Key facts & Figures
$ 11.4 billion Lyxor's Smart Beta solutions represent $11.4bn of Assets. Investors can now access such technology via Lyxor index solutions and ETFs.

  

Lyxor, Experts in Smart Beta


Smart beta has its roots in financial theory and in quantitative fund management. A smart beta asset manager should therefore have a solid research base and expertise in developing quantitative investment and index solutions. Lyxor offers both of these.

Lyxor invest continuously in research, with a focus on riskbased portfolio construction, factor investing and related subjects.

For clients, partnering with Lyxor means direct access to the authors of the smart beta models and the possibility to tailor strategies to meet individual requirements. We operate under an open architecture; managing portfolios based both on carefully selected third party indices and on proprietary index strategies, developed by our quantitative research team.



Equity Smart Beta

Since 2009, Lyxor has developed a range of equity smart beta products including indexes, index funds and ETFs. These products are based on the Equal Risk Contribution (or ERC) portfolio, which has been developed by the Lyxor Research team since 2007.

Risk-Based Indexation, Lyxor White Paper, 2011

The Smart Beta Indexing Puzzle, Lyxor Research, 2013

Fixed Income Smart Beta

In 2012, Lyxor extends its smart beta strategies by including bonds. Based on risk budgeting techniques and a proprietary model to measure the credit risk of a bond portfolio, the aim of these fixed-income smart beta products is to correct the several bias of debt-weighted indexes.

Managing Sovereign Credit Risk in Bond Portfolios, SSRN, 2011

Managing Risk Exposures using the Risk Parity Approach, Lyxor Research, 2012

Smart Beta Broader Than You Think

By François Millet

Smart beta doesn’t just mean indexing. The concept has its roots in financial theory and is an evolution of quantitative fund management, a discipline practiced for decades. Recent years, however, have seen a democratisation of smart beta via transparent, low-cost mutual funds and ETFs. In this Expert Opinion, François Millet, Product Line Manager for ETFs and Indexing at Lyxor Asset Management, explains the concept and why it’s growing in importance.

Expert Opinion

Combining Active and Passive Managements in a Portfolio

By Nicolas Gaussel and Arnaud Lllinas

In recent years, long-held ideas on portfolio construction have been called into question. Investors can now choose from a range of “smart beta” strategies, offering exposure to market risk premia in a systematic, transparent fashion. Where does the dividing line between active and passive fund management now lie? What is the likely future role of active managers? And as indices evolve, how should standard, capitalisation-weighted benchmarks be used? In this Expert Opinion, Nicolas Gaussel, Chief Investment Officer at Lyxor Asset Management and Arnaud Llinas, Lyxor’s Head of ETFs and Indexing, share their views on these important questions.

Expert Opinion

Risk Factor Investing Explained

By Thierry Roncalli

Risk factor investing is growing in popularity, but there’s a risk of getting lost in the factor “zoo”. In this Expert Opinion Thierry Roncalli, Head of Quantitative Research at Lyxor Asset Management, explains the concept of risk factors and distinguishes between facts and commonly held fictions regarding factor investing.

Expert Opinion

Combining Factors in a Portfolio

By François Millet and Thierry Roncalli

There’s rapidly growing interest in constructing equity portfolios by risk factors, rather than by individual geographical markets and sectors. But how should factors be combined? François Millet, Product Line Manager for ETFs and Indexing at Lyxor Asset Management and Thierry Roncalli, Head of Quantitative Research, explore the origins of factor investing and argue that a dynamic tactical allocation approach using factors promises attractive risk-adjusted returns.

Expert Opinion

Active Funds vs. Benchmark – Performance Comparison

By Marlène Hassine

To contribute to the ongoing debate on active vs. passive investing, this 10-year statistical study aims to identify the best investment opportunities between active funds and their respective benchmark, using a sample of 15 selected universes both in the fixed income and equity space. These 15 universes represent the universes with the highest AuM for ETFs. The study is based on Morningstar data from open-ended funds distributed in Europe covering a 10 year period and will be updated on a yearly basis.

Complete document

How can investors enhance return from their portfolio?

By Marlène Hassine and Guillaume Lasserre

This new environment obviously calls for new forms of asset allocation in order to generate performance. In addition, significant recent developments in financial theory allow for better, more specific answers to investors’ expectations. As a matter of fact, with smart beta, investors have a bigger, fuller, and more diversified tool box from which they can choose when making investment decisions. Marlène Hassine (Head of Lyxor ETF Research) and Guillaume Lasserre (Head of

Active Investment Strategies), put smart beta under the microscope and explain why it now holds a preferential place in investors’ portfolios.

Expert opinion

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