Ossiam Europe ESG Machine Learning

Investment rationale

This fund is an actively managed UCITS equity ETF designed to deliver the net total return of a selection of equities listed in Europe while consistently integrating ESG matters. It sits in the equity asset class, carries a risk indicator of 3, and has a recommended holding period of 5 years, which positions it for long-term investors rather than short-term allocation. The intended investors are retail investors able to bear losses up to the amount invested. Its distinct role in a portfolio comes from its European equity exposure combined with ESG integration and a machine-learning-based selection approach, making it a differentiated satellite-style allocation rather than a plain benchmark tracker.

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How the strategy works

The fund’s objective is to deliver the net total return of a selection of European listed equities while consistently integrating environmental, social and governance matters. It is invested for a minimum of 75% in equities or rights issued by companies having their registered office in the European Economic Area, excluding Liechtenstein, and may either gain exposure synthetically through total return swaps or invest directly in all or part of the selected equity securities; other derivatives may also be used on an ancillary basis for hedging and investment purposes. The benchmark is the Solactive Europe 600 Index / Solactive Europe 600 Index NTR, used only for performance and carbon emission comparison purposes, and the portfolio is not constrained by it and may deviate significantly from its constituents. The share class is EUR-denominated, distributes no income because amounts are capitalized/reinvested, the ETF uses physical replication according to the fund data, and the recommended holding period is 5 years.

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Investment philosophy

• The investment universe is European listed equities, with a minimum of 75% invested in equities or rights issued by companies having their registered office in the European Economic Area, excluding Liechtenstein.

• The fund is actively managed and applies an ESG-integrated investment strategy to select and weight equities; the portfolio is not constrained by the Solactive Europe 600 Index and may include securities not in the benchmark.

• Exposure can be obtained either synthetically through total return swaps referencing the selected equity portfolio or through direct investment in all or part of the equity securities selected under the strategy; ancillary derivatives may also be used for hedging and investment purposes.

• The benchmark is the Solactive Europe 600 Index / Solactive Europe 600 Index NTR, used only for performance and carbon-emissions comparison, with monthly rebalancing shown for the index data.

• As of 28.08.2026, the top holdings were Legrand (3.94%), Air Liquide (3.80%), Iberdrola (3.80%), Orange (3.59%), Engie (3.57%), Sampo (2.84%), Kone (2.69%), Deutsche Boerse (2.63%), CaixaBank (2.27%) and Koninklijke Philips (2.19%); sector allocation spanned Consumer Staples, Financials, Health Care, Industrials, Real Estate, Materials, Consumer Discretionary, Energy, Communication, Information Technology and Utilities.

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Distinctive features

The fund combines European equity exposure, ESG integration and a machine-learning-based approach within an actively managed ETF format. Unlike a conventional index ETF, it uses the Solactive Europe 600 Index only as a comparison benchmark and allows significant deviation from benchmark constituents. The structure also allows either direct equity investment or synthetic exposure through total return swaps, which gives implementation flexibility within the stated strategy. The ongoing cost figure is 0.45%, and the fund is listed on SIX Swiss Exchange in EUR under Bloomberg ticker C2MV SW.

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Risks

Risks include market liquidity risk, which can amplify performance variation, and currency risk when the sums paid to the investor are in another currency. Because the strategy may use total return swaps and other derivatives, there is counterparty risk linked to swap counterparties that are first-class financial institutions, and the fund may enter into multiple swap agreements with multiple counterparties. Sustainability risk also applies, and ESG data may be incomplete, inaccurate or unavailable, which can lead to incorrect inclusion or exclusion of securities.

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Asset manager

Ossiam is the management company and manages, administers and distributes the SICAV. Ossiam is a French asset manager authorized by the Autorité des Marchés Financiers under agreement number GP-10000016 and is a subsidiary of Natixis Investment Managers, formerly Natixis Global Asset Management. The fund is a sub-fund of Ossiam Lux SICAV, a Luxembourg UCITS approved by the CSSF. Ossiam’s contact address is 36 rue Brunel, 75017 Paris, France.

2026-08-31