OSSIAM is a specialist asset management company set up end of 2009 (AUM-30 September 2014 - EUR 1,7B), affiliate of NGAM (Natixis Global Asset Management), providing access to smart beta strategies across all asset classes (equity, fixed income, commodities, etc.).
Using its expertise in systematic asset management, in 2013, Ossiam has set up an ETF offering a long only exposure to a risk weighted enhanced commodity index, based on S&P Goldman Sachs Commodity Index constituents, excluding grains.
Commodity Universe
The S&P GSCI (formerly the S&P Goldman Sachs Commodity Index) serves as a benchmark for investment in commodity markets. The index currently holds 24 commodity futures from all commodity sectors - energy products, industrial metals, agricultural products, livestock products and precious metals. Therefore, the S&P GSCI Total Return index measures a fully collateralized commodity futures investment that is rolled forward, on a monthly basis.
Risk Weighted Enhanced Commodity Ex. Grains Index TR (USD) vs S&P GSCI Index TR (USD) Composition as of 31/10/2014
- Data Source: Societe Generale/Bloomberg - Calculation by Ossiam, at 30/10/2014
Why invest in the risk weighted enhanced commodity ex grains index?
Excluding grain markets, the Risk Weighted Enhanced Commodity Ex grains Index tracked by Ossiam ETF, includes 20 out of 24 components from the S&P GSCI TR. This strategy aims to offer volatility reduction and a better participation from all commodity sectors, especially by avoiding the concentration in the energy markets (weighting approximatively 70 % of the S&P GSCI allocation). In addition, the Risk Weighted Enhanced Commodity Ex grains Index provides additional benefits thanks to an enhanced roll mechanism, reducing rolling costs on the individual commodity futures contracts when markets are in contango (Price of the futures contracts being rolled < Price of the nearby futures contracts) and benefiting from backwardation (Price of the nearby futures contracts < Price of the futures contracts being rolled).
How the strategy is built ?
To achieve this objective, the allocation process gives more weights to the least volatile commodities, allowing significant risk reduction and better diversification, in comparison to the S&P GSCI TR. Each commodity is weighted inversely proportional to its 12 month realized volatility.
Fund highlights
The ETF tracks the Risk Weighted Enhanced Commodity Ex Grains Index which gives a long only exposure to global commodity markets (excluding grains) with an investment approach based on risk profile.
It benefits from a dual-focus combined into one strategy (1) allocation and risk control that insure sound risk budgeting and better diversification, (2) yield enhancing mechanism to mitigate the negative effect of the roll yield in contango markets and take full benefit of backwardation when futures contracts positions are rolled. Lastly, this strategy is flexible, within a UCITS IV framework, it offers continuous pricing and the possibility to trade throughout the day or at NAV (under normal market conditions).
Risk and performance data – fund high lights
The Risk Weighted Enhanced Commodity Ex Grains Index captures commodities markets performance (exluding grains) while aiming at reducing volatility, in comparison to the S&P GSCI TR, as shown below:
- Source: Data provided Bloomberg- Calculation by Ossiam
- Simulated Index Performance Risk Weighted Enhanced Commodity Ex. Grains Index TR vs S&P GSCI Index TR as of 30/10/2014
Find more information on this product and Ossiam’s product range: http://www.ossiam.com/index.php/solutions/ossiam-risk-weighted-enhanced-commodity-ex-grains-tr-ucits-etf-1c-usd
The annualized volatility of the Risk Weighted Enhanced Commodity Ex Grains Index TR for the period from 02/01/2013 to 30/10/2014 was 39.43% below the annualized volatility of the S&P GSCI Enhanced Index TR for the same period. Past performance shown above represents that of the indices. For data before 25/02/2013 (launch date of the index), performance for the Risk Weighted Enhanced Commodity Ex. Grains Index TR reflects calculations performed by Ossiam based on backtest data provided by Société Générale (the index Sponsor). 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. Past performance is not a reliable indicator of future performance.
The Risk Weighted Enhanced Commodity Ex. Grains Index Total Return USD (the “Index”) is the property of Société Générale and is used under license.
Subject to any applicable law, Société Générale does not guarantee the accuracy and/or the completeness of the composition, calculation, dissemination and adjustment of the Index, nor of the data included therein and Société Générale may not be held responsible for any consequences, including financial consequences, resulting from the investment in a product having the Index as underlying.
