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This material has been prepared solely for professional Investors.

Ossiam investment solutions Faktor Investments:

Minimalismus als Prinzip22. März 2017

Mirko Jungmann, CFAProduct Specialist

[email protected]

+49 69 97 15 32 27

2

Einführung in Smart Beta


Passives vs. Smart Beta vs. aktives Investment 3

PASSIV AKTIVSMART BETA

These: „Die Kapitalmärkte sind

effizient.“

Investition in dassystematische Risiko eines Marktes bzw. das Beta eines

Marktes führt zur besten Performance (Capital Asset

Pricing Model - CAPM).

Regelbasiert:Marktwert gewichtete Benchmark = Beta.

These:„Die Kapitalmärkte sind

nicht effizient.“

Nutzung von Informationen, um diese Ineffizienzen zu

nutzen z.B. Übergewichtung

unterbewerteter und Untergewichtung

überbewerteter Titel.

Investmentprozessbasiert:Abweichung von der

Marktwert gewichteten Benchmark.

These:„Die Kapitalmärkte sind

effizient oder nicht effizient.“

Investition in systematische Risikofaktoren eines

Marktes führt zur besten Performance (Arbitrage Pricing Theory - APT).

Regelbasiert:Alternativ gewichtete

Benchmark = Smarte Betas.


Woher kommt das „Beta“ in Smart Beta? 4

Makroökonomisch Statistisch Fundamental

�� = �� + ��(�� − ��) �� = �� + �� + �� + … + ��

CAPM APT

klassischesBeta

alternative / smarte Betas

RISIKOFAKTOREN

klassischerRisikofaktor

alternativeRisikofaktoren


Fundamentale Risikofaktoren 5

FUNDAMENTALE RISIKOFAKTOREN

Value Small Cap Momentum

QualityHigh Yield

Low Volatility ESG

Low carbonMinimum Variance

Illiquidity

Volatility


Klassische fundamentale Risikofaktoren – Was sagen Anhänger der Thesen effizienter bzw. ineffizienter Märkte? 6

RISIKOFAKTOR HINTERGRUNDARGUMENT

EFFIZIENTER MARKTARGUMENT

INEFFIZIENTER MARKT

ValueUnternehmen mit einem

Marktwert unter dem “wahren” Wert

Höheres (systematisches) Risiko, in Abhängigkeit vom

Wirtschaftszyklus

z.B.: Verlustaversion d.h. “Bestrafung” vorheriger

Verlierer

(Low) Size Kleine UnternehmenHöheres (systematisches)

Risiko, in Abhängigkeit vomWirtschaftszyklus

z.B.: Präferenz von Glamour-Unternehmen

MomentumUnternehmen mit anhaltend

positiver Rendite--- z.B.: Herdenverhalten

Low VolatilityAktien von Unternehmen mit

geringer Volatilität---

z.B.: Gebührenmodellaktiver Manager


Faktorrenditen im Zeitverlauf - 5-Jahres Moving Average 7

Source: http://mba.tuck.darmouth.edu/pages/faculty/ken.french/datalibrary.html Calculation by Ossiam . Past performance is not a reliable indicator of future performance

FAKTORRENDITEN

-15

-10

-5

0

5

10

15

20

25

5 y

ea

rs m

ovin

g a

vera

ge

fa

cto

r re

turn

[%

]

EQUITY PREMIUM

SIZE MOMENTUM

VALUE

8

Ossiams Smart Beta Strategien

Ossiams Smart Beta Strategien

Direkte und indirekte Risikofaktoren 9

Equity premium

Size ValueMomen-

tumQuality

Low Volatility

Minimum Variance

High Yield Volatility ESG

Minimum Variance ● ● ● ● ● ● ● ● ● ●

Equal Weight ● ● ● ● ● ● ● ● ● ●Pure Beta ● ● ● ● ● ● ● ● ● ●

Cape Shiller ● ● ● ● ● ● ● ● ● ●Risk Weighted Commodities ● ● ● ● ● ● ● ● ● ●Multi Asset ● ● ● ● ● ● ● ● ● ●

● ●direkter Faktor indirekter Faktor

10

US ESG Minimum Variance Index

US Minimum Variance Strategie kombiniert mit einem ESG Filter

After steps 2 and 3 portfolio components are selected on their

correlations and their historicalvolatility. The calculation is

performed under constraints.

STEP 4

OPTIMIZATION

VOLATILITY125 days

CORRELATION500 days

CONSTRAINTS

100% invested in stocks, long-only

Maximum weight per stock4.5%

Maximum weight per sector20%

Diversification constraint ofHHI = 50

100%ig systematische bzw. regelbasierte Strategie in 5 Schritten 11

The liquidity filter retains 90% of the most liquid stocks volume -based on daily volumes over a

period of 50 days.

STEP 3

LIQUIDITY

Picking the most liquidstocks selected by the

ESG filter

1. ESG Data availability of eachstocks in Sustainalytics database.

2. Picking of 70% « Best-in-class » per sectors (*).

3. Exclusion of stocks (level of controversy = 5 , compliance, or controversial weapons).

STEP 2

ESG FILTERS

Picking of 70% “Best-in-class” in

each sector

Around 350 stocks selected

(*) (30% of the stocks with the worst ESG performance for each sector (prox. GICS 3) are excluded)

The Index is calculated and published by Solactive:

monthly rebalancing every thirdFriday of the month.

STEP 5

INDEX

US ESG Minimum Variance Index

The investment universe includesall the stocks of SOLACTIVE US

LARGE CAP Index.

Index SOLACTIVE US LARGE CAP

Around 500 stocks

STEP 1

UNIVERSE

Source : Ossiam

ESG ist eine komplementäre Ergänzung zu Minimum Variance

12Simulierte historische Volatilität je ESG Score

1 year historical volatility by ESG category, and by score E (Economic), S (Social) and G (Governance) as of end of December 2016

ESG score groups

1Y

r V

ola

tility

(%

)

The higher the ESG score, the lower the volatility of the related ESG category

Source: Bloomberg, Solactive, Sustainalytics

Source: Solactive, DataStream & Sustainalytis – Calculation by Ossiam. Data from November 2009 to December 2016. For data before 08/03/2016 (launch date of the index), performance ofthe US ESG Minimum Variance Index reflects calculations performed by Ossiam based on a backtest. Backtested performances do not represent the performance of actual trading using clientassets, but are achieved by means of the retroactive application of a model. The model assumes reinvestment of net dividends. Some degree of performance difference between Ossiamproduct and the underlying index is to be expected as a result of index replication costs and tracking error. Past performance is not reliable indicator of future performance.

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

0-40 40-50 50-60 60-70 70+

Total ESG Score E Sore S Score G Score

Index Zusammensetzung

Sector breakdown Sector breakdown

Per Ende Dezember 2016

TOP 10

13

StocksUS ESG Minimum

Variance IndexSolactive US Large

Cap Index NRWALT DISNEY CO/THE 4,24% 0,80%

UNITED PARCEL SERVICE-CL B 4,13% 0,41%

ALLSTATE CORP 3,77% 0,14%

WASTE MANAGEMENT INC 3,65% 0,16%

SOUTHERN CO/THE 3,39% 0,25%

WHOLE FOODS MARKET INC 2,85% 0,05%

DU PONT (E.I.) DE NEMOURS 2,79% 0,33%

CLOROX COMPANY 2,75% 0,08%CONSOLIDATED EDISON INC 2,49% 0,12%

ROSS STORES INC 2,39% 0,13%Total 32,46% 2,49%

SectorsUS ESG Minimum

Variance IndexSolactive US Large

Cap Index NR

Materials 9,62% 2,93%

Energy 3,36% 7,47%

Information Technology 7,99% 20,55%

Industrials 15,64% 10,07%

Telecommunication Services 1,89% 2,81%

Health Care 6,14% 13,96%

Consumer Discretionary 19,72% 12,06%

Financials 6,69% 14,39%

Consumer Staples 15,70% 9,63%

Utilities 11,32% 3,16%

Source: Bloomberg/Solactive/Sustainalytics

0% 5% 10% 15% 20% 25%

Materials

Energy

Information Technology

Industrials

Telecommunication Services

Health Care

Consumer Discretionary

Financials

Consumer Staples

Utilities

US ESG Minimum Variance Index Solactive US Large Cap Index NR

Simulierte historische Wertentwicklung

14

Cumulative performance from December 2009 to December 2016

Langfristige Wertentwicklung auf vergleichbarem Niveau

Source: Bloomberg/Solactive/S&P – Calculation by Ossiam in USD. For data before 08/03/2016 (launch date of the index), performance of the US ESG Minimum Variance Index reflectscalculations performed by Ossiam based on a backtest, For data before 06/06/2011 (launch date of the index), performance of the Ossiam US Minimum Variance Index reflects calculationsperformed by Ossiam based on a backtest. Backtested performances do not represent the performance of actual trading using client assets, but are achieved by means of the retroactiveapplication of a model. The model assumes reinvestment of net dividends. Some degree of performance difference between Ossiam products and the underlying index is to be expected as aresult of index replication costs and tracking error. Past performance is not reliable indicator of future performance.

Source: Bloomberg, S&P Solactive, Calculated in USD by Ossiam

50

100

150

200

250

12/31/2009 12/31/2010 12/31/2011 12/31/2012 12/31/2013 12/31/2014 12/31/2015

US ESG Minimum Variance Index Solactive US Large Cap Index

Simulierte historische Volatilität

15

1 Year VolatilityFrom December 2010 to December 2016

Die Volatilität des US ESG Minimum Variance auf einem erkennbar niedrigerem Niveau

Source: Bloomberg, S&P Solactive, Calculated in USD by Ossiam


0%

5%

10%

15%

20%

25%

12/31/2010 12/31/2011 12/31/2012 12/31/2013 12/31/2014 12/31/2015 12/31/2016

US ESG Minimum Variance Index Solactive US Large Cap Index

Risiko und Performance Maße

16Dezember 2009 – Dezember 2016

Source: Bloomberg, S&P, Solactive, Calculated in USD by Ossiam


US ESG Solactive US Large Cap

Minimum Variance Index NR Index NR

YTD performance 11,25% 10,77%

1-year performance 11,25% 10,77%


annualized performance 10,66% 12,01%

annualized volatilty 11,06% 15,64%

maximum draw dow n -12,35% -18,95%

Sharpe ratio 0,95 0,76

correlation vs benchmark 0,92 N/A

beta vs benchmark 0,65 N/A

annualized alpha vs benchmark 2,88% N/A

Performance 2010 9,10% 14,47%

Performance 2011 11,62% 1,28%

Performance 2012 10,44% 15,02%

Performance 2013 20,92% 31,40%

Performance 2014 13,41% 12,95%

Performance 2015 -0,95% 0,93%

Performance 2016 11,25% 10,77%

Parameters

17

Shiller Barclays CAPE® Sector Value

The Cyclically Adjusted Price Earnings (CAPE®) ratio (aka “Campbell-Shiller PE(10)” or

“Shiller 10”)

Formally defined by Robert Shiller and John Y. Campbell during the 1980s.

Used to identify long-term under and over valuations of equity market.

Averaging earnings over 10 years allows for mean reversion of earnings and earnings over

the business cycle.

Index Price

10-Y Average of Inflation Adjusted Index EarningsCAPE® =

Analogous to the much referenced PE ratio, the intuition behind the CAPE® ratio is that low ratios generally indicate high future market returns and high ratios provide an overall contraction signal.

Das CAPE® Ratio

18

Das relative CAPE® Ratio

To account for idiosyncratic differences between sectors, where CAPE® ratios have historically been of different magnitudes.

Current Sector CAPE® ratio

20-Y Rolling Average of Sector CAPE® ratioRelative CAPE® =

40 years of historical price and earnings data have been re-created for US sectors.

Relative CAPE® Ratio

Source: Barclays, December 2015. Any data on past performance, modelling or back-testing contained herein is no indication as to future performance. The strategy selects sectors with the lowest values of the Relative CAPE® indicator.

CAPE® Ratio

0.5

0.7

0.9

1.1

1.3

1.5

1.7

1.9

Aug-02 Aug-04 Aug-06 Aug-08 Aug-10 Aug-12 Aug-14

Utilities Technology

10

15

20

25

30

35

40

45

50

Aug-02 Aug-04 Aug-06 Aug-08 Aug-10 Aug-12 Aug-14

Utilities Technology

19

Value Trap und Momentum

Some assets may appear undervalued when their low price is actually due to fundamental or other reasons (lack of growth/innovation, ineffective management…)

Risk is that the price might never recover as long as the reason for depressed valuation remains

Ex. Nokia Corporation: notwithstanding the P/E of just 8.7 in December 2008, the price fell from 12.85 to 3.85 in December 2011

Using momentum* as a signal can help identify where the value continues to fall

Price momentum seeks to avoid sectors that may underperform in the short term by discarding sectors with recent lowest performance

The “Value Trap”The “Value Trap” Price MomentumPrice Momentum

*Momentum signal used: rolling 12m return.

0

5

10

15

20

25

30Nokia Corporation

PR

PE

Source: Datastream, computation by Ossiam

20

Shiller Barclays CAPE® Sector Value Strategie

Investment Universe

Relative CAPE® indicator for each sector

Momentum

Ranking

Determine index prices and earnings for the 9 S&P 500 sectors | 10 MSCI Europe sectors

Select the 5 most undervalued sectors based on lowest Relative CAPE® indicator

Remove 1 sector with the lowest 12-month momentum from selected sectors

Identify 4 undervalued sectorswith most positive momentum which are equally weighted

Monthly rebalancing

100%ig systematische bzw. regelbasierte Strategie in 5 Schritten

Shiller Barclays CAPE® US Sector Value Index Shiller Barclays CAPE® Europe Sector Value Index

21

Source: Ossiam / Bloomberg – Calculation by Ossiam in USD. Past performance is not a reliable indicator of future performance.

Shiller Barclays CAPE® Sector Value angewendet auf US Aktien

Performance since inception

1-month volatility since inception

Performance and risk data since inception

Fondsperformance seit Auflegung | 22/06/2015 – 28/02/2017

OSSIAM SHILLER BARCLAYS CAPE® US SECTOR VALUE TR UCITS ETF 1C (USD)

Monthly returns since inception

S&P 500® Index NR (SPTR500N)

-7%

-5%

-3%

-1%

1%

3%

5%

7%

9%

11%

0%

5%

10%

15%

20%

25%

30%

35%

as of 28/02/2017 UCITS ETF 1C (USD) S&P 500 Index NR

MTD performance 3,87% 3,90%


performance since inception 25,88% 14,24%





correlation 97,78% N/A

beta 0,96 N/A

annualized alpha 6,69% N/A

22

85

90

95

100

105

110

115

120

125

130

Shiller Barclays CAPE® Sector Value angewendet auf US Aktien

Index vs. passive Benchmark | 03/09/2002 – 28/02/2017

Shiller Barclays CAPE® US Sector Value Net TR Index (BXIICUSU) S&P 500 Index NR (SPTR500)

Source: Bloomberg/Barclays – Calculation by Ossiam in USD. For data before 12/09/2012 (launch date of the index), performance for the Shiller Barclays CAPE® US Sector Value Net TR Index reflects calculationsperformed by Ossiam based on backtest data provided by Barclays. 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 a result ofindex replication costs and tracking error. Past performance is not a reliable indicator of future performance.

Simulated performance and risk dataThe effect of value and momentum

Performance per calendar year

Shiller CAPE® Index

5 undervaluedsectors

9 sectors equallyweighted

S&P 500 Index

4 overvaluedsectors

Momentumsector

Live period

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017

as of 28/02/2017 Reference index S&P 500 Index NR








correlation 97,01% N/A

beta 0,91 N/A

annualized alpha 4,62% N/A

Historical sector breakdown

4 undervalued sectors selected Sector discarded by momentum signal

Consumer Disc.

Consumer Staples

Energy

Financial

Health Care

Industrial

Technology

Materials

Utilities

23

0

100

200

300

400

500

600

SelectedSelectedSelectedSelectedMomentumRejectedMomentumRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedSelectedRejectedSelectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedMomentumMomentumRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedSelectedRejectedRejectedRejectedSelectedSelectedSelectedMomentumSelectedSelectedRejectedSelected

RejectedRejectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedMomentumMomentumMomentumMomentumMomentumMomentumSelectedMomentumMomentumSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedMomentumSelectedMomentumSelectedSelectedSelectedSelectedSelectedMomentumMomentumMomentumSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedMomentumMomentumSelectedMomentumSelectedMomentumSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedRejectedRejectedSelectedSelectedSelectedSelectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedSelectedSelectedSelectedSelectedSelectedSelectedMomentumMomentumMomentumMomentumMomentumMomentumMomentumSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedRejectedSelectedSelectedSelectedRejectedRejectedSelectedSelectedSelectedRejectedRejectedRejectedRejectedRejectedSelectedMomentumMomentum

SelectedRejectedSelectedSelectedRejectedSelectedRejectedRejectedMomentumSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedRejectedSelectedRejectedSelectedSelectedRejectedRejectedRejectedSelectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedSelectedSelectedSelectedRejectedRejectedRejectedRejectedMomentumSelectedSelectedSelectedMomentumSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedRejectedSelectedSelectedSelectedRejectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedMomentumSelectedMomentumSelectedSelectedSelectedSelectedMomentumSelectedSelectedSelectedMomentumMomentumSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedRejectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedMomentumSelectedSelectedSelectedSelectedSelectedSelectedSelectedMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumSelectedSelectedSelectedSelectedRejectedSelectedRejected

RejectedSelectedRejectedRejectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedRejectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedMomentumSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumSelectedMomentumSelectedMomentumMomentumSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedMomentumMomentumMomentumMomentumSelectedSelectedSelectedMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedRejectedRejectedRejectedRejectedRejectedRejectedSelectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejected

RejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedMomentumSelectedSelectedMomentumMomentumMomentumMomentumMomentumMomentumSelectedMomentumMomentumMomentumMomentumMomentumMomentumSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedMomentumMomentumMomentumSelectedSelectedSelectedMomentumMomentumMomentumSelectedMomentumMomentumSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedMomentumSelectedSelectedSelectedMomentumSelectedSelectedSelectedSelectedMomentumMomentumMomentumSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedMomentumMomentumSelectedMomentumMomentumRejectedSelected

SelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedRejectedSelectedRejectedRejectedSelectedSelectedSelectedSelectedSelectedSelectedRejectedSelectedRejectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedMomentumMomentumSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedRejectedSelectedSelectedSelectedSelectedSelectedSelectedRejectedRejectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedRejectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelected

MomentumMomentumRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedMomentumRejectedRejectedRejectedRejectedRejectedSelectedMomentumMomentumRejectedMomentumSelectedRejectedRejectedRejectedRejectedMomentumSelectedRejectedRejectedRejectedSelectedSelectedMomentumMomentumRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedSelectedRejectedRejectedRejectedSelectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedSelectedSelectedRejectedRejectedRejectedSelectedSelectedSelectedSelectedRejectedRejectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumMomentumSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelectedSelected

RejectedRejectedRejectedRejectedRejectedRejectedRejectedSelectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedSelectedMomentumRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedSelectedRejectedRejectedRejectedSelectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejected

SelectedSelectedMomentumMomentumSelectedMomentumSelectedMomentumRejectedRejectedRejectedSelectedSelectedRejectedSelectedSelectedRejectedRejectedRejectedRejectedRejectedRejectedSelectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejectedRejected

2003 2005 20062002 2004 201720162007 2008 2009 2010 2011 2012 2013 2014 2015

Über Ossiam

Ein Expert im systematischen Asset Management

Ossiam

An affiliate of Natixis Global Asset Management

An asset management firm specializing in value-added smart beta strategies

Founded in 2009 by Bruno Poulin and Antoine Moreau

Headquartered in Paris, France, Ossiam is regulated by the French AMF

22 employees

Overview

Bruno Poulin

CEOFounding Partner

AntoineMoreau

Deputy CEOFounding Partner

FabienDornier

CIOPartner

PhilippeChanzy

CFO - CRO

Best Equity Advanced Europe*Vwdcash Fundawards 2016

Most innovative ETF Europe 2015**Global ETF Awards 2015

The full list is available on Ossiam’s website at http://ossiam.com/apropos/see#aboutUs4

*OSSIAM STOXX® EUROPE 600 EQUAL WEIGHT NR**OSSIAM SHILLER BARCLAYS CAPE® EUROPE SECTOR VALUE TR

Industry Awards

Ossiam’s management team is composed of recognized professionals from investment banks and asset management companies. They bring together complementary expertise covering the areas of asset management, ETFs, fund

structuring, quantitative research and financial analysis, market and operational risk control and trading of all asset classes.

NGAM owns 51% of Ossiam, the remaining 49% being split between Ossiam’s

management

« Natixis Global Asset Management ($897 billion AUM1) is a multi-affiliate organization that offers a single point of access to more than 20 specialized

investment firms in the Americas, Europe and Asia. The firm ranks among the world’s largest

asset managers.2»

Source: ngam.natixis.com

1 Assets under management as of September 30, 20162 Cerulli Quantitative Update: Global Markets 2016

ranked Natixis Global Asset Management, S.A. as the 16th largest asset manager in the world based on assets under management ($870.3 billion) as of December 31,

2015.

Natixis Global Asset Management

Ownership of OssiamOwnership of Ossiam

64% 36%split among

Ossiam’s partners

24

25

This document is of a commercial and not of a regulatory nature.

This material has been prepared solely for informational purposes only and it is not intended to be and should not be considered as an offer, or a solicitation of an offer, or an invitation or a personal recommendation to buy or sell participating shares in any Ossiam Fund, or any security or financial instrument, or to participate in any investment strategy, directly or indirectly. It is intended for use only by those recipients to whom it is made directly available by Ossiam. Ossiam will not treat recipients of this material as its clients by virtue of their receiving this material.

This material reflects the views and opinions of the individual authors at this date and in no way the official position or advices of any kind of these authors or of Ossiam and thus does not engage the responsibility of Ossiam nor of any of its officers or employees.

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 market authority CSSF on 22/04/2011 under the Visa 2011/74085-7020-0-PC. Prior to 20 May 2016, NGAM S.A. acted as Management Company of the SICAV. Effective as of 20 May 2016, the SICAV has appointed Ossiam as its management company, responsible for the investment management, administration and distribution of the SICAV. The management company has appointed State Street Luxembourg as Administrative Agent, Paying Agent, Domiciliary and Corporate Agent, Registrar and 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).

Although information 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 the source. The information presented in this page 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. Investments decision should only be made on the basis of the Prospectus.

All performance information set forth herein is based on historical data and, in some cases, hypothetical data, and may reflect certain assumptions with respect to fees, expenses, taxes, capital charges, allocations and other factors that affect the computation of the returns.

Ossiam, a subsidiary of Natixis Global Asset Management, is a French asset manager authorized by the Autorité des Marchés Financiers (Agreement No. GP-10000016). Although informationcontained 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 the source. The informationpresented in this document is based on market data at a given moment and may change from time to time.

"The OSSIAM US ESG MINIMUM VARIANCE NR The financial instrument is not sponsored, promoted, sold or supported in any other manner by Solactive AG nor does Solactive AG offer anyexpress or implicit guarantee or assurance either with regard to the results of using the Index and/or Index trade mark or the Index Price at any time or in any other respect. The Index iscalculated and published by Solactive AG. Solactive AG uses its best efforts to ensure that the Index is calculated correctly. Irrespective of its obligations towards the Issuer, Solactive AG has noobligation to point out errors in the Index to third parties including but not limited to investors and/or financial intermediaries of the financial instrument. Neither publication of the Index bySolactive AG nor the licensing of the Index or Index trade mark for the purpose of use in connection with the financial instrument constitutes a recommendation by Solactive AG to invest capitalin said financial instrument nor does it in any way represent an assurance or opinion of Solactive AG with regard to any investment in this financial instrument”

Disclaimers

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Disclaimers

"The OSSIAM US MINIMUM VARIANCE NR is not sponsored, endorsed, sold or promoted by Standard & Poor's Financial Services LLC ("S&P"), its affiliates or its third party licensors. NeitherS&P, its affiliates nor their third party licensors make any representation or warranty, express or implied, to the ownersof the OSSIAM US MINIMUM VARIANCE NR or any member of the public regarding the advisability of investing in securities generally or in the OSSIAM USMINIMUM VARIANCE NR particularly or the ability of the Ossiam US Minimum Variance Index Net Return (the "Index") to track general stock marketperformance. S&P's and its third party licensor's only relationship to Ossiam is the licensing of certain trademarks, service marks and trade names of S&Pand/or its third party licensors and for the providing of calculation and maintenance services related to the Index. Neither S&P, its affiliates nor their thirdparty licensors is responsible for and has not participated in the determination of the prices and amount of the OSSIAM US MINIMUM VARIANCE NR orthe timing of the issuance or sale of the OSSIAM US MINIMUM VARIANCE NR or in the determination or calculation of the equation by which the OSSIAMUS MINIMUM VARIANCE NR is to be converted into cash. S&P has no obligation or liability in connection with the administration, marketing or trading ofthe OSSIAM US MINIMUM VARIANCE NR.

“ NEITHER S&P, ITS AFFILIATES NOR THEIR THIRD PARTY LICENSORS GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDEX OR ANYDATA INCLUDED THEREIN OR ANY COMMUNICATIONS, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATIONS (INCLUDING ELECTRONIC COMMUNICATIONS)WITH RESPECT THERETO. S&P, ITS AFFILIATES AND THEIR THIRD PARTY LICENSORS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONSOR DELAYS THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR APARTICULAR PURPOSE OR USE WITH RESPECT TO ITS TRADEMARKS, THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NOEVENT WHATSOEVER SHALL S&P, ITS AFFILIATES OR THEIR THIRD PARTY LICENSORS BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIALDAMAGES, INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OFSUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY OR OTHERWISE.

Standard & Poor's® and S&P® are registered trademarks of Standard & Poor's Financial Services LLC. "Calculated by S&P Custom Indices" and its related stylized mark are service marks ofStandard & Poor's Financial Services LLC and have been licensed for use by Ossiam."

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"Barclays Bank PLC and its affiliates ("Barclays") is not the issuer or producer of Ossiam Shiller Barclays CAPE® US Sector Value TR and Barclays has no responsibilities, obligations or dutiesto investors in Ossiam Shiller Barclays CAPE® US Sector Value TR except in connection with their distribution pursuant to an agreement with Ossiam.. The Shiller Barclays CAPE® US SectorValue Net TR index is a trademark owned by Barclays Bank PLC or Barclays Capital Inc., and licensed for use by Ossiam Lux as the Issuer of Ossiam Shiller Barclays CAPE® US Sector ValueTR. While Ossiam Lux as the Issuer of Ossiam Shiller Barclays CAPE® US Sector Value TR may for itself execute transaction(s) with Barclays in or relating to the Shiller Barclays CAPE® USSector Value Net TR index in connection with Ossiam Shiller Barclays CAPE® US Sector Value TR investors acquire Ossiam Shiller Barclays CAPE® US Sector Value TR from Ossiam Lux andinvestors neither acquire any interest in Shiller Barclays CAPE® US Sector Value Net TR index nor enter into any relationship of any kind whatsoever with Barclays upon making an investmentin Ossiam Shiller Barclays CAPE® US Sector Value TR. The Ossiam Shiller Barclays CAPE® US Sector Value TR is not sponsored, endorsed, sold or promoted by Barclays and Barclaysmakes no representation regarding the advisability of the Ossiam Shiller Barclays CAPE® US Sector Value TR or use of the Shiller Barclays CAPE® US Sector Value Net TR index or any dataincluded therein except in connection with their distribution pursuant to an agreement with Ossiam. Barclays shall not be liable in any way to the Issuer, investors or to other third parties inrespect of the use or accuracy of the Shiller Barclays CAPE® US Sector Value Net TR index or any data included therein.“

"Barclays Bank PLC and its affiliates ("Barclays") is not the issuer or producer of Ossiam Shiller Barclays CAPE® Europe Sector Value TR and Barclays has no responsibilities, obligations orduties to investors in Ossiam Shiller Barclays CAPE® Europe Sector Value TR except in connection with their distribution pursuant to an agreement with Ossiam. The Shiller Barclays CAPE®Europe Sector Value Net TR index is a trademark owned by Barclays Bank PLC or Barclays Capital Inc., and licensed for use by Ossiam Lux as the Issuer of Ossiam Shiller Barclays CAPE®Europe Sector Value TR UCITS ETF 1C(EUR). While Ossiam Lux as the Issuer of Ossiam Shiller Barclays CAPE® Europe Sector Value TR may for itself execute transaction(s) with Barclays inor relating to the Shiller Barclays CAPE® Europe Sector Value Net TR index in connection with Ossiam Shiller Barclays CAPE® Europe Sector Value TR investors acquire Ossiam ShillerBarclays CAPE® Europe Sector Value TR from Ossiam Lux and investors neither acquire any interest in Shiller Barclays CAPE® Europe Sector Value Net TR index nor enter into anyrelationship of any kind whatsoever with Barclays upon making an investment in Ossiam Shiller Barclays CAPE® Europe Sector Value TR. The Ossiam Shiller Barclays CAPE® Europe SectorValue TR is not sponsored, endorsed, sold or promoted by Barclays and Barclays makes no representation regarding the advisability of the Ossiam Shiller Barclays CAPE® Europe Sector ValueTR or use of the Shiller Barclays CAPE® Europe Sector Value Net TR index or any data included therein except in connection with their distribution pursuant to an agreement with Ossiam.Barclays shall not be liable in any way to the Issuer, investors or to other third parties in respect of the use or accuracy of the Shiller Barclays CAPE® Europe Sector Value Net TR index or anydata included therein."

The Shiller Barclays CAPE® Index Family has been developed in part by RSBB-I, LLC, the research principal of which is Robert J. Shiller. RSBB-I, LLC is not an investment advisor, and doesnot guarantee the accuracy or completeness of the Shiller Barclays CAPE® Index Family, or any data or methodology either included therein or upon which it is based. Neither RSBB-I, LLC norRobert J. Shiller shall have any liability for any errors, omissions, or interruptions therein, and makes no warranties, express or implied, as to performance or results experienced by any partyfrom the use of any information included therein or upon which it is based, and expressly disclaims all warranties of merchantability or fitness for a particular purpose with respect thereto, andshall not be liable for any claims or losses of any nature in connection with the use of such information, including but not limited to, lost profits or punitive or consequential damages, even ifRSBB-I, LLC is advised of the possibility of same.

“Bloomberg Index Services Limited (formerly known as Barclays Risk Analytics and Index Solutions Limited) is the official index calculation and maintenance agent of the Shiller Barclays CAPE®Europe Sector Value Net TR and the Shiller Barclays CAPE® US Sector Value Net TR, an index owned and administered by Barclays (the “Index”). Bloomberg Index Services Limited does notguarantee the timeliness, accurateness, or completeness of the Index calculations or any data or information relating to the Index. Bloomberg Index Services Limited makes no warranty,express or implied, as to the Index or any data or values relating thereto or results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particularpurpose with respect thereto. To the maximum extent allowed by law, Bloomberg Index Services Limited, its affiliates, and all of their respective partners, employees, subcontractors, agents,suppliers and vendors (collectively, the “protected parties”) shall have no liability or responsibility, contingent or otherwise, for any injury or damages, whether caused by the negligence of aprotected party or otherwise, arising in connection with the calculation of the Index or any data or values included therein or in connection therewith and shall not be liable for any lost profits,losses, punitive, incidental or consequential damages.”

Disclaimers

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