Ossiam investment solutions citywire smart beta london - 27-28112012

This material is provided for information only to Professional or Qualified

Investors. It must not be distributed to Retail Investors.

OSSIAM MINIMUM VARIANCE ETFS :

EFFICIENT SOLUTION TO THE CURRENT

ASSET ALLOCATION DILEMMA?

www.ossiam.com – tel +33178405690

2 FOR PROFESSIONAL CLIENTS USE ONLY

INTRODUCING OSSIAM

Ossiam is a boutique asset management firm specialising in value-added smart beta strategies

Founded in 2009 by Bruno Poulin and Antoine Moreau

Bringing together a team of investment professionals with years of experience

Developing and managing smart beta strategies

Operating under the supervision of the French Autorité des Marchés Financiers (AMF)

Ossiam’s investment approach is research-driven, systematic and transparent

Ossiam is part of the €570.4bn* ($ 733.9 billion) Natixis Global Asset Management group, since October 2010

“Ossiam aims to provide smart and innovative beta strategies across a broad range of asset classes. We offer clients long-

term investment solutions as well as products tailored to their specific needs”

Bruno Poulin, CEO

* As of end of September 2012


We believe traditional market cap weighted indices are inefficient

Academic research proved invalidity of the CAPM

Empirical features of market cap portfolios are overconcentration on large caps, and a trend following bias

WHY DO WE SPECIALISE IN SMART BETA ?

Cumulative weight in the S&P 500® Index

(as of 31/10/2012)

Source: Standard & Poor’s - Calculation by Ossiam

Weight of Apple in the S&P 500® Index

(January 2001 – October 2012)

Source: Datastream - Calculation by Ossiam

Source: Standard & Poor’s - Calculation by Ossiam

Technology sector weight evolution in the

S&P 500® Index (September 1989 – October 2012)

Smart beta strategies attempt to mitigate these weaknesses and offer the potential for a better long-term

risk-return trade-off and enhanced diversification

50 largest stocks 51% of the weight

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

1 50 100 150 200 250 300 350 400 450

50 largest stocks 51% of the weight

Gains for Apple share price

contributed approximately to

30% of the rise in the S&P

500® Index in 2012.

October 2012

4.36%

January 2009

0.97%


SMART BETA INDICES

Smart beta strategies and indices use systematic investment processes to mitigate the biases and limitations of

traditional indices and achieve more efficient portfolios

Do not use explicit risk/return

forecasts, set up diversification

objectives based on weight distribution

Equal Weight Indices, Intech Diversity

Indices

Use risk forecasts rather than return

forecasts to build efficient portfolios

Minimum Variance Indices,

Risk Budgeting/Risk Weighted Indices

Use fundamentals to assess “fair

value” and set up diversification

objectives based on these fundamentals

Fundamental Indices, GDP-Weighted

Indices

Diversification

based

Fundamentals

based

Risk

based


LOW VOLATILITY INVESTING

The minimum variance strategy is one of the most established types of smart beta, it allows not only to reduce

consistently the risk of the portfolio but also profits from the Low Volatility Anomaly

Empirical research has shown that contrary to the theory of the CAPM, riskier stocks do not offer higher returns - the

“Low Volatility Anomaly”

Academic research has suggested several behavioural biases in investors that may lie behind this anomaly and result in

higher volatility stocks becoming overpriced. These include: Overconfidence, Representativeness, Lottery effects.

Source: Baker, Bradley and Wurgler “Benchmarks as limits to arbitrage:

Understanding the Low-Volatility Anomaly”, Financial Analysts Journal, 2011

Market portfolio

Top 100 US stocks (1968 – 2008)*

High volatility Low volatility

Source: Baker, Bradley and Wurgler “Benchmarks as limits to arbitrage:

Understanding the Low-Volatility Anomaly”, Financial Analysts Journal, 2011

* based on five categories of volatility, from the lowest to the highest


OUR MINIMUM VARIANCE STRATEGY : EFFICIENT SOLUTION TO

THE CURRENT ASSET ALLOCATION DILEMMA

Ossiam’s minimum variance strategies are designed to provide investors with a transparent and practical means to take

advantage of the Low Volatility Anomaly

A robust and consistent approach, for which the objective is to enhance portfolio efficiency while reducing volatility

A systematic approach, for which the investment process is embedded in an index calculated and published by independent index

providers (S&P, STOXX Ltd, FTSE)

A transparent approach, we publish daily information on our website and on Bloomberg

• index constituents

• historical data

We offer minimum variance strategies on

Global equities (developed markets)

European equities

Emerging market equities

Country-specific equities such as US and UK


OVERVIEW OF OUR MINIMUM VARIANCE INVESTMENT PROCESS

Index calculation performed by independent index

providers - historical data are published on Bloomberg

Portfolio replication by Ossiam

Investment universe

Comprises all stocks in the relevant market-cap weighted index

Capacity/liquidity filter

We filter the reference universe to select the most liquid/largest stocks

Portfolio computation

Portfolio composition adjustment based on historical volatilities and correlations

Periodic rebalancing

Risk management constraints

100% equity, long only

maximum weight per stock, sector and country

diversification target based on the Herfindahl index (HHI)

1

2

3

4

R

E

B

A

L

A

N

C

I

N

G


OSSIAM MINIMUM VARIANCE STRATEGIES – EMPIRICAL EVIDENCE (I)

Ossiam’s research shows that minimum variance indices have provided returns at least as high as their market capitalisation

weighted equivalent with reduced volatility (on average 30% for the US, European, Global and Emerging markets and 24% for

UK)

Source: Bloomberg - Calculation by Ossiam

Simulated 1-year volatility from 02/01/2003 to 31/10/2012:

FTSE 100 Minimum Variance TR Index vs FTSE 100 TR Index


Past performance and past volatility shown above represent that of the indices. For data before 23/12/2011 (launch date of the index), performance for the FTSE 100 Minimum Variance TR Index

reflects calculations performed by Ossiam based on backtest data provided by FTSE. Backtested performance results do not represent the performance of actual trading using client assets, but are

achieved by means of the retroactive 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 of index replication costs and tracking error. Past performance is not a reliable indicator of future performance.

5%

10%

15%

20%

25%

30%

35%

40%

1y vol FTSE 100 Minimum Variance TR Index 1y vol FTSE 100 TR Index

50

100

150

200

250

300

FTSE 100 Minimum Variance TR Index FTSE 100 TR Index

Simulated performance from 02/01/2002 to 31/10/2012 (basis 100)



OSSIAM MINIMUM VARIANCE STRATEGIES – EMPIRICAL EVIDENCE (II)

Simulated 5-year rolling performance from 02/01/2007 to 31/10/2012:



Past performance shown above represents that of the indices. For data before 23/12/2011 (launch date of the index), performance for the FTSE 100 Minimum Variance TR Index reflects calculations

performed by Ossiam based on backtest data provided by FTSE. Backtested performance results do not represent the performance of actual trading using client assets, but are achieved by means of

the retroactive 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 of index replication costs and tracking error. Past performance is not a reliable indicator of future performance.

90%

110%

130%

150%

170%

190%

210%

230%

250%



Our strategies add significant value when compared to traditional market cap indexes

99

104

109

114

119

OSSIAM ETF FTSE 100 MINIMUM VARIANCE FTSE 100 TR Index

OSSIAM MINIMUM VARIANCE STRATEGY APPLIED TO THE UK

Performance since inception (16/12/2011 – 31/10/2012) basis 100:

OSSIAM ETF FTSE 100 MINIMUM VARIANCE vs FTSE 100 TR Index

Source: Bloomberg / Ossiam - Calculation by Ossiam


Performance Difference

OSSIAM ETF FTSE 100 MINIMUM VARIANCE 17.11% +6.10%

FTSE 100 TR Index 11.01%

Performance since inception: 16/12/2011 – 31/10/2012

Volatility Difference

OSSIAM ETF FTSE 100 MINIMUM VARIANCE 11.02% -3.49%

FTSE 100 TR Index 14.51%

Volatility since inception: 16/12/2011 – 31/10/2012


Past performance is not a reliable indicator of future performance.


SIMULATED QUARTERLY RETURNS OF THE INDICES SINCE 2002

Simulated quarterly returns from March 2002 to September 2012

Source: Bloomberg – Calculation by Ossiam


*Upside participation of the FTSE 100 Minimum Variance TR

Index compared to the FTSE 100 TR Index

= 5.94%/6.13%

= 97%

From March 2002 to

September 2012

FTSE 100

Minimum

Variance

TR Index

FTSE 100

TR Index

Up quarters:

average return 5.94% 6.13%

Upside

participation* 97%

Down quarters:

average return -4.39% -7.91%

Downside participation 56%

Past performance shown above represents that of the indices. For data before 23/12/2011 (launch date of the index), performance for the FTSE 100 Minimum Variance TR Index reflects

calculations performed by Ossiam based on backtest data provided by FTSE. Backtested performance results do not represent the performance of actual trading using client assets, but are



-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%


Upside participation of the

FTSE 100 Minimum Variance TR Index

97%

Downside participation of the

FTSE 100 Minimum Variance TR Index

56%


OSSIAM ETF FTSE 100 MINIMUM VARIANCE

From 02/01/2002 to 31/10/2012 FTSE 100 Minimum TR Variance Index FTSE 100 TR Index

YTD performance 13.63% 7.30%

1 year performance 15.17% 8.48%



Annualized performance 9.99% 4.63%

Volatility (annualized) 15.85% 20.64%

Max Drawdown -36.14% -44.79%

Sharpe Ratio 0.43 0.07

Correlation vs Benchmark 93.79% N/A

Beta 0.72 N/A

Annual Alpha 5.78% N/A

Dividend yield (annualized) 3.84% 3.68%

The Fund's objective is to replicate, before the Fund’s fees and expenses, the

performance of the FTSE 100 Minimum Variance TR Index at closing level.

Annual TER : 45 bps

ISIN: LU0705291739

Parity: 1/1

Currency: GBP

Liquidity filter: 95 most liquid stocks of FTSE 100 Index

Rebalancing : quarterly

Index provider: FTSE Group

Index codes: Bloomberg TUKXMV / RIC Reuters: .FTUKXMV

The FTSE 100 Minimum Variance TR Index is a total return index

expressed in GBP, calculated and published by FTSE Group. The Index

methodology was developed by FTSE jointly with Ossiam.

ETF characteristics

Investment objective Index characteristics


Past performance shown above represents that of the indices. For data before 23/12/2011 (launch date of the index), performance for the FTSE 100 Minimum Variance TR Index reflects

calculations performed by Ossiam based on backtest data provided by FTSE. Backtested performance results do not represent the performance of actual trading using client assets, but are




SECTOR BREAKDOWN OF THE FTSE 100 MINIMUM VARIANCE TR INDEX

FROM JUNE 2002 TO OCTOBER 2012

Data based on a backtest. The sector breakdown is as of the dates indicated and is subject to change and should not be relied upon as current thereafter

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Utilities

Telecommunications

Technology

Oil - Gas

Industrials

Health Care

Financials

Consumer Services

Consumer Goods

Basic Materials

Source: FTSE / Ossiam – Calculation by Ossiam


85

90

95

100

105

110

OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR (USD)

S&P/IFCI® Index NR

OSSIAM MINIMUM VARIANCE STRATEGY APPLIED TO EMERGING MARKETS


OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR (USD)

vs S&P/IFCI® Index NR




OSSIAM ETF EMERGING MARKETS MINIMUM

VARIANCE NR (USD) 7.81% +10.50%

S&P/IFCI® Index NR -2.69%



OSSIAM ETF EMERGING MARKETS MINIMUM

VARIANCE NR (USD) 10.83% -4.95%

S&P/IFCI® Index NR 15.78%





-30%

-20%

-10%

0%

10%

20%

30%

40%

Ossiam Emerging Markets Minimum Variance Index NR S&P/IFCI® Index NR




*Upside participation of the Ossiam Emerging Markets

Minimum Variance Index NR vs S&P/IFCI® Index NR

= 10.57%/11.25%

= 94%

From March 2002 to

September 2012

Ossiam Emerging

Markets

Minimum

Variance

Index NR

S&P/IFCI®

Index NR

Up quarters:


Upside

participation* 94%

Down quarters:




Ossiam Emerging Markets Minimum Variance Index NR

94%


Ossiam Emerging Markets Minimum Variance Index NR

53%


Past performance shown above represents that of the indices. For data before 24/01/2012 (launch date of the index), performance for the Ossiam Emerging Markets Minimum Variance Index

NR reflects calculations performed by Ossiam based on backtest data provided by Standard & Poor’s. Backtested performance results do not represent the performance of actual trading

using client assets, but are achieved by means of the retroactive 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 of index replication costs and tracking error. Past performance is not a reliable indicator of future performance.


OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR

From 02/01/2002 to 31/10/2012 Ossiam Emerging Markets Minimum Variance Index NR S&P/IFCI® Index NR




5 year performance 36.86% -15.31%



Max Drawdown -49.85% -65.14%



Beta 0.62 N/A




performance of the Ossiam Emerging Markets Minimum Variance Index NR at

closing level.

Annual TER : 75 bps

ISIN: LU0705291903 (EUR)

ISIN: LU0705291812 (USD)

Parity: 1/1

Capacity filter: largest stocks that represent 85% of the S&P/IFCI®

Liquidity filter: 400 most liquid stocks of the universe

Rebalancing : semi-annually

Index provider : Standard & Poor’s

Index codes: Bloomberg OEMMVNR / Reuters RIC: .OEMMVNR

The Ossiam Emerging Markets Minimum Variance Index NR is a total

return index (expressed in USD) which has the same investment universe

as the S&P/IFCI® Index NR.

ETF characteristics



Past performance shown above represents that of the indices. For data before 24/01/2012 (launch date of the index), performance for the Ossiam Emerging Markets Minimum Variance Index

NR reflects calculations performed by Ossiam based on backtest data provided by Standard & Poor’s. Backtested performance results do not represent the performance of actual trading

using client assets, but are achieved by means of the retroactive 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 of index replication costs and tracking error. Past performance is not a reliable indicator of future performance.


SIMULATED SECTOR BREAKDOWN OF THE OSSIAM EMERGING MARKETS

MINIMUM VARIANCE INDEX NR FROM MAY 2002 TO OCTOBER 2012

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Utilities

Telecommunication Services

Materials

Information Technology

Industrials

Health Care

Financials

Energy

Consumer Staples

Consumer Discretionary

Data based on a backtest. The sector breakdown is as of the dates indicated and is subject to change and should not be relied upon as current thereafter

Source: Standard & Poor’s / Ossiam – Calculation by Ossiam


SIMULATED COUNTRY BREAKDOWN OF THE OSSIAM EMERGING MARKETS

MINIMUM VARIANCE INDEX NR FROM MAY 2002 TO OCTOBER 2012

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Middle East & Africa

Europe

Asia Pacific

Latin America

Source: Standard & Poor’s / Ossiam – Calculation by Ossiam

Data based on a backtest. The country breakdown is as of the dates indicated and is subject to change and should not be relie d upon as current thereafter


OSSIAM ETF PRODUCT RANGE ON THE LONDON STOCK EXCHANGE

Name ISIN TER¹ Income

treatment

Indices ETF

Currency

Total AUM

(as of

31/10/2012) Reuters

RIC

Bloomberg

Ticker

Reuters

RIC

Bloomberg

Ticker

OSSIAM ETF EURO STOXX 50® EQUAL WEIGHT NR LU0599613063 0.30% Reinvested .SX5EWT SX5EWT S5EW.L S5EW LN EUR

18.70m€

L5EW.L L5EW LN GBP

OSSIAM ETF STOXX® EUROPE 600 EQUAL WEIGHT NR LU0599613147 0.35% Reinvested .SXXEWR SXXEWR S6EW.L S6EW LN EUR

25.55m€

L6EW.L L6EW LN GBP

OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR LU0599612842 0.65% Reinvested .ISEMVT ISEMVT

EUMV.L EUMV LN EUR

100.89m€

LEMV.L LEMV LN GBP

OSSIAM ETF US MINIMUM VARIANCE NR (USD) LU0599612412 0.65% Reinvested .OUMVNR OUMVNR USMV.L USMV LN USD

120.98m$

LUMV.L LUMV LN GBP

OSSIAM ETF FTSE 100 MINIMUM VARIANCE LU0705291739 0.45% Reinvested .FTUKXMV TUKXMV OSUKMV.L UKMV LN GBP 12.96m£

OSSIAM ETF WORLD MINIMUM VARIANCE NR (USD) LU0799656342 0.65% Reinvested .OWMVNR OWMVNR LWMV.L LWMV.LN GBP 5.05m$

OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR

(USD) LU0705291812 0.75% Reinvested .OEMMVNR OEMMVNR

DEMV.L DEMV LN USD

21.61m$

LMMV.L LMMV LN GBP

OSSIAM ETF US MINIMUM VARIANCE NR has two share classes denominated respectively in US dollar and in Euro. Total AUM of the Fund: USD 267.77m (as of 31/10/12).

OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR has two share classes, 1C and 2C. Total AUM of the Fund: EUR 135.94m (as of 31/10/12)

OSSIAM ETF WORLD MINIMUM VARIANCE NR has two share classes denominated respectively in US dollar and in Euro. Total AUM of the Fund: USD 20.21m (as of 31/10/12)

OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR has two share classes denominated respectively in US dollar and in Euro. Total AUM of the Fund: USD 64.45m (as of 31/10/12).


WHY OSSIAM?

We are specialists in value-added smart beta strategies

We combine deep research with practical market experience to deliver state-of-the-art strategies

Our investment process is research-driven, systematic and transparent

We offer the focus of a boutique asset manager, with the stability and robustness of the €570.4bn* Natixis Global Asset

Management group

* As of end of September 2012


APPENDIX


OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR

From 02/01/2002 to 31/10/2012 iSTOXX™ Europe Minimum Variance Index NR STOXX® Europe 600 Index NR







Max Drawdown -39.71% -58.69%



Beta 0.54 N/A




performance of the iSTOXX™ Europe Minimum Variance Index NR at

closing level.

Annual TER : 65 bps

ISIN: LU0599612842

Parity: 1/1

Liquidity filter: 300 most liquid stocks of the STOXX® Europe 600 Index

Rebalancing : monthly

Index provider : STOXX Ltd

Index codes: Bloomberg ISEMVT / Reuters RIC: .ISEMVT

The iSTOXX™ Europe Minimum Variance Index NR is a total return

index (expressed in EUR) which has the same investment universe as the

STOXX® Europe 600 Index NR.

ETF characteristics



Past performance shown above represents that of the indices. For data before 14/06/2011 (launch date of the index), performance for the iSTOXX™ Europe Minimum Variance Index NR

reflects calculations performed by Ossiam based on backtest data provided by STOXX Ltd. Backtested performance results do not represent the performance of actual trading using client

assets, but are achieved by means of the retroactive 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 of index replication costs and tracking error. Past performance is not a reliable indicator of future performance.






*Upside participation of the iSTOXX™ Europe Minimum

Variance Index NR compared to the STOXX® Europe 600

Index NR =5.55%/7.00%

= 79%

From March 2002 to

September 2012

iSTOXX™

Europe

Minimum

Variance Index

NR

STOXX®

Europe 600

Index NR

Up quarters:


Upside

participation* 79%

Down quarters:



-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

iSTOXX™ Europe Minimum Variance Index NR STOXX® Europe 600 Index NR


iSTOXX™ Europe Minimum Variance Index NR

49%


iSTOXX™ Europe Minimum Variance Index NR

79%

Past performance shown above represents that of the indices. For data before 14/06/2011 (launch date of the index), performance for the iSTOXX™ Europe Minimum Variance Index NR

reflects calculations performed by Ossiam based on backtest data provided by STOXX Ltd. Backtested performance results do not represent the performance of actual trading using client






OSSIAM ETF iSTOXX™ EUROPE MINIMUM

VARIANCE NR 11.27% +6.93%

STOXX® Europe 600 Index NR 4.34%





OSSIAM ETF iSTOXX™ EUROPE MINIMUM

VARIANCE NR 12.37% -8.7%

STOXX® Europe 600 Index NR 21.07%

Performance since inception (21/06/2011– 31/10/2012) basis 100:


vs STOXX® Europe 600 Index NR

80

85

90

95

100

105

110

115


STOXX® Europe 600 Index NR

PERFORMANCE AND VOLATILITY SINCE ETF INCEPTION




OSSIAM ETF US MINIMUM VARIANCE NR

From 02/01/2002 to 31/10/2012 Ossiam US Minimum Variance Index NR S&P 500® Index NR







Max Drawdown -39.51% -55.71%



Beta 0.67 N/A




performance of the Ossiam US Minimum Variance Index NR at closing level.

Annual TER : 65 bps

ISIN: LU0599612685 (EUR)

ISIN: LU0599612412 (USD)

Parity: 1/1

Liquidity filter: 250 most liquid stocks of S&P 500® Index

Rebalancing : monthly

Index provider: S&P

Index codes: Bloomberg OUMVNR / RIC Reuters: .OUMVNR

The Ossiam US Minimum Variance Index NR is a total return index (net

dividends reinvested) expressed in USD, which has the same investment

universe as the S&P 500® Index NR.

ETF characteristics



Past performance shown above represents that of the indices. For data before 06/06/2011 (launch date of the index), performance for the Ossiam US Minimum Variance Index NR reflects

calculations performed by Ossiam based on backtest data provided by Standard & Poor’s. Backtested performance results do not represent the performance of actual trading using client







From March 2002 to

September 2012

Ossiam US

Minimum

Variance Index

NR

S&P 500®

Index NR

Up quarters:


Upside

participation* 70%

Down quarters:




*Upside participation of the Ossiam US Minimum Variance

Index NR compared to the S&P 500® Index NR

= 4.87%/6.98% = 70%

-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

Ossiam US Minimum Variance Index NR S&P 500® Index NR


Ossiam US Minimum Variance Index NR

70%

Downside participation

Ossiam US Minimum Variance Index NR

46%

Past performance shown above represents that of the indices. For data before 06/06/2011 (launch date of the index), performance for the Ossiam US Minimum Variance Index NR reflects





PERFORMANCE AND VOLATILITY SINCE ETF INCEPTION


OSSIAM ETF US MINIMUM VARIANCE NR (USD) vs S&P 500® Index NR




OSSIAM ETF US MINIMUM VARIANCE NR (USD) 18.33% +6.07%

S&P 500 Index NR 12.26%



OSSIAM ETF US MINIMUM VARIANCE NR (USD) 14.08% -6.78%

S&P 500® Index NR 20.86%




85

90

95

100

105

110

115

120

125

OSSIAM ETF US MINIMUM VARIANCE NR (USD) S&P500® Index NR


OSSIAM ETF WORLD MINIMUM VARIANCE NR

From 02/01/2002 to 31/10/2012 Ossiam World Minimum Variance Index NR S&P Global 1200® Index NR







Max Drawdown -42.02% -57.97%



Beta 0.58 N/A




performance of the Ossiam World Minimum Variance Index NR at closing level

Annual TER: 0.65%

ISIN: LU0799656698 (EUR)

ISIN: LU0799656342 (USD)

Parity: 1/1

Capacity filter: largest stocks that represent 85% of the S&P Global 1200®

Liquidity filter: 400 most liquid stocks of the universe

Rebalancing : semi-annual

Index provider : Standard & Poor’s

Index codes: Bloomberg: OWMVNR Index /Reuters RIC: .OWMVNR Index

The Ossiam World Minimum Variance Index NR is a total return index

(expressed in USD) which has the same investment universe as the S&P

1200® Global Index NR.

ETF characteristics


Past performance shown above represents that of the indices. For data before 16/07/2012 (launch date of the index), performance for the Ossiam World Minimum Variance Index NR reflects









*Upside participation of the Ossiam World Minimum

Variance Index NR compared to the S&P 1200 ® Global

Index NR =5.40%/7.47%

= 72% -25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

25%

Ossiam World Minimum Variance Index NR S&P Global 1200® Index NR


Ossiam World Minimum Variance Index NR

72%


Ossiam World Minimum Variance Index NR

48%

From March 2002 to

September 2012

Ossiam World

Minimum

Variance

Index NR

S&P Global

1200®

Index NR

Up quarters:


Upside

participation* 72%

Down quarters:


Downside

participation 48%


Past performance shown above represents that of the indices. For data before 16/07/2012 (launch date of the index), performance for the Ossiam World Minimum Variance Index NR reflects





OSSIAM MINIMUM VARIANCE STRATEGY APPLIED TO WORLD EQUITIES




(USD) 1.25% -1.30%

S&P Global 1200® Index NR 2.55%







(USD) 7.48% -4.07%

S&P Global 1200® Index NR 11.55%


OSSIAM ETF WORLD MINIMUM VARIANCE NR (USD)

vs S&P Global 1200® Index NR


99

100

101

102

103

104

105

106

OSSIAM ETF WORLD MINIMUM VARIANCE NR (USD)

S&P Global 1200® Index NR


DISCLAIMERS

This content of this document has been approved by NGAM UK Limited, an authorized firm within the meaning of Financial Services and Markets Act 2000 (“FSMA”).

Such approval is required by section 21 of FSMA unless one or more exemptions apply. This document is exempt from the general restriction in section 21 of FSMA on the

communication of invitations and inducements to engage in investment activity on the grounds that it is made only to (a) persons who have professional experience in

matters relating to investments (being ‘investment professionals’ within the meaning of Article 19(5) of the Financial Services and Markets Act 2000 (Financial

Promotion) Order 2005 (the “FPO”)), (b) persons of a type described in article 49(2) of the FPO, and (c) other persons to whom the services to which this document

relates may lawfully be promoted (each, a ‘relevant person’). Any investment or investment activity to which this document relates is available only to relevant persons

and will be engaged in only with relevant persons. This document must not be acted or relied upon by persons who are not relevant persons.

Persons of a type described in Article 49(2) of the FPO comprise (a) any body corporate which has, or which is a member of the same group as an undertaking which has,

a called up share capital or net assets of not less than (i) in the case of a body corporate which has more than 20 members or is a subsidiary undertaking of an

undertaking which has more than 20 members, £500,000 and (ii) in any other case, £5 million, (b) any unincorporated association or partnership which has net assets of

not less than £5 million, (c) the trustee of a high value trust within the meaning of Article 49(6) of the FPO, (d) any person (‘A’) whilst acting in the capacity of director,

officer or employee of a person (‘B’) falling within any of (a), (b) or (c) above where A’s responsibilities, when acting in that capacity, involve him in B’s engaging in

investment activity and (e) any person to whom the communication may otherwise lawfully be made.

This material is provided by NGAM UK Limited. Authorised and regulated by the Financial Services Authority. Registered Address: NGAM UK Limited, Cannon Bridge

House, 25 Dowgate Hill, London, EC4R 2YA.

This material has been prepared by Ossiam, a French asset manager authorized by the Autorité des Marchés Financiers (Agreement N° GP-10000016) and located at 6

place de la Madeleine, 75008 Paris. Ossiam is a subsidiary of Natixis Global Asset Management. 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.

This document is directed only at persons who are professional clients or eligible counterparties for the purposes of the FSA’s Handbook and must not be relied or acted

upon by any other persons.


DISCLAIMERS

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

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.

NGAM S.A. is the management company of the Funds. NGAM S.A. is a Luxembourg management company that is incorporated under Luxembourg laws. The management

company has appointed Ossiam as investment manager of the Funds, and designated 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 document 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. Investors should also be well informed about the main characteristics of the Index (number of

stocks, sector and or country breakdown, past evolution…) in order to have an overview of the risks and opportunities related to an exposure to the Index.

In order to minimize any potential for conflicts caused by the fact that Ossiam determines the weight of the index components at each rebalancing date (for the Ossiam

World Minimum Variance, Ossiam Emerging Markets Minimum Variance indices and iSTOXX™ Europe Minimum Variance indices) and acts as asset manager, Ossiam

has retained unaffiliated third parties to calculate and publish index, namely S&P and STOXX Ltd.

Access to the products and services featured on this presentation may be subject to restrictions for certain persons or countries, either under a general prohibition or

under marketing rules. Accordingly, no product or service presented on this document shall be provided by Ossiam to any person who is not legally authorized. The same

applies for countries for which Ossiam has not applied for marketing authorization.


DISCLAIMERS

All rights in the FTSE 100 Minimum Variance TR Index (the “Index”) vest in FTSE International Limited (“FTSE”). “FTSE®” is a trade mark of the London Stock Exchange Plc and

The Financial Times Limited and is used by FTSE under licence.

The OSSIAM ETF FTSE 100 MINIMUM VARIANCE has been developed solely by OSSIAM. The Index is calculated by FTSE or its agent. FTSE and its licensors are not connected to

and do not sponsor, advise, recommend, endorse or promote the OSSIAM ETF FTSE 100 MINIMUM VARIANCE and do not accept any liability whatsoever to any person arising out of

(a) the use of, reliance on or any error in the Index or (b) investment in or operation of the OSSIAM ETF FTSE 100 MINIMUM VARIANCE. FTSE makes no claim, prediction, warranty

or representation either as to the results to be obtained from the OSSIAM ETF FTSE 100 MINIMUM VARIANCE or the suitability of the Index for the purpose to which it is being put by

OSSIAM.

Ossiam Emerging Markets Minimum Variance Index NR (the “Index”) is the exclusive property of Ossiam, which has contracted with Standard & Poor’s Financial Services LLC

(“S&P”) to maintain and calculate the Index. 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(s) are service marks of Standard & Poor’s Financial Services LLC and have been licensed for use by Ossiam. S&P and its affiliates shall have no

liability for any errors or omissions in calculating the Index .”

OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR is not sponsored, endorsed, sold or promoted by S&P, its affiliates or their third party licensors and neither S&P, its

affiliates nor their its third party licensors make any representation regarding the advisability of investing in OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR.

Ossiam World Minimum Variance Index NR (the “Index”) is the exclusive property of Ossiam, which has contracted with Standard & Poor’s Financial Services LLC (“S&P”) to

maintain and calculate the Index. 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(s) are service marks of Standard & Poor’s Financial Services LLC and have been licensed for use by Ossiam. S&P and its affiliates shall have no liability for any

errors or omissions in calculating the Index .”

OSSIAM ETF WORLD MINIMUM VARIANCE NR is not sponsored, endorsed, sold or promoted by S&P, its affiliates or their third party licensors and neither S&P, its affiliates nor

their its third party licensors make any representation regarding the advisability of investing in OSSIAM ETF WORLD MINIMUM VARIANCE NR.

“Ossiam US Minimum Variance Index NR (the “Index”) is the exclusive property of Ossiam, which has contracted with Standard & Poor’s Financial Services LLC (“S&P”) to maintain

and calculate the Index. 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(s) are service marks of Standard & Poor’s Financial Services LLC and have been licensed for use by Ossiam. S&P and its affiliates shall have no liability for any errors or

omissions in calculating the Index .”

OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR is not sponsored, endorsed, sold or promoted by S&P, its affiliates or their third party licensors and neither S&P, its

affiliates nor their its third party licensors make any representation regarding the advisability of investing in OSSIAM ETF EMERGING MARKETS MINIMUM VARIANCE NR.


DISCLAIMERS

“The STOXX® Indices and the data composed therein (the “Index Data”) are the intellectual property (including registered trademarks) of STOXX Limited, Zurich, Switzerland

(“STOXX”) and/or its licensors (the “STOXX Licensors”). The use of the Index Data requires a license from STOXX. STOXX and the STOXX Licensors do not make any warranties or

representations, express or implied with respect to the timeliness, sequency, accuracy, completness, currentness, merchantability, quality or fitness for any particular purpose of the Index

Data. In particular, the inclusion of a company in a STOXX® Index does not in any way reflect an opinion of STOXX or the STOXX Licensors on the merits of that company. STOXX and

the STOXX Licensors are not providing investment, tax or other professional advice through the publication of the STOXX® Indices or in connection therewith.” STOXX and its licensors

have no relationship to Ossiam, other than the licensing of the iSTOXX™ Europe Minimum Variance index NR and the related trademarks for use in connection with OSSIAM ETF

iSTOXX™ EUROPE MINIMUM VARIANCE NR indexed to the iSTOXX™ Europe Minimum Variance Index.

STOXX and its Licensors do not:

- Sponsor, endorse, sell or promote the OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR.

- Recommend that any person invest in the OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR or any other securities.

- Have any responsibility or liability for or make any decisions about the timing, amount or pricing of OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR.

- Have any responsibility or liability for the administration, management or marketing of the OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR.

- Consider the needs of the OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR or the owners of the OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR in

determining, composing or calculating the iSTOXX™ Europe Minimum Variance Index NR or have any obligation to do so.

STOXX and its Licensors will not have any liability in connection with the OSSIAM ETF ISTOXX™ EUROPE MINIMUM VARIANCE NR . Specifically,

- STOXX and its Licensors do not make any warranty, express or implied and disclaim any and all warranty about:

o The results to be obtained by the OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE NR , the owner of the OSSIAM ETF iSTOXX™ EUROPE MINIMUM

VARIANCE NR or any other person in connection with the use of the iSTOXX™ Europe Minimum Variance Index NR and the data included in the iSTOXX™ Europe Minimum Variance

Index NR;

o The accuracy or completeness of the iSTOXX™ Europe Minimum Variance Index NR and its data;

o The merchantability and the fitness for a particular purpose or use of the iSTOXX™ Europe Minimum Variance Index NR and its data;

- STOXX and its Licensors will have no liability for any errors, omissions or interruptions in the iSTOXX™ Europe Minimum Variance Index NR or its data;

- Under no circumstances will STOXX or its Licensors be liable for any lost profits or indirect, punitive, special or consequential damages or losses, even if STOXX or its Licensors

knows that they might occur.

The licensing agreement between the Ossiam and STOXX is solely for their benefit and not for the benefit of the owners of the OSSIAM ETF iSTOXX™ EUROPE MINIMUM VARIANCE

NR or any other third parties.”

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