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MAY 2021
OFI Financial Investment -
RS Euro Equity Smart Beta
Michael FAY
ARTICLE 8 SFDR
Head of Multi-Asset Strategies
This is a promotional document meant exclusively for professional clients, as defined by MiFID.
Marketing communication relating to OFI Financial Investment - RS Euro Equity Smart Beta. It is addressed to institutional investors in Germany (DE) Not appropriate for U.S. Persons.
OFI AM
OFI AM, a key SRI player Active & committed
72 bn€ of AUM, 300 professionals
A forerunner in SRI with 25 years of experience Signatory
Expertise across all Group’s strategies
OFI Responsible Solutions (OFI RS) brand:
a range of responsible investment solutions
(products and services) Member
OFI AM rated « A+ », the highest PRI score - 09/2020
For the fourth year running, for the integration of ESG criteria
in its investment management
OFI AM ranks no.1 on the Indefi French institutional market
barometer - 01/2021 Participate
Range of ESG products and services For the fourth year running
OFI AM rated PLATINUM in the TELOS ESG check
Supporter
As of April 2021. References to a ranking, a prize and/or a rating are not reliable indicators of future distinctions
or future results of a fund or fund manager. This is a promotional document.
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 2
Introduction P. 3
Investment philosophy & process P. 6
Portfolio performance & structure P. 15
Appendices P. 21
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 3
Cap-weighted indices are inefficient
Sector biases (example: EuroStoxx) Concentration of risks (example: S&P 500)
Utilities Average 100
Telecommunication Services
Cumulative weighting
Real Estate 80
Materials
Information Technology 60
Industrials
Health Care 40
Financials
Energy 20
Consumer Staples Number of stocks
Consumer Discretionary Weighting 0
1 51 101 151 201 251 301 351 401 451 501
0% 5% 10% 15% 20% 25%
Source: OFI AM, as of 31 December 2019 Source: OFI AM, as of 31 December 2019
Market cap biases Inefficiency of cap-weighted indices
80% 75% Weighting Annualised performance
• Sector biases
Annualised volatility Sharpe ratio
60%
• Risk concentration bias
40% • Market cap bias
23% 21% 22%
17%
20% 0,14
8%
• 100% of beta exposure
0,06 0,08
1% 3% 2%
0% • No SRI selection process
Large caps Mid caps Small caps
Source: OFI AM, as of 31 December 2019 Source: OFI AM, as of 31 December 2019
Figures provided as an illustration
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 4OFI AM’s answer: a combined
approach
1 SRI selection via OFI AM’s methodology
2 Multi-factor approach: ERC, SRI, and EW
Risk management integrated into the portfolio
3 management & SRI selection and exclusions
via OFI AM’s expertise
4 Significant reduction in sector biases
5 Diversification to reduce concentration risk
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 5Introduction P. 3
Investment philosophy & process P. 6
Portfolio performance & structure P. 15
Appendices P. 21
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 6OFI Financial Investment - RS Euro Equity
Smart Beta 3 sources of performance
Sector allocation Equal-Risk Contribution
1 Weights each sector’s risk
contributions to overall risk
SRI selection Best in Class
EuroStoxx 300 2 Selection of the top-rated stocks in
universe each sector
Equally weighted
3 Portfolio construction Reversion to the intra-sector mean
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 71 Sector Allocation
ERC implementation process
SECTOR ALLOCATION
Telecommunications Utilities … Finance
SMART EURO SMART EURO SMART EURO
BETA STOXX BETA STOXX BETA STOXX
Risk Risk Risk
contribution 10.0% contribution 10.0% contribution 10.0%
Weighting 11.1% 3.8% Weighting 11.7% 6.1% Weighting 8.4% 20.6%
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 81 Sector Allocation
ERC for more resilience to market turnarounds
ERC under/outperformance vs EuroStoxx
Year-on-year
Outperformance (right scale)
60% 8%
Underperformance (right scale)
50% EuroStoxx 6%
40% Average outperformance (right scale)
30% 4%
20%
2%
10%
0%
0%
-10% -2%
-20%
-4%
-30%
-40% -6%
2015 2016 2017 2018 2019 2020
Source: OFI AM, figures as of 12 April 2021
● Solid performance during significant market declines
● Exposure to all sectors
● Minimises the portfolio’s sector risk concentration
The figures provided result from back-testing conducted by OFI Asset Management teams based on assumptions that we can provide upon request.
The simulated performances presented are net of management fees. Past performances are not a reliable indicator of future performances.
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 92 Selection
Implementation process: a best-in-class approach
SECTOR ALLOCATION
Telecommunications Utilities … Finance
SMART BETA SMART BETA SMART BETA
Risk Risk Risk
10.0% 10.0% contribution
10.0%
contribution contribution
Weighting 11.1% Weighting 11.7% Weighting 8.4%
SRI SELECTION
SRI SCORE SRI SCORE
1 3.6 1 3.6
2 3.57 2 3.57
3 3.56 3 3.56
4 3.16 4 3.16
STOCKS
STOCKS
SRI SCORE 5 3.15 BEST-IN-CLASS 5 3.15
OF EACH STOCK 6 2.9 APPROACH 6 2.9
IN THE SECTOR 7 2.66 SELECTION OF THE TOP 7 2.66
RATED FROM 1 TO 5 8 2.51 2/3 SCORES 8 2.51
9 2.32 9 2.32
10 2.26 10 2.26
11 2.22 11 2.22
12 1.75 12 1.75
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 102 Selection
ESG analysis, our proprietary framework
Environment & Social
External data sources Focus on key E and S issues for each
sector
Incorporation of
An assessment of E and S corporates qualitative
intentions and outcomes (Max. 60%) factors ESG Note
/ 10
Governance
A constant weight for the corporate Controversies
governance structure: 30%
+ a sectoral weight for behavior : at least
10%
Leaders The most advanced in addressing ESG issues
Committed Actively address ESG issues
Followers ESG issues passably managed
Unclear ESG issues poorly managed
Under Surveillance Late in addressing ESG issues : excluded in SRI funds
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 112 Selection
Best-in-class approach
Performance by SRI category
From December 2007 to end-March 2021
200 Leader vs Underwatched 100%
Leader
180 80%
Underwatched
160 Benchmark 60%
140 40%
120 20%
100 0%
80 -20%
60 -40%
40 -60%
20 -80%
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020
Source: OFI AM
● The financial value of the extra-financial approach is no longer a matter of debate
● The approach’s positive contribution comes from its automatic exclusion of the lowest-rated
issuers
The figures provided result from back-testing conducted by OFI Asset Management teams based on assumptions that we can provide upon request.
The simulated performances presented are gross of management fees. Past performances are not a reliable indicator of future performances.
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 123 Portfolio construction
Implementation equal-weighting of stocks
SECTOR ALLOCATION
Telecommunications Utilities … Finance
SMART BETA SMART BETA SMART BETA
Risk Risk Risk
10.0% 10.0% contribution
10.0%
contribution contribution
Weighting 13.4% Weighting 12.1% Weighting 9.6%
SRI SELECTION EQUAL WEIGHTING
SRI SCORE SRI SCORE SRI SCORE % INDEX % FUND
1 3.6 1 3.6 1 3.6 0.24% 1.68%
2 3.57 2 3.57 2 3.57 0.71% 1.68%
3 3.56 3 3.56 3 3.56 0.13% 1.68%
4 3.16 4 3.16 4 3.16 0.07% 1.68%
SRI SCORE
STOCKS
STOCKS
STOCKS
5 3.15 BEST-IN-CLASS 5 3.15 PORTFOLIO 5 3.15 1.03% 1.68%
OF EACH STOCK 6 2.9 6 2.9 6 2.9 0.12% 1.68%
APPROACH CONSTRUCTION
IN THE SECTOR 7 2.66 SELECTION OF THE TOP 7 2.66 EQUALLY 7 2.66 0.09% 1.68%
RATED FROM
8 2.51 2/3 SCORES 8 2.51 WEIGHTED 8 2.51 0.23% 1.68%
1 TO 5
9 2.32 9 2.32 9 2.32 0.30%
10 2.26 10 2.26 10 2.26 0.07%
11 2.22 11 2.22 11 2.22 0.05%
12 1.75 12 1.75 12 1.75 1.26%
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 133 Portfolio construction
Equal weighting within each sector to strengthen ERC
EW out/underperformance ERC out/underperformance EW + ERC out/underperformance
vs EuroStoxx vs EuroStoxx vs EuroStoxx
10% 10% 10%
Outperformance Outperformance Outperformance
8% Underperformance 8% Underperformance 8% Underperformance
Average outperformance Average performance Average outperformance
6% 6% 6%
4% 4% 4%
2% 2% 2%
0% 0% 0%
-2% -2% -2%
-4% -4% -4%
-6% -6% -6%
-8% -8% -8%
-10% -10% -10%
2014 2015 2016 2017 2018 2019 2020 2014 2015 2016 2017 2018 2019 2020 2014 2015 2016 2017 2018 2019 2020
Source: OFI AM – year-on-year, figures as of 26 Nov. 2020
● Aims to capture performance during market rebounds
● A systematic profit-taking approach within each sector
● An approach that complements ERC in generating steady outperformance
The figures provided result from back-testing conducted by OFI Asset Management teams based on assumptions that we can provide upon request.
The simulated performances presented are gross of management fees. Past performances are not a reliable indicator of future performances.
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 14Introduction P. 3
Investment philosophy & process P. 6
Portfolio performance & structure P. 15
Appendices P. 21
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 15Performances as of 30/04/2021
OFI Financial Investment – RS Euro Equity Smart Beta
Since inception of the GI share class - 01/19/2018
OFI Financial Investment – RS Euro Equity Smart Beta
115 Eurostoxx DNR
105
95
85
75
65
01/18 04/18 07/18 10/18 01/19 04/19 07/19 10/19 01/20 04/20 07/20 10/20 01/21 04/21
Source: Europerformance, Share Class GI
YTD 1 YEAR 3 YEARS 5 YEARS
PERF. PERF. PERF. PERF.
Fund 7.11% 33.32% 23.03% -
Benchmark 11.34% 39.23% 20.36% -
The figures given refer to previous years. Past performances are not a reliable indicator of future performances.
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 16OFI Financial Investment – RS Euro
Equity Smart Beta in 4 points
An easy-to-understand, transparent and systematic
1 management process supervised by specialists
An innovative approach combining Equal-Risk
2 Contribution, SRI analysis and equal weightings
A strategy that lowered volatility by about 10% vs the
3 benchmark*
Recurring and significant outperformance
4 vs EuroStoxx DNR*
* Past performances are not a reliable indicator of future performances
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 17Administrative characteristics SRRI
1 2 3 4 5 6 7
for Germany Lower risk,
potentially lower reward
Higher risk,
potentially higher reward
According to the SFDR (Sustainable Finance Disclosure Regulation), this product promotes environmental or social characteristics but does not aim at
sustainable investment.
ARTICLE 8 SFDR Investors should be aware and prepared to accept that, for those Funds which have a sustainable management process, this process is based on the use of a
proprietary model to determine the ESG score. There is a risk that this model may not be efficient. The performance of these Funds may therefore be below the
management objective.
Legal form A SICAV fund governed by French law
Investment management firm OFI Asset Management
Benchmark index EuroStoxx DNR
Targeted performance To outperform its benchmark index
Recommended minimum
investment horizon More than 5 years
Inception date 19 January 2018
Currency Euro
ISIN codes GI C units: FR0013303617
Minimum subscription GI C units: €500,000
CNMV registration number 1871
Depositary SOCIETE GENERALE PARIS
Valuer SGSS NAV
Income allocation Capitalisation and/or distribution
Valuation Daily
Front-end fees 2% max
Current management fees GI C units: 0.52% (max. management fees) (as at 31 Dec. 20)
Performance fee None
Back-end fees None
Centralisation of orders Cut-off at noon CET for an order at the evening’s NAV; settlement on Day 1 + 2 business days
Information agent Germany: OLDENBURGISCHE LANDESBANK AG Stau 15/17. 26122 Oldenburg
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 18Main risks 1/2
Capital risk and performance risk
1 The investor is advised that the performance of the UCITS might not
conform to their objectives and that their capital might not be returned in
full, the UCITS not benefiting from any guarantee or protection of capital
invested.
Equity risk
2 The UCITS is invested on one or more equity markets which may
experience marked variations. The investor's attention is drawn to the
fact that variations in the price of the portfolio assets and/or the market
risk might result in a significant reduction in the net asset value of the
UCITS.
Model Risk
3 The management process for the Sub-Fund is based in part on using
two proprietary models. One of these is used to determine the risk level
of an asset compared to other assets in the portfolio, while the other is a
non-financial scoring model (including some ESG criteria). There is a
risk that these models are not efficient. The performance of the Sub-
Fund may therefore be below the management objective.
Interest rate risk
4 Because of its composition, the UCITS may be subject to an interest
rate risk. This risk results from the fact that, in general, the price of debt
securities and bonds falls when rates rise. The net asset value may
therefore drop if interest rates rise.
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 19Main risks 2/2
Counterparty risk
5 This is the risk associated with use by the UCITS of futures and OTC
instruments. These transactions concluded with one or more eligible
counterparties potentially expose the UCITS to a risk of defaulting of
one of these counterparties possibly resulting in failure to pay which will
reduce the net asset value.
Sustainability risk
6 Sustainability risks are mainly related to climatic events resulting from
climate-related changes (called physical risks), the ability of societies to
respond to climate change (called transition risks) and may result in
unanticipated losses affecting the FCP's investments and financial
performance. Social events (inequality, labor relations, investment in
human capital, accident prevention, changes in consumer behavior, etc.)
or governance failures (recurring and significant violations of
international agreements, corruption, product quality and safety, and
sales practices) can also translate into sustainability risks.Translated
with www.DeepL.com/Translator (free version)
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 20Introduction P. 3
Investment philosophy & process P. 6
Portfolio performance & structure P. 15
Appendices P. 21
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 21Smart beta management
at OFI AM
● An innovative strategy developed since
2014… Michaël FAY
44 years old – 18 years of experience
Head of Multi-Asset Fund Management OFI AM 2015
● … certified SRI since 2015
Chief Executive Officer OFI IS 2012
An official public label Head of Financial Engineering OFI IS 2010
Head of Credit Management OFI AM 2009
● Managed by the multi-asset and quantitative Credit & Structured Products Management OFI AM 2003
team, backed by: • DEA degree in Market Finance (Sorbonne)
• Magistère degree in Fundamental Physics (Orsay)
• SRI research team
• Risk management team Stéphane YOUMBI
35 years old – 14 years of experience
• Quantitative and financial engineering team Multi-Asset Fund Manager OFI AM 2015
Equity Portfolio Manager 2010
PRIM’ FINANCE
Assistant Portfolio Manager 2007
• Master II degree in Finance (Université Paris I Sorbonne)
• Master I degree in Banking and Financial Markets (Université Paris XII)
Olivier KERJAN
43 years old – 15 years of experience
Multi-Asset Manager OFI AM 2019
Multi-Asset Manager Natixis IMI 2010
FX Prop Trading SGCIB 2010
Emerging Debt Manager BAREP AM 2006
• ESLSCA: Master’s in Finance and International Trade
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 22Analysis teams
SRI Expertise
A team of 9 professionals
4,800 issuers analysed
Research and Financial engineering
A dedicated information system, A team of 4 professionals
OSIRIS, for SRI analysis and
management Cross-Asset portfolio
construction and allocation
External data sources Process Improvement
Data mining
Fund
manager
Risk Management
An independent team of 9 professionals
Monitoring of positions
Actual team and data as of 31/12/2020. Both may change. Auditing of risks
Find out more at www.ofi-am.fr
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 23Proactive and adjustable construction biases
Reduction of volatility of about 11% vs the index Sectorial breakdown (ICB1)
Fund Benchmark
40%
Volatility 1Y (cum.) Smart Beta Telecommunications 13,7%
3,6%
Volatility 1Y (cum.) EUROSTOXX NR
Consumer Staples 12,6%
5,6%
Health Care 12,0%
30% 8,3%
Utilities 10,1%
6,0%
Technology 9,9%
12,0%
20% 9,9%
Basic Materials
8,2%
Consumer Discretionary 9,2%
17,4%
Industrials 8,6%
17,4%
10%
Energy 6,4%
4,6%
Financials 5,4%
14,7%
0% Real Estate 1,9%
2,2%
2014 2015 2016 2017 2018 2019 2020
Source: OFI Asset Management, figures as of end-December 2020 Source: OFI Asset Management, figures as of end-March 2021
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 243 high performance factors
Analysis of contributions of 3 factors
Performances of the 3 factors based on market events
ERC EW SRI
SRI ERC EQUAL TOTAL
35% WEIGHTING SMART BETA
STRATEGY
30%
Subprime crisis + +++ -- ++
DEC. 2007 – MAR. 2009 +7.1% vs EuroStoxx
25%
Economic recovery + -- +++ ++
20% MAR. 2009 – FEB.. 2010 +7.6% vs EuroStoxx
15% Sovereign debt crisis -
- + -
FEB. 2011 – SEPT. 2011 -0.6% vs EuroStoxx
10%
China, 2015 + + + +
AUG. 2015 – FEB. 2016 +1.0% vs EuroStoxx
5%
Post Brexit / Trump + - + +
0% JUL. 2016 – JUL. 2017 +0.9% vs EuroStoxx
-5% COVID CRISIS +
07/2014 07/2016 07/2018 07/2020
+ - +
MAR. 2020 – NOW +5,3% vs EuroStoxx
Sources: OFI AM, FactSet, figures as of 12 April 2021 Source: OFI Asset Management
The figures provided result from back-testing conducted by OFI Asset Management teams based on assumptions that we can provide upon request.
The simulated performances presented are gross of management fees – Past performances are not a reliable indicator of future performances.
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 25OFI ASSET MANAGEMENT - 22 RUE VERNIER. 75017 PARIS - TEL. : + 33 (0) 1 40 68 17 17 - www.ofi-am.fr
Portfolio-management company - Public limited company (Société anonyme) with a Board of Directors and share capital of 42.000.000 euros
Registered in the Paris Trade and Companies Register under number 384 940 342 - Accreditation no. GP 92-12.
This promotional document is intended solely for professional clients as defined by MiFID. It may only be used for the
purpose for which it has been designed and cannot be copied. circulated or disclosed to third parties. in whole or in part.
without the prior written consent of OFI Asset Management. None of the information contained in this document should be
construed as being legally binding. This document has been produced for information only. It is a presentation designed and
produced by OFI Asset Management based on sources that it considers to be reliable. The links to websites managed by
third parties contained in this document have been provided solely for information purposes. OFI Asset Management in no
way guarantees the content. quality or comprehensiveness of such websites and cannot therefore be held responsible for
them. The presence of a link to a third-party website does not mean that OFI Asset Management has signed collaboration
agreements with the third party or that OFI Asset Management approves of the information published on such websites. The
forecasts referred to may change and do not constitute a commitment or guarantee. The fund(s) referred to in the document
has/have been approved by the AMF or the CSSF and is/are authorised for marketing in France and possibly in other
countries where this is permitted by law. Prior to any investment. it is advisable to ensure that the investor is legally
authorised to subscribe to the fund. The KIID (Key Investor Information Document) must be provided to subscribers prior to
subscription. The operating rules. the risk/return profile and the fees relating to investment in a fund are described in the
latter’s KIID. The KIID and the most recent periodic documents are available on request from OFI Asset Management. The
performance figures given refer to previous years. Past performances are not a reliable indicator of future performances. OFI
Asset Management reserves the right to amend the information presented in this document at any time and without notice.
OFI Asset Management cannot be held responsible for any decision taken. whether or not it is based on information
contained in this document. or for any use of the information by a third party. If a fund is subject to special tax treatment. note
that this treatment depends on each client’s individual circumstances and that it may subsequently be changed.
May 2021 - OFI Financial Investment - RS Euro Equity Smart Beta 26You can also read
