BNP PARIBAS EASY RANGE

Transcription

1 BNP PARIBAS EASY RANGE ISABELLE BOURCIER PARIS, 2 JUNE 2017 Marketing communication. For professional investors

2 BNP Paribas Easy in a nutshell Size Expertise Coverage 17 billion* 17 billion in assets under management in index solutions 10 portfolio managers 10 investment professionals dedicated to index portfolios with an average of 15 years of experience 62* ETFs An ETF range covering all geographical zones and themes as well as smart beta * Source: THEAM as of 31 March

3 A long experience in index management S i z e Source: THEAM as of 31 March For illustration purposes only 3

4 An expertise for tailor-made solutions (1/2) E x p e r t i s e Our strengths Tailor-made solutions and capacity to implement specific exclusion lists Rigorous risk monitoring and management policy Open architecture - disciplined tender-offer based process for swaps in synthetic replications Innovation capacity one of the ETF pioneer providers on commodities, listed real estate and low-carbon in Europe 4

5 An expertise for tailor-made solutions (2/2) E x p e r t i s e Our offering Different index management solutions adapted to clients specific needs open-ended mutual funds, ETFs, mandates and dedicated funds Advisory services provided to institutional clients: index construction/ selection, transition management, portfolio management, regulatory infrastructure, etc. A complete range of replication methods physical (pure or optimised) or synthetic replication A responsible asset manager voting at general shareholder meetings Since 2014, THEAM replicates MSCI indices excluding controversial weapons in its open-ended index fund range 5

6 A diversified range C o v e r a g e Essentials Themes Smart Beta A competitive range replicating mainstream indices EuroSTOXX 50, S&P 500 A thematic offer where we pioneered EPRA* (developed Europe & eurozone capped), low carbon Allocations to single risk factors: low volatility, quality, momentum and value The fastest-growing segment of the ETF industry * European Public Real Estate Association 6

7 BNP Paribas Easy S&P 500 UCITS ETF 8 years of track record Regular outperformance of the S&P 500 NTR index Replication methodology: synthetic Listed on Euronext Paris (ESE FP, ESD FP) and Xetra (ESEE GR) ISIN: FR (Acc EUR) - FR (Acc USD) - FR (Acc EUR H) Tracking error: (1) 0.03% OCR: (2) 0.20% AUM: (3) EUR 1,909 million Tracking Difference award from l AGEFI in 2017 Source BNP Paribas as of 30 April 2017 Performance in USD YTD BNP PARIBAS EASY S&P 500 UCITS ETF (FR ) 15.49% 31.25% 13.67% 2.01% 10.95% 7.20% S&P 500 NTR USD (SPTR500N) 15.22% 31.02% 13.45% 1.70% 10.18% 6.96% Tracking difference 0.27% 0.23% 0.22% 0.31% 0.77% 0.24% Performance net of fees. This is for general information only and should not be used as a basis for making any specific investment, business or commercial decisions. Any economic and market trends, prediction, projection or forecast is not necessarily indicative of the future or likely performance of the funds. Past performances or achievement is not indicative of current or future performance. Source: BNPP IP, as of 30 April 2017 (1) One-year rolling tracking error as of 30 April 2017; (2) ongoing charges ratio as of 30 April 2017; (3) assets under management as of 30 April

8 BNP Paribas Easy Low Carbon 100 Europe UCITS ETF The Low Carbon 100 Europe is the first index based on scenarios intending to limit the global warming to 2 degrees Centigrade The Carbon 4 methodology allows for a clearer appreciation of each company s carbon impact 50% lower carbon emissions compared to the selection universe Replication methodology: physical Tracking error: (1) 0.13% Listed on Euronext Paris (ECN FP) and Xetra (LCEU GR) ISIN: FR (Acc) OCR: (2) 0.60% AUM (3) : EUR 56 million Innovation award from l AGEFI in 2016 New methodology since 18 Dec 2015 Source : BNP Paribas as of 30 April 2017 Performance in EUR YTD BNP PARIBAS EASY LOW CARBON 100 EUROPE UCITS ETF 15.98% 23.51% 7.18% 10.10% -1.23% 9.58% Low Carbon 100 Europe NTR index (LC1NR) 16.42% 23.72% 7.42% 10.44% -0.90% 9.82% Tracking difference -0.44% -0.21% -0.24% -0.34% -0.33% -0.24% Source : BNP Paribas as of 30 April 2017 Performance net of fees. This is for general information only and should not be used as a basis for making any specific investment, business or commercial decisions. Any economic and market trend, prediction, projection or forecast is not necessarily indicative of the future or likely performance of the funds. Past performances or achievement is not indicative of current or future performance. Source: BNPP IP, as of 30 April 2017 (1) one-year rolling tracking error as of 30/04/2017; (2) ongoing charges ratio as of 30/04/2017; (3) assets under management as of 30/04/2017 8

9 BNP Paribas Easy Smart Beta ETFs ETF share class name ISIN Methodology AUM (1) (EUR million) OCR (2) currency BNP Paribas Easy Low Vol Europe UCITS ETF LU Synthetic % EUR BNP Paribas Easy Low Vol US UCITS ETF LU Synthetic % EUR* BNP Paribas Easy Momentum Europe UCITS ETF LU Synthetic % EUR BNP Paribas Easy Quality Europe UCITS ETF LU Synthetic % EUR BNP Paribas Easy Value Europe UCITS ETF LU Synthetic % EUR (1) assets under management as of 30/04/2017; (2) ongoing charges ratio as of 30/04/2017. Source: BNPP IP, as of 30/04/2017. This is for general information only and should not be used as a basis for making any specific investment, business or commercial decisions. Any economic and market trends, prediction, projection or forecast is not necessarily indicative of the future or likely performance of the funds. *Investors are exposed to the currency risk between the trading currency and the currency of the underlying index. 9

10 BNP Paribas Easy Smart Beta ETFs THE DESCRIPTORS SELECTED FOR EACH FACTOR 3-year volatility 12-month minus 1 month and removing the impact of the market ( alpha momentum ) Analysts earnings per share (EPS) revisions (upwards over the last 12 months based on IBES* consensus figures) Free cash flow momentum Return on equity (ROE) Gross profitability-to-book value Free cash flow to total assets Accruals to total assets (difference between accounting earnings and cash flows) Earnings yield (based on IBES* consensus figures) Dividends + share buyback yield Operating cash flow to enterprise value Free cash flow yield (FCF) * Institutional Brokers Estimate System; this gathers and compiles the different estimates by stock analysts on the future earnings of publicly traded companies 10

11 Modelling core equity risk factors PORTFOLIO CONSTRUCTION Stocks from the eligible investment universe receive a composite factor score* function of individual stock ranking within each sector ICB (Industry Classification Benchmark) industries Final weights of stocks** in factor portfolios are determined using an optimisation process that maximises the weighted aggregated composite under the following constraints: 0 < weight per stock < 2% Sum of weights = 100% Turnover = 8% (one way) on each rebalancing*** Sector equilibrium target Expected volatility of the Jensen Alpha**** < 4% Factor portfolios are rebalanced monthly 11

12 BNP PARIBAS EQUITY FACTOR INDICES OVERVIEW EUROPE 12

13 BNP PARIBAS EQUITY FACTOR INDICES OVERVIEW US 13

14 Simulated performance of our equity risk factors 14

15 BNP Paribas Easy Equity Low Vol Europe UCITS ETF Strategy based on low-volatility investing, grounded in the findings of quantitative finance, seeks to exploit the long-term higher risk-adjusted returns generated by low-risk stocks A sector approach to diversify the generation of potential returns across all sectors The investment process is based on the historical volatility of stocks over the past three years Listed on Euronext Paris (EVOE FP) - Bloomberg code of the index: BNPIFLVE ISIN: LU (Acc) - LU (Dis) Inception date: 7 June 2016 OCR: (1) 0.30% Performance in EUR (simulations) YTD Strategy 2.31% 17.26% 15.71% 12.98% 13.80% 3.12% 7.36% STOXX Europe 600 NTR (SXXR) -8.61% % 20.79% 7.20% 9.60% 1.73% 8.24% Tracking difference 10.92% -0.92% -5.08% 5.78% 4.20% 1.39% -0.88% Performance simulations are total return and in EUR, net of 0.30% fees p.a. Past or simulated performance or achievement is not indicative of current or future performance. Comparative index: STOXX Europe 600, Bloomberg code SXXR index. Comparative index for illustration purpose only. This is for general information only and should not be used as a basis for making any specific investment, business or commercial decisions. Source: BNPP IP, Bloomberg as of 30/04/2017. (1) ongoing charges ratio as of 30/04/2017 Source: BNP Paribas. Composition as of 30/04/2017. Sectors by ICB Supersector 15

16 BNP Paribas Easy Equity Low Vol US UCITS ETF Strategy based on low-volatility investing, grounded in the findings of quantitative finance, seeks to exploit the long-term higher risk-adjusted returns generated by low-risk stocks A sector approach to diversify the generation of potential returns across all sectors The investment process is based on the historical volatility of the stocks over the past three years Listed in euro* on Euronext Paris (EVOU FP) Bloomberg code of the index: BNPIFLVU ISIN: LU (Acc) - LU (Dis) Inception date: 7 June 2016 OCR: (1) 0.30% Source : BNP Paribas. Composition as of 30/04/2017. Sectors by ICB Supersector Performance in USD (simulations) YTD Strategy 9.31% 9.56% 22.94% 15.20% 2.46% 13.81% 5.07% S&P 500 NTR (SPTR500N) 1.47% 15.22% 31.55% 12.99% 0.75% 11.23% 6.96% Tracking difference 7.84% -5.66% -8.61% 2.21% 1.71% 2.58% -1.89% Performance simulations are total return and in USD, net of 0.30% fees p.a. Past or simulated performance or achievement is not indicative of current or future performance. Comparative index: S&P 500 Net Total Return index, Bloomberg code SPTR500N Index. Comparative index for illustration purpose only. This is for general information only and should not be used as a basis for making any specific investment, business or commercial decisions. *Investors are exposed to the currency risk between the trading currency and the currency of the underlying index (USD). NAV for this fund is in euro. Source: BNPP IP, Bloomberg as of 30/04/2017. (1) ongoing charges ratio as of 30/04/

17 BNP Paribas Easy Equity Momentum Europe UCITS ETF Strategy based on financial and academic research on the trend-following indicators (fundamentals and market indicators) A sector approach to diversify the generation of potential returns across all sectors The investment process is based on the following three indicators: 12-month minus 1 month and removing the impact of the market ( alpha momentum ) Balance of upward and downward earnings revisions Standardised unexpected free cash flow Listed on Euronext Paris (EMOM FP) Bloomberg code of the index: BNPIFME ISIN: LU (Acc) - LU (Dis) Inception date: 7 June 2016 OCR: (1) 0.30% Performance in EUR (simulations) YTD Strategy -9.79% 22.72% 22.84% 9.63% 20.94% 1.11% 10.97% STOXX Europe 600 NTR (SXXR) -8.61% % 20.79% 7.20% 9.60% 1.73% 8.24% Tracking difference -1.18% 4.54% 2.05% 2.43% 11.34% -0.62% 2.73% Performance simulations are total return and in EUR, net of 0.30% fees p.a. Past or simulated performance or achievement is not indicative of current or future performance. Comparative index: STOXX Europe 600, Bloomberg code SXXR Index. Comparative index for illustration purpose only. This is for general information only and should not be used as a basis for making any specific investment, business or commercial decisions. Source: BNPP IP, Bloomberg as of 30/04/2017. (1) ongoing charges ratio as of 30/04/2017 Source : BNP Paribas. Composition as of 30/04/2017. Sectors by ICB Supersector 17

18 BNP Paribas Easy Equity Quality Europe UCITS ETF Strategy based on financial and academic research on the profitability prospects of a company, based on fundamentals A sector approach to diversify the generation of potential returns across all sectors The investment process is based on the following four indicators: Return on equity (ROE) Free cash flow to total assets Gross profitability to book value Accruals Listed on Euronext Paris (EQUA FP) Bloomberg code of the index: BNPIFQE ISIN: LU (Acc) - LU (Dis) Inception date: 7 June 2016 OCR: (1) 0.30% Performance in EUR (simulations) YTD Strategy -6.20% 24.39% 24.98% 13.73% 21.78% 0.33% 9.38% STOXX Europe 600 NTR (SXXR) -8.61% % 20.79% 7.20% 9.60% 1.73% 8.24% Tracking difference 2.41% 6.21% 4.19% 6.53% 12.18% -1.40% 1.14% Performance simulations are total return and in EUR, net of 0.30% fees p.a. Past or simulated performance or achievement is not indicative of current or future performance. Comparative index: STOXX Europe 600, Bloomberg code SXXR Index. Comparative index for illustration purpose only. This is for general information only and should not be used as a basis for making any specific investment, business or commercial decisions. Source: BNPP IP, Bloomberg as of 30/04/2017. (1) ongoing charges ratio as of 30/04/2017 Source: BNP Paribas. Composition as of 30/04/2017. Sectors by ICB Supersector 18

19 BNP Paribas Easy Equity Value Europe UCITS ETF Strategy based on financial and academic research that explores fundamental undervalued companies A sector approach to diversify the generation of potential returns across all sectors The investment process is based on the following four indicators: Dividends yield corrected for share repurchase Earnings yield Net cash flow from operations to enterprise value Free cash flow to market cap Listed on Euronext Paris (EVAE FP) Bloomberg code of the index: BNPIFVE ISIN: LU (Acc) - LU (Dis) Inception date: 7 June 2016 OCR: (1) 0.30% Performance in EUR (simulations) YTD Strategy % 13.53% 29.59% 12.58% 7.38% 7.40% 10.54% STOXX Europe 600 NTR (SXXR) -8.61% % 20.79% 7.20% 9.60% 1.73% 8.24% Tracking difference -8.99% -4.65% 8.8% 5.38% -2.22% 5.67% 2.30% Performance simulations are total return and in EUR, net of 0.30% fees p.a. Past or simulated performance or achievement is not indicative of current or future performance. Comparative index: STOXX Europe 600, Bloomberg code SXXR IndexComparative index for illustration purpose only. This is for general information only and should not be used as a basis for making any specific investment, business or commercial decisions. Source : BNPP IP, Bloomberg as of 30/04/2017. (1) ongoing charges ratio as of 30/04/2017 Source: BNP Paribas. Composition as of 30/04/2017. Sectors by ICB Supersector 19

20 Summary table of ETFs Name ISIN fund inception date Currency SRRI (1) entry fees (2) exit fees (2) OCR (3) BNP Paribas Easy S&P 500 UCITS ETF EUR FR /06/2008 EUR % 7.00% 0.20% BNP Paribas Easy Low Carbon 100 Europe UCITS ETF FR /10/2008 EUR % 7.00% 0.60% BNP Paribas Easy Equity Low Vol Europe UCITS ETF LU /06/2016 EUR % 3.00% 0.30% BNP Paribas Easy Equity Low Vol US UCITS ETF LU /06/2016 EUR % 3.00% 0.30% BNP Paribas Easy Equity Momentum Europe UCITS ETF LU /06/2016 EUR % 3.00% 0.30% BNP Paribas Easy Equity Quality Europe UCITS ETF LU /06/2016 EUR % 3.00% 0.30% BNP Paribas Easy Equity Value Europe UCITS ETF LU /06/2016 EUR % 3.00% 0.30% Source: THEAM as of 31/03/2017. The higher the risk, the longer the recommended investment horizon. BNP Paribas Easy is a UCITS V compliant sicav registered under Luxembourg law. (1) The synthetic risk indicator is determined on a scale from 1 to 7 (7 being the highest risk level). It is subject to a periodical computation and can consequently change over time. Please consult the KIID regularly. (2) The entry and exit fees shown are maximum figures. In some cases, you might pay less. You can find this out from your financial adviser. Not applicable on the secondary market. (3) Ongoing charges ratio as of 31/03/

21 Investment risks The value of investments and the income they generate may go down as well as up and it is possible that investors will not recover their initial outlay. Interest rate risk: The value of an investment may be affected by interest rate fluctuations. Interest rates may be influenced by several elements or events, such as monetary policy, the discount rate, inflation, etc. Credit risk: This is the risk that may derive from the rating downgrade of a bond issuer to which the sub funds are exposed, which may therefore cause the value of the investments to go down. Sub funds investing in highyield bonds present a higher than average risk due to the greater fluctuation of their currency or the quality of the issuer. Counterparty risk: This risk relates to the quality of the counterparty with whom the management company does business, in particular for the settlement/delivery of financial instruments or the conclusion of financial forward contracts. The risk reflects the counterparty s ability to honour its commitments (payment, delivery, repayment, etc.). Liquidity risk: There is a risk that investments made in the sub funds may become illiquid due to an overrestricted market (often reflected by a very broad bid-ask spread or by substantial price movements), or if their rating declines or their economic situation deteriorates. Derivatives risk: the use of derivatives by the funds includes various risks. Those risks are (without limitation), the lack of secondary market liquidity under circumstances, valuations risks, the lack of standardization and regulation, the risk of leverage, the risk of counterparty. Risk linked to equity markets: the risks associated with investments in equities (and similar instruments) include significant fluctuations in prices, negative information about the issuer or market and the subordination of a company s equities to its bonds. The value of investments and the income they generate may go down as well as up and it is possible that investors will not recover their initial outlay. For a Complete description and definition of risks, please consult the last available prospectus and KIIDs of the funds 21

22 Disclaimer This material is issued and has been prepared by THEAM* a member of BNP PARIBAS ASSET MANAGEMENT (BNPP AM)**. This material is produced for information purposes only and does not constitute: 1. an offer to buy nor a solicitation to sell, nor shall it form the basis of or be relied upon in connection with any contract or commitment whatsoever or 2. any investment advice. This material makes reference to certain financial instruments (the Financial Instrument(s) ) authorised and regulated in its/their jurisdiction(s) of incorporation. No action has been taken which would permit the public offering of the Financial Instrument(s) in any other jurisdiction, except as indicated in the most recent prospectus, offering document or any other information material, as applicable, of the relevant Financial Instrument(s) where such action would be required, in particular, in the United States, to US persons (as such term is defined in Regulation S of the United States Securities Act of 1933). Prior to any subscription in a country in which such Financial Instrument(s) is/are registered, investors should verify any legal constraints or restrictions there may be in connection with the subscription, purchase, possession or sale of the Financial Instrument(s). Investors considering subscribing for the Financial Instrument(s) should read carefully the most recent prospectus, offering document or other information material and consult the Financial Instrument(s) most recent financial reports. The prospectus, offering document or other information of the Financial Instrument(s) are available from your local BNPP IP correspondents, if any, or from the entities marketing the Financial Instrument(s). Opinions included in this material constitute the judgment of THEAM at the time specified and may be subject to change without notice. THEAM is not obliged to update or alter the information or opinions contained within this material. Investors should consult their own legal and tax advisors in respect of legal, accounting, domicile and tax advice prior to investing in the Financial Instrument(s) in order to make an independent determination of the suitability and consequences of an investment therein, if permitted. Please note that different types of investments, if contained within this material, involve varying degrees of risk and there can be no assurance that any specific investment may either be suitable, appropriate or profitable for a client or prospective client s investment portfolio. Given the economic and market risks, there can be no assurance that the Financial Instrument(s) will achieve its/their investment objectives. Returns may be affected by, amongst other things, investment strategies or objectives of the Financial Instrument(s) and material market and economic conditions, including interest rates, market terms and general market conditions. The different strategies applied to the Financial Instruments may have a significant effect on the results portrayed in this material. Past performance is not a guide to future performance and the value of the investments in Financial Instrument(s) may go down as well as up. Investors may not get back the amount they originally invested. The performance data, as applicable, reflected in this material, do not take into account the commissions, costs incurred on the issue and redemption and taxes. This document is directed only at person(s) who have professional experience in matters relating to investments ( relevant persons ). Any investment or investment activity to which this document relates is available only to and will be engaged in only with Professional Clients as defined in the rules of the Financial Services Authority. Any person who is not a relevant person should not act or rely on this document or any of its contents. *THEAM is an investment manager registered with the Autorité des marchés financiers in France under number , a simplified joint stock company with a capital of Euros with its registered office at 1, boulevard Haussmann Paris, France, RCS Paris and is member of the Association Française de la Gestion Financière (AFG), a professional body for third-party asset management in France. ** BNP PARIBAS ASSET MANAGEMENT is the global brand name of the BNP Paribas group s asset management services. The individual asset management entities within BNP PARIBAS ASSET MANAGEMENT if specified herein, are specified for information only and do not necessarily carry on business in your jurisdiction. For further information, please contact your locally licensed Investment Partner. Data Source Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results. Morningstar stars rank from 1 to 5, with the top ranking being 5 stars. All Morningstar ratings shown in this document are for classic capitalising shares, as of 30/04/

23 CONTACTS Sales team Sabrina Principi Head of Business Development Italy, Spain and Italian-speaking Switzerland Claus Hecher Head of Business Development Germany, Austria and German-speaking Switzerland Lorraine Sereyjol-Garros Head of Business Development France, Monaco and French-speaking Switzerland Luxembourg Belgium lorraine.sereyjol-garros@bnpparibas.com Martha Sèle Business Development France, Monaco and French-speaking Switzerland Luxembourg Belgium martha.sele@bnpparibas.com Management Isabelle Bourcier Global Head of ETFs & Index Solutions isabelle.bourcier@bnpparibas.com Investment specialist Grégory Guerrand gregory.guerrand@bnpparibas.com Capital markets Hubert Heuclin hubert.heclin@bnpparibas.com 23

24 THANK YOU BNP PARIBAS ASSET MANAGEMENT 14, rue Bergère Paris bnpparibas-am.com