Ossiam investment solution citywire stockholm 30052013

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  • 1. This material is provided for information only to Professional or QualifiedInvestors. It must not be distributed to Retail Investors.OSSIAM MINIMUM VARIANCE ETFS :A COST EFFICIENT SOLUTION TO THECURRENT ASSET ALLOCATIONDILEMMA?MAY 30TH 2013www.ossiam.com – tel +33178405690
  • 2. 2FOR PROFESSIONAL CLIENTS USE ONLYINTRODUCING OSSIAMOssiam is a boutique asset management firm specialising in value-added smart beta strategiesOssiam’s investment approach is research-driven, systematic and transparentOssiam is part of the €612.9bn* Natixis Global Asset Management group, since October 2010NGAM owns 51% of Ossiam, Ossiam’s management retains 49%The relationship enables Ossiam to have the focus of a small firm while clients benefit from robustness and stability and scalabilityof a large global asset manager“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 March 2013
  • 3. 3FOR PROFESSIONAL CLIENTS USE ONLY0%1%2%3%4%5%6%We believe traditional market cap weighted indices are inefficientAcademic research proved invalidity of the CAPMEmpirical features of market cap portfolios are overconcentration on large caps, and a trend following bias0%10%20%30%40%50%60%70%80%90%100%1 50 100 150 200 250 300 350 400 450Cumulative weight in the S&P 500® Index(as of 31/12/2012)Source: Standard & Poor’s - Calculation by OssiamWeight of Apple in the S&P 500® Index(January 2001 – December 2012)Source: Datastream - Calculation by OssiamGains for Apple share pricecontributed approximately 30%of the rise in the S&P 500®Index in 2012.Source: Standard & Poor’s - Calculation by OssiamTechnology sector weight evolution in the S&P 500® Index(September 1989 – December 2012)50 largest stocks  50% of the weightDecember 20124.36%January 20090.97%0%5%10%15%20%25%30%35%40%0200400600800100012001400160018002000S&P 500® Technology sector weightWHY DO WE SPECIALISE IN SMART BETA ?Smart beta strategies attempt to mitigate these weaknesses and offer the potential for a better long-term risk-returntrade-off and enhanced diversification
  • 4. 4FOR PROFESSIONAL CLIENTS USE ONLYWHAT IS SMART BETA ?Smart beta strategies use systematic investment processes to mitigate the biases and limitations of traditional indices(market-cap weighted, debt-weighted, production weighted…) and achieve more efficient portfoliosStrong development ahead in commodity and fixed income spaceCurrently smart beta solutions on the equity market are divided into three categoriesDo not use explicit risk/returnforecasts, set up diversificationobjectives based on weight distributionUse risk forecasts rather than returnforecasts to build efficient portfoliosUse fundamentals to assess “fairvalue” and set up diversificationobjectives based on these fundamentalsDiversificationbasedFundamentalsbasedRiskbasedSmart beta strategies offer the potential for a better long-term risk-return trade-off and enhanced diversification
  • 5. 5FOR PROFESSIONAL CLIENTS USE ONLYLOW VOLATILITY INVESTINGMinimum variance strategy is one of the most established types of smart beta, it allows not only to reduceconsistently the risk of the portfolio but also profits from the Low Volatility AnomalyEmpirical research has shown that contrary to the theory of the CAPM, riskier stocks do not offer higher returns - the“Low Volatility Anomaly”Academic research has suggested several behavioural biases in investors that may lie behind this anomaly and result inhigher volatility stocks becoming overpriced. These include: Overconfidence, Representativeness, Lottery effects.Source: Baker, Bradley and Wurgler “Benchmarks as limits to arbitrage:Understanding the Low-Volatility Anomaly”, Financial Analysts Journal, 2012Market portfolio-2%-1%0%1%2%3%4%5%6%Average Return Geometric ReturnTop 100 US stocks (1968 – 2008)High volatilityLow volatilitySource: Bloomberg - Calculation by Ossiam
  • 6. 6FOR PROFESSIONAL CLIENTS USE ONLYOUR MINIMUM VARIANCE STRATEGY : COST EFFICIENT SOLUTION TOTHE CURRENT ASSET ALLOCATION DILEMMAOssiam’s minimum variance strategies are designed to provide investors with a transparent and practical means to takeadvantage of the Low Volatility AnomalyA robust and consistent approach, for which the objective is to enhance portfolio efficiency while reducing volatilityA systematic approach, for which the investment process is embedded in an index calculated and published by independent indexproviders (S&P, STOXX Ltd, FTSE)A transparent approach, we publish daily information on our website and on Bloomberg• index constituents• historical dataWe offer minimum variance strategies onCountry-specific equities such as US, UKEuropean equitiesEmerging market equitiesGlobal Equities
  • 7. 7FOR PROFESSIONAL CLIENTS USE ONLYOVERVIEW OF OUR MINIMUM VARIANCE INVESTMENT PROCESSIndex calculation performed by independent indexproviders - historical data are published on BloombergPortfolio replication by OssiamInvestment universeComprises all stocks in the relevant market-cap weighted indexCapacity/liquidity filterWe filter the reference universe to select the most liquid/largest stocksPortfolio computationPortfolio composition adjustment based on historical volatilities and correlationsPeriodic rebalancingRisk management constraints100% equity, long onlymaximum weight per stock, sector and countrydiversification target based on the Herfindahl index (HHI)1234REBALANCING
  • 8. 8FOR PROFESSIONAL CLIENTS USE ONLYOSSIAM MINIMUM VARIANCE STRATEGIES – EMPIRICAL EVIDENCE (I)Backtests performed by Ossiam’s research show that minimum variance indices have provided returns at least as high as theirmarket capitalisation weighted equivalent for the US, European and Emerging markets with 30% lower volatilityPast 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.Simulated 1-year volatility from 02/01/2003 to 28/03/2013:Ossiam US Minimum Variance Index NR vs S&P 500® Index NRSimulated performance from 02/01/2002 to 28/03/2013 (basis 100):Ossiam US Minimum Variance Index NR vs S&P 500® Index NRSource: Bloomberg - Calculation by OssiamSource: Bloomberg - Calculation by Ossiam5%10%15%20%25%30%35%40%45%50%1y vol Ossiam US Minimum Variance Index NR 1y vol S&P 500® Index NR507090110130150170190210230Ossiam US Minimum Variance Index NR S&P 500® Index NR
  • 9. 9FOR PROFESSIONAL CLIENTS USE ONLYOSSIAM MINIMUM VARIANCE STRATEGY APPLIED TO THE USOur strategies add significant value when compared to traditional market cap indexesPerformance since inception (07/06/2011 – 28/03/2013) basis 100:OSSIAM ETF US MINIMUM VARIANCE NR (USD) vs S&P 500® Index NRSource: Bloomberg / Ossiam - Calculation by OssiamSource: Bloomberg / Ossiam - Calculation by OssiamPerformance since inception: 07/06/2011 – 28/03/2013Volatility since inception: 07/06/2011 – 28/03/2013Source: Bloomberg / Ossiam - Calculation by OssiamPast performance is not a reliable indicator of future performance.859095100105110115120125130135OSSIAM ETF US MINIMUM VARIANCE NR (USD) S&P 500® Index NRPerformance DifferenceOSSIAM ETF US MINIMUM VARIANCE NR (USD) 32.85% +7.21%S&P 500 Index NR 25.64%Volatility DifferenceOSSIAM ETF US MINIMUM VARIANCE NR (USD) 13.7% -6.11%S&P 500® Index NR 19.18%
  • 10. 10FOR PROFESSIONAL CLIENTS USE ONLYSIMULATED QUARTERLY RETURNS OF THE INDICES SINCE 2002Source: Bloomberg – Calculation by OssiamSimulated quarterly returns from March 2002 to March 2013Source: Bloomberg – Calculation by Ossiam*Upside participation of the Ossiam US Minimum Variance IndexNR compared to the S&P 500® Index NR= 5.16%/7.11% = 73%Past 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 performed by Ossiambased 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 the retroactive application of amodel. 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 a result of index replication costs andtracking error. Past performance is not a reliable indicator of future performance.-25%-20%-15%-10%-5%0%5%10%15%20%S&P 500® Index NR Ossiam US Minimum Variance Index NRUpside participation of theOssiam US Minimum Variance Index NR 73%Downside participationOssiam US Minimum Variance Index NR 46%From March 2002 toMarch 2013Ossiam USMinimumVariance IndexNRS&P 500® IndexNRUp quarters:averagereturn5.16% 7.11%Upsideparticipation*73%Down quarters:averagereturn-3.44% -7.47%Downside participation 46%
  • 11. 11FOR PROFESSIONAL CLIENTS USE ONLYSIMULATED SECTOR BREAKDOWN OF THE OSSIAM US MINIMUM VARIANCEINDEX NR FROM MAY 2002 TO MARCH 2013Source: Standard & Poor’s/ Ossiam – Calculation by OssiamData based on a backtest. The sector breakdown is as of the dates indicated and is subject to change and should not be relied upon as current thereafter.0%10%20%30%40%50%60%70%80%90%100%UtilitiesTelecommunication ServicesMaterialsInformation TechnologyIndustrialsHealth CareFinancialsEnergyConsumer StaplesConsumer Discretionary
  • 12. 12FOR PROFESSIONAL CLIENTS USE ONLYSource: Bloomberg / Ossiam - Calculation by OssiamPerformance since inception: 21/06/2011 – 28/03/2013Volatility since inception: 21/06/2011 – 28/03/2013Source: Bloomberg / Ossiam - Calculation by OssiamPerformance since inception (21/06/2011–28/03/2013) basis 100:OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR vs STOXX® Europe 600Index NROSSIAM MINIMUM VARIANCE STRATEGY APPLIED TO EUROPEPast performance is not a reliable indicator of future performance.Source: Bloomberg - Calculation by OssiamPerformance DifferenceOSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR 22.73% +8.36%STOXX® Europe 600 Index NR 14.37%Volatility DifferenceOSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR 11.42% -7.79%STOXX® Europe 600 Index NR 19.21%7580859095100105110115120125OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NRSTOXX® Europe 600 Index NR
  • 13. 13FOR PROFESSIONAL CLIENTS USE ONLYSIMULATED QUARTERLY RETURNS OF THE INDICES SINCE 2002Simulated quarterly returns from March 2002 to March2013Source: Bloomberg – Calculation by Ossiam*Upside participation of the iSTOXX™ Europe Minimum VarianceIndex NR compared to the STOXX® Europe 600 NR= 5.50%/6.87%= 80%Past performance shown above represent that of the indices. For data before 14/06/2011 (launch date of the index), performance for the iSTOXX™ Europe Minimum Variance Index NR reflects calculations performed byOssiam 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 by means of the retroactive application of amodel. 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 a result of index replication costs andtracking error. Past performance is not a reliable indicator of future performance.Source: Bloomberg – Calculation by Ossiam-25%-20%-15%-10%-5%0%5%10%15%20%STOXX® Europe 600 Index NR iSTOXX™ Europe Minimum Variance Index NRUpside participation of theiSTOXX™ Europe Minimum Variance Index NR 80%Downside participation of theiSTOXX™ Europe Minimum Variance Index NR 49%From March 2002 toMarch 2013iSTOXX™ EuropeMinimumVariance IndexNRSTOXX® Europe600 Index NRUp quarters:averagereturn5.50% 6.87%Upsideparticipation*80%Down quarters:averagereturn-4.94% -9.99%Downside participation 49%
  • 14. 14FOR PROFESSIONAL CLIENTS USE ONLYOSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NRThe Funds objective is to replicate, before the Fund’s fees and expenses, theperformance of the iSTOXX™ Europe Minimum Variance Index NR atclosing level.Annual TER : 65 bpsISIN: LU0599612842Parity: 1/1Liquidity filter: 300 most liquid stocks of the STOXX® Europe 600 IndexRebalancing : monthlyIndex provider : STOXX LtdIndex codes: Bloomberg ISEMVT / Reuters RIC: .ISEMVTThe iSTOXX™ Europe Minimum Variance Index NR is a total returnindex (expressed in EUR) which has the same investment universe as theSTOXX® Europe 600 Index NR.ETF characteristicsInvestment objective Index characteristicsSource: Bloomberg – Calculation by OssiamPast performance shown above represents that of the indices. For data before 14/06/2011 (launch date of the index), performance for the iSTOXX™ Europe Minimum Variance Index NR reflects calculationsperformed 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 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.From 02/01/2002 to 28/03/2013 iSTOXX™ Europe Minimum Variance Index NR STOXX® Europe 600 Index NRYTD performance 9.26% 5.70%1 year performance 20.25% 14.92%3 year performance 39.52% 22.12%5 year performance 34.04% 12.12%Annualized performance 7.71% 2.82%Volatility (annualized) 12.46% 20.73%Max Drawdown -39.71% -58.69%Sharpe Ratio 0.45 0.04Correlation vs Benchmark 89.36% N/ABeta 0.54 N/AAnnual Alpha 5.25% N/ADividend yield (annualized) 2.90% 2.82%
  • 15. 15FOR PROFESSIONAL CLIENTS USE ONLYSIMULATED SECTOR BREAKDOWN OF THE iSTOXX™ EUROPE MINIMUMVARIANCE INDEX NR FROM MAY 2002 TO MARCH 2013Source: STOXX Ltd/ Ossiam – Calculation by OssiamData based on a backtest. The sector breakdown is as of the dates indicated and is subject to change and should not be relied upon as current thereafter.0%10%20%30%40%50%60%70%80%90%100%UtilitiesTelecommunicationsTechnologyOil - GasIndustrialsHealth CareFinancialsConsumer ServicesConsumer GoodsBasic Materials
  • 16. 16FOR PROFESSIONAL CLIENTS USE ONLYSIMULATED COUNTRY BREAKDOWN OF THE iSTOXX™ EUROPE MINIMUMVARIANCE INDEX NR FROM MAY 2002 TO MARCH 2013Source: STOXX Ltd/ Ossiam – Calculation by OssiamData based on a backtest. The country breakdown is as of the dates indicated and is subject to change and should not be relied upon as current thereafter.0%10%20%30%40%50%60%70%80%90%100%ICELANDUNITED KINGDOMSWITZERLANDSWEDENSPAINPORTUGALNORWAYNETHERLANDSITALYIRELANDGREECEGERMANYFRANCEFINLANDDENMARKBELGIUMAUSTRIA
  • 17. 17FOR PROFESSIONAL CLIENTS USE ONLYOSSIAM MINIMUM VARIANCE STRATEGY APPLIED TO EMERGING MARKETSSource: Bloomberg / Ossiam - Calculation by OssiamPerformance since inception: 03/02/2012 – 28/03/2013Volatility since inception: 03/02/2012 – 28/03/2013Source: Bloomberg / Ossiam - Calculation by OssiamPerformance since inception (03/02/2012 – 28/03/2013) basis 100:OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR (USD)vs S&P/IFCI® Index NRPast performance is not a reliable indicator of future performance.Source: Bloomberg - Calculation by Ossiam859095100105110115OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR (USD)S&P/IFCI® Index NRPerformance DifferenceOSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR(USD)10.01% +7.67%S&P/IFCI® Index NR 2.34%Volatility DifferenceOSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR(USD)9.57% -3.85%S&P/IFCI® Index NR 13.42%
  • 18. 18FOR PROFESSIONAL CLIENTS USE ONLYSIMULATED QUARTERLY RETURNS OF THE INDICES SINCE 2002Source: Bloomberg – Calculation by OssiamSimulated quarterly returns from March 2002 to March 2013Source: Bloomberg – Calculation by OssiamPast performance included in this presentation represents that of the underlying index, and not that of the OSSIAM ETF product. For data before 24/01/2012 (launch date of the index), performance for the OssiamEmerging Markets Minimum Variance Index NR reflects calculations performed by Ossiam based on backtest data provided by Standard & Poor’s. Backtested performance results do not represent the performance ofactual trading using client assets, but are achieved by means of the retroactive application of a model. This model assumes reinvestment of net dividends. Some degree of performance difference between OSSIAM ETFproduct and the underlying index is to be expected as a result of index replication costs and tracking error. Past performance is not a reliable indicator of future performance.*Upside participation of the Ossiam Emerging Markets MinimumVariance Index NR compared to the S&P/IFCI® Index NR =10.33%/11,06% = 93%-30%-20%-10%0%10%20%30%S&P/IFCI® Index NR Ossiam Emerging Markets Minimum Variance Index NRUpside participation of theOssiam Emerging Markets Minimum Variance Index NR 93%Downside participationOssiam Emerging Markets Minimum Variance Index NR 53%From March 2002 toMarch 2013Ossiam EmergingMarkets MinimumVariance IndexNRS&P/IFCI®Index NRUp quarters:averagereturn10.33% 11.06%Upsideparticipation*93%Down quarters:averagereturn-5.70% -10.75%Downside participation* 53%
  • 19. 19FOR PROFESSIONAL CLIENTS USE ONLYOSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NRThe Funds objective is to replicate, before the Fund’s fees and expenses, theperformance of the Ossiam Emerging Markets Minimum Variance Index NR atclosing level.Annual TER : 75 bpsISIN: LU0705291903 (EUR)ISIN: LU0705291812 (USD)Parity: 1/1Capacity filter: largest stocks that represent 85% of the S&P/IFCI®Liquidity filter: 400 most liquid stocks of the universeRebalancing : semi-annuallyIndex provider : Standard & Poor’sIndex codes: Bloomberg OEMMVNR / Reuters RIC: .OEMMVNRThe Ossiam Emerging Markets Minimum Variance Index NR is a totalreturn index (expressed in USD) which has the same investment universeas the S&P/IFCI® Index NR.ETF characteristicsInvestment objective Index characteristicsSource: Bloomberg – Calculation by OssiamPast performance shown above represents that of the indices. For data before 24/01/2012 (launch date of the index), performance for the Ossiam Emerging Markets 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.From 02/01/2002 to 28/03/2013 Ossiam Emerging Markets Minimum Variance Index NR S&P/IFCI® Index NRYTD performance -0.03% -1.11%1 year performance 8.62% 2.10%3 year performance 40.60% 13.00%5 year performance 49.68% 6.31%Annualized performance 20.48% 14.39%Volatility (annualized) 14.35% 20.79%Max Drawdown -49.85% -65.14%Sharpe Ratio 1.30 0.61Correlation vs Benchmark 89.00% N/ABeta 0.61 N/AAnnual Alpha 10.94% N/ADividend yield (annualized) 3.47% 2.53%
  • 20. 20FOR PROFESSIONAL CLIENTS USE ONLYOSSIAM EMERGING MARKETS MINIMUM VARIANCE INDEX NRSIMULATED SECTOR BREAKDOWN FROM MAY 2002 TO MARCH 2013Source: Standard & Poor’s/ Ossiam – Calculation by OssiamData based on a backtest. The sector breakdown is as of the dates indicated and is subject to change and should not be relied upon as current thereafter.0%10%20%30%40%50%60%70%80%90%100%UtilitiesTelecommunication ServicesMaterialsInformation TechnologyIndustrialsHealth CareFinancialsEnergyConsumer StaplesConsumer Discretionary
  • 21. 21FOR PROFESSIONAL CLIENTS USE ONLYOSSIAM EMERGING MARKETS MINIMUM VARIANCE INDEX NRSIMULATED COUNTRY BREAKDOWN FROM MAY 2002 TO MARCH 2013Source: Standard & Poor’s/ Ossiam – Calculation by OssiamData based on a backtest. The country breakdown is as of the dates indicated and is subject to change and should not be relied upon as current thereafter.0%10%20%30%40%50%60%70%80%90%100%Middle East & AfricaEuropeAsia PacificLatin America
  • 22. 22FOR PROFESSIONAL CLIENTS USE ONLYOSSIAM MINIMUM VARIANCE STRATEGY APPLIED TO WORLD DEVELOPEDMARKETSSource: Bloomberg / Ossiam - Calculation by OssiamPerformance since inception: 04/09/2012 – 28/03/2013Volatility since inception: 04/09/2012 – 28/02/2013Source: Bloomberg / Ossiam - Calculation by OssiamPerformance since inception (04/09/2012 – 28/03/2013) basis 100:OSSIAM ETF WORLD MINIMUM VARIANCE NR (USD) vs S&P Global 1200® IndexNRPast performance is not a reliable indicator of future performance.Source: Bloomberg - Calculation by Ossiam959799101103105107109111113115OSSIAM ETF WORLD MINIMUM VARIANCE NR (USD)S&P Global 1200® Index NRPerformance DifferenceOSSIAM ETF WORLD MINIMUM VARIANCE NR (USD) 13.84% +0.40%S&P Global 1200® Index NR 13.44%Volatility DifferenceOSSIAM ETF WORLD MINIMUM VARIANCE NR (USD) 7.33% -2.98%S&P Global 1200® Index NR 10.31%
  • 23. 23FOR PROFESSIONAL CLIENTS USE ONLYSIMULATED QUARTERLY RETURNS OF THE INDICES SINCE 2002Source: Bloomberg – Calculation by OssiamSimulated quarterly returns from March 2002 to March 2013Source: Bloomberg – Calculation by Ossiam*Upside participation of the Ossiam World Minimum VarianceNR compared to the S&P Global 1200® Index NR= 5.45% / 7.29% = 75%Past performance included in this presentation represents that of the underlying index, and not that of the OSSIAM ETF product. For data before 16/07/2012 (launch date of the index), performance for the Ossiam WorldMinimum Variance 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 usingclient assets, but are achieved by 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 theunderlying index is to be expected as a result of index replication costs and tracking error. Past performance is not a reliable indicator of future performance.-25%-20%-15%-10%-5%0%5%10%15%20%25%S&P Global 1200® Index NR Ossiam World Minimum Variance Index NRUpside participation of theOssiam World Minimum Variance Index NR 75%Downside participationOssiam World Minimum Variance Index NR 48%From March 2002 to March2013Ossiam WorldMinimum VarianceIndex NRS&P Global 1200®Index NRUp quarters:averagereturn5.45% 7.29%Upsideparticipation*75%Down quarters:averagereturn-4.23% -8.83%Downside participation* 48%
  • 24. 24FOR PROFESSIONAL CLIENTS USE ONLYOSSIAM ETF WORLD MINIMUM VARIANCE NRThe Funds objective is to replicate, before the Fund’s fees and expenses, theperformance of the Ossiam World Minimum Variance Index NR at closing levelAnnual TER: 0.65%ISIN: LU0799656698 (EUR)ISIN: LU0799656342 (USD)Parity: 1/1Capacity filter: largest stocks that represent 85% of the S&P Global 1200®Liquidity filter: 400 most liquid stocks of the universeRebalancing : semi-annualIndex provider : Standard & Poor’sIndex codes: Bloomberg: OWMVNR Index /Reuters RIC: .OWMVNR IndexThe Ossiam World Minimum Variance Index NR is a total return index(expressed in USD) which has the same investment universe as the S&P1200® Global Index NR.ETF characteristicsInvestment objective Index characteristicsPast performance shown above represents that of the indices. For data before 16/07/2012 (launch date of the index), performance for the Ossiam World 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 ofthe 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 be expected as aresult of index replication costs and tracking error. Past performance is not a reliable indicator of future performance.Source: Bloomberg – Calculation by OssiamFrom 02/01/2002 to 28/03/2013 Ossiam World Minimum Variance Index NR S&P Global 1200® Index NRYTD performance 12.08% 7.03%1 year performance 17.85% 11.22%3 year performance 42.09% 27.74%5 year performance 28.83% 11.60%Annualized performance 8.15% 5.28%Volatility (annualized) 11.97% 18.13%Max Drawdown -42.02% -57.97%Sharpe Ratio 0.53 0.19Correlation vs Benchmark 87.76% N/ABeta 0.58 N/AAnnual Alpha 4.33% N/ADividend yield (annualized) 2.20% 2.02%
  • 25. 25FOR PROFESSIONAL CLIENTS USE ONLYOSSIAM WORLD MINIMUM VARIANCE INDEX NRSIMULATED SECTOR BREAKDOWN FROM MAY 2002 TO MARCH 2013Source: Standard & Poor’s/ Ossiam – Calculation by OssiamData based on a backtest. The sector breakdown is as of the dates indicated and is subject to change and should not be relied upon as current thereafter.0%10%20%30%40%50%60%70%80%90%100%UtilitiesTelecommunication ServicesMaterialsInformation TechnologyIndustrialsHealth CareFinancialsEnergyConsumer StaplesConsumer Discretionary
  • 26. 26FOR PROFESSIONAL CLIENTS USE ONLYOSSIAM WORLD MINIMUM VARIANCE INDEX NRSIMULATED COUNTRY BREAKDOWN FROM MAY 2002 TO MARCH 2013Source: Standard & Poor’s/ Ossiam – Calculation by OssiamData based on a backtest. The country breakdown is as of the dates indicated and is subject to change and should not be relied upon as current thereafter.0%10%20%30%40%50%60%70%80%90%100%AustraliaCanadaEuropeJapanUS
  • 27. 27FOR PROFESSIONAL CLIENTS USE ONLYPERFORMANCE AND VOLATILITY SINCE ETF INCEPTIONPerformance since inception (16/12/2011 – 28/03/2013) basis 100:OSSIAM ETF FTSE 100 MINIMUM VARIANCE vs FTSE 100 TR IndexSource: Bloomberg / Ossiam - Calculation by OssiamSource: Bloomberg / Ossiam - Calculation by OssiamPerformance DifferenceOSSIAM ETF FTSE 100 MINIMUM VARIANCE 32.94% +7.96%FTSE 100 TR Index 24.98%Performance since inception: 16/12/2011 – 28/03/2013Volatility DifferenceOSSIAM ETF FTSE 100 MINIMUM VARIANCE 10.21% -3.17%FTSE 100 TR Index 13.38%Volatility since inception: 16/12/2011 – 28/03/2013Source: Bloomberg / Ossiam - Calculation by OssiamPast performance is not a reliable indicator of future performance.95100105110115120125130135OSSIAM ETF FTSE 100 MINIMUM VARIANCE FTSE 100 TR Index
  • 28. 28FOR PROFESSIONAL CLIENTS USE ONLYSIMULATED QUARTERLY RETURNS OF THE INDICES SINCE 2002Simulated quarterly returns from March 2002 to March 2013*Upside participation of the FTSE 100 Minimum Variance TRIndex compared to the FTSE 100 TR Index= 6.01%/6.16%= 97%From March 2002 toMarch 2013FTSE 100MinimumVarianceTR IndexFTSE 100TR IndexUp quarters:averagereturn6.01% 6.16%Upsideparticipation*97%Down quarters:averagereturn-4.39% -7.91%Downside participation 56%Past performance shown above represents that of the indices. For data before 23/12/2011 (launch date of the index), performance for the FTSE 100 Minimum Variance TR Index reflectscalculations performed by Ossiam based on backtest data provided by FTSE. 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. Some degree of performance difference between OSSIAM ETF product and theunderlying index is to be expected as a result of index replication costs and tracking error. Past performance is not a reliable indicator of future performance.Source: Bloomberg – Calculation by Ossiam-20%-15%-10%-5%0%5%10%15%FTSE 100 TR Index FTSE 100 Minimum Variance TR IndexUpside participation of theFTSE 100 Minimum Variance TR Index 97%Downside participation of theFTSE 100 Minimum Variance TR Index 56%
  • 29. 29FOR PROFESSIONAL CLIENTS USE ONLYOSSIAM ETF FTSE 100 MINIMUM VARIANCEThe Funds objective is to replicate, before the Fund’s fees and expenses, theperformance of the FTSE 100 Minimum Variance TR Index at closing level.Annual TER : 45 bpsISIN: LU0705291739Parity: 1/1Currency: GBPLiquidity filter: 95 most liquid stocks of FTSE 100 IndexRebalancing : quarterlyIndex provider: FTSE GroupIndex codes: Bloomberg TUKXMV / RIC Reuters: .FTUKXMVThe FTSE 100 Minimum Variance TR Index is a total return indexexpressed in GBP, calculated and published by FTSE Group. The Indexmethodology was developed by FTSE jointly with Ossiam.ETF characteristicsInvestment objective Index characteristicsSource: Bloomberg – Calculation by OssiamPast performance shown above represents that of the indices. For data before 23/12/2011 (launch date of the index), performance for the FTSE 100 Minimum Variance TR Index reflectscalculations performed by Ossiam based on backtest data provided by FTSE. 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. Some degree of performance difference between OSSIAM ETF product and theunderlying index is to be expected as a result of index replication costs and tracking error. Past performance is not a reliable indicator of future performance.From 02/01/2002 to 28/03/2013 FTSE 100 Minimum Variance Index NR FTSE 100 TR IndexYTD performance 12.31% 9.85%1 year performance 22.34% 14.64%3 year performance 48.81% 25.07%5 year performance 69.46% 35.90%Annualized performance 10.88% 5.57%Volatility (annualized) 15.53% 20.23%Max Drawdown -36.14% -44.79%Sharpe Ratio 0.51 0.13Correlation vs Benchmark 93.75% N/ABeta 0.72 N/AAnnual Alpha 6.03% N/ADividend yield (annualized) 3.84% 3.72%
  • 30. 30FOR PROFESSIONAL CLIENTS USE ONLY0%10%20%30%40%50%60%70%80%90%100%UtilitiesTelecommunicationsTechnologyOil - GasIndustrialsHealth CareFinancialsConsumer ServicesConsumer GoodsBasic MaterialsSIMULATED SECTOR BREAKDOWN OF THE INDEXFROM MARCH 2002 TO MARCH 2013Source: FTSE/Ossiam - Calculation by OssiamData based on a backtest. The sector breakdown is as of the dates indicated and is subject to change and should not be relied upon as current thereafter.
  • 31. 31FOR PROFESSIONAL CLIENTS USE ONLYPERFORMANCE AND VOLATILITY SUMMARYsince inception of the Ossiam funds as of end of April 2013All tickers and fund characteristics can be downloaded from Ossiam’s website.* the EUR share classes are not hedged against EUR/USD.Past performance is not a reliable indicator of future performance.ETFinception datePerformancePerformanceDifferenceVolatilityVolatilitydifferenceOSSIAM ETF US MINIMUM VARIANCE NR (USD) 07/06/2011 36.07% +8.06% 12.98% -5.99%S&P 500® Index NR 28.01% 18.97%OSSIAM ETF US MINIMUM VARIANCE NR (EUR) 07/06/2011 48.91% +8.07% 12.87% -4.08%S&P 500® Index NR 40.84% 16.95%OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR 21/06/2011 24.72% +8.45% 11.42% -7.66%STOXX® Europe 600 Index NR 16.27% 19.08%OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR (USD) 03/02/2012 15.49% +11.88% 9.57% -3.73%S&P/IFCI® Index NR 3.61% 13.30%OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR (EUR)* 03/02/2012 14.98% +11.86% 10.16% -1.93%S&P/IFCI® Index NR 3.12% 12.09%OSSIAM ETF WORLD MINIMUM VARIANCE NR (USD) 04/09/2012 18.46% +1.59% 7.40% -3.08%S&P Global 1200® Index NR 16.87% 10.48%OSSIAM ETF WORLD MINIMUM VARIANCE NR (EUR)* 04/09/2012 12.87% +1.51% 9.52% +0.08%S&P Global 1200® Index NR 11.36% 9.44%OSSIAM ETF FTSE 100 MINIMUM VARIANCE 06/05/2011 34.39% +8.71% 10.36% -3.03%FTSE 100 TR Index 25.68% 13.39%Source: Bloomberg/Ossiam – Calculation by Ossiam
  • 32. 32FOR PROFESSIONAL CLIENTS USE ONLYWHY OSSIAM?We are specialists in value-added smart beta strategiesWe combine deep research with practical market experience to deliver state-of-the-art strategiesOur investment process is research-driven, systematic and transparentWe offer the focus of a boutique asset manager, with the stability and robustness of the €612.9bn* Natixis Global AssetManagement group* As of end of March 2013
  • 33. 33FOR PROFESSIONAL CLIENTS USE ONLYDISCLAIMERThis document is of a commercial and not of a regulatory nature.Ossiam Lux (the SICAV) is organized as an investment company with variable capital under the laws of the Grand-Duchy of Luxembourg and was approved by the Luxembourg marketauthority CSSF on 22/04/2011 under the Visa 2011/74085-7020-0-PC.NGAM S.A. is the management company of the Funds. NGAM S.A. is a Luxembourg management company that is incorporated under Luxembourg laws. The management company hasappointed Ossiam as investment manager of the Funds, and designated State Street Luxembourg as Administrative Agent, Paying Agent, Domiciliary and Corporate Agent, Registrarand Transfer Agent of the SICAV.Ossiam, a subsidiary of Natixis Global Asset Management, is a French asset manager authorized by the Autorité des Marchés Financiers (Agreement No. GP-10000016). Althoughinformation contained herein is from sources believed to be reliable, Ossiam makes no representation or warranty regarding the accuracy of any information of which it is not thesource. The information presented in this document is based on market data at a given moment and may change from time to time.The risks associated with the Fund and the Index are detailed in the « General Risk Considerations » section of the Prospectus, available in English on www.ossiam.com. Investmentsdecision should only be made on the basis of the Prospectus. Investors should also be well informed about the main characteristics of the Index (number of stocks, sector and or countrybreakdown, past evolution…) in order to have an overview of the risks and opportunities related to an exposure to the Index.In order to minimize any potential for conflicts caused by the fact that Ossiam determines the weight of the index components at each rebalancing date (for the Ossiam US MinimumVariance, Ossiam World Minimum Variance and Emerging Markets Minimum Variance indices) and acts as asset manager, Ossiam has retained unaffiliated third parties to calculateand publish index, namely S&P.Access to the products and services featured on this presentation may be subject to restrictions for certain persons or countries, either under a general prohibition or under marketingrules. Accordingly, no product or service presented on this document shall be provided by Ossiam to any person who is not legally authorized. The same applies for countries for whichOssiam has not applied for marketing authorization.Ossiam Emerging Markets Minimum Variance Index NR, Ossiam US Minimum Variance Index NR and Ossiam World Minimum Variance Index NR (the “Indices”) are the exclusiveproperty 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® areregistered trademarks of Standard & Poor’s Financial Services LLC “Calculated by S&P Custom Indices” and its related stylized mark(s) are service marks of Standard & Poor’sFinancial Services LLC and have been licensed for use by Ossiam. S&P and its affiliates shall have no liability for any errors or omissions in calculating the Indices. OSSIAM ETFEMERGING MARKETS MINIMUM VARIANCE NR, OSSIAM ETF US MINIMUM VARIANCE NR and OSSIAM ETF WORLD MINIMUM VARIANCE NR are not sponsored,endorsed, sold or promoted by S&P, its affiliates or their third party licensors and neither S&P, its affiliates nor their its third party licensors make any representation regarding theadvisability of investing in OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR, OSSIAM ETF US MINIMUM VARIANCE NR or OSSIAM ETF WORLD MINIMUMVARIANCE NR
  • 34. 34FOR PROFESSIONAL CLIENTS USE ONLYDISCLAIMER“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 its licensors (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 with respect to the timeliness, sequency, accuracy, completness, currentness, merchantability, quality or fitness for any particular purpose of the Index Data. In particular, theinclusion of a company in a STOXX® 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 notproviding investment, tax or other professional 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 ® Europe Minimum 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 allwarranty about:- 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 mentionedindices;- 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 thatthey might occur.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.
  • 35. 35FOR PROFESSIONAL CLIENTS USE ONLYADDITIONAL 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.