 2.24 17.83
2004 1.44 1.40 0.79 -4.30 -1.17 0.92 -0.65 2.23 1.54 2.02 3.07 2.71 10.20
2005 -1.52 2.32 -2.54 -0.58 1.44 1.32 2.55 -0.19 1.58 -2.88 1.92 1.96 5.30
2006 3.66 -0.02 0.99 0.22 -2.92 -0.47 0.41 1.06 0.33 2.05 1.79 0.98 8.24
2007 0.54 -0.49 -0.01 1.52 0.77 0.08 0.00 -0.30 1.99 1.95 -0.19 -0.48 5.46
2008 -1.45 0.55 -0.43 0.24 -0.35 -2.55 -0.16 0.45 -2.81 -3.05 3.27 3.08 -3.37
2009 -0.60 -1.72 1.37 2.02 2.30 -0.52 2.16 0.44 1.77 -0.30 2.05 -0.92 8.23
2010 -0.49 1.73 1.74 2.06 -0.94 0.11 2.59 0.50 2.35 0.91 -0.08 -0.22 10.66
2011 0.74 1.68 0.18 2.02 0.48 -0.77 1.35 -1.75 -1.19 1.24 0.13 1.64 5.84
2012 1.61 0.95 0.65 0.56 -1.91 1.01 1.03 0.22 0.59 -0.38 0.90 1.49 6.86
2013 1.08 0.23 1.57 0.11 -0.85 -1.40 1.12 -1.45 1.97 1.35 0.96 0.76 5.50
2014 -1.14 1.71 -0.21 -0.32 1.74 1.06 -1.04 2.02 -2.63 1.09 1.17 0.37 3.75
2015 1.17 0.48 0.65 -1.23 0.63 -0.53 0.22 -3.35 -0.17 1.22 -0.34 -0.78 -2.08
2016 -0.43 0.61 1.92 0.15 0.64 1.86 1.27 -0.73 -0.32 -1.65 0.41 0.78 4.56
2017 0.51 1.97 -0.20 0.75 0.72 0.35 1.03 -0.19 0.68 1.23 2.22 0.11 9.55
2018 2.66 -2.93 -0.45 -0.40 1.16 0.36 0.72 1.74 -0.73 -4.84 0.82 -2.44 -4.50
2019 2.64 0.31 0.94 0.85 -1.99 2.81 0.40 0.09 0.01 0.49 0.55 1.24 8.56
2020 -0.42 -2.50 -1.91 1.12 0.34 0.09 1.10 1.02 -0.83 -0.85 2.83 1.53 1.41
2021 0.05 0.16 0.42 1.33 0.16 0.48 0.77 1.23 -2.67 2.19 -0.62 1.21 4.73
2022 -2.80 -0.85 -2.36 -2.42 0.43 -2.16 1.30 -2.22 -2.87 0.01 1.09 -0.68 -12.84
2023 1.68 -1.84 0.47 0.58 -1.11 1.47 1.01 -1.27 -2.65 -1.73 2.78 1.87 1.11
2024 -0.11 1.67 0.89 -2.53 -- -- -- -- -- -- -- -- -0.13
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2002 0.09 0.50 1.92 0.34 -0.43 -3.09 -2.10 1.47 1.28 -0.56 0.90 2.37 2.58
2003 -0.34 1.83 -0.22 1.63 4.01 0.46 0.04 1.86 0.91 2.92 1.28 2.24 17.83
2004 1.44 1.40 0.79 -4.30 -1.17 0.92 -0.65 2.23 1.54 2.02 3.07 2.71 10.20
2005 -1.52 2.32 -2.54 -0.58 1.44 1.32 2.55 -0.19 1.58 -2.88 1.92 1.96 5.30
2006 3.66 -0.02 0.99 0.22 -2.92 -0.47 0.41 1.06 0.33 2.05 1.79 0.98 8.24
2007 0.54 -0.49 -0.01 1.52 0.77 0.08 0.00 -0.30 1.99 1.95 -0.19 -0.48 5.46
2008 -1.45 0.55 -0.43 0.24 -0.35 -2.55 -0.16 0.45 -2.81 -3.05 3.27 3.08 -3.37
2009 -0.60 -1.72 1.37 2.02 2.30 -0.52 2.16 0.44 1.77 -0.30 2.05 -0.92 8.23
2010 -0.49 1.73 1.74 2.06 -0.94 0.11 2.59 0.50 2.35 0.91 -0.08 -0.22 10.66
2011 0.74 1.68 0.18 2.02 0.48 -0.77 1.35 -1.75 -1.19 1.24 0.13 1.64 5.84
2012 1.61 0.95 0.65 0.56 -1.91 1.01 1.03 0.22 0.59 -0.38 0.90 1.49 6.86
2013 1.08 0.23 1.57 0.11 -0.85 -1.40 1.12 -1.45 1.97 1.35 0.96 0.76 5.50
2014 -1.14 1.71 -0.21 -0.32 1.74 1.06 -1.04 2.02 -2.63 1.09 1.17 0.37 3.75
2015 1.17 0.48 0.65 -1.23 0.63 -0.53 0.22 -3.35 -0.17 1.22 -0.34 -0.78 -2.08
2016 -0.43 0.61 1.92 0.15 0.64 1.86 1.27 -0.73 -0.32 -1.65 0.41 0.78 4.56
2017 0.51 1.97 -0.20 0.75 0.72 0.35 1.03 -0.19 0.68 1.23 2.22 0.11 9.55
2018 2.66 -2.93 -0.45 -0.40 1.16 0.36 0.72 1.74 -0.73 -4.84 0.82 -2.44 -4.50
2019 2.64 0.31 0.94 0.85 -1.99 2.81 0.40 0.09 0.01 0.49 0.55 1.24 8.56
2020 -0.42 -2.50 -1.91 1.12 0.34 0.09 1.10 1.02 -0.83 -0.85 2.83 1.53 1.41
2021 0.05 0.16 0.42 1.33 0.16 0.48 0.77 1.23 -2.67 2.19 -0.62 1.21 4.73
2022 -2.80 -0.85 -2.36 -2.42 0.43 -2.16 1.30 -2.22 -2.87 0.01 1.09 -0.68 -12.84
2023 1.68 -1.84 0.47 0.58 -1.11 1.47 1.01 -1.27 -2.65 -1.73 2.78 1.87 1.11
2024 -0.11 1.67 0.89 -2.53 -- -- -- -- -- -- -- -- -0.13
 
 
Risk/Return Statistics

TIMEFRAME:
    MSEHZN
Standard deviation (%) 5.82
Max Drawdown (%) -15.83
    MSEHZN
Standard deviation (%) 5.39
Max Drawdown (%) -15.83
Past performance is not a reliable indicator of future results.
 
 
 
 
Composition As of 05/24/2024
  MSEHZN
U.S. Large Cap (Index Futures) 32.71
U.S. Mid Cap (Index Futures) 7.66
U.S. Small Cap (Index Futures) 0.00
International Equities (Index Futures) 0.00
Emerging Market Equities (Index Futures) 0.00
Real Estate Securities (ETF) 0.00
2-Year U.S. Treasurys (Futures) 31.31
5-Year U.S. Treasurys (Futures) 0.00
10-Year U.S. Treasurys (Futures) 0.00
Investment Grade Bonds (ETF Basket) 0.00
High Yield Bonds (ETF Basket) 0.00
Inflation-Linked Bonds (ETF) 0.00
U.S. Federal Funds Effective Rate 28.31
 
May not sum to 100% due to rounding.


Average Component Weights by Year As of 12/31/2023

U.S. Large Cap (Index Futures)
U.S. Mid Cap (Index Futures)
U.S. Small Cap (Index Futures)
International Equities (Index Futures)
Emerging Market Equities (Index Futures)
Real Estate Securities (ETF)
2-Year U.S. Treasurys (Futures)
5-Year U.S. Treasurys (Futures)
10-Year U.S. Treasurys (Futures)
Investment Grade Bonds (ETF Basket)
High Yield Bonds (ETF Basket)
Inflation-Linked Bonds (ETF)
U.S. Federal Funds Effective Rate
 
 
Index Design Team
Rui De Figueiredo
Head and CIO of the Solutions & Multi-Asset Group
26 years industry experience
Ryan Meredith
Head of Portfolio Solutions Group
25 years industry experience
Patrick Reid
Alternatives Specialist
26 years industry experience

Team members may be subject to change at any time without notice.

 
 
Insights
 
 
Resources
Product Literature
 
 
 
 
 

 

The information provided herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell the securities or instruments mentioned or to participate in any particular trading strategy.

THE MORGAN STANLEY EXPANDED HORIZONS INDEXSM IS A SERVICE MARK OF MORGAN STANLEY INVESTMENT MANAGEMENT INC. OR ITS AFFILIATES (COLLECTIVELY “MSIM”) AND HAS BEEN LICENSED FOR USE FOR CERTAIN PURPOSES. THE INTELLECTUAL AND OTHER PROPERTY RIGHTS TO THE METHODOLOGY AND FORMULA OF THE INDEX ARE OWNED BY OR LICENSED TO MSIM. ANY PRODUCT THAT IS LINKED TO THE PERFORMANCE OF THE INDEX IS NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY MSIM OR ANY OF ITS THIRD PARTY SUPPLIERS INCLUDING DATA LICENSORS (“MSIM AND ITS SUPPLIERS”). MSIM AND ITS SUPPLIERS MAKE NO REPRESENTATIONS OR WARRANTIES REGARDING THE ADVISABILITY OF ADOPTING A STRATEGY, OBTAINING INVESTMENT EXPOSURE TO THE INDEX THROUGH ANY MEANS, INVESTING IN FINANCIAL PRODUCTS GENERALLY OR THE ABILITY OF THE INDEX TO TRACK GENERAL MARKET PERFORMANCE. MSIM IS NOT ACTING AS INVESTMENT ADVISER TO YOU IN CONNECTION WITH, OR THROUGH, THE INDEX OR ANY PRODUCT, AND MSIM UNDERTAKES NO, AND EXPRESSLY DISCLAIMS ANY, FIDUCIARY DUTIES TO YOU IN CONNECTION WITH THE INDEX OR ANY PRODUCT. PAST PERFORMANCE OF AN INDEX IS NOT AN INDICATOR OF OR A GUARANTEE OF FUTURE RESULTS. USE AND DISTRIBUTION OF THE INDEX, INDEX DATA AND MSIM’S SERVICE MARKS ARE PROHIBITED WITHOUT MSIM’S EXPRESS WRITTEN PERMISSION.

MSIM AND ITS SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES AND REPRESENTATIONS, EXPRESS AND/OR IMPLIED, INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING WITH RESPECT TO THE INDEX, INDEX DATA AND ANY INFORMATION INCLUDED IN, RELATED TO, OR DERIVED THEREFROM (“INDEX DATA”). MSIM AND ITS SUPPLIERS SHALL NOT BE SUBJECT TO ANY LIABILITY FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) WITH RESPECT TO ANY PRODUCT OR THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDEX AND THE INDEX DATA, ALL OF WHICH HAVE BEEN PROVIDED AND ARE PROVIDED ON AN “AS IS” BASIS. ANY DECISION TO PURCHASE AND OR INVEST IN ANY PRODUCT IS AT YOUR OWN RISK.

The Index is the property of Morgan Stanley Investment Management "MSIM". The Index will be calculated independently from MSIM; through an affiliate, MS&Co. It is not possible to invest directly in an unmanaged index.

The Morgan Stanley Expanded Horizons IndexSM dynamically allocates among multiple asset classes based on asset-specific metrics and optimization techniques. It is constructed with a volatility objective of 5% per annum including a daily risk control mechanism to limit drawdown risk and maintain the risk target when market volatility spikes.

Unless stated otherwise, the material contained herein has not been based on a consideration of any individual client circumstances and as such should not be considered to be a personal recommendation. We remind investors that the components of the MS Expanded Horizons IndexSM ("the Index") are subject to market risk and will fluctuate in value. The performance data quoted represents past performance. Past performance is not indicative of future returns. No representation or warranty is made that any returns indicated will be achieved. Certain assumptions may have been made in this analysis which have resulted in any returns detailed herein. Changes to the assumptions may have a material impact on any returns detailed. The information and analyses contained herein are not intended as tax, legal or investment advice and may not be suitable for your specific circumstances. By submitting this communication to you, Morgan Stanley is not advising you to take any particular action based on the information contained herein, and acceptance of such document will be deemed by you acceptance of these conclusions. You should consult with your own municipal, financial, accounting and legal advisors regarding the information contained in this communication.

HYPOTHETICAL AND SIMULATED EXAMPLES HAVE MANY INHERENT LIMITATIONS AND ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN SIMULATED RESULTS AND THE ACTUAL RESULTS. THERE ARE NUMEROUS FACTORS RELATED TO THE MARKETS IN GENERAL OR THE IMPLEMENTATION OF ANY SPECIfiC INVESTMENT STRATEGY, WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF SIMULATED RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL RESULTS. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT, PRODUCT, OR STRATEGY WILL OR IS LIKELY TO ACHIEVE PROfiTS, LOSSES, OR RESULTS SIMILAR TO THOSE SHOWN.

The information provided herein is not a product of the Morgan Stanley Research Department. This communication is a marketing communication and is not a research report. For additional information and important disclosures, see http://www.morganstanley.com/disclaimers.

Morgan Stanley is not acting as a municipal advisor and the opinions or views contained herein are not intended to be, and do not constitute, advice, including within the meaning of Section 975 of the Dodd-Frank Wall Street Reform and Consumer Protection Act. This material is not (and should not be construed to be) investment advice (as defined under ERISA or similar concepts under applicable law) from Morgan Stanley with respect to an employee benefit plan or to any person acting as a Fiduciary for an employee benefit plan, or as a primary basis for any particular plan investment decision.

These materials may not be distributed in any jurisdiction where it is unlawful to do so.

Certain information herein is based on data obtained from third party sources believed to be reliable. However, we have not verified this information, and we make no representations whatsoever as to its accuracy or completeness.

DEFINITIONS
Maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period. Standard deviation measures how widely individual performance returns, within a performance series, are dispersed from the average or mean value.

MS EXPANDED HORIZONS INDEXSM COMPONENTS:
U.S. Large Cap: Index futures based on the S&P 500® Index which measures the performance of the large cap segment of the U.S. equities market, covering approximately 75% of the U.S. equities market. The Index includes 500 leading companies in leading industries of the U.S. economy.
U.S. Mid Cap: Index futures based on the S&P MidCap 400 Index which is an unmanaged group of 400 domestic stocks chosen for their market size, liquidity and industry group representation.
U.S. Small Cap: Index futures based on the Russell 2000® Index which is an index that measures the performance of the 2,000 smallest companies in the Russell 3000 Index.
International Equities: Index futures based on the MSCI EAFE Index (Europe, Australasia, Far East) which is a free float-adjusted market capitalization index that is designed to measure the international equity market performance of developed markets, excluding the U.S. & Canada. The term "free float" represents the portion of shares outstanding that are deemed to be available for purchase in the public equity markets by investors. The MSCI EAFE Index currently consists of 21 developed market country indices. The performance of the Index is listed in U.S. dollars and assumes reinvestment of net dividends.
Emerging Market Equities: Index futures based on the MSCI Emerging Markets Index which is a free float-adjusted market capitalization weighted index that is designed to measure equity market performance of emerging markets.
Real Estate Securities The iShares U.S. Real Estate ETF seeks to track the investment results of an index composed of U.S. equities in the real estate sector.
Investment Grade Bonds: ETF basket consisting of iShares Core U.S. Aggregate Bond ETF (30%), iShares iBoxx $ Investment Grade Corporate Bond ETF (50%), Vanguard Total Bond Market ETF (20%). The iShares Core U.S. Aggregate Bond ETF seeks to track the investment results of an index composed of the total U.S. investment-grade bond market. The iShares iBoxx $ Investment Grade Corporate Bond ETF seeks to track the investment results of an index composed of U.S. dollar-denominated, investment grade corporate bonds. The Vanguard Total Bond Market ETF is designed to track the performance of the Bloomberg U.S. Aggregate Float Adjusted Index. This Index represents a wide spectrum of public, investment-grade, taxable, fixed income securities in the United States—including government, corporate, and international dollar- denominated bonds, as well as mortgage-backed and asset-backed securities —all with maturities of more than one year.
High Yield Bonds: ETF basket consisting of iShares iBoxx $ High Yield Corporate Bond ETF (70%), SPDR Bloomberg High Yield Bond ETF (30%). The iShares iBoxx $ High Yield Corporate Bond ETF seeks to track the investment results of an index composed of U.S. dollar-denominated, high yield corporate bonds. The SPDR® Bloomberg High Yield Bond ETF seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of the Bloomberg High Yield Very Liquid Index which is designed to measure the performance of publicly issued U.S. dollar denominated high yield corporate bonds with above-average liquidity.
Inflation-Linked Bonds: The iShares TIPS Bond ETF seeks to track the investment results of an index composed of inflation-protected U.S. Treasury bonds.
Cash: The U.S. Federal Reserve Fed Funds Rate is the interest rate that banks with excess reserves at a Federal Reserve district bank charge other banks that need overnight loans.
U.S. Treasurys: Futures based on government debt instruments issued by the United States Government.
“Bloomberg®” and the Bloomberg Index/Indices used are service marks of Bloomberg Finance L.P. and its affiliates, and have been licensed for use for certain purposes by Morgan Stanley Investment Management (MSIM). Bloomberg is not affiliated with MSIM, does not approve, endorse, review, or recommend any product, and. does not guarantee the timeliness, accurateness, or completeness of any data or information relating to any product.

RISK CONSIDERATIONS:
The following is a non-exhaustive list of certain key risk factors related to the Index and for investors in products linked to the Index. You should also consult with your investment, legal, tax, accounting and other advisors in connection with the Index and any product linked to the Index.

Low Volatility in the Index is Not Synonymous with Low Risk in an Investment Linked to the Index. For example, even if the volatility of the Index was in line with the Volatility Target, the Index may decrease over time, which may result in a loss, and possibly a significant loss, on an investment linked to the Index.

The Level of the Index Can Go Down As Well As Up.

The Index’s Constituents are Varied and Represent a Number of Different Sub-Asset Classes in a Number of Different Asset Classes. Prospective investors should be experienced with respect to, and be able to evaluate and understand the risks of (either alone or with the investor’s investment, legal, tax, accounting and other advisors), transactions in investments the value of which is derived from different sub-asset classes and asset classes.

The Index at Any Time May Be Composed of a Very Small Number of ETFs. The components of the Asset Portfolio are varied and will be selected from the Index Components according to the Index Methodology. Therefore, at any time, the Index may be composed of a very small number of ETFs and investors in products linked to the Index could be exposed to the risks associated with a concentrated investment in that small number of ETFs.

The Value of the Index and Any Product Linked to the Index May Increase or Decrease Due to a Number of Factors, Many of Which Are Beyond Our Control. The nature and weighting of the Index Components can vary significantly, and no assurance can be given as to the Index’s allocation to any Index Component at any time.

While the Index Has a Volatility Target of 5%, There Can Be No Guarantee, Even If the Allocation of the Index is Adjusted As Frequently As is Permitted That the Realized Volatility of the Index Will Not be Less Than or Greater Than 5%.

There Can Be No Assurance That the Actual Volatility of the Index Will Be Lower Than the Volatility of Any or All of the Index Components.

The Volatility Target Feature of the Index May Dampen its Performance in Rising Markets. The Index is designed to achieve a Volatility Target of 5% regardless of the direction of price movements in the market. Therefore, in rising markets, if the Realized Volatility is higher than the Target Volatility, the adjustment through Rebalancing or Daily Allocation might dampen the performance of the Index.

The Future Performance of the Index May Bear Little or No Relation to the Historical or Hypothetical Retrospective Performance of the Index. Among other things, the trading prices of the Index Components and the dividends paid on the Index Components will impact the level and the volatility of the Index. It is impossible to predict whether the level of the Index will rise or fall.

An Investment in Products Linked to the Index Involves Risks Associated with Emerging Markets Equities and Bonds, Currency Exchange Rates. ETFs representing foreign equities (including emerging markets equities) can constitute up to 100% of the Index. The Index can also consist of certain ETFs representing emerging markets bonds. Therefore, an investment in products linked to the Index involves risks associated with the securities markets in those foreign markets and emerging markets countries, including but not limited to risks of volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies in certain countries. The prices of securities issued in foreign markets may be affected by political, economic, financial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies and currency exchange laws. In addition, because the price of an ETF representing foreign securities is generally related to the U.S. dollar value of securities underlying the index tracked by such ETF, an investment in products linked to the Index involves currency exchange rate risk with respect to each of the currencies in which such securities trade. Exchange rate movements for a particular currency are volatile and are the result of numerous factors including the supply of, and the demand for, those currencies, as well as relevant government policy, intervention or actions, but are also influenced significantly from time to time by political or economic developments, and by macroeconomic factors and speculative actions related to the relevant region.

Investing in products linked to the Index is not equivalent to investing in the Index or its component ETFs or futures. Investors in products linked to the Index will not have voting rights or rights to receive dividends or other distributions or any other right with respect to the component ETFs of the Index.

Reliance on Information. Unless otherwise stated, all calculations are based on information obtained from various publicly-available sources. Morgan Stanley has relied on these sources and not independently verified the information extracted from these sources. Morgan Stanley shall not be liable in any way for any calculations it performs in reliance on such information. The information used to undertake the rebalancing will be the most up-to- date information available.

Research. Morgan Stanley may issue research reports on securities that are, or may become, constituents of an Index Component or on an Index Component. These reports are entirely independent of the Calculation Agent’s obligations hereunder. Morgan Stanley will be under no obligation to make any adjustments to the Index or to reflect any change in outlook by Morgan Stanley Research.

Conflicts of Interest. Morgan Stanley and its affiliates may from time to time engage in transactions involving constituents of an Index Component or one of the Index Components for their proprietary accounts and/or for accounts of their clients, may act as market-maker in such constituents and/or be providing underwriting, banking, advisory or other services to the issuers of such constituents. Such activities may not be for the benefit of the holders of investments related to the Index and may have a positive or negative effect on the value of the constituents or Index Components and consequently on the value of the Index. In addition, Morgan Stanley and its affiliates may from time to time act in other capacities, such as the issuer of investments, advisor thereof, calculation agent or index sponsor. Morgan Stanley and its affiliates may also issue derivative instruments in respect of such constituents or Index Components and the use of such derivatives may affect the value of the constituents or the Index. In its role in relation to investments linked to the Index, Morgan Stanley or its affiliates may enter into hedging transactions in respect of the constituents or related instruments which may or may not affect the value of such constituents or Index Components. In addition, the unwinding of such hedging transactions may also affect the value of such constituents or Index Components, which may in turn affect the value of the Index. Such activities may present conflicts of interest which may affect the level of the Index.

Morgan Stanley Investment Management is the asset management division of Morgan Stanley.

This material is not a solicitation of any offer to buy or sell any security or other financial instrument or participate in any trading strategy. This material was not prepared by the Morgan Stanley Research Department. Please refer to important information and other qualifications at the end of this material. The information contained herein does not constitute advice. Morgan Stanley is not acting as your advisor (municipal, financial, or otherwise) and is not acting in a fiduciary capacity.

 


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