The new index was built in three stages: - Firstly, Controversial Weapons Manufacturers were excluded from the universe of stocks that make up the FTSE All World Index universe, as the Trustee has a financial preference for avoiding such stocks where possible. - Secondly, a four factor index was created (Value, Quality, Low Volatility and Low Size) that rebalances regularly through time to create a 'Balanced Factor' index with more attractive risk-return characteristics than the standard market capitalisation index. - Finally, three climate-related tilts were applied to the 'Balanced Factor' index to create a 'Climate Balanced Factor' index. The FTSE All World (ex controversial weapons) Climate Balanced Factor Index tilts away from Carbon Reserves and Carbon Emissions, whilst positively tilting towards Green Revenues. The tilts are set such that the inclusion of the climate-related tilts, introduces a relatively modest tracking error compared to the Balanced Factor index without climate tilts. This allowed the Trustee to conclude that the new index was consistent with its fiduciary duty and provided an element of climate change protection.