Ossiam and Barclays are celebrating the third anniversary of the
creation of the Ossiam ESG Low Carbon Shiller Barclays CAPE US
Sector UCITS ETF.
Ossiam launched the exchange-traded fund in April 2018 as a low
carbon and ESG version of the existing Ossiam Shiller Barclays
CAPE® US Sector Value ETF for investors looking to improve their
climate impact and ESG-related exposure, followed by listing on
stock exchanges in June. It is listed on Borsa Italiana, Euronext
Paris, London Stock Exchange, Swiss SIX and Xetra.
Since inception the fund’s assets under management have
increased to reach USD 417.6m.
The strategy’s adaptability as fundamentally value-driven, but
with the ability to rotate in and out of sectors, has enhanced its
performance where the value factor has underperformed over the same
time period (see table below). The combination of the strategy’s
sector rotation and stock picking determined by ESG and carbon
criteria delivered strong results specifically in 2020, a year in
which sector dispersion has been particularly high, with 7.1%
outperformance versus S&P500 (see table below).
In 2019, the fund was one of four Ossiam ETFs granted the
official French government SRI label (“Label ISR” in French). It
complies with article 8 of the Sustainable Finance Directive
Regulation.
Professor Robert Shiller said, “I am pleased with the
performance of the fund on the three-year anniversary. ESG is
becoming a major narrative that I believe is important for the
world. That said, I think investors need to be cognisant of
valuations amidst the growing demand for ESG products and I believe
our product helps them with its focus on still under-valued
sectors.”
Bruno Poulin, CEO of Ossiam said, “We are delighted that
the fund has passed this milestone and delivered solid performance.
The three-year mark is a key stage in a new fund’s existence, as
proof-of-concept and in demonstrating its relevance to investors.
This fund has demonstrated that making a contribution to
sustainability goals with a well-designed ESG policy can go
hand-in-hand with the financial objectives of the strategy.”
Ben Redmond, Head of QIS Structuring EMEA at Barclays,
said, “Adding the ESG feature to the fund has proven
beneficial, not only for performance reasons, but also in helping
clients adopt a more ESG-focused approach to their investments. We
are optimistic for further asset growth given many investors
require a three-year track record.”
Notes to Editors:
Investment Process
The Shiller Barclays CAPE® US Sector Value Net TR index reflects
the performance of dynamic long exposure to four US equity sectors
which are selected every month according to their Relative CAPE®
ratio and price variations over the prior 12 months. The Barclays
Shiller CAPE® indices, developed jointly by Barclays and Professor
Robert Shiller, use the Cyclically Adjusted Price-to-Earnings ratio
as a valuation driver in a sector rotational strategy. The ESG Low
Carbon Shiller Barclays CAPE® US Sector strategy aims to deliver a
risk/return profile similar to the Shiller Barclays CAPE® US Sector
Value index, but with a significantly reduced carbon footprint and
improved ESG profile.
The ESG stage of the strategy starts by removing companies in
specific industries, such as controversial weapons, tobacco and
thermal coal, companies that are undergoing severe controversies
and those in breach with one of the Ten Principles of the UN Global
Compact. The strategy also incorporates publicly available
exclusion lists offered by major, highly regarded Scandinavian
institutional investors. All of these filters improve the
strategy’s ESG profile.
With the remaining stocks, the strategy selects the portfolio
that mimics the financial behaviour of the Barclays Shiller CAPE®
US Sector Value Net TR Index by minimizing the expected tracking
error, while reducing the total carbon footprint and maintaining
the same sector exposure of the original index.
The carbon footprint reduction is measured across three
dimensions: a 40% reduction in Scope 1+2+3 total greenhouse gas
emissions (GHG); a 40% reduction in the total potential GHG
emissions from reserves (i. e. GHG emissions linked to proven
fossil reserves that are not yet burned but could be in the future
when extracted from the ground); and a 40% reduction in the carbon
intensity of the strategy compared to the original index.
Data illustrating the funds’
performance from April 6th 2018 to April 6th 2021
Data from 06/04/2018 to
06/04/2021
S&P 500 Net total return
Ossiam Shiller Barclays CAPE® US
Sector Value TR UCITS ETF
Ossiam
ESG Low Carbon Shiller Barclays
CAPE® US Sector ETF
S&P 500 Value Net total
return
S&P 500 Growth Net total
return
Performance
62.8%
65.9%
74.7%
40.2%
82.3%
Annualized Performance
17.6%
18.4%
20.4%
11.9%
22.1%
Annualized Volatility
22.5%
23.1%
22.9%
22.8%
23.8%
Perf/Vol Ratio
0.78
0.79
0.89
0.52
0.93
Maximum DrawDown
-33.8%
-34.7%
-33.0%
-37.1%
-31.4%
Tracking Error
7.0%
6.8%
6.8%
5.3%
Beta
1.00
0.99
0.96
1.03
Alpha
0.7%
3.0%
-5.8%
9.9%
Correlation vs S&P500
95.4%
95.5%
95.5%
97.5%
Source: Bloomberg - Calculation by Ossiam
as of 07/04/2021 (USD)
Additional information about the fund
Main Risks: Investment in a Fund carries a substantial degree of
risk such as Risk of capital loss – Underlying risk - Volatility
Risk. Before any investment, please read the detailed descriptions
of the main risks in the KIID and prospectus.
The ETF is an ICAV (Irish Collective Asset Management Vehicle),
regulated by the Central Bank of Ireland and uses physical
replication. It has a total expense ratio (TER) of 0.75%. The ETF
is available under an accumulating share class denominated in USD
(ISIN code: IE00BF92LR56).
This document and information included herein about the Ossiam
ETF funds is intended solely for journalists and media
professionals, provided solely to enable them to have an overview
of these funds, exclusively for their own independent editorial.
Ossiam assumes no liability, whether direct or indirect, that may
result from using any information contained in this document. In no
circumstances may Ossiam be held liable for any decision taken on
the basis of this information.
About Ossiam
Ossiam is a specialist asset management company that develops
and manages investment funds, including exchange-traded funds
(ETFs), based on systematic investment processes. Ossiam funds use
alternatively weighted indexes – also known as alternative beta or
smart beta – applied to a range of financial asset classes. Our
ETFs have been listed on major European stock exchanges, including
Deutsche B�rse, Borsa Italiana, London Stock Exchange, NYSE
Euronext and the SIX Swiss Exchange since 2011.
The team behind Ossiam has extensive experience in quantitative
research and financial product design, fund management, trading and
risk management. Ossiam was the first asset manager to launch an
ETF based on a minimum variance strategy and the first asset
manager to launch a risk-weighted smart beta commodity ETF.
Ossiam is headquartered in Paris, France, and is an affiliate of
Natixis Investment Managers. The investment company is regulated by
the Autorité des marchés financiers (AMF) of France. Ossiam’s total
assets under management were €3.9bn as of end of 2020.
Ossiam is a signatory to the United Nations Principles for
Responsible Investment.
About Natixis Investment Managers
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. Natixis Investment
Managers ranks among the world’s largest asset management firms1
with more than $1 trillion assets under management2 (€934.1
billion).
Headquartered in Paris and Boston, Natixis Investment Managers
is a subsidiary of Natixis. Listed on the Paris Stock Exchange,
Natixis is a subsidiary of BPCE, the second-largest banking group
in France. Natixis Investment Managers’ affiliated investment
management firms include AEW; Alliance Entreprendre; AlphaSimplex
Group; Darius Capital Partners; DNCA Investments;3 Dorval Asset
Management; Flexstone Partners; Gateway Investment Advisers; H2O
Asset Management; Harris Associates; Investors Mutual Limited;
Loomis, Sayles & Company; Mirova; MV Credit; Naxicap Partners;
Ossiam; Ostrum Asset Management; Seeyond; Seventure Partners;
Thematics Asset Management; Vauban Infrastructure Partners;4
Vaughan Nelson Investment Management; Vega Investment Managers;5
and WCM Investment Management. Investment solutions are also
offered through Natixis Advisors and Natixis Investment Managers
Solutions.6 Not all offerings available in all
jurisdictions. For additional information, please visit Natixis
Investment Managers’ website at im.natixis.com | LinkedIn:
linkedin.com/company/natixis-investment-managers.
Natixis Investment Managers’ distribution and service groups
include Natixis Distribution, L.P., a limited purpose broker-dealer
and the distributor of various registered investment companies for
which advisory services are provided by affiliated firms of Natixis
Investment Managers, Natixis Investment Managers S.A. (Luxembourg),
Natixis Investment Managers International and its global affiliated
distribution and investment management entities.
1 Cerulli Quantitative Update: Global Markets 2019 ranked
Natixis Investment Managers as the 17th largest asset manager in
the world based on assets under management as of December 31, 2018.
2 Net asset value as of December 31, 2019 is $1,048.4 billion.
Assets under management (“AUM”), as reported, may include notional
assets, assets serviced, gross assets, assets of minority-owned
affiliated entities and other types of non-regulatory AUM managed
or serviced by firms affiliated with Natixis Investment Managers. 3
A brand of DNCA Finance. 4 Not yet licensed – currently pending
authorization process as a portfolio management company with the
French Autorité des marchés financiers (the “AMF”). 5 A wholly
owned subsidiary of Natixis Wealth Management. 6 Natixis Investment
Managers Solutions teams, based in several locations (Paris,
London, Geneva), gather the asset allocation, portfolio
construction, multi-asset portfolio management and structuring
expertise of Natixis Investment Managers. Only the entity based in
Paris has the portfolio management company certification.
About Barclays
Barclays is a British universal bank. We are diversified by
business, by different types of customers and clients, and by
geography. Our businesses include consumer banking and payments
operations around the world, as well as a top-tier, full service,
global corporate and investment bank, all of which are supported by
our service company which provides technology, operations and
functional services across the Group.
Disclaimer
S&P500 refers to S&P500 Net Total Return.
It is each investor’s responsibility to ascertain that it is
authorised to subscribe or invest into the product detailed in this
press release. Prior to investing in the product, investors should
seek independent financial, tax, accounting and legal advice.
Ossiam UCITS ETFs are Luxembourg or Irish open ended mutual
investment funds respectively approved by the Luxembourg Commission
de Surveillance du Secteur Financier or by the Central Bank of
Ireland, and authorized for marketing of their units or shares in
various European countries (the Marketing Countries) pursuant to
the article 93 of the 2009/65/EC Directive. Ossiam recommends that
investors read carefully the “risk factors” section of the Ossiam
UCITS ETFs prospectus and the “Risk and reward” section of the Key
Investor Information Document (KIID). The prospectus and the KIID
in the local languages of the Marketing Countries are available
free of charge on www.ossiam.com.
Updated composition of the Ossiam UCITS ETFs investment
portfolio is available on www.ossiam.com. Indicative net asset
value is published on the Reuters and Bloomberg pages of the
products, and might also be mentioned on the websites of the stock
exchanges where the product is listed. The products are the object
of market-making contracts, the purpose of which is to ensure the
liquidity of the products on the exchange, assuming normal market
conditions and normally functioning computer systems. Units of a
specific Ossiam UCITS ETF managed by an asset manager and purchased
on the secondary market cannot usually be sold directly back to the
asset manager itself. Investors must buy and sell units on a
secondary market with the assistance of an intermediary (e.g. a
stockbroker) and may incur fees for doing so. In addition,
investors may pay more than the current net asset value when buying
units and may receive less than the current net asset value when
selling them.
The Ossiam UCITS ETF including the one detailed in this press
release include a risk of capital loss. The redemption value of
these Ossiam UCITS ETF may be less than the amount initially
invested. In a worst case scenario, investors could sustain the
loss of their entire investment. There is no guarantee that the
objective of any Ossiam UCITS ETF will be met. The trademarks used
in this document are the intellectual property of their licensors.
The accuracy, completeness or relevance of the information which
has been drawn from external sources is not guaranteed although it
is drawn from sources reasonably believed to be reliable. Subject
to any applicable law, Ossiam shall not assume any liability in
this respect. This press release together with the prospectus
and/or more generally any information or documents with respect to
or in connection with the Ossiam UCITS ETF detailed herein does not
constitute an offer for sale or solicitation of an offer for sale
in any jurisdiction (i) in which such offer or solicitation is not
authorized, (ii) in which the person making such offer or
solicitation is not qualified to do so, or (iii) to any person to
whom it is unlawful to make such offer or solicitation. In
addition, the shares are not registered under the U.S Securities
Act of 1933 and may not be directly or indirectly offered or sold
in the United States (including its territories or possessions) or
to or for the benefit of a U.S Person (being a “United State
Person” within the meaning of Regulation S under the Securities Act
of 1933 of the United States, as amended, and/or any person not
included in the definition of “Non-United States Person” within the
meaning of Section 4.7 (a) (1) (iv) of the rules of the U.S.
Commodity Futures Trading Commission.).
No U.S federal or state securities commission has reviewed or
approved this document and more generally any documents with
respect to or in connection with the fund. Any representation to
the contrary is a criminal offence.
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