OSSIAM MINIMUM VARIANCE ETFS :A COST EFFICIENT SOLUTION TO THE   CURRENT ASSET ALLOCATION            DILEMMA?            w...
INTRODUCING OSSIAM      Ossiam is a boutique asset management firm specialising in value-added smart beta strategies      ...
WHY DO WE SPECIALISE IN SMART BETA ?               We believe traditional market cap weighted indices are inefficient     ...
SMART BETA SOLUTIONS        Smart beta strategies use systematic investment processes to mitigate the biases and limitatio...
LOW VOLATILITY INVESTING   Minimum variance strategy is one of the most established types of smart beta, it allows not onl...
OUR MINIMUM VARIANCE STRATEGY : COST EFFICIENT SOLUTION TOTHE CURRENT ASSET ALLOCATION DILEMMA  Ossiam’s minimum variance ...
OVERVIEW OF OUR MINIMUM VARIANCE INVESTMENT PROCESS                          Investment universe                          ...
OSSIAM MINIMUM VARIANCE STRATEGIES – EMPIRICAL EVIDENCE (I)   Ossiam minimum variance indices have provided returns at lea...
OSSIAM MINIMUM VARIANCE STRATEGIES – EMPIRICAL EVIDENCE (II)                                                              ...
OSSIAM MINIMUM VARIANCE STRATEGY APPLIED TO THE US         Our strategies add significant value when compared to tradition...
SIMULATED QUARTERLY RETURNS OF THE INDICES SINCE 2002                             Simulated quarterly returns from March 2...
OSSIAM ETF US MINIMUM VARIANCE NR                                        Investment objective                             ...
OSSIAM MINIMUM VARIANCE STRATEGY APPLIED TO EUROPE            Performance since inception (21/06/2011 – 31/08/2012) basis ...
SIMULATED QUARTERLY RETURNS OF THE INDICES SINCE 2002                             Simulated quarterly returns from March 2...
OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR                                         Investment objective                ...
OSSIAM MINIMUM VARIANCE STRATEGY APPLIED TO EMERGING MARKETS            Performance since inception (03/02/2012 – 31/08/20...
SIMULATED QUARTERLY RETURNS OF THE INDICES SINCE 2002                              Simulated quarterly returns from March ...
OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR                                        Investment objective               ...
WHY OSSIAM?  We are specialists in value-added smart beta strategies  We combine deep research with practical market exper...
DISCLAIMER‚Ossiam US Minimum Variance Index Net Return USD and Ossiam Emerging Markets Minimum Variance (the ‚Indices‛) ar...
DISCLAIMERAlthough information contained herein is from sources believed to be reliable, Ossiam makes no representation or...
ADDITIONAL NOTESThis material has been provided for information purposes only to investment service providers or other Pro...
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Ngam ossiam final presentation citywire gstaad event-sept 2012

  1. 1. OSSIAM MINIMUM VARIANCE ETFS :A COST EFFICIENT SOLUTION TO THE CURRENT ASSET ALLOCATION DILEMMA? www.ossiam.com – tel +33178405690 Citywire Switzerland, 20 – 21 September 2012This material is provided for information only to Professional or Qualified Investors. It must not be distributed to Retail Investors.
  2. 2. INTRODUCING OSSIAM Ossiam is a boutique asset management firm specialising in value-added smart beta strategies Founded in 2009 by Bruno Poulin and Antoine Moreau Bringing together a team of investment professionals with years of experience Developing and managing smart beta strategies Operating under the supervision of the French Autorité des Marchés Financiers (AMF) Ossiam’s investment approach is research-driven, systematic and transparent Ossiam is part of the €560.2bn* ($ 710.9 billion) Natixis Global Asset Management group, since October 2010‚Ossiam aims to provide smart and innovative beta strategies across a broad range of asset classes. We offer clients long-term investment solutions as well as products tailored to their specific needs‛Bruno Poulin, CEO * As of end of June 2012 FOR PROFESSIONAL CLIENTS USE ONLY 2
  3. 3. WHY DO WE SPECIALISE IN SMART BETA ? We believe traditional market cap weighted indices are inefficient Academic research proved invalidity of the CAPM Empirical features of market cap portfolios are overconcentration on large caps, and a trend following bias Cumulative weight in the S&P 500® Index Weight of Apple in the S&P 500® Index Technology sector weight evolution in the S&P 500® Index (as of 29/06/2012) (January 2001 - June 2012) (September 1989 – June 2012)100% 5% 2000 40% 90% Gains for Apple share price 1800 35% contributed approximately 30% June 2012 1600 80% 4% 30% of the rise in the S&P 500® 4.44% 70% 1400 Index in 2012. 25% 60% 3% 1200 50% 1000 20% January 2009 800 40% 50 largest stocks  50% of the weight 2% 15% 0.97% 600 30% 10% 20% 1% 400 200 5% 10% 0% 0 0% 0% 1 50 100 150 200 250 300 350 400 450 Source: Standard & Poor’s - Calculation by Ossiam Source: Datastream - Calculation by Ossiam S&P 500® Index Technology sector weight Source: Standard & Poor’s - Calculation by Ossiam Smart beta strategies attempt to mitigate these weaknesses and offer the potential for a better long-term risk-return trade-off and enhanced diversification FOR PROFESSIONAL CLIENTS USE ONLY 3
  4. 4. SMART BETA SOLUTIONS Smart beta strategies use systematic investment processes to mitigate the biases and limitations of traditional indices and achieve more efficient portfolios Do not use explicit risk/return Use risk forecasts rather than return forecasts, set up diversification Risk Diversification forecasts to build efficient portfoliosobjectives based on weight distribution based basedEqual Weight, Intech Diversity Index, Minimum Variance, Risk Maximum Diversification Budgeting Fundamentals based Use fundamentals to assess “fair value” and set up diversification objectives based on these fundamentals Fundamental Indices, GDP-Weighted Indices FOR PROFESSIONAL CLIENTS USE ONLY 4
  5. 5. LOW VOLATILITY INVESTING Minimum variance strategy is one of the most established types of smart beta, it allows not only to reduce consistently the risk of the portfolio but also profits from the Low Volatility Anomaly Empirical research has shown that contrary to the theory of the CAPM, riskier stocks do not offer higher returns - the “Low Volatility Anomaly” Top 100 US stocks (1968 – 2008) 6% 5% 4% 3% 2% Market portfolio 1% 0% -1% -2% Low volatility High volatility Average Return Geometric Return Source: Baker, Bradley and Wurgler ‚Benchmarks as limits to arbitrage: Source: Bloomberg - Calculation by Ossiam Understanding the Low-Volatility Anomaly‛, Financial Analysts Journal, 2012 Academic research has suggested several behavioural biases in investors that may lie behind this anomaly and result in higher volatility stocks becoming overpriced. These include: Overconfidence, Representativeness, Lottery effects. FOR PROFESSIONAL CLIENTS USE ONLY 5
  6. 6. OUR MINIMUM VARIANCE STRATEGY : COST EFFICIENT SOLUTION TOTHE CURRENT ASSET ALLOCATION DILEMMA Ossiam’s minimum variance strategies are designed to provide investors with a transparent and practical means to take advantage of the Low Volatility Anomaly A robust and consistent approach, for which the objective is to enhance portfolio efficiency while reducing volatility A systematic approach, for which the investment process is embedded in an index calculated and published by independent index providers (S&P, Stoxx Ltd, FTSE) A transparent approach, we publish daily information on our website and on Bloomberg • index constituents • historical data We offer minimum variance strategies on European equities Emerging market equities Country-specific equities such as US FOR PROFESSIONAL CLIENTS USE ONLY 6
  7. 7. OVERVIEW OF OUR MINIMUM VARIANCE INVESTMENT PROCESS Investment universe Comprises all stocks in the relevant market-cap weighted index 1 Capacity/liquidity filterR We filter the reference universe to select the most liquid/largest stocksE 2B Portfolio computationA Portfolio composition adjustment based on historical volatilities and correlationsL Periodic rebalancingA Risk management constraintsN 100% equity, long onlyC 3 maximum weight per stock, sector and countryI diversification target based on the Herfindahl index (HHI)NG 4 Index calculation performed by independent index providers - historical data are published on Bloomberg Portfolio replication by Ossiam FOR PROFESSIONAL CLIENTS USE ONLY 7
  8. 8. OSSIAM MINIMUM VARIANCE STRATEGIES – EMPIRICAL EVIDENCE (I) Ossiam minimum variance indices have provided returns at least as high as their market capitalisation weighted equivalent for the US, European and Emerging markets with 30% lower volatility Simulated 1-year volatility from 02/01/2003 to 31/08/2012: Simulated performance from 02/01/2002 to 31/08/2012 (basis 100): Ossiam US Minimum Variance Index NR vs S&P 500® Index NR Ossiam US Minimum Variance Index NR vs S&P 500® Index NR50%45% 18040% 16035% 14030%25% 12020% 10015% 8010% 5% 60 1y vol Ossiam US Minimum Variance Index NR 1y vol S&P500® Index NR Ossiam US Minimum Variance Index NR S&P500® Index NRPast performance and past volatility shown above represent that of the indices. For data before 06/06/2011 (launch date of the index), performance for the Ossiam US Minimum Variance Index NR reflectscalculations performed by Ossiam based on backtest data provided by Standard & Poor’s. Backtested performance results do not represent the performance of actual trading using client assets, but are achievedby means of the retroactive application of a model. This model assumes reinvestment of net dividends. Some degree of performance difference between OSSIAM ETF product and the underlying index is to beexpected as a result of index replication costs and tracking error. Past performance is not a reliable indicator of future performance. FOR PROFESSIONAL CLIENTS USE ONLY 8
  9. 9. OSSIAM MINIMUM VARIANCE STRATEGIES – EMPIRICAL EVIDENCE (II) Simulated 5-year rolling performance from 02/01/2007 to 31/08/2012: Ossiam US Minimum Variance Index NR vs S&P 500® Index NR 230% 210% 190% 170% 150% 130% 110% 90% 70% 50% Ossiam US Minimum Variance Index NR S&P 500® Index NR Source: Bloomberg - Calculation by OssiamPast performance shown above represent that of the indices. For data before 06/06/2011 (launch date of the index), performance for the Ossiam US Minimum Variance Index NR reflects calculations performedby Ossiam based on backtest data provided by Standard & Poor’s. Backtested performance results do not represent the performance of actual trading using client assets, but are achieved by means of theretroactive application of a model. This model assumes reinvestment of net dividends. Some degree of performance difference between OSSIAM ETF product and the underlying index is to be expected as aresult of index replication costs and tracking error. Past performance is not a reliable indicator of future performance. FOR PROFESSIONAL CLIENTS USE ONLY 9
  10. 10. OSSIAM MINIMUM VARIANCE STRATEGY APPLIED TO THE US Our strategies add significant value when compared to traditional market cap indexes Performance since inception (07/06/2011 – 31/08/2012) basis 100: OSSIAM ETF US MINIMUM VARIANCE NR (USD) vs S&P 500® Index NR120115 Performance since inception: 07/06/2011 – 31/08/2012 Performance Difference110 OSSIAM ETF US MINIMUM VARIANCE NR (USD) 16.36% +4.23% S&P 500® Index NR 11.59%105 Source: Bloomberg / Ossiam - Calculation by Ossiam100 95 Volatility since inception: 07/06/2011 – 31/08/2012 90 Volatility Difference OSSIAM ETF US MINIMUM VARIANCE NR (USD) 14.85% -7.16% 85 S&P 500® Index NR 22.01% Source: Bloomberg / Ossiam - Calculation by Ossiam OSSIAM ETF US MINIMUM VARIANCE NR (USD) S&P500® Index NR Source: Bloomberg / Ossiam - Calculation by Ossiam Past performance is not a reliable indicator of future performance. FOR PROFESSIONAL CLIENTS USE ONLY 10
  11. 11. SIMULATED QUARTERLY RETURNS OF THE INDICES SINCE 2002 Simulated quarterly returns from March 2002 to June 2012 20% Ossiam US 15% Minimum S&P 500® Index Upside participation of the Variance Index NR Ossiam US Minimum Variance Index NR 10% NR  71% 5% Up quarters: 4.96% 7.01% average return 0% Upside 71% participation* -5% Down quarters: -3.64% -7.90% average return -10% Downside participation Ossiam US Minimum Variance Index NR Downside participation 46% -15%  46% Source: Bloomberg – Calculation by Ossiam -20% *Upside participation of the Ossiam US Minimum Variance Index -25% NR compared to the S&P 500® Index NR = 4.96%/7.01% Ossiam US Minimum Variance Index NR S&P 500® Index NR = 71% Source: Bloomberg – Calculation by OssiamPerformance shown reflects that of indexes, and not those of the OSSIAM ETF US MINIMUM VARIANCE NR, vehicle replicating the performance of the index reduced by the total expense ratio (TER, composed forinstance of management fees and other account expenses) and transaction costs. For data before 06/06/2011 (launch date of the index), performance for the Ossiam US Minimum Variance Index NR reflects calculationsperformed by Ossiam based on ‘backtest’ data provided by Standard & Poor’s. Backtested performance results do not represent the performance of actual trading using client assets, but are achieved by means of theretroactive application of a model. This model assumes reinvestment of net dividends. Past performance is not a reliable indicator of future performance. FOR PROFESSIONAL CLIENTS USE ONLY 11
  12. 12. OSSIAM ETF US MINIMUM VARIANCE NR Investment objective Index characteristics The Funds objective is to replicate, before the Fund’s fees and expenses, the The Ossiam US Minimum Variance Index NR is a total return index (net performance of the Ossiam US Minimum Variance Index NR at closing level. dividends reinvested) expressed in USD, which has the same investment universe as the S&P 500® Index NR. ETF characteristics Liquidity filter: 250 most liquid stocks of S&P 500® Index Annual TER : 65 bps Rebalancing : monthly ISIN: LU0599612685 (EUR) Index provider: S&P ISIN: LU0599612412 (USD) Index codes: Bloomberg OUMVNR / RIC Reuters: .OUMVNR Parity: 1/1 From 02/01/2002 to 31/08/2012 Ossiam US Minimum Variance Index NR S&P 500® Index NR YTD performance 10.84% 13.01% 1 year performance 16.19% 17.21% 3 year performance 47.51% 43.97% 5 year performance 19.48% 3.09% Annualized performance 6.02% 3.28% Volatility (annualized) 15.21% 21.48% Max Drawdown -39.51% -55.71% Sharpe Ratio 0.27 0.06 Correlation vs Benchmark 94.06% N/A Beta 0.67 N/A Annual Alpha 3.20% N/A Source: Bloomberg – Calculation by OssiamPerformance shown reflects that of indexes, and not those of the OSSIAM ETF US MINIMUM VARIANCE NR, vehicle replicating the performance of the index reduced by the total expense ratio (TER, composed forinstance of management fees and other account expenses) and transaction costs. For data before 06/06/2011 (launch date of the index), performance for the Ossiam US Minimum Variance Index NR reflects calculationsperformed by Ossiam based on ‘backtest’ data provided by Standard & Poor’s. Backtested performance results do not represent the performance of actual trading using client assets, but are achieved by means of theretroactive application of a model. This model assumes reinvestment of net dividends. Past performance is not a reliable indicator of future performance. FOR PROFESSIONAL CLIENTS USE ONLY 12
  13. 13. OSSIAM MINIMUM VARIANCE STRATEGY APPLIED TO EUROPE Performance since inception (21/06/2011 – 31/08/2012) basis 100:OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR vs STOXX® Europe 600 Index NR115110 Performance since inception: 21/06/2011 – 31/08/2012 Performance Difference105 OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR 12.20% +9.69%100 STOXX® Europe 600 Index NR 2.51% Source: Bloomberg / Ossiam - Calculation by Ossiam 95 90 85 Volatility since inception: 21/06/2011 – 31/08/2012 80 Volatility Difference 75 OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR 12.86% -9.14% STOXX® Europe 600 Index NR 22.00% Source: Bloomberg / Ossiam - Calculation by Ossiam OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR STOXX® Europe 600 Index NR Source: Bloomberg / Ossiam - Calculation by Ossiam Past performance is not a reliable indicator of future performance. FOR PROFESSIONAL CLIENTS USE ONLY 13
  14. 14. SIMULATED QUARTERLY RETURNS OF THE INDICES SINCE 2002 Simulated quarterly returns from March 2002 to June 201220% Upside participation of the iSTOXX™ Europe15% iSTOXX™ Europe Minimum Variance Index NR Minimum STOXX® Europe  80% Variance Index 600 Index NR10% NR 5% Up quarters: 5.56% 6.98% average return 0% Upside 80% participation* -5% Down quarters: -4.94% -9.99% average return-10% Downside participation of the Downside participation 50%-15% iSTOXX™ Europe Minimum Variance Index NR  50% Source: Bloomberg – Calculation by Ossiam-20% *Upside participation of the iSTOXX™ Europe Minimum-25% Variance Index NR compared to the STOXX® Europe 600 NR =5.56%/6.98% iSTOXX™ Europe Minimum Variance Index NR STOXX® Europe 600 Index NR = 80% Source: Bloomberg – Calculation by OssiamPerformance shown reflects that of indexes, and not those of the OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR, vehicle replicating the performance of the index reduced by the total expense ratio (TER,composed for instance of management fees and other account expenses) and transaction costs. For data before 14/06/2011 (launch date of the index), performance for the iSTOXX™ Europe Minimum Variance Index NRreflects calculations performed by Ossiam based on ‘backtest’ data provided by STOXX Ltd. Backtested performance results do not represent the performance of actual trading using client assets, but are achieved bymeans of the retroactive application of a model. This model assumes reinvestment of net dividends. Past performance is not a reliable indicator of future performance. FOR PROFESSIONAL CLIENTS USE ONLY 14
  15. 15. OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR Investment objective Index characteristics The Funds objective is to replicate, before the Fund’s fees and expenses, the The iSTOXX™ Europe Minimum Variance Index NR is a total return performance of the iSTOXX™ Europe Minimum Variance Index NR at index (expressed in EUR) which has the same investment universe as the closing level. STOXX® Europe 600 Index NR. ETF characteristics Liquidity filter: 300 most liquid stocks of the STOXX® Europe 600 Index Annual TER : 65 bps Rebalancing : monthly ISIN: LU0599612842 Index provider : STOXX Ltd Parity: 1/1 Index codes: Bloomberg ISEMVT / Reuters RIC: .ISEMVT From 02/01/2002 to 31/08/2012 iSTOXX™ Europe Minimum Variance Index NR STOXX® Europe 600 Index NR YTD performance 13.08% 11.96% 1 year performance 21.72% 15.97% 3 year performance 43.97% 23.45% 5 year performance 5.07% -17.23% Annualized performance 7.20% 1.92% Volatility (annualized) 12.68% 21.13% Max Drawdown -39.71% -58.69% Sharpe Ratio 0.40 -0.01 Correlation vs Benchmark 89.60% N/A Beta 0.54 N/A Annual Alpha 5.17% N/A Source: Bloomberg – Calculation by OssiamPerformance shown reflects that of indexes, and not those of the OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR, vehicle replicating the performance of the index reduced by the total expense ratio (TER,composed for instance of management fees and other account expenses) and transaction costs. For data before 14/06/2011 (launch date of the index), performance for the iSTOXX™ Europe Minimum Variance Index NRreflects calculations performed by Ossiam based on ‘backtest’ data provided by STOXX Ltd. Backtested performance results do not represent the performance of actual trading using client assets, but are achieved bymeans of the retroactive application of a model. This model assumes reinvestment of net dividends. Past performance is not a reliable indicator of future performance. FOR PROFESSIONAL CLIENTS USE ONLY 15
  16. 16. OSSIAM MINIMUM VARIANCE STRATEGY APPLIED TO EMERGING MARKETS Performance since inception (03/02/2012 – 31/08/2012) basis 100:OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR (USD) vs S&P/IFCI® Index NR105103 Performance since inception: 03/02/2012 – 31/08/2012101 Performance Difference99 OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR (USD) 2.49% +9.90%97 S&P/IFCI® Index NR -7.41%95 Source: Bloomberg / Ossiam - Calculation by Ossiam939189 Volatility since inception: 03/02/2012 – 31/08/201287 Volatility Difference OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR (USD) 11.29% -5.59%85 S&P/IFCI® Index NR 16.88% Source: Bloomberg / Ossiam - Calculation by Ossiam OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR (USD) S&P/IFCI® Index NR Source: Bloomberg / Ossiam - Calculation by Ossiam Past performance is not a reliable indicator of future performance. FOR PROFESSIONAL CLIENTS USE ONLY 16
  17. 17. SIMULATED QUARTERLY RETURNS OF THE INDICES SINCE 2002 Simulated quarterly returns from March 2002 to June 2012 40% Ossiam Emerging Upside participation of the 30% Markets Minimum S&P/IFCI® Ossiam Emerging Markets Minimum Variance Index NR Variance Index Index NR  93% 20% NR Up quarters: 10% 10.62% 11.38% average return Upside 0% 93% participation* Down quarters: -10% -6.13% -11.49% average return -20% Downside participation Downside participation 53% Ossiam Emerging Markets Minimum Variance Index NR -30%  53% Source: Bloomberg – Calculation by Ossiam -40% *Upside participation of the Ossiam Emerging Markets Minimum Variance Index NR compared to the S&P/IFCI® Index NR = Ossiam Emerging Markets Minimum Variance Index NR S&P/IFCI® Index NR 10.62%/11.38% = 93% Source: Bloomberg – Calculation by OssiamPerformance shown reflects that of indexes, and not those of the OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR, vehicle replicating the performance of the index reduced by the total expense ratio (TER,composed for instance of management fees and other account expenses) and transaction costs. For data before 24/01/2012 (launch date of the index), performance for the Ossiam Emerging Markets Minimum VarianceIndex NR reflects calculations performed by Ossiam based on ‘backtest’ data provided by Standard & Poor’s. Backtested performance results do not represent the performance of actual trading using client assets, but areachieved by means of the retroactive application of a model. This model assumes reinvestment of net dividends. Past performance is not a reliable indicator of future performance. FOR PROFESSIONAL CLIENTS USE ONLY 17
  18. 18. OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR Investment objective Index characteristics The Funds objective is to replicate, before the Fund’s fees and expenses, the The Ossiam Emerging Markets Minimum Variance Index NR is a total performance of the Ossiam Emerging Markets Minimum Variance Index NR at return index (expressed in USD) which has the same investment universe closing level. as the S&P/IFCI® Index NR. ETF characteristics Liquidity filter: 400 largest and most liquid stocks of the S&P/IFCI® Index Annual TER : 75 bps Rebalancing : semi-annually ISIN: LU0705291903 (EUR) Index provider : S&P ISIN: LU0705291812 (USD) Index codes: Bloomberg OEMMVNR / Reuters RIC: .OEMMVNR Parity: 1/1 From 02/01/2002 to 31/08/2012 Ossiam Emerging Markets Minimum Variance Index NR S&P/IFCI® Index NR YTD performance 11.53% 6.08% 1 year performance 4.95% -6.16% 3 year performance 57.58% 22.03% 5 year performance 54.64% -1.35% Annualized performance 20.76% 14.14% Volatility (annualized) 14.66% 21.44% Max Drawdown -49.85% -65.14% Sharpe Ratio 1.27 0.56 Correlation vs Benchmark 90.67% N/A Beta 0.62 N/A Annual Alpha 11.18% N/A Source: Bloomberg – Calculation by OssiamPerformance shown reflects that of indexes, and not those of the OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR, vehicle replicating the performance of the index reduced by the total expense ratio(TER, composed for instance of management fees and other account expenses) and transaction costs. For data before 24/01/2012 (launch date of the index), performance for the Ossiam Emerging Markets MinimumVariance Index NR reflects calculations performed by Ossiam based on ‘backtest’ data provided by Standard & Poor’s. Backtested performance results do not represent the performance of actual trading using clientassets, but are achieved by means of the retroactive application of a model. This model assumes reinvestment of net dividends. Past performance is not a reliable indicator of future performance. FOR PROFESSIONAL CLIENTS USE ONLY 18
  19. 19. WHY OSSIAM? We are specialists in value-added smart beta strategies We combine deep research with practical market experience to deliver state-of-the-art strategies Our investment process is research-driven, systematic and transparent We offer the focus of a boutique asset manager, with the stability and robustness of the €562bn Natixis Global Asset Management group FOR PROFESSIONAL CLIENTS USE ONLY 19
  20. 20. DISCLAIMER‚Ossiam US Minimum Variance Index Net Return USD and Ossiam Emerging Markets Minimum Variance (the ‚Indices‛) are the exclusive property of Ossiam, which has contracted with Standard &Poor’s Financial Services LLC (‚S&P‛) to maintain and calculate the Indices. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC ‚Calculated byS&P Custom Indices‛ and its related stylized mark(s) are service marks of Standard & Poor’s Financial Services LLC and have been licensed for use by Ossiam. S&P and its affiliates shall have noliability for any errors or omissions in calculating the Index .‛OSSIAM ETF US MINIMUM VARIANCE NR and OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE are not sponsored, endorsed, sold or promoted by S&P, its affiliates or their third partylicensors and neither S&P, its affiliates nor their its third party licensors make any representation regarding the advisability of investing in OSSIAM ETF US MINIMUM VARIANCE NR and OSSIAM ETFEMERGING MARKETS MINIMUM VARIANCE.‚The STOXX® Indices and the data composed therein (the ‚Index Data‛) are the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland (‚STOXX‛) and/or itslicensors (the ‚STOXX Licensors‛). The use of the Index Data requires a license from STOXX. STOXX and the STOXX Licensors do not make any warranties or representations, express or implied withrespect to the timeliness, sequency, accuracy, completness, currentness, merchantability, quality or fitness for any particular purpose of the Index Data. In particular, the inclusion of a company in aSTOXX® Index does not in any way reflect an opinion of STOXX or the STOXX Licensors on the merits of that company. STOXX and the STOXX Licensors are not providing investment, tax or otherprofessional advice through the publication of the STOXX® Indices or in connection therewith.‛ STOXX and its licensors have no relationship to Ossiam, other than the licensing of the iSTOXX ® EuropeMinimum Variance index and the related trademarks for use in connection with OSSIAM ETF indexed to the index (hereafter the Product). STOXX and its Licensors do not:- Sponsor, endorse, sell or promote the Product,- Recommend that any person invest in the Product or any other securities.- Have any responsibility or liability for or make any decisions about the timing, amount or pricing of Product.- Have any responsibility or liability for the administration, management or marketing of the Product.Consider the needs of the Product or the owners of the Product in determining, composing or calculating the above mentioned indices or have any obligation to do so.STOXX and its Licensors will not have any liability in connection with the Product. Specifically, STOXX and its Licensors do not make any warranty, express or implied and disclaim any and all warrantyabout:- The results to be obtained by the Product, the owner of the Product or any other person in connection with the use of the above mentioned indices and the data included in the above mentioned indices;- The accuracy or completeness of the above mentioned indices and its data;- The merchantability and the fitness for a particular purpose or use of the above mentioned indices and its data;- STOXX and its Licensors will have no liability for any errors, omissions or interruptions in the above mentioned indices or its data;- Under no circumstances will STOXX or its Licensors be liable for any lost profits or indirect, punitive, special or consequential damages or losses, even if STOXX or its Licensors knows that they mightoccur.The licensing agreement between Ossiam and STOXX is solely for their benefit and not for the benefit of the owners of the Product or any other third parties. FOR PROFESSIONAL CLIENTS USE ONLY 20
  21. 21. DISCLAIMERAlthough information contained herein is from sources believed to be reliable, Ossiam makes no representation or warranty regarding the accuracy of any information.The value of the product can go down as well as up and can be subject to volatility due to factors such as price changes in the underlying instrument and interest rates. In the worstcase scenario, you can lose all of your investment.The use of derivatives involves special risks including those associated with leverage, valuation, illiquidity and counterparties. Structured investments involve special risks includingthose associated with leverage, illiquidity, changes in interest rate, market risk and the credit risk of their issuers. International investing involves certain risks, such as currencyexchange rate fluctuations, political or regulatory developments, economic instability and lack of information transparency. These and other risks of the Fund are described in greaterdetail in the Prospectus.The sub-funds shown in this material are not registered or authorized in all jurisdictions and may not be available to all investors in a jurisdiction. Accordingly, if persons who comeinto possession of this material have any questions about the registration or authorization of the sub-funds referenced in this document, they should contact the provider of thisdocument for further information. Any investment in or distribution of the sub-funds referenced herein would only be possible if it was in compliance with all applicable laws andregulations, including, but not limited to obtaining any required registrations.The funds referenced in this material are sub-funds of Ossiam Lux which is organized as an investment company with variable capital under the laws of the Grand-Duchy ofLuxembourg and is authorized by the financial regulator (the CSSF) as a UCITS. The Funds offer multiple share classes with differing fees. Natixis Global Associates S.A. is themanagement company of the Funds. The investment manager of the Funds is an affiliated company of Natixis Global Associates S.A.Ossiam, a subsidiary of Natixis Global Asset Management, is a French asset manager authorized by the Autorité des Marchés Financiers (Agreement No. 10000016).Natixis Global Asset Management, a subsidiary of Natixis, is the holding company of a diverse line-up of specialized investment management and distribution entities worldwide.The funds’ representative and paying agent in Switzerland is RBC Dexia Investor Services Bank S.A., Zurich Branch, Badenerstrasse 567, 8048 Zurich. The full prospectus, thesimplified prospectus and the annual / semi-annual reports of Ossiam Lux can be obtained free of charge from the Representative together with the initial articles of association of thefund and any subsequent changes to such articles. FOR PROFESSIONAL CLIENTS USE ONLY 21
  22. 22. ADDITIONAL NOTESThis material has been provided for information purposes only to investment service providers or other Professional Clients, Qualified or Institutional Investors and, when required bylocal regulation, only at their written request.In the E.U. (outside of the UK) This material is provided by NGAM S.A. or one of its branch offices listed below. NGAM S.A. is a Luxembourg management company that is authorizedby the Commission de Surveillance du Secteur Financier and is incorporated under Luxembourg laws and registered under n. B 115843. Registered office of NGAM S.A.: 51, avenueJ.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg. France: NGAM Distribution (n.509 471 173 RCS Paris). Registered office: 21 quai dAusterlitz, 75013 Paris. Italy:NGAM S.A., Succursale Italiana (Bank of Italy Register of Italian Asset Management Companies no 23458.3). Registered office: Via San Clemente, 1 - 20122, Milan, Italy. Germany:NGAM S.A., Zweigniederlassung Deutschland (Registration number: HRB 88541). Registered office: Im Trutz Frankfurt 55, Westend Carrée, 7. Floor, Frankfurt am Main 60322,Germany. Netherlands: NGAM, Nederlands filiaal (Registration number 50774670). Registered office: World Trade Center Amsterdam, Strawinskylaan 1259, D-Tower, Floor 12, 1077XX Amsterdam, the Netherlands. Sweden: NGAM, Nordics Filial (Registration number 516405-9601 - Swedish Companies Registration Office). Registered office: Kungsgatan 48 5tr,Stockholm 111 35, Sweden. Spain: NGAM, Sucursal en España. Registered office: Torre Colon II - Plaza Colon, 2 - 28046 Madrid, Spain.In Switzerland This material is provided to Qualified Investors by NGAM, Switzerland Sàrl. Registered office: Rue du Vieux Collège 10, 1204 Geneva, Switzerland.In the U.K. This material is provided by NGAM UK Limited which is authorised and regulated by the UK Financial Services Authority (register no. 190258). This material is intendedto be communicated to and/or directed at persons (1) in the United Kingdom, and should not to be regarded as an offer to buy or sell, or the solicitation of any offer to buy or sellsecurities in any other jurisdiction than the United Kingdom; and (2) who are authorised under the Financial Services and Markets Act 2000 (FSMA 2000); or are high net worthbusinesses with called up share capital or net assets of at least £5 million or in the case of a trust assets of at least £10 million; or any other person to whom the material may otherwiselawfully be distributed in accordance with the FSMA 2000 (Financial Promotion) Order 2005 or the FSMA 2000 (Promotion of Collective Investment Schemes) (Exemptions) Order2001 (the "Intended Recipients"). To the extent that this material is issued by NGAM UK Limited, the fund, services or opinions referred to in this material are only available to theIntended Recipients and this material must not be relied nor acted upon by any other persons. Registered Office: NGAM UK Limited, Cannon Bridge House, 25 Dowgate Hill, London,EC4R 2YA.The above referenced entities are business development units of Natixis Global Asset Management, the holding company of a diverse line-up of specialised investment management anddistribution entities worldwide. The investment management subsidiaries of Natixis Global Asset Management conduct any regulated activities only in and from the jurisdictions inwhich they are licensed or authorized. Their services and the products they manage are not available to all investors in all jurisdictions. It is the responsibility of each investment serviceprovider to ensure that the offering or sale of fund shares or third party investment services to its clients complies with the relevant national law.The provision of this material and/or reference to specific securities, sectors, or markets within this material does not constitute investment advice, or a recommendation or an offer tobuy or to sell any security, or an offer of services. Investors should consider the investment objectives, risks and expenses of any investment carefully before investing. The analyses,opinions, and certain of the investment themes and processes referenced herein represent the views of the portfolio manager(s) as of the date indicated. These, as well as the portfolioholdings and characteristics shown, are subject to change. There can be no assurance that developments will transpire as may be forecasted in this material.Although Natixis Global Asset Management believes the information provided in this material to be reliable, it does not guarantee the accuracy, adequacy, or completeness of suchinformation. This material may not be distributed, published, or reproduced, in whole or in part. FOR PROFESSIONAL CLIENTS USE ONLY 22

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