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Ossiam investment solution citywire italy

  1. 1. OSSIAM MINIMUM VARIANCE ETFS :A COST EFFICIENT SOLUTION TO THE CURRENT ASSET ALLOCATION DILEMMA? www.ossiam.com – tel +33178405690This 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 28/09/2012) (January 2001 – September 2012) (September 1989 – September 2012) 6%100% 2000 40% Gains for Apple share price 90% 5% September 2012 1800 35% contributed approximately 80% 30% of the rise in the S&P 4.86% 1600 30% 70% 4% 500® Index in 2012. 1400 60% 1200 25% 50% 3% 1000 20% January 2009 40% 50 largest stocks  51% of the weight 800 15% 2% 0.97% 30% 600 10% 20% 1% 400 10% 200 5% 50 largest stocks  51% of the weight 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® 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 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) Market portfolio Low volatility High volatility 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 – which has the biggest impact on volatile shares Representativeness – investors can be seduced by stories of success in speculative stocks Lottery effects – willingness of investors to overpay for a small chance of large gains 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 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’s research shows that 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 28/09/2012: Simulated performance from 02/01/2002 to 28/09/2012 (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% 21045% 19040% 17035% 15030% 13025% 11020% 9015%10% 705% 50 1y vol Ossiam US Minimum Variance Index NR 1y vol S&P500® Index NR Ossiam US Minimum Variance Index NR S&P500® Index NR Source: Bloomberg - Calculation by Ossiam Source: Bloomberg - Calculation by Ossiam Past 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 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 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 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. 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 28/09/2012: 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 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 for instance 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 IndexNR 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, butare 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 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 – 28/09/2012) basis 100: OSSIAM ETF US MINIMUM VARIANCE NR (USD) vs S&P 500® Index NR120 Performance since inception: 07/06/2011 – 28/09/2012115 Performance Difference OSSIAM ETF US MINIMUM VARIANCE NR (USD) 18.43% +4.01%110 S&P 500 Index NR 14.42% Source: Bloomberg / Ossiam - Calculation by Ossiam105100 Volatility since inception: 07/06/2011 – 28/09/201295 Volatility Difference OSSIAM ETF US MINIMUM VARIANCE NR (USD) 14.53% -7.03%90 S&P 500® Index NR 21.56% Source: Bloomberg / Ossiam - Calculation by Ossiam85 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 September 201220% Ossiam US15% Upside participation of the From March 2002 to Minimum S&P 500® Index Ossiam US Minimum Variance Index NR September 2012 Variance Index NR10%  70% NR Up quarters: 5% 4.87% 6.96% average return 0% Upside 70% participation*-5% Down quarters: -3.64% -7.90% Downside participation average return-10% Ossiam US Minimum Variance Index NR Downside participation 46%  46%-15% 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 = 4.87%/6.98% Ossiam US Minimum Variance Index NR S&P 500® Index NR = 70% Source: Bloomberg – Calculation by Ossiam Performance 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 for instance 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 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 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 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 28/09/2012 Ossiam US Minimum Variance Index NR S&P 500® Index NR YTD performance 12.83% 15.87% 1 year performance 21.43% 27.13% 3 year performance 46.47% 41.60% 5 year performance 17.21% 1.94% Annualized performance 6.16% 3.50% Volatility (annualized) 15.17% 21.43% Max Drawdown -39.51% -55.71% Sharpe Ratio 0.28 0.08 Correlation vs Benchmark 94.02% 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. SIMULATED SECTOR BREAKDOWN OF THE OSSIAM US MINIMUM VARIANCE INDEX NR FROM MAY 2002 TO SEPTEMBER 2012 100% 90% 80% 70% Utilities Telecommunication Services 60% Materials Information Technology 50% Industrials Health Care 40% Financials 30% Energy Consumer Staples 20% Consumer Discretionary 10% 0% Source: 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 FOR PROFESSIONAL CLIENTS USE ONLY 13
  14. 14. OSSIAM MINIMUM VARIANCE STRATEGY APPLIED TO EUROPE Performance since inception (21/06/2011 – 28/09/2012) basis 100: OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR vs STOXX® Europe 600 Index NR115110 Performance since inception: 21/06/2011 – 28/09/2012105 Performance Difference OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR 12.36% +8.83%100 STOXX® Europe 600 Index NR 3.53% Source: Bloomberg / Ossiam - Calculation by Ossiam9590 Volatility since inception: 21/06/2011 – 28/09/201285 Volatility Difference OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR 12.65% -8.93%80 STOXX® Europe 600 Index NR 21.58% 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 14
  15. 15. SIMULATED QUARTERLY RETURNS OF THE INDICES SINCE 2002 Simulated quarterly returns from March 2002 to September 201220% iSTOXX™ Europe Upside participation of the From March 2002 to Minimum STOXX® Europe15% iSTOXX™ Europe Minimum Variance Index NR September 2012 Variance Index 600 Index NR  79% NR10% Up quarters: 5.55% 7.00% 5% average return Upside 0% 79% participation* Down quarters: -5% -4.94% -9.99% average return-10% Downside participation of the Downside participation 49% iSTOXX™ Europe Minimum Variance Index NR-15%  49% Source: Bloomberg – Calculation by Ossiam-20% *Upside participation of the iSTOXX™ Europe Minimum Variance Index NR compared to the STOXX® Europe 600 NR-25% =5.55%/7.00% iSTOXX™ Europe Minimum Variance Index NR STOXX® Europe 600 Index NR = 79% 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 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 28/09/2012 iSTOXX™ Europe Minimum Variance Index NR STOXX® Europe 600 Index NR YTD performance 13.30% 13.07% 1 year performance 23.50% 22.11% 3 year performance 39.11% 20.88% 5 year performance 5.34% -16.89% Annualized performance 7.17% 2.00% Volatility (annualized) 12.65% 21.08% Max Drawdown -39.71% -58.69% Sharpe Ratio 0.40 -0.01 Correlation vs Benchmark 89.50% N/A Beta 0.54 N/A Annual Alpha 5.10% 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 16
  17. 17. SIMULATED SECTOR BREAKDOWN OF THE iSTOXX™ EUROPE MINIMUMVARIANCE INDEX NR FROM MAY 2002 TO SEPTEMBER 2012100%90%80%70% Utilities Telecommunications60% Technology Oil - Gas50% Industrials Health Care40% Financials30% Consumer Services Consumer Goods20% Basic Materials10% 0% Source: STOXX Ltd/ Ossiam – Calculation by Ossiam Data 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 FOR PROFESSIONAL CLIENTS USE ONLY 17
  18. 18. SIMULATED COUNTRY BREAKDOWN OF THE iSTOXX™ EUROPE MINIMUMVARIANCE INDEX NR FROM MAY 2002 TO SEPTEMBER 2012100%90% Austria Belgium80% Denmark Finland70% France60% Germany Greece50% Iceland Ireland40% Italy Netherlands30% Norway Portugal20% Spain10% Sweden Switzerland 0% United Kingdom Source: STOXX Ltd/ Ossiam – Calculation by Ossiam Data 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 FOR PROFESSIONAL CLIENTS USE ONLY 18
  19. 19. OSSIAM MINIMUM VARIANCE STRATEGY APPLIED TO EMERGING MARKETS Performance since inception (03/02/2012 – 28/09/2012) basis 100: OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR (USD) vs S&P/IFCI® Index NR110105 Performance since inception: 03/02/2012 – 28/09/2012 Performance Difference OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR (USD) 7.50% +9.32%100 S&P/IFCI® Index NR -1.82% Source: Bloomberg / Ossiam - Calculation by Ossiam 95 Volatility since inception: 03/02/2012 – 28/09/2012 90 Performance Difference OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR (USD) 11.49% -5.18% S&P/IFCI® Index NR 16.67% 85 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 19
  20. 20. SIMULATED QUARTERLY RETURNS OF THE INDICES SINCE 2002 Simulated quarterly returns from March 2002 to September 2012 40% Ossiam Emerging Upside participation of the From March 2002 to Markets Minimum S&P/IFCI® 30% Ossiam Emerging Markets Minimum Variance Index NR September 2012 Variance Index Index NR  94% NR 20% Up quarters: 10.57% 11.25% average return 10% Upside 94% participation* 0% Down quarters: -6.13% -11.49% average return -10% Downside participation Downside participation 53% Ossiam Emerging Markets Minimum Variance Index NR -20%  53% Source: Bloomberg – Calculation by Ossiam -30% *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 = 10.57%/11.25% = 94% 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 20
  21. 21. 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 28/09/2012 Ossiam Emerging Markets Minimum Variance Index NR S&P/IFCI® Index NR YTD performance 17.21% 12.48% 1 year performance 21.82% 15.44% 3 year performance 56.33% 20.03% 5 year performance 48.97% -5.55% Annualized performance 21.16% 14.65% Volatility (annualized) 14.65% 21.41% Max Drawdown -49.85% -65.14% Sharpe Ratio 1.32 0.60 Correlation vs Benchmark 90.66% N/A Beta 0.62 N/A Annual Alpha 11.35% 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 21
  22. 22. SIMULATED SECTOR BREAKDOWN OF THE OSSIAM EMERGING MARKETSMINIMUM VARIANCE INDEX NR FROM MAY 2002 TO SEPTEMBER 2012100%90%80%70% Utilities Telecommunication Services60% Materials Information Technology50% Industrials Health Care40% Financials Energy30% Consumer Staples20% Consumer Discretionary10% 0% Source: Standard & Poor’s/ Ossiam – Calculation by Ossiam Data 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 FOR PROFESSIONAL CLIENTS USE ONLY 22
  23. 23. SIMULATED COUNTRY BREAKDOWN OF THE OSSIAM EMERGING MARKETSMINIMUM VARIANCE INDEX NR FROM MAY 2002 TO SEPTEMBER 2012100% Argentina Bermuda Brasil90% Cayman Islands Chile80% Chine Colombia70% Czech Republic Egypt Hong-Kong60% Hungary India50% Indonesia Israel40% Malaysia Marocco Mexico30% Peru Philippines20% Poland Russia10% South Africa South Korea 0% Tailand Taiwan Turkey Venezuela Source: Standard & Poor’s/ Ossiam – Calculation by Ossiam Data 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 FOR PROFESSIONAL CLIENTS USE ONLY 23
  24. 24. OSSIAM ETF PRODUCT RANGE ON BORSA ITALIANA Income Indices ETF AUM (as of ISIN TER Treatment Reuters Bloomberg Reuters Bloomberg Currency 28/09/2012) RIC Ticker RIC TickerOSSIAM ETF EUROSTOXX 50® EQUAL LU0599613063 0.30% Reinvested .SX5EWT SX5EWT index S5EW.MI S5EW IM EUR 19.15m€WEIGHT NROSSIAM ETF STOXX®EUROPE 600 EQUAL LU0599613147 0.35% Reinvested .SXXEWR SXXEWR index S6EW.MI S6EW IM EUR 25.18m€WEIGHT NROSSIAM ETF iSTOXX™EUROPE MINIMUM LU0599612842 0.65% Reinvested .ISEMVT ISEMVT index EUMV.MI EUMV IM EUR EUR 137.26mVARIANCE NROSSIAM ETF USMINIMUM VARIANCE NR LU0599612685 0.65% Reinvested .OUMVNR OUMVNR index SPMV.MI SPMV IM EUR USD 264.20m(EUR)OSSIAM ETF EMERGINGMARKETS MINIMUM LU0705291903 0.75% Reinvested .OEMMVNR OEMMVNR index EMMV.MI EMMV IM EUR USD 64.26mVARIANCE NR (EUR) FOR PROFESSIONAL CLIENTS USE ONLY 24
  25. 25. 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 €560.2bn* Natixis Global Asset Management group* As of end of June 2012 FOR PROFESSIONAL CLIENTS USE ONLY 25
  26. 26. DISCLAIMERThis 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, iSTOXX Europe Minimum Variance and Ossiam Emerging Markets Minimum Variance indices) and acts as asset manager, Ossiam has retained unaffiliated third parties tocalculate and publish index, namely S&P and STOXX.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 (the “Index”) is the exclusive property of Ossiam, which has contracted with Standard & Poor’s Financial Services LLC(“S&P”) to maintain and calculate the Index. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC “Calculated by S&P CustomIndices” 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 EMERGING MARKETS MINIMUM VARIANCE NR is not sponsored, endorsed, sold or promoted by S&P, its affiliates or their third party licensors and neither S&P, itsaffiliates nor their its third party licensors make any representation regarding the advisability of investing in OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR FOR PROFESSIONAL CLIENTS USE ONLY 26
  27. 27. 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 withStandard & 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 FinancialServices LLC “Calculated by S&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 no liability 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 theirthird party licensors 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 VARIANCENR and OSSIAM ETF EMERGING 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 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. FOR PROFESSIONAL CLIENTS USE ONLY 27
  28. 28. 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 28

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