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info@ossiam.com - +33 1 84 79 42 70
80 avenue de la Grande Armée 75017 Paris France
This material has been prepared solely for professional Investors.
Ossiam investment solutions Faktor Investments:
Minimalismus als Prinzip22. März 2017
Mirko Jungmann, CFAProduct Specialist
mirko.jungmann@ossiam.com
+49 69 97 15 32 27
2
Einführung in Smart Beta
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.
Einführung in Smart Beta
Woher kommt das „Beta“ in Smart Beta? 4
Makroökonomisch Statistisch Fundamental
�� = �� + ��(�� − ��) �� = �� + ����� + ����� + … + �����
CAPM APT
klassischesBeta
alternative / smarte Betas
RISIKOFAKTOREN
klassischerRisikofaktor
alternativeRisikofaktoren
Einführung in Smart Beta
Fundamentale Risikofaktoren 5
FUNDAMENTALE RISIKOFAKTOREN
Value Small Cap Momentum
QualityHigh Yield
Low Volatility ESG
Low carbonMinimum Variance
Illiquidity
Volatility
Einführung in Smart Beta
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
Einführung in Smart Beta
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
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.
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
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.
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%
3-year performance 25,15% 26,80%
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%
YTD performance 6,78% 5,83%
performance since inception 25,88% 14,24%
annualized performance 14,58% 8,19%
annualized volatilty 13,98% 14,22%
maximum draw dow n -11,49% -13,29%
Sharpe ratio 1,02 0,55
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
YTD performance 6,84% 5,83%
1-year performance 28,54% 23,17%
3-year performance 50,59% 32,87%
annualized performance 12,56% 8,61%
annualized volatilty 17,73% 18,95%
maximum draw dow n -43,70% -55,71%
Sharpe ratio 0,63 0,38
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
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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
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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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