Ossiam is a specialist asset management company headquartered in Paris and affiliated to Natixis Investment Managers S.A. Ossiam develops and manages investment funds, including ETFs, based on systematic investment processes. Ossiam funds use alternatively weighted indexes - also known as alternative beta or smart beta - applied to multiple financial asset classes.
Natixis Investment Managers serves financial professionals with more insightful ways to construct portfolios. Powered by the expertise of more than 20 specialized investment managers globally, we apply Active Thinking® to deliver proactive solutions that help clients pursue better outcomes in all markets.
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Ossiam's added value lies in the development of non-discretionary management styles, based on quantitative and fundamental analysis. Investment strategies are available through Collective Investment Schemes and/or segregated accounts to meet the various allocation and risk management requirements of investors.
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The Research and Development function of the management team is supported by an innovative structure, which offers an external and objective opinion in its investment management approach.
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Ossiam has won several awards for its innovative range of products and its contribution to the development of the ETF industry.
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Ossiam's philosophy is to offer systematic investment strategies that will be implemented via transparent rule-based indexes (calculated by independent index providers) and an easy to trade investment vehicle such as ETFs, or any other type of Collective Investment Schemes.
The minimum Variance strategy is an investment approach that aims at addressing the objective of enhancing portfolio efficiency and diversification while reducing volatility. The approach uses the principle of portfolio optimization introduced by Harry Markowitz. The strategy forecasts future level of risk associated with different stock combinations and integrates this information to construct a lower-risk fully invested portfolio. Therefore, this approach is suitable for an investor that seeks for an equity exposure with significantly lower volatility.
Equity Equal Weight indices aim to provide investors with a more diversified exposure to a given stock market, avoiding domination of a small group of stocks in the index (concentration effect). The indices attribute the same weight to each of their constituents. By doing so, the strategy seeks to avoid concentration and trend following bias of market-cap indices and bias towards large companies.
Commodity investments offer a way to potentially gain enhanced portfolio diversification, a protection against inflation, and equity-like returns. Commodities remain an important asset class in its own right. A risk weighted enhanced commodity strategy aims to offer exposure to the asset class with better participation from all commodity sectors (avoiding concentration in oil) and a more efficient risk allocation in a global portfolio.
Find here our pure beta funds on MSCI Canada NR index and on MSCI AC Asia Pacific NR index.
The strategy offers equity exposure through a sector selection approach based on the Cyclically Adjusted Price-to-Earnings (CAPE®) ratio to select under valued sectors. Robert Shiller, with his graduate student John Campbell, devised the original CAPE® ratio in 1988. The CAPE ratio is a widely used valuation metric providing a view on equities being over- or under-valued. The strategy is designed to offer large cap equity market exposure with a value bias, and are intended for buy-and-hold investors with a multi-year time horizon.
The Global Multi-Asset Risk-Control strategy aims to provide a long exposure on a combination of a “Risky Assets Portfolio” and a “Cash Portfolio”.
The Risky Assets Portfolio comprises ETFs providing exposure to Western equities, Western treasury bonds, emerging markets (equities and bonds), corporate bonds, commodities, and real estate.
The underlying ETF constituents of the Risky Assets Portfolio are weighted in accordance with the principles of a mean-variance optimization so as to maximize the expected return while minimizing the expected volatility of the portfolio.
The Cash Portfolio comprises money market ETFs, which track the EONIA (Euro OverNight Index Average).
The strategy selects bonds by applying Moody’s Analytics’ public-firm EDF™ (Expected Default Frequency) credit measures, which are forward-looking, point-in-time default probabilities. These measures are based on information from equity markets and are combined with a detailed picture of a company's capital structure. Moody’s Analytics combines EDF metrics with other inputs to produce a credit spread valuation framework, known as FVS (Fair Value Spreads). EDF and FVS enable investors to gain exposure to the high quality corporate sector using a cost-efficient and liquid method.
The Solactive US Treasury Yield Curve Steepener 2-5 vs 10-30 Index is invested in a long position in 2-year and 5-year T-Note futures and a short position in 10-year T-Note and T-Bond futures. The long-term and short-term leg sensitivities are matched to achieve duration neutrality, creating a positive carry in most periods and limiting the effects of a parallel shift of the U.S. Treasury yield curve.
Ossiam's philosophy is to offer systematic investment strategies that will be implemented via transparent rule-based indexes (calculated by independent index providers) and an easy to trade investment vehicle such as ETFs, or any other type of Collective Investment Schemes.
Our professional experience allows us to develop a diversified fund offering using systematic management technics (but non-alternative). This offer covers management styles designed and developed by our management and research team, based on quantitative and fundamental analysis of the financial markets.
The minimum Variance strategy is an investment approach that aims at addressing the objective of enhancing portfolio efficiency and diversification while reducing volatility. The approach uses the principle of portfolio optimization introduced by Harry Markowitz. The strategy forecasts future level of risk associated with different stock combinations and integrates this information to construct a lower-risk fully invested portfolio. Therefore, this approach is suitable for an investor that seeks for an equity exposure with significantly lower volatility.
Fund name | ISIN Code | 1Y Performance |
OSSIAM EMERGING MARKETS MINIMUM VARIANCE NR UCITS ETF 1C (USD) | LU0705291812 | -0.02% |
OSSIAM EMERGING MARKETS MINIMUM VARIANCE NR UCITS ETF 1C (EUR) | LU0705291903 | 2.22% |
OSSIAM WORLD MINIMUM VARIANCE NR UCITS ETF 1C (USD) | LU0799656342 | 12.68% |
OSSIAM WORLD MINIMUM VARIANCE NR UCITS ETF 1C (EUR) | LU0799656698 | 15.20% |
OSSIAM JAPAN MINIMUM VARIANCE NR UCITS ETF 1C (EUR) | LU1254453738 | 11.29% |
OSSIAM US MINIMUM VARIANCE ESG NR UCITS ETF 1D (USD) | LU1100236006 | 13.57% |
OSSIAM US MINIMUM VARIANCE ESG NR UCITS ETF 1C (USD) | LU0599612412 | 15.48% |
OSSIAM US MINIMUM VARIANCE ESG NR UCITS ETF 1C (EUR) | LU0599612685 | 18.06% |
OSSIAM iSTOXX® EUROPE MINIMUM VARIANCE NR UCITS ETF 1C (EUR) | LU0599612842 | 12.21% |
OSSIAM FTSE 100 MINIMUM VARIANCE UCITS ETF 1C (GBP) | LU0705291739 | 12.99% |
Fund name | ISIN Code | TER | Date | Nav | Share class AUM | Fund AUM | 1Y Performance |
OSSIAM EMERGING MARKETS MINIMUM VARIANCE NR UCITS ETF 1C (USD) | LU0705291812 | 0.75% | 19/12/12 | 121.983$ | 2 809 384$ | 133 117 111$ | -0.02% |
OSSIAM EMERGING MARKETS MINIMUM VARIANCE NR UCITS ETF 1C (EUR) | LU0705291903 | 0.75% | 19/12/12 | 109.745€ | 117 209 585€ | 119 736 552€ | 2.22% |
OSSIAM WORLD MINIMUM VARIANCE NR UCITS ETF 1C (USD) | LU0799656342 | 0.65% | 19/12/12 | 199.135$ | 1 990 358$ | 21 128 787$ | 12.68% |
OSSIAM WORLD MINIMUM VARIANCE NR UCITS ETF 1C (EUR) | LU0799656698 | 0.65% | 19/12/12 | 179.107€ | 17 214 691€ | 19 004 980€ | 15.20% |
OSSIAM JAPAN MINIMUM VARIANCE NR UCITS ETF 1C (EUR) | LU1254453738 | 0.65% | 19/12/12 | 110.345€ | 17 023 954€ | 17 023 950€ | 11.29% |
OSSIAM US MINIMUM VARIANCE ESG NR UCITS ETF 1D (USD) | LU1100236006 | 0.65% | 19/12/12 | 221.332$ | 1 628 564$ | 288 940 230$ | 13.57% |
OSSIAM US MINIMUM VARIANCE ESG NR UCITS ETF 1C (USD) | LU0599612412 | 0.65% | 19/12/12 | 234.453$ | 144 817 043$ | 288 940 230$ | 15.48% |
OSSIAM US MINIMUM VARIANCE ESG NR UCITS ETF 1C (EUR) | LU0599612685 | 0.65% | 19/12/12 | 210.889€ | 128 171 491€ | 259 896 766€ | 18.06% |
OSSIAM iSTOXX® EUROPE MINIMUM VARIANCE NR UCITS ETF 1C (EUR) | LU0599612842 | 0.65% | 19/12/12 | 191.796€ | 225 629 895€ | 306 376 590€ | 12.21% |
OSSIAM FTSE 100 MINIMUM VARIANCE UCITS ETF 1C (GBP) | LU0705291739 | 0.45% | 19/12/12 | 198.215£ | 6 350 605£ | 6 350 605£ | 12.99% |
Past performance is not a reliable indicator of future performance.
Equity Equal Weight indices aim to provide investors with a more diversified exposure to a given stock market, avoiding domination of a small group of stocks in the index (concentration effect). The indices attribute the same weight to each of their constituents. By doing so, the strategy seeks to avoid concentration and trend following bias of market-cap indices and bias towards large companies.
Fund name | ISIN Code | 1Y Performance |
OSSIAM STOXX® EUROPE 600 EQUAL WEIGHT NR UCITS ETF 1C (EUR) | LU0599613147 | 21.12% |
Fund name | ISIN Code | TER | Date | Nav | Share class AUM | Fund AUM | 1Y Performance |
OSSIAM STOXX® EUROPE 600 EQUAL WEIGHT NR UCITS ETF 1C (EUR) | LU0599613147 | 0.35% | 19/12/12 | 98.996€ | 255 037 122€ | 255 037 122€ | 21.12% |
Past performance is not a reliable indicator of future performance.
Commodity investments offer a way to potentially gain enhanced portfolio diversification, a protection against inflation, and equity-like returns. Commodities remain an important asset class in its own right. A risk weighted enhanced commodity strategy aims to offer exposure to the asset class with better participation from all commodity sectors (avoiding concentration in oil) and a more efficient risk allocation in a global portfolio.
Fund name | ISIN Code | 1Y Performance |
OSSIAM RISK WEIGHTED ENHANCED COMMODITY EX. GRAINS TR UCITS ETF 1C (USD) | LU0876440222 | 2.83% |
OSSIAM RISK WEIGHTED ENHANCED COMMODITY EX. GRAINS TR UCITS ETF 1C (EUR) | LU0876440578 | 5.12% |
Fund name | ISIN Code | TER | Date | Nav | Share class AUM | Fund AUM | 1Y Performance |
OSSIAM RISK WEIGHTED ENHANCED COMMODITY EX. GRAINS TR UCITS ETF 1C (USD) | LU0876440222 | 0.45% | 19/12/12 | 81.521$ | 2 143 999$ | 17 531 383$ | 2.83% |
OSSIAM RISK WEIGHTED ENHANCED COMMODITY EX. GRAINS TR UCITS ETF 1C (EUR) | LU0876440578 | 0.45% | 19/12/12 | 73.328€ | 13 840 690€ | 15 769 177€ | 5.12% |
Past performance is not a reliable indicator of future performance.
Find here our pure beta funds on MSCI Canada NR index and on MSCI AC Asia Pacific NR index.
Fund name | ISIN Code | 1Y Performance |
OSSIAM MSCI JAPAN NR 1C (EUR) | LU1655103643 | 15.79% |
OSSIAM MSCI JAPAN NR Hedged Index 1C (EUR) | LU1655103726 | 8.15% |
OSSIAM MSCI EMU NR 1C (EUR) | LU1847674733 | 19.69% |
OSSIAM MSCI CANADA NR 1C (EUR) | LU0876440735 | 20.83% |
OSSIAM MSCI Europe ex EMU NR 1C (EUR) | LU1655103486 | 18.76% |
OSSIAM MSCI Europe ex EMU NR 1D (EUR) | LU1655103569 | 14.59% |
OSSIAM MSCI USA NR Hedged Index 1C (EUR) | LU1655104021 | 17.91% |
OSSIAM MSCI USA NR 1C (EUR) | LU1655103999 | 24.44% |
Fund name | ISIN Code | TER | Date | Nav | Share class AUM | Fund AUM | 1Y Performance |
OSSIAM MSCI JAPAN NR 1C (EUR) | LU1655103643 | 0.43% | 19/12/12 | 110.847€ | 37 893 099€ | 89 442 155€ | 15.79% |
OSSIAM MSCI JAPAN NR Hedged Index 1C (EUR) | LU1655103726 | 0.50% | 19/12/12 | 98.572€ | 51 549 081€ | 89 442 155€ | 8.15% |
OSSIAM MSCI EMU NR 1C (EUR) | LU1847674733 | 0.24% | 19/12/12 | 108.284€ | 50 268 988€ | 50 268 988€ | 19.69% |
OSSIAM MSCI CANADA NR 1C (EUR) | LU0876440735 | 0.43% | 19/12/12 | 4820.022€ | 63 383 285€ | 63 383 055€ | 20.83% |
OSSIAM MSCI Europe ex EMU NR 1C (EUR) | LU1655103486 | 0.27% | 19/12/12 | 114.590€ | 61 161 863€ | 69 564 084€ | 18.76% |
OSSIAM MSCI Europe ex EMU NR 1D (EUR) | LU1655103569 | 0.27% | 19/12/12 | 110.556€ | 8 402 221€ | 69 564 084€ | 14.59% |
OSSIAM MSCI USA NR Hedged Index 1C (EUR) | LU1655104021 | 0.30% | 19/12/12 | 118.296€ | 54 020 698€ | 192 706 279€ | 17.91% |
OSSIAM MSCI USA NR 1C (EUR) | LU1655103999 | 0.24% | 19/12/12 | 131.961€ | 138 685 624€ | 192 706 279€ | 24.44% |
Past performance is not a reliable indicator of future performance.
The strategy offers equity exposure through a sector selection approach based on the Cyclically Adjusted Price-to-Earnings (CAPE®) ratio to select under valued sectors. Robert Shiller, with his graduate student John Campbell, devised the original CAPE® ratio in 1988. The CAPE ratio is a widely used valuation metric providing a view on equities being over- or under-valued. The strategy is designed to offer large cap equity market exposure with a value bias, and are intended for buy-and-hold investors with a multi-year time horizon.
Fund name | ISIN Code | 1Y Performance |
OSSIAM SHILLER BARCLAYS CAPE® EUROPE SECTOR VALUE TR UCITS ETF 1C (EUR) | LU1079842321 | 16.41% |
OSSIAM SHILLER BARCLAYS CAPE® US SECTOR VALUE TR UCITS ETF 1C (EUR) | LU1079841273 | 22.71% |
OSSIAM SHILLER BARCLAYS CAPE® US SECTOR VALUE TR UCITS ETF 1C (USD) | LU1079841513 | 20.03% |
OSSIAM SHILLER BARCLAYS CAPE® US SECTOR VALUE TR UCITS ETF Hedged Index 1C (EUR) | LU1446552652 | 16.19% |
Fund name | ISIN Code | TER | Date | Nav | Share class AUM | Fund AUM | 1Y Performance |
OSSIAM SHILLER BARCLAYS CAPE® EUROPE SECTOR VALUE TR UCITS ETF 1C (EUR) | LU1079842321 | 0.65% | 19/12/12 | 348.762€ | 56 065 216€ | 56 065 216€ | 16.41% |
OSSIAM SHILLER BARCLAYS CAPE® US SECTOR VALUE TR UCITS ETF 1C (EUR) | LU1079841273 | 0.65% | 19/12/12 | 691.375€ | 607 672 757€ | 1 953 593 957€ | 22.71% |
OSSIAM SHILLER BARCLAYS CAPE® US SECTOR VALUE TR UCITS ETF 1C (USD) | LU1079841513 | 0.65% | 19/12/12 | 768.472$ | 1 404 416 101$ | 2 171 908 081$ | 20.03% |
OSSIAM SHILLER BARCLAYS CAPE® US SECTOR VALUE TR UCITS ETF Hedged Index 1C (EUR) | LU1446552652 | 0.65% | 19/12/12 | 622.558€ | 82 673 233€ | 1 953 593 957€ | 16.19% |
Past performance is not a reliable indicator of future performance.
The Global Multi-Asset Risk-Control strategy aims to provide a long exposure on a combination of a “Risky Assets Portfolio” and a “Cash Portfolio”.
The Risky Assets Portfolio comprises ETFs providing exposure to Western equities, Western treasury bonds, emerging markets (equities and bonds), corporate bonds, commodities, and real estate.
The underlying ETF constituents of the Risky Assets Portfolio are weighted in accordance with the principles of a mean-variance optimization so as to maximize the expected return while minimizing the expected volatility of the portfolio.
The Cash Portfolio comprises money market ETFs, which track the EONIA (Euro OverNight Index Average).
Fund name | ISIN Code | 1Y Performance |
OSSIAM GLOBAL MULTI-ASSET RISK-CONTROL UCITS ETF 1C (EUR) | LU1446552496 | 6.02% |
Fund name | ISIN Code | TER | Date | Nav | Share class AUM | Fund AUM | 1Y Performance |
OSSIAM GLOBAL MULTI-ASSET RISK-CONTROL UCITS ETF 1C (EUR) | LU1446552496 | 0.55% | 19/12/12 | 283.259€ | 48 457 673€ | 48 457 673€ | 6.02% |
Past performance is not a reliable indicator of future performance.
The strategy selects bonds by applying Moody’s Analytics’ public-firm EDF™ (Expected Default Frequency) credit measures, which are forward-looking, point-in-time default probabilities. These measures are based on information from equity markets and are combined with a detailed picture of a company's capital structure. Moody’s Analytics combines EDF metrics with other inputs to produce a credit spread valuation framework, known as FVS (Fair Value Spreads). EDF and FVS enable investors to gain exposure to the high quality corporate sector using a cost-efficient and liquid method.
Fund name | ISIN Code | 1Y Performance |
OSSIAM SOLACTIVE MOODY'S ANALYTICS IG EUR Select Credit UCITS ETF 1C (EUR) | LU1093307442 | 6.23% |
Fund name | ISIN Code | TER | Date | Nav | Share class AUM | Fund AUM | 1Y Performance |
OSSIAM SOLACTIVE MOODY'S ANALYTICS IG EUR Select Credit UCITS ETF 1C (EUR) | LU1093307442 | 0.35% | 19/12/12 | 186.680€ | 42 833 268€ | 42 833 268€ | 6.23% |
Past performance is not a reliable indicator of future performance.
The Solactive US Treasury Yield Curve Steepener 2-5 vs 10-30 Index is invested in a long position in 2-year and 5-year T-Note futures and a short position in 10-year T-Note and T-Bond futures. The long-term and short-term leg sensitivities are matched to achieve duration neutrality, creating a positive carry in most periods and limiting the effects of a parallel shift of the U.S. Treasury yield curve.
Fund name | ISIN Code | 1Y Performance |
OSSIAM US STEEPENER UCITS ETF 1C (USD) | LU1965301184 | |
OSSIAM US STEEPENER 2C (USD) | LU1991353761 |
Fund name | ISIN Code | TER | Date | Nav | Share class AUM | Fund AUM | 1Y Performance |
OSSIAM US STEEPENER UCITS ETF 1C (USD) | LU1965301184 | 19/12/12 | 128.030$ | 4 865 137$ | 90 484 811$ | ||
OSSIAM US STEEPENER 2C (USD) | LU1991353761 | 19/12/12 | 128.465$ | 85 619 674$ | 90 484 811$ |
Past performance is not a reliable indicator of future performance.
Find here the latest KIIDs and prospectus as well as annual and semi-annual reports.
Voting policy
Ossiam's Voting Policy is available at the bottom of this page. This policy describes the conditions under which Ossiam plans to exercise the voting rights granted by the holding of the securities in the funds it manages. The 2017 Annual Report on Voting Rights is also available on this page.
Download the 2018 annual report on voting rights
Remuneration policy
Ossiam has designed and implemented a remuneration policy that is consistent with, and promotes, sound and effective risk management, based on its business model that by its nature does not encourage excessive risk taking which would be inconsistent with the risk profile of the UCITS managed by Ossiam. If and where Ossiam identifies those of its staff members whose professional activity has a material impact on the risk profiles of the Funds, it ensures that these staff members comply with the remuneration policy. The remuneration policy integrates governance, a pay structure that is balanced between fixed and variable components, and risk and long-term performance alignment rules. These alignment rules are designed to be consistent with the interests of Ossiam, the UCITS it manages and the investors, with respect to such considerations as business strategy, objectives, values and interests, and include measures to avoid conflicts of interest. Ossiam ensures that the calculation of a part of the performance-based remuneration may be differed over a three year period and subject to the compliance with the risk taking policy of the company. The details of the current remuneration policy is available below.
Download the remuneration policy
Personal data protection policy
The policy defines the terms and conditions for the processing of personal data by Ossiam.
In case of question/inquiry, you can contact Ossiam Data Protection Officer (DPO) (dpo@ossiam.com)
Download the personal data protection policy
In the below table, you will find the latest rebalancing reports of the indices/strategy that Ossiam ETFs replicate.
Index / Strategy | Bloomberg Tickers | Rebalancing frequency | Latest report |
iSTOXX Europe Minimum Variance Index | ISEMVT index | Monthly | Download |
ESG US Minimum Variance Index | ESGUSMVNR Index | Monthly | Download |
Ossiam Emerging Markets Minimum Variance Index | OEMMVNR index | Semi-annually | Download |
Ossiam World Minimum Variance Index | OWMVNR index | Semi-annually | Download |
FTSE 100 Minimum Variance Index | TUKXMV index | Quarterly | Download |
Japan Minimum Variance Index | JPMVNR Index | Monthly | Download |
Global Multi-Asset Risk-Control Index | CBKIGMRC Index | Quarterly | Download |
The below reports detail the Brinson's performance attribution of the indices/strategies replicated by Ossiam ETF versus their benchmark over several periods of time.
Index / strategy | Bloomberg ticker | Reports |
iSTOXX Europe Minimum Variance Index | ISEMVT index | Download |
ESG US Minimum Variance Index | ESGUSMVNR Index | Download |
Ossiam Emerging Markets Minimum Variance Index | OEMMVNR index | Download |
Ossiam World Minimum Variance Index | OWMVNR index | Download |
FTSE 100 Minimum Variance Index | TUKXMV index | Download |
Japan Minimum Variance Index | JPMVNR Index | Download |
Global Multi-Asset Risk-Control Index | CBKIGMRC Index | Download |
Shiller Barclays CAPE US Sector Value Index | BXIICUSU Index | Download |
Shiller Barclays CAPE Europe Sector Value Index | BXIICESE Index | Download |
Alpha: A measure of performance on a risk-adjusted basis. Percentage by which the portfolio or smart beta index outperforms (adjusted for risk) the comparable market capitalization weighted index from which the stocks are picked.
Asset allocation: The breakdown of the investments of a portfolio among various asset classes (such as equities, bonds, money market instruments, etc.), built in order to optimize the risk/return ratio of the investor's portfolio, in light of his or her financial situation, investment objective, investment horizon and appetite for risk.
Benchmark: A reference used as a comparison to determine the returns and risk of a portfolio. The benchmark may be an index or a combination of several reference indices.
Beta: The Beta of an investment indicates whether it tends to evolve in the same direction as the market, and in what proportion. Thus, the beta coefficient measures the sensitivity of a portfolio or share to market movements or an index.
Bid/Ask: Bid - Purchase price given or displayed by a market maker on an exchange (or over-the-counter), which corresponds to the sale price for the end investor. Ask - Sale price given or displayed by a market maker on an exchange (or over-the-counter), which corresponds to the purchase price for the end investor. There is usually a difference between the bid price and the ask price for an asset on the order book. This difference is called the spread and varies from one ETF to another. It tends to increase when the volumes being traded are low. One of its drivers is the liquidity of the underlying.
CAPE: CAPE - Cyclically Adjusted Price Earnings. The CAPE ratio is the PER adjusted for cyclical factors. It relates the share price to corporate earnings over the past ten years. Compared to the standard PER, it eliminates short-term fluctuations in earnings, which can distort the picture. Relative CAPE - CAPE standardized to make individual sectors comparable. It is defined as the CAPE® ratio divided by its median in past years. A Relative CAPE® ratio of 1 shows that the current valuation is in line with the long-term average, while figures lower (resp. higher) than 1 point to the sector’s possible undervaluation (resp. overvaluation).
Correlation: Measure for the dependence of the performance of two securities, indices or asset classes on each other. The correlation can be between -1 and 1, whereby 1 means they perform exactly in parallel, -1 that they perform in exactly opposite directions. The closer to 0 the correlation, the more independent the two performances are.
CPPI: Constance Proportion Portfolio Insurance, a method of portfolio insurance in which the investor sets a floor on the currency value of his or her portfolio, then structures asset allocation around that decision. The two asset classes used in CPPI are a risky asset (usually equities or mutual funds), and a riskless asset of either cash, equivalents or Treasury bonds. The percentage allocated to each depends on the "cushion" value, defined as (current portfolio value – floor value), and a multiplier coefficient, where a higher number denotes a more aggressive strategy.
Diversification: Portfolio constrction reducing the exposure to the risk of capital loss by investing in uncorrelated assets at the same time. Diversification therefore consists in distributing an investment among different business sectors, asset classes, geographic regions, etc.
Diversification indices: Indices that focus on broader diversification by an alternative weighting of the securities in the index, for example by weighting all the securities equally.
Gain: Gain generated on the difference between the purchase price of an asset and its subsequent sale price (exclusive of charges and fees paid in connection with the purchase and sale of an asset).
ESG: ESG integration consists of integrating Environmental, Social and Governance (ESG) criteria into the management of investments.
ETF: Exchange Traded Fund that tracks an index. ETFs passively mirror an index, without any active management being involved. Units of ETFs are traded on the exchanges like equities.
Fundamental indices: Indices weighted by fundamental criteria such as dividend yield, price/earnings ratio or other value criteria.
Hedging: Strategy whose objective is to totally or partially offset the risk associated with an investment by making a second transaction that combines long and/or short positions in transferable securities, precisely in order to reduce the risk of the first position. For example, the risk of a long-term position in equities may be offset by the purchase of put options. Thus, investors may limit the impact of a decline in the prices in their portfolio.
Index: Instrument to measure capital markets’ performance. Indices exist for various asset classes (shares, bonds, commodities), countries and regions, and sectors. An index brings together the securities representative of the market to be tracked in line with fixed rules.
Index based on market capitalization: Traditional stock indices where weightings of the individual shares are proportional to their market capitalizations, meaning the share prices multiplied by the number of shares issued, adjusted for free-float. Most of the main stock market indices are compiled using this method.
ISIN (International Securities Identification Number): This unique international identifier is used to distinguish financial instruments, such as shares, bonds, funds, etc. The ISIN code is a unique international alphanumeric code of 12 characters (of which the first two letters identify the country of issue of the security, e.g. FR for France). Shares always keep the same ISIN codes, even if they are traded in different currencies or listed on different markets. Each ETF has its own ISIN code.
KIID (Key Investor Information Document): The KIID is a regulatory document, standardized on a European level, providing investors with key information on a fund in terms of its objectives, risks, performance and costs, so that, when making investment decisions, investors are in a position to understand the nature of the fund and the risks associated with it. This document must be provided to the investor prior to any subscription. Introduced by the European Directive 2009/65/EC of 13 July 2009, this document replaces the simplified prospectus.
Loss: Loss resulting from the difference between the original acquisition price of an asset and its subsequent sale price.
Market Maker or Liquidity provider: A financial institution whose role is to facilitate the trading of financial instruments, including ETFs. During trading hours, the market maker provides quotations for the product on the relevant stock exchange and places bid/offer orders continuously, so that investors can trade their financial instruments (such as ETFs) at any time.
Maximum Drawdown: The maximum drawdown, or "maximum successive loss", is an indicator of the risk of a portfolio chosen on the basis of a certain strategy. The maximum drawdown measures the largest decrease in the value of a portfolio. Precisely, it corresponds to the historical maximum loss incurred by an investor who bought the highest and resold at the lowest, for a fixed period.
NAV / NAV per Share: The Net Asset Value corresponds to the total value of the fund assets. The NAV per Share is the NAV divided by the number of shares in the fund.
OTC – Over-the-counter: A trade which takes place off the exchange directly between two identified parties (counterparties). On an OTC market, market makers seek to provide liquidity for the various assets for which they propose bid and offer prices.
PER (Price/Earnings Ratio) : The PER divides the share price of a company to its earnings per share. The PER serves as a key indicator for how shares are valued. The lower the PER, the more favorably the share is priced on the stock market.
Physical replication: Physical replication consists in holding the securities comprising the replicated index. This replication may be “perfect”, in this case the fund holds all the securities of the index and in the same proportions as in the index. It may also be done through "sampling", in this case the fund holds only part of the securities of the index selected in order to offer performance as close as possible to the performance of the index.
Price return: A “Price Return” index tracks the evolution of prices of its component equities or bonds, without including dividends that may be paid by such equities or coupons in the case of bonds.
Risk-based indices: Indices that use risk measures, such as volatility, to allocate the stocks. In general, risk-based indices seek to systematically reduce volatility compared to a classic index. Examples of risk based indices are minimum variance or risk parity indices.
Share class: Some funds and ETFs have multiple share classes. These may differ by the currency in which they are denominated, the distribution or capitalization of dividends, their costs or minimum tradeable size. Each share class has a unique specific ISIN code.
Sharpe ratio: Indicator for the portfolio’s profitability in relation to the risk taken. Developed by US economist William F. Sharpe, the figure presents the return in excess of a risk-free interest rate divided by the portfolio’s volatility.
Smart beta: Rule-based investment strategies that use an alternative weighting for the securities covered by an index to deliver better risk-adjusted results than the underlying traditional index.
Spread: The difference between the Bid and Ask price of an asset. The spread generally varies depending on supply and demand for a particular asset and on the volume traded (liquidity).
Stock market price: The price of an asset as determined by levels of supply and demand on the stock market. Please note that the stock market price of an ETF may differ from its net asset value (NAV). It will, however, fall within a range based on the indicative Net Asset Value.
Swap (forward swap agreement): An OTC swap agreement between two parties in relation to an exchange to be executed at a future date and at a pre-determined or determinable price. The expiry dates, delivery dates, quantities and contractual terms and conditions for each agreement are standardized. ETFs using synthetic replication methods use swaps: they swap with a counterparty the performance of the assets they hold for the performance of the benchmark index. The mark-to-market value of a swap is equivalent to the amount owed to the ETF by the counterparty (if the value is positive) or owed to the counterparty by the ETF (if the value is negative). In the absence of collateral, the mark-to-market value of the swap represents the counterparty risk. For ETFs, the level of exposure to the swap is subject to regulations, and limited to 10% of the assets per counterparty in the case of UCITS ETFs.
Swap counterparty: Entity with which the Total Return Swap is entered into.
Synthetic replication: For ETFs managed in synthetic replication, the replication of the index is generated by a Total Return Swap, i.e., a swap under which an investment bank (the counterparty) exchanges the performance of the index for another performance. In synthetic replication, there are two types of structures: - Unfunded structures, in which the fund uses its liquidity (generated for subscriptions in the fund) to purchase a basket of securities that it owns and whose performance is exchanged for the performance of the index in accordance with the provisions of the Total Return Swap; - Funded structures in which the fund transfers its cash to the counterparty, in exchange for the final value of the index at swap maturity, in accordance with the provisions of the Total Return Swap.
TER: The TER (Total Expense Ratio) is the sum of annual total management and operating fees billed to a fund relative to its net assets. For Amundi ETF funds (the “Funds”), the TER corresponds to the ongoing fees mentioned in the KIID. The ongoing fees represent the expenses deducted from the fund during the course of a year.
Total Return: In the case of “Total Return” indices, dividends paid by the equities (or coupons in the case of bonds) comprising the index are reinvested into the index, unlike a “Price Return” index. In general, an expression referring to the total profitability of an investment that may be expected, i.e., the sum of the capital gain related to selling the securities, and the dividends (or coupons) collected.
Tracking error: A measure of how closely an ETF follows the index to which it is benchmarked. The tracking error shows how the ETF mirrors the index. The lower the figure, the more exact the tracking.
UCITS (Undertakings for Collective Investment in Transferable Securities): European directive aimed at further harmonizing the European financial markets. It proposes a harmonized regulatory framework for European funds and particularly with respect to:
- rules relating to the organization of management companies managing funds,
- eligibility and composition of assets, risk diversification
- disclosures
- authorization for marketing within EU territory, etc.
Various directives have been successively implemented in the European Union.
Value trap: A well known challenge when investing in a value strategy. It refers to the risk taken by investors who opt for ostensibly favorably priced equities or sectors that then take a very long time to bounce back, if they do so at all.
Volatility: A measure of the magnitude of the fluctuations for a security or index across a certain period of time, measured as the standard deviation of returns. It serves as a measure of an investment’s risk.
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In this video, Karine Hoang - Head of Sales French speaking countries and Carmine de Franco, PhD - Head of Fundamental Research, will shed some light on the Minimum Variance strategy.
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Ossiam was founded in 2009, after the 2007-2008 financial crisis with the mission of providing transparent and non psychologically-biased financial solutions. The company is a subsidiary of Natixis Investment Managers and develops transparent and systematic investment solutions based on quantitative and fundamental analysis. Ossiam’s strategies are embedded in ETFs (Exchanged Traded Funds), index funds, and mandates. We were pioneers in Europe in developing Smart Beta ETFs and now we are pioneers in combining ESG data with quant-based approaches including Artificial Intelligence. The company is a UN PRI (United Nations Principles for Responsible Investment) signatory since April 2016 and a FAIRR signatory since July 2019.