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MSCI Europe Screened Index Strategy

Investment Objective

The Strategy seeks an investment return that approximates as closely as practicable, before expenses, the performance of its benchmark index (the "Index") over the long term. The Strategy implements a screen that results in the inclusion in, or exclusion from, the Portfolio of securities of issuers based on specific ESG criteria (the "ESG Screen").


Investment Strategy

The Strategy is managed using an "indexing" investment approach, by which SSGA attempts to approximate, before expenses, the performance of the Index over the long term. SSGA typically will attempt to invest in the equity securities comprising the Index, in approximately the same proportions as they are represented in the Index. Equity securities may include common stocks, preferred stocks, depositary receipts, or other securities convertible into common stock. Equity securities held by the Strategy may be denominated in foreign currencies and may be held outside the United States. In some cases, it may not be possible or practicable to purchase all of the securities comprising the Index, or to hold them in the same weightings as they represent in the Index. In those circumstances, SSGA may employ a sampling or optimization technique to construct the portfolio in question. SSGA may also utilize other pooled investment vehicles, including those managed by SSGA and its affiliates, as substitutes for gaining direct exposure to securities or a group of securities in the Index.

The ESG screening is performed by SSGA. SSGA’s proprietary screening process utilizes third-party data to generate a list of restricted securities based on an assessment of relevant screening criteria developed by SSGA. The ESG screening is intended to screen out companies based on (i) a framework provided by the 10 principles of the United Nations Global Compact (for more information, see the Ten Principles of the UN Global Compact at as well as (ii) an exclusion of the companies that are involved in the production of controversial weapons. The restricted lists are reviewed quarterly.

From time to time securities are added to or removed from the Index. SSGA may sell securities that are represented in the Index, or purchase securities that are not yet represented in the Index, prior to or after their removal or addition to the Index.

The Strategy may at times purchase or sell index futures contracts, or options on those futures, or engage in other transactions involving the use of derivatives, in lieu of investment directly in the securities making up the Index or to enhance the Strategy's replication of the Index return. The Strategy's return may not match the return of the Index.


The MSCI Europe Index is a trademark of MSCI Inc.

There are risks involved with investing, including possible loss of principal. You should refer to the Strategy's Disclosure Document (SDD) for a complete description of the risks of investing in the Strategy. Please contact SSGA's relationship management team for a copy of the SDD.