Ossiam ESG Low Carbon Shiller Barclays CAPE US Sector ETF Celebrates its Third Anniversary with 2.8% Annualized Outperformance Versus S&P500

·12 min read

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 Börse, 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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