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Quantitative Investments
Expert research
Lyxor's R&D expertise is central to our approach. The team is tasked with helping portfolio managers to consolidate market knowledge and to develop pragmatic solutions inspired by the latest developments in academic or business research.
Lyxor is among the few leading asset managers with an independent R&D team whose thought leadership is internationally recognized in the fields of business and academia. In addition to quarterly research papers, Lyxor's R&D team also regularly publishes in international finance journals (including the Journal of Portfolio Management, the Journal of Banking and Finance and others) and our researchers have developed proprietary asset allocation and quantitative strategy models. With professionals proficient in financial mathematics, statistics and econometrics, Lyxor R&D has developed a number of research programs that have contributed to the development of innovative management approaches.
The synergies between Lyxor's research and portfolio management teams allow for the development of robust and innovative asset management solutions in a number of areas of expertise. Each approach can be used alone or as a building block to be combined with other expertises to develop a comprehensive investment solution.
Our main areas of expertise are summarised below:
Active Diversification
- Solid diversification models, based on risk contributions
- Dynamic allocation, driven by time-varying risk metrics
- Documented in research papers
Downside-risk Control
- Ex-ante risk-budgeting to avoid unwanted risk-taking
- Reactive management of exposures ("flexible management")
- Moving stop-losses and volatility targeting
Momentum / Trend detection
- Quantitative analysis of price dynamics and macro-economic data
- Trend detection through proprietary signals
- Systematic, rules-based implementation
Our strengths
- Research expertise at the core of the management team;
- 15 professionals with doctorate or equivalent degrees in financial mathematics and who are eminent members of the academic and business research community
- Extensive experience in risk management, innovative active diversification techniques and trend following approaches
