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Examples of structured funds

Formula-based fund: example of a fund with a 100% capital guarantee on maturity

* Assuming a risk-free rate of 4%.

Cushion funds

Example of a fund with a 100% exposure on launch

Fund details
  • Term: 10 years
  • Risk-bearing asset: DJ Euro Stoxx 50 with 100% exposure at launch
  • Guarantee: the investor is guaranteed to receive 100% of the highest NAV observed over the life of the fund.
Structural factors
  • Multiplying coefficient: 3
  • Tolerance threshold: +/-5%
  • Risk-free rate*: +/-4%

Lyxor provides investors with an exposure to financial markets through an indexation based on a “ VolCap” mechanism as following:

The VolCap mechanism consists in a systematic management of the SGAM AI BRIC Index exposure to the Basket of funds. The allocation rules are defined in order to decrease or increase the proportion of Risky Asset (the basket of funds) within the SGAM AI BRIC Index, given its volatility level.

The VolCap mechanism is a value-added process. Most of the time, it benefits from the historical negative correlation between realized volatility and performance of the equity asset class.