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Quantitative Investments
Robust organisation and Investment Principles
Lyxor’s quantitative management activities are organised by expertise. This structure combines autonomy and responsibility of portfolio managers in each area of expertise with robust transversal governance, discipline and R&D.
The culture of risk management
Advanced risk diversification methods ensure that portfolios are not simple aggregations of bets. Models are designed to eliminate subjectivity and emotions from investment decisions (but not to replace fund managers). We run no black boxes: each mandate has to follow clear and transparent investment policies, and comply with pre-defined risk budgets. As a rule, risk management stands at the heart of our investment expertise. Our products benefit both from the robustness of extensively-tested quantitative processes and the strength of Lyxor’s risk control infrastructure (cf. Organisation chart).
Research driven expertise
While the portfolio managers are responsible for developing the overall investment process, they rely on the R&D team for statistical studies including on econometrics, risk allocation and other indicators, and to inform on portfolio management and portfolio back-testing. Each investment process therefore benefits from the combined expertise and knowledge base of Lyxor’s R&D professionals. In-house presentations and written publications ensure that the best of Lyxor’s R&D expertise is regularly circulated firm-wide.
Sound governance
Each portfolio management team is responsible and accountable for their specific investment process. Broad oversight is exercised by a management committee which meets on a monthly basis and comprises Lyxor’s Head of Quantitative Management, the head of R&D and the head of the relevant investment line, as well as the portfolio management teams. This committee manages the strategic development of the fund range in accordance with the relevant management mandates. The management committee may meet more frequently if necessary.
These sound principles are upheld by a robust organisation:
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Our strengths
- A unique combination of individual responsibility and robust cross-functional support
- Sound investment principles emphasizing disciplined execution and research-backed processes
- A strong organisation emphasizing discipline, governance and risk control
