Ossiam has listed a risk-weighted smart beta commodity exchange-traded fund (ETFs) on the London Stock Exchange, the Borsa Italiana, NYSE Euronext Paris and Xetra in Germany.
The Ossiam Risk Weighted Enhanced Commodity ex Grains TR Ucits ETF aims to provide investors with a systematic long-only exposure to a diversified basket of 20 commodities futures contracts, excluding grains, with reduced volatility.
Calculated and published intraday by S&P, the underlying investment is the Risk-Weighted Enhanced Commodity Ex-Grains Index.
Its investment process enables allocation between different commodities futures contracts according to a risk-weighted scheme. The index is rebalanced on a monthly basis, with each commodity future contract weighted in inverse proportion to its realised volatility.
Ossiam, an affiliate of Natixis Global Asset Management, says this approach controls risk by allocating more weight to commodities futures contracts that have the lowest volatility.
The ETF has a total expense ratio of 45 basis points and is swap-based.
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