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Ossiam Equal Weight ETF adds ESG


Ossiam, the quantitative investment manager and affiliate of Natixis Investment Managers, has added ESG to its long-running equal weight strategy, which was launched in 2011.

The related Luxemburg fund, Ossiam STOXX® Europe 600 Equal Weight NR (ISIN: LU0599613147) has been renamed Ossiam STOXX® Europe 600 ESG Equal Weight NR from today, January 24th. The fund’s new benchmark is the STOXX® Europe 600 ESG Broad Market Equal Weight Index Net Return EUR (ISIN: CH1135769888), calculated and published by STOXX, denominated in EUR. The fund maintains its original ISIN code.

The new benchmark is the equally-weighted version of the STOXX® Europe 600 ESG Broad Market index (the base index) which itself is the ESG version of the widely-followed STOXX® Europe 600 index (the parent index). The benchmark has the same constituents as the base index, which is composed of 80 per cent of the securities in the parent index under normal circumstances. Each equity in the benchmark is allocated the same weight (1/480 or 0.2083 per cent in normal circumstances), which is rebalanced quarterly.

Companies that do not comply with the Sustainalytics Global Standards Screening assessment, are involved in controversial Weapons (as defined by the United Nations), or have no ESG scores, are not eligible for selection. The strategy applies additional exclusion filters to companies that are involved in tobacco production, thermal coal and military contracting. The remaining securities are ranked in descending order of their ESG scores within each of the 11 Industry Classification Benchmark (ICB) industry groups. The base index selects the top-ranking equities in each of the ICB industries until the number of selected securities reaches 80 per cent (under normal circumstances) of the total number of securities in the parent Index.

Paul Lacroix, Head of Structuring at Ossiam, says: “Equal weighting has been one of the most successful smart beta strategies over the past decade, while at the same time a clear trend has emerged of large equity investors putting ESG at the core of their allocation decisions. Investors have also learned the lessons of avoiding concentration, trend following and large cap bias. With those considerations, combination of equal weight and ESG is a natural evolution for this strategy.”

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