STRUCTURED FUNDS

OUR SOLUTIONS

Formula Funds

Our approach

Lyxor formula-based funds are characterised by the fact that we guarantee the capital and the return delivered on maturity as a function of your risk/return profile. This guarantee takes the form of a formula.

In terms of allocation, a portion of your initial capital is invested in risk-free assets, in order to deliver the level of capital guarantee promised at maturity, and the other portion is invested in optional assets.

The optional assets can be geared to a various underlyings giving you exposure to a wide range of market scenarios.

They are managed by a counterparty bank, which will pay out the contractually agreed return at maturity based on the scenario realised.

Your formula-based fund has two components:

  • A component in risk-free assets: intended to guarantee the invested capital at maturity or to guarantee regular revenue.
    The initial allocation depends on the level of interest rates.
    In the case of a formula-based fund guaranteed at maturity, it gradually evolves to reach 100% of the initial NAV.
  • A component in optional assets: This component enables you to benefit from exposure to a chosen underlying and to execute the strategy best suited to expected market scenarios. The initial allocation in optional asset corresponds to the balance (Initial LV – Initial allocation in risk-free assets.
Structuring a formula-based fund

Two types of formula based funds

Our structured asset management tailor-made solutions enable you to define an investment strategy tailored to your specific needs. You are responsible for setting the tone of your investments and defining the market in which you wish to invest. To this end, Lyxor offers an extensive universe of possible strategies as well as the largest selection of formula-based funds in the market:

  • Directional funds

Their performance is directly linked to the upside potential of the underlying. These products perform in a bull market.

  • Funds with downside protection features or mixed funds

Our financial engineers have perfected a range of funds with downside protection features so that they generate a return in different market scenarios (including in flat or declining markets).
The performance potential of these products, fixed in advance, is tied to one or more conditions. Example: you could double your capital invested if none of the equities in your underlying portfolio loses more than 60% (compared with its original level) during the investment period.

These products offer investors the advantage of knowing from the outset what the level of performance will be and the reassurance that this performance will be achieved in the vast majority of market scenarios (especially in the case of erratic markets with no perceptible trends). In exchange, however, investors have to waive their entitlement to any gains achieved in excess of the predefined return target.

Some of our funds combine both of these characteristics: the commitment is coupled with the possibility of a directional gain that opens the door to participating in the performance of a bearer share market.


To find out more about our structured funds:

Consult our structuring example or Contact us

Why choose Lyxor formula-based management?

    Competitive advantages enabling us to offer you:
  • A source of additional diversification thanks to the range of market scenarios hedged by the proposed strategies
  • Structuring expertise that allows us to optimise accounting and legal constraints in line with the specific needs of investors and distributors around the globe
  • A high degree of flexibility enabling us to adapt to very specific risk/return profiles by integrating the constraints faced by each individual investor or distributor from the outset. Tailor-made repayment profile
  • Innovative methods and underlyings developed through ongoing research on the part of our quantitative engineers and our independent research department
  • A possible source of protection against the potential volatility of risky assets
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