Playing
the push
ETFs and fiscal expansion
This document is for the exclusive use
of investors acting on their own account
and categorised either as “eligible
counterparties” or “professional clients”
within the meaning of markets in financial
instruments directive 2004/39/ce
Index insight
January 2017
Lyxor ETF | ETFs and fiscal expansion
3
Dig into
the indices
Welcome
After years of unconventional monetary policy, global
leaders look set to follow a more familiar path in 2017.
Massive fiscal spending could send us back to the future.
QE kept the bond bears at bay, but supersized and
synchronised fiscal expansion favours equities, even
though we expect more political and policy uncertainty.
Markets have moved sharply, and performed very
differently, since Trump’s victory. So we wanted to create
a document to dig into the indices that matter most as we
progress through 2017, and the best ways to play the push.
How
equity
and
FX have
markets
How equity
and FX
markets
moved have moved since Trump's victory
Reversing Up
Prepare for the Fiscal Push
4
North American Equities 6
European Equities
10
Asian Equities
14
Equity Sectors
18
Inflation-linked Bonds
22
/26
Our product range
30
Know your risks
34
Lyxor International Asset Management (“LIAM”) or its
employees may have or maintain business relationships
with companies covered in its research reports. As a result,
investors should be aware that LIAM and its employees may
have a conflict of interest that could affect the objectivity
of this report. Investors should consider this report as only
a single factor in making their investment decision. Please
see appendix at the end of this report for the analyst(s)
certification(s), important disclosures and disclaimers.
Alternatively, visit our global research disclosure website
www.lyxoretf.com/compliance.
3%
Trending Up
EM
UK
Asia Pac*
JPY
2%
EM FX
1%
Europe
EUR
US
CNY
0%
-1%
-2%
Japan
USD
GBP
Trending Down
-3%
-6%
-1%
Reversing Down
4%
9%
Performance since 8 November
Source: Lyxor IAM. Data as at 18 January 2017. Past performance is no guide to future returns.
Post-Trump performance: US
NASDAQ 100
3%
18 January
Smart Beta
One-month performance to 18 January
4%
RUSSELL 1000
GROWTH
2%
REAL ESTATE
UTILITIES
NASDAQ
MSCI NORTH
Trending Up
Lyxor ETF | ETFs and fiscal expansion
5
Prepare for the
Fiscal Push
Fiscal push extends US cycle, supporting
domestic equities
Fiscal spending, deregulation and
recovery policies favour certain sectors
►►
S&P 500
►►
MSCI World Energy
►►
Russell 2000
►►
MSCI World Information Technology
►►
MSCI World Materials
►►
MSCI World Health Care
►►
MSCI World Financials
Growth supports cyclical companies
►►
Russell 1000 Value
Spending and recovery policies filter through
►►
Nasdaq 100
►►
FTSE EPRA/NAREIT United States
►►
S&P/TSX 60 (Canada)
North American
equities
Equity sectors
MSCI Europe
►►
Euro Stoxx 50
European equities
Growth kicks in
MSCI EMU Value
Fiscal spending filters through
MSCI EMU Small-Cap
►►
FTSE EPRA/NAREIT Developed Europe
EM and Asian assets have been pricing
Trump negatives; opportunities could arise
►►
MSCI AC Asia Pacific Ex Japan
►►
MSCI AC Asia Ex Japan
►►
MSCI Pacific Ex Japan
USD strengthens, yen weakens
►►
Japan (TOPIX) (DR) EUR Daily Hedged
►►
JPX-Nikkei 400 (DR) EUR Daily Hedged
Local fiscal initiatives support growth
►►
Australia (S&P/ASX 200)
►►
CSI 300 A-Share
Source: Lyxor ETF & Cross Asset Research Teams, January 2017
c
key alls
►►
US inflation rises faster than expected
Inflation-linked
bonds
Ou
r
►►
p
the us
h
►►
Playing
USD firms and the euro weakens. ECB urges
euro governments to launch their own fiscal push
►
US TIPS (DR)
►
US$ 10Y Inflation Expectations
The US passes the reflation baton onto the eurozone
►
EUR 2-10Y Inflation Expectations
►
EuroMTS Inflation Linked Investment Grade (DR)
Sterling weakens on Brexit, UK inflation rises
►
FTSE Actuaries UK Gilts Inflation-Linked (DR)
Growth supports cyclical companies
Asian equities
Smart Beta
►
J.P. Morgan Europe Value Factor Index
►
SG Global Value Beta
Policies could disappoint, causing
a severe market reaction
►
FTSE USA Minimum Variance
►
FTSE Developed Europe Minimum Variance
►
FTSE All World Minimum Variance
►
FTSE Emerging Minimum Variance
Lyxor ETF | ETFs and fiscal expansion
North
American
equities
7
Follow
the Leader
US equities have risen furthest and fastest since Trump’s
victory. His fiscal push should extend the ageing cycle to
around end 2018, early 2019. Stronger growth, tax cuts
and overseas cash repatriation all have a part to play.
Just how high broad indices can climb is unclear.
Other areas may have more room to grow, should
campaign promises be kept. Expect a bumpy ride if not.
US equity indices and their sector exposures
0%
20%
40%
60%
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Real Estate
Telecommunication Services
Utilities
Nasdaq 100
Russell 2000
S&P 500
Russell 1000 Value
Dow Jones Industrial Average
All data: Lyxor, Bloomberg. January 2017.
Key points
►►
Diversification or concentration – the S&P 500 offers broad market-weighted exposures,
while the DJIA is a much narrower, price weighted index
►►
Size – should you believe the push will lift small-caps, consider the Russell 2000.
According to Factset, companies in this index make around 80% of their sales
domestically – the highest proportion among the major indices
►►
Financials – should Trump slash regulation as promised, you may want to consider the
Russell 1000 Value or Russell 2000 indices given their more substantial exposures
►►
Information technology – the NASDAQ 100 index remains a key way to play this theme
►►
Material benefits – Canada’s TSX index may benefit from its near neighbour’s economic
acceleration, especially given its high weightings towards Financials and Energy
Lyxor ETF | ETFs and fiscal expansion
9
The numbers
that matter
Index
Capitalisation*
Top Sectors
500
73.8% $30bn+
21.4% $10-30bn
4.2% $5-10bn
20.9% IT
16.3% Financials
13.4% Health Care
11.2%
100% $30bn+
20.1% Financials
19.7% Industrials
14.9% Consumer Services
15.6%
43.2% $2-5bn
31.3% $1-2bn
22.7% $150m-1bn
28.0% Financials
17.9% Industrials
12.5% Technology
20.8%
64.2% $30bn+
21.2% $10-30bn
9.1% $5-10bn
31.2% Financials
13.7%
Oil & Gas
Asia Pac*
10.1% Industrials
68.8% $30bn+
19.1% $10-30bn
8.8% $5-10bn
24.9% Technology
22.1% Consumer Services
14.8% Health Care
DJIA
30
How equity and FX markets have moved
Russell 2000
1976
Reversing Up
One-month performance to 18 January
Russell
3% 1000 Value
EM
698
JPY
2%
Russell 1000 Growth
608
EM FX
1%
EUR
0% 100
Nasdaq
91.9%
76.8%
Priceweighted
92.5%
Market-cap
UK 16.4%
99.4%
6.6%
Value
96.8%
132
54.9% Real Estate
45.1% Financials
6.4%
59.8% $30bn+
28.0% $10-30bn
10.1%
-1%$5-10bn
USD
39.8% Financials
GBP
21.6% Energy
9.5% Materials 4%
Down
20.4% Reversing
48.1%
-6%
Performance
All data: Lyxor, Bloomberg. 30 December 2016.*Most significant percentages.
US
6.8%
123.3%
Russell 1000
Value
I believe fiscal spending will
filter right down to small-caps
Russell 2000
I’m interested in certain sectors
because they will be affected
by the recovery policies
Nasdaq 100
MSCI World
Sectors
I’m not sure Trump can deliver
everything he’s promised
Russell 1000
Growth
I favour slightly more quality
at this stage
US$ 10
Yr Inflation
Expectations
I’m not sure the Fed will
control inflation
Market-cap
65.4%
Market-cap
Japan
Market-cap
9%
since 8 November
Post-Trump performance:
US
Post-Trump
performance
Daily Double
Short S&P 500
I’m expecting policy
disappointments
NASDAQ 100
3%
One-month performance to 18 January
Growth means I want a more
specific, cyclical exposure
FTSE USA
Minimum
Variance
Europe
37.3% $10-30bn
22.3% $2-5bn
21.9% $5-10bn
60
S&P 500
S&P/TSX 60
Growth
100
Trending Down
I expect the push to support
North American equities
Trending Up
57.7% IT
CNY
21.5% Consumer Discretionary
11.5% Health Care
-2%
Weighting
Strategy
Market-cap
82.9% $30bn+
16.1% $10-30bn
-1%
FTSE EPRA/NAREIT
United States
-3% 60
S&P/TSX
2016 Return 5 Yr Return
(USD)
(USD)
Constituents
S&P 500
4%
Which route
will you take?
RUSSELL 1000
GROWTH
2%
REAL ESTATE
UTILITIES
Canada's S&P/TSX
1%
NASDAQ
Trending Up
I think property will get caught
up in the push
MSCI NORTH
AMERICA
MSCI USA
S&P 500
CONS STAPLES
0%
TELECOM SERV
DOW JONES
INDUS.
-1%
RUSSELL 1000
VALUE
RUSSELL 2000
(small caps)
Reversing Down
FINANCIALS
ENERGY
-2%
-1%
1%
3%
5%
7%
FTSE EPRA/
NAREIT US
9%
Performance since 8 November
Source: Lyxor International Asset Management. Data as at 18/01/2017. Past performance is no guide to future returns.
11%
13%
15%
Why Lyxor for North American Equities?
×15
15 ways to explore
the North American
markets
16
yrs
Longest-standing
European provider
of US equity ETFs1
#1
Most efficient S&P
500 ETF for the last
four years2
1 Source: First Developed America Equity ETF launched by Lyxor in May 2001.
2 Source: Lyxor/Bloomberg. Data as at 30/12/2016. The rationale and construction of the efficiency indicator are detailed in an academic paper published by Thierry Roncalli, former
Head of Research & Development at Lyxor and Professor of Finance at the Evry University, and Marlene Hassine, ETF strategist. The academic paper can be downloaded from
SSRN: http://ssrn.com/abstract=2212596 or from REPEC http://ideas.repec.org/p/pra/mprapa/44298.html
Post-Trump performance: Europe
Lyxor ETF | ETFs and fiscal expansion
European
equities
11
2017
headliners?
European equities could be this year’s headliners, despite
potential political upheaval. ECB support is assured, fiscal
expansion possible and higher inflation likely by year end.
Forthcoming elections could re-shape the eurozone as we
know it. More surprises could lie ahead. Should the politics
perturb you, reduce risk with minimum variance indices.
European Equity indices overview
Defensive
Cyclical
MSCI EMU Small Cap
MSCI EMU Value
MSCI EMU Growth
Euro Stoxx 50
MSCI Europe
All data: Lyxor, Bloomberg. January 2017.
Key points
►►
Recovery – factors like low size and value play very firmly to recovery. Should you be
slightly cagier, consider the MSCI EMU Small Cap and MSCI EMU Value indices
►►
Defence – the Euro Stoxx 50 and the MSCI Europe offer the most balanced mix of
defensive and cyclical exposures
►►
Financials – the MSCI EMU Value offers a high Financials weighting
►►
Diversification vs concentration – the MSCI Europe offers a wider exposure to the
Continent. The Euro Stoxx 50 has a 70% exposure to Germany and France should you
favour the core
►►
Brexit – should Brexit damage UK equities, the Euro Stoxx 50 has far less exposure to
the UK than the MSCI Europe
►►
Specific exposures – should you favour single country stories, consider CAC 40, DAX,
IBEX and MIB indices, or look to sectors most exposed to recovery
One-month perfo
0%
-1%
Lyxor ETF | ETFs and fiscal expansion
13
-2%
Japan
USD
GBP
Trending Down
-3%
The numbers
that matter
-6%
-1%
3%
One-month performance to 18 January
447
2%
50
UTILITIES
1%EMU
MSCI
Value
0%EMU
MSCI
Growth
-1%EMU
MSCI
Small-Cap
2016 Return
(EUR)
Top Sectors
60.7% $30bn+
25.9% NASDAQ
UK
10020.6% Financials
25.8% $10-30bn 15.7% France
13.8 Consumer Staples
10.9% $5-10bn
14.5%
12.9% Health Care
RUSSELL
1000Germany
86.3% $30bn+
REAL
ESTATE
13.7%
$10-30bn
5 Yr Return Weighting
(EUR)
Strategy
2.60%
NASDAQ
GROWTH
36.5% France
Euro Stoxx 50
9%
Performance since 8 November
Post-Trump
performance:
US Cap Breakdown Top 3 Countries
Index
Constituents
MSCI Europe
Which route
will you take?
Reversing Down
4%
22.7% Financials
33.7% Germany
18.7% Consumer Goods
10.0% Spain
15.4% Industrials
MSCI NORTH
66.69%
Market-cap
Trending Up
3.72%
64.66%
Market-cap
67.02%
Market-cap
84.06%
Market-cap
With ECB support assured,
and fiscal expansion possible,
I favour Europe
MSCI Europe
Euro Stoxx 50
I like the eurozone. I'm not so
sure about post-Brexit UK
AMERICA
61.1% $30bn+
33.4% France
34.2% Financials
Canada's S&P/TSX
MSCI USA
136
28.9% $10-30bn 27.2% Germany
12.3% Industrials
6.89%
S&P 500
CONS STAPLES 8.6% $5-10bn
13.5% Spain
11.9% Consumer Discretionary
TELECOM SERV
129
52.1% $30bn+
35.6% $10-30bn
10.5% $5-10bn
466
51.1% $2-5bn
24.0% Germany
23.6% $1-2bn
16.2% France
14.9% $150m-1bn 15.5% Italy
32.1% Germany
23.0% Consumer Staples
RUSSELL Discretionary
1000
30.22% France
17.7% Consumer
DOW JONES
VALUE
INDUS. 17.4% Industrials
11.6% Netherlands
23.7% Industrials
14.5%Reversing
FinancialsDown
12.3% Consumer Discretionary
1.49%
RUSSELL 2000
(small caps)
3.26%
120.87%
Growth means I want more
specific, cyclical exposures
MSCI EMU
Value, JP Morgan
Europe Value
Factor
Market-cap
FTSE Developed
Europe Min Var
Europe has potential but I'm
worried about the elections
FINANCIALS
ENERGY
-2%Lyxor, Bloomberg. Data as at 30 December 2016.
All data:
-1%
1%
3%
5%
7%
9%
11%
13%
15%
Performance since 8 November
I’m expecting small-caps
to benefit
MSCI EMU
Small-Caps
MSCI EMU
Growth
Post-Trump
performance
in Europe
Post-Trump performance:
Europe
Basic Resources
(+19%,+7.6%)
One-month performance to 18 January
4%
FTSE 100
3%
Trending Up
2%
MSCI EMU
GROWTH
Utilities
Food&Bevrg
1%
Euro Stoxx 50
FTSE MIB
I think property will get
caught up in the push
CAC 40
IBEX 35
Reversing Down
-1%
0%
5%
10%
Performance since 8 November
Stoxx Europe
600 Sectors,
Single countries
EUR 2-10
MSCI
EMU
Yr Inflation
Growth
Expectations
I think euro area inflation
will accelerate
Euro Stoxx 50
Daily Short
I think the global, and local,
risks are being underestimated
Auto&Parts
MSCI EMU
VALUE
Stoxx 600
RealEstate
0%
DAX
I’m interested in certain countries
and sectors because they will be
affected by the recovery policies
I favour slightly more
quality at this stage
Banks
15%
FTSE EPRA/
NAREIT Europe
Did you know?
Lyxor runs several of the
word's largest sector ETFs
Source: Lyxor International Asset Management. Data as at 18/01/2017. Past performance is no guide to future returns.
Why Lyxor for European Equities?
+40
40+ ways to
explore the
European markets
Largest MSCI Europe,
CAC 40, FTSE MIB and
Ibex ETFs on the market1
The best performer
among the biggest
providers2
1 For assets under management. Lyxor International Asset Management, data on December 30, 2016.
2 Source: Lyxor International Asset Management, Bloomberg. Data refers to lowest-tracking error among top 4 providers by AUM. As at 16 January 2017.
Lyxor ETF | ETFs and fiscal expansion
Asian
equities
15
Missed
opportunity?
Asian markets have been pricing the problems
with Trump’s policy agenda, rather than its potential.
Those fears could be overblown. Look to Japan as the
yen weakens or domestic-focused ASEAN markets
to weather trade troubles. Favour reform leaders.
Should short-term prospects be too troubling, consider
minimum variance indices or countries less reliant on the
US for funding or trade, like parts of Eastern Europe.
Asia ex Japan indices overview
Developed
Emerging
MSCI Pacific ex-Japan
MSCI AC Asia ex-Japan
MSCI AC Asia Pacific ex-Japan
All data: Lyxor, Bloomberg. January 2017.
Key points
►►
Developed vs emerging – the MSCI Pacific ex-Japan has a 60% weighting towards
Australia and contains no EM stocks. The MSCI AC Asia ex-Japan has a much stronger
EM bias with significant tilts towards China, South Korea, Hong Kong and Taiwan
►►
Financials – the MSCI Pacific ex-Japan has a 40% weighting towards Financials; for
Information Technology however, the MSCI AC Asia ex-Japan and MSCI AC Asia
Pacific ex-Japan are better suited
►►
Diversification vs. concentration – the MSCI AC Asia ex-Japan and MSCI AC Asia
Pacific ex-Japan indices contain four times as many stocks as their Pacific counterpart
►►
Fiscal stimulus – the US isn't alone. China will spend more ahead of its new leadership,
Australia's programme is already under way. Consider CSI 300 A-share and the
S&P/ASX 200.
►►
Specific exposures – should you favour Asia's reform leaders over broad exposures,
consider MSCI India and MSCI Indonesia. Should trade links to a free spending China
be more important, consider MSCI Korea
►►
Depreciation – should the yen weaken, favour the JPX-Nikkei 400 or the Topix. If good
governance is a concern, choose the former
Lyxor ETF | ETFs and fiscal expansion
17
Which route
will you take?
The numbers
that matter
Index
Constituents
MSCI Pacific
ex Japan
150
MSCI Asia
Pacific ex Japan
704
MSCI Asia
ex Japan
626
Capitalisation
Top 3 Countries
Top Sectors
44.4% $30bn+
59.6% Australia
40.4% Financials
29.7% $10-30bn
25.9% Hong Kong
13.9% Real Estate
15.8% $5-10bn
10.2% Singapore
10.0% Materials
37.8% $30bn+
20.7% Australia
28.3% Financials
23.5% $10-30bn
18.0% China
22.0% Information Technology
13.6% $5-10bn
14.3% Hong Kong
7.6% Consumer Discretionary
34.3% $30bn+
23.0% China
28.0% Information Technology
23.8% $10-30bn
18.3% Hong Kong
24.0% Financials
12.6% $5-10bn
17.2% Korea
9.0% Consumer Discretionary
2016
Return
5 Yr
Return
Weighting
Strategy
7.85%
29.1%
Market-cap
6.75%
25.81%
Market-cap
5.40%
26.59%
Market-cap
27.4% $30bn+
32.0% $10-30bn
13.0% $5-10bn
TOPIX
1,984
14.1% $2-5bn
22.5% Industrials
100% Japan
5.8% $1-2bn
19.9% Consumer Discretionary
0.3%
131.3%
I think investors have been
overly negative on Asian
assets. I see opportunity
MSCI Asia Pacific
ex Japan
I’m expecting dollar
strength, and yen weakness.
I like Japan’s exporters,
but I need a hedge
JPX-Nikkei 400
EUR Daily
Hedged
I’m going to follow local fiscal
initiatives. That’s where I think
opportunity lies.
CSI 300 A-Share
S&P/ASX 200
I still believe in local,
idiosyncratic stories like India,
and the ASEAN bloc
MSCI India
MSCI Indonesia
FTSE Emerging
Min Var
MSCI Emerging
Markets
I like the broader EM story rather
than Asia, but until I know more
about Trump’s policies, and Fed
actions, I want to reduce risk
At this stage, I still favour
broad EM indices
Market-Cap
13.9% Financials
7.0% $150m-1bn
0.7% $100-150m
27.1% $30bn+
41.0% $10-30bn
JPX-Nikkei 400*
400
14.9% $5-10bn
14.0% $2-5bn
23.1% Industrials
100% Japan
17.6% Consumer Discretionary
2.8%
50.8%
15.0% Financials
2.5% $1-2bn
MarketCap**
CECE
Shorter-term, I prefer the
dynamics of Eastern Europe
and the outlook for Russia
0.5% $150m-1bn
*Also available in GBP & EUR Hedged form. **Stocks included in the JPX-Nikkei 400 index are screened and scored according to quality criteria (e.g. Return on Equity, operating profit)
and qualitative corporate governance and disclosure factors. All data in table Lyxor, Bloomberg as at January 2017.
Post-Trump
performance
Post-Trump
performance:
Asia
in Asia
Reversing Up
One-month performance to 18 January
I favour commodity producers
like Brazil given all the
infrastructure spending
Trending Up
MATERIAL
5%
Ibovespa
HANG SENG
HLTH CARE
3%
Real Est
Sensex30
CON STPL
HS CHINA ENT
ENERGY
Australia's
S&P/ASX 200
MSCI AC ASIA
PAC
FINANCE
I think Korea could be on the
up, given its trading ties with
China & the US
MSCI Korea
KOSPI
1%
SHANGHAI
-1%
CSI 300
TAIWAN TAIEX
Trending Down
JPX Nikkei 400
NIKKEI 225
Reversing Down
TOPIX
SHENZHEN
(-10.7%,-6.76%)
-3%
-6%
- 1%
4%
9%
Performance since 8 November
Source: Lyxor International Asset Management. Data as at 18/01/2017. Past performance is no guide to future returns.
Why Lyxor for Asian Equities?
×15
15 ways to
explore Asian
equity markets1
11+
More than 11 years
of Asian equity
ETF expertise1
The largest China,
Japan and India ETFs
in the market2
1 Source: Lyxor International Asset Management. Data as at 30/12/2016.
2 Source: Number one exposure ranking by assets under management for the Lyxor China Enterprise (HSCEI) UCITS ETF, Lyxor MSCI India UCITS ETF,
and Lyxor JPX-Nikkei 400 (DR) UCITS ETF
Post-Trump performance: INFLATION-LINKED BONDS yield
Ita Inflation Linked 5Y
Lyxor ETF | ETFs and fiscal expansion
Equity
sectors
19
Dig deeper
for growth
Equity sectors could be the next layer of opportunity.
Fiscal spending, deregulation and recovery policies favour
certain sectors, both globally and domestically.
Look to MSCI sectors on the international stage to get
sizeable US exposures with a twist. Consider Stoxx Europe
exposures as the effects of the fiscal push extend.
Global & European sectors – country and regional exposures
MSCI World
0%
25%
50%
75%
100%
Energy
Financials
Health Care
Information Technology
Materials
North America
Asia Pac
UK
Japan
Europe
EM
STOXX Europe 600
0%
25%
50%
75%
100%
Banks
Basic Resources
Oil & Gas
Construction & Materials
Automobiles & Parts
Retail
Core
UK
Periphery
Scandinavia
All data: Lyxor, Bloomberg. January 2017.
Lyxor ETF | ETFs and fiscal expansion
21
The numbers
that matter
Global Sectors Index
MSCI World Energy
MSCI World Financials
MSCI World Health Care
MSCI World IT
MSCI World Materials
Constituents
92
252
132
159
133
Top 3 countries
Capitalisation
60.9% US
71.1% $10-30bn
11.5% Canada
19.5% $5-10bn
9.7% Netherlands
7.6% $2-5bn
46.6% US
67.0% $10-30bn
9.0% UK
23.6% $5-10bn
8.3% Canada
7.7% $2-5bn
67.2% US
74.5% $10-30bn
9.0% Switzerland
19.4% $5-10bn
5.4% Japan
4.6% $2-5bn
83.6% US
74.5% $10-30bn
6.4% Japan
19.4% $5-10bn
2.2% Germany
4.6% $2-5bn
35.3% US
40.8% $10-30bn
10.7% Japan
37.1% $5-10bn
10.0% Germany
15.7% $2-5bn
All data: Lyxor, Bloomberg as at 30 December 2016
2016
Return
26.56%
5 Yr
Return
3.93%
12.47% 84.68%
-6.81%
11.45%
87.88%
97.63%
22.46% 13.42%
Top 3 countries
Capitalisation
2016 Return
(EUR)
5 Yr
Return
Weighting
Strategy
44
32.0% UK
15.0% Spain
13.0% France
69.2% $30bn+
23.9% $10-30bn
4.7% $5-10bn
-2.83%
50.96%
Market-cap
Stoxx Europe 600 Oil & Gas
20
32.3% France
19.3% UK
15.7% Netherlands
76.5% $30bn+
11.7% $10-30bn
6.8% $5-10bn
28.76%
17.16%
Market-cap
Market-cap
Stoxx Europe 600
Basic Resources
20
51.8% UK
14.1% Switzerland
10.2% Luxembourg
49.9% $30bn+
25.0% $10-30bn
20.0% $5-10bn
65.71%
4.28%
Market-cap
Market-cap
Stoxx Europe 600
Construction & Materials
21
33.0% France
21.2% Switzerland
13.8% Ireland
26.6% $30bn+
54.6% $10-30bn
10.1% $5-10bn
11.47%
110.75%
Market-cap
Market-cap
Stoxx Europe 600
Automobiles & Parts
17
64.1% Germany
24.9% France
6.0% UK
58.8% $30bn+
32.5% $10-30bn
4.8% $5-10bn
-1.65%
134.35%
Market-cap
Stoxx Europe 600 Retail
29
33.7% UK
16.4% Spain
13.4% France
26.1% $30bn+
34.3% $10-30bn
26.5% $5-10bn
-4.76%
42.25%
Market-cap
Weighting
Strategy
European Sectors Index
Market-cap
Stoxx Europe 600 Banks
Market-cap
Constituents
All data: Lyxor, Bloomberg as at 30 December 2016
Global sectors key points:
European sectors key points:
►►
US exposure – world sector indices tend to have a significant weighting in the US
►►
►►
Cyclicality – a push-based rotation into equities favours some sectors over others.
Look to Materials, Information Technology and Energy
Infrastructure spending – the effects of the fiscal push could extend to Europe.
Basic Resources and Construction & Materials could benefit
►►
Energy – if deals limiting supply hold, Oil & Gas looks well valued
►►
Sentiment improves – Retail and Automobiles & Parts are geared to a
recovering consumer
►►
Financials bounce – should profit growth outweigh risk, consider European Banks
►►
Deregulation – Trump’s crusade to slash regulation could support Health Care
and Financials
Why Lyxor for Equity Sectors?
25+
25+ ways to explore
World and European
equity sectors1
10+
Over 10 years
of equity sector
ETF expertise1
We run the largest
ETFs in the market
for key exposures2
1 Source: Lyxor International Asset Management. Data as at 30/12/2016.
2 Source: Number one exposure ranking by assets under management for the LYXOR STOXX Europe 600 Banks UCITS ETF, Lyxor MSCI World Materials UCITS ETF, Lyxor MSCI
World Utilities UCITS ETF, Lyxor MSCI World Telecommunication Services UCITS ETF, Lyxor MSCI World Health Care UCITS ETF, Lyxor MSCI World Industrials UCITS ETF, Lyxor
MSCI World Energy UCITS ETF, Lyxor MSCI World Consumer Discretionary UCITS ETF, and Lyxor MSCI World Consumer Staples UCITS ETF.
Lyxor ETF | ETFs and fiscal expansion
Inflation
linked
bonds
23
Ride
reflation
Cyclical pressures are building in the US as the economy
reaches its maximum velocity. The fiscal push could force
headline rates higher than many expect. The Fed itself may
already be behind the curve.
Look to US breakeven indices to ride the
wave as expectations rise. Closer to home,
look to eurozone breakevens should the
US finally pass on its reflation baton.
Inflation-linked indices overview
$
€
Ú CPI
►
US CPI-U (Consumer Price Index
for All Urban Consumers)
►
HICP (Harmonised Index of
Consumer Prices) ex-Tobacco
►
Index excludes rural consumers
►
Weighted average of price indices
of euro member states
►
Excluded costs:
Owner-occupied housing
Tobacco
£
Ú HICP
Ú RPI
►
Retail Price Index (RPI)
►
Housing costs and mortgage
payments included (unlike UK CPI)
Key points
►
Rising rates – the Barclays US Inflation Linked Bonds index and the MTS Mid Price IG
Inflation-Linked Aggr All-Maturity have slight skews towards long-dated bonds, while
the FTSE Actuaries Govt Securities UK Index-Linked benchmark is shorter-dated
►
The innovative Markit iBoxx USD Breakeven 10-Year Inflation and Markit iBoxx EUR
Breakeven Euro-Inflation France & Germany indices aim to track changing inflation
expectations, and have a duration close to zero, meaning they are far less sensitive
to rising rates
Lyxor ETF | ETFs and fiscal expansion
25
Which route
will you take?
The numbers
that matter
Markit iBoxx EUR Breakeven
Euro-Inflation France
& Germany Index
Markit iBoxx USD
Breakeven 10-Year
Inflation Index
Barclays US Inflation
Linked Bonds TR
MTS Mid Price InvG
Inflation-Linked Aggr
All-Maturity (EUR)
FTSE Actuaries Govt
Securities UK Index
Linked TR All Stocks
93.40%
16.90%
17.50%
AAA
41.81%
AA
58.19%
100%*
6.60%
45.30%
82.50%
A
Post-Trump
performance:0.00%
Asia
0.00%
0.00%
0.00%
0.00%
0.00%
0.00%
37.80%
0.00%
BBB
0.00%
Reversing Up
One-month performance to 18 January
France
5%
Germany
MATERIAL
58.19%
HANG SENG
41.81%
HLTH CARE
Real Est
US
UK3%
Italy
100.00%
HS CHINA ENT
FINANCE
Spain
1%
0 to 1 yrs
1 to 3 yrs
5 to 7yrs
Trending Down
35.6%*
7 to 10yrs
21.7%*
SHENZHEN
(-10.7%,-6.76%)
-3%+
10yrs
-6%
TAIWAN TAIEX
CSI 300
SHANGHAI
42.7%*
3 to
5yrs
-1%
100%*
- 1%
I believe the ECB’s efforts
will lead to more inflation in
Europe, but rates won’t rise
31.40%
14.7%
17.7%
2.1%
17.8%
17.5%
JPX Nikkei
400
18.5%
NIKKEI 225
5.8%
26.1%
52.5%
TOPIX
22.1%
26.1%
31.1%
4%
All data Lyxor, Bloomberg as at 30 December 2016. *Long leg data only.
52.5%
9%
Performance since 8 November
Post-Trump performance:
INFLATION-LINKED
Post-Trump
performance
(yields)BONDS yield
Ita Inflation Linked 5Y
(+304%,+84%)
One-month performance to 18 January
50%
20%
UK Inflation Gilts 5Y
10%
US Breakeven 5Y
UK Breakeven 5Y
0%
FR 2Y
-30%
US 2Y
I think European inflation
expectations will rise and
rates may go up
Markit iBoxx
EUR Breakeven
Euro-Inflation*
I’m convinced we’ll see higher
rates in Europe soon
Barclays Floating
Rate Euro 0-7Y
German 10Y
FR 10Y
German 2Y
I don’t think the US will
pass the reflation baton
on to the eurozone
FTSE Actuaries
UK Gilts
I’m not convinced inflation
will happen in the UK
Markit iBoxx
USD Breakeven
10 Year*
I think the Fed is behind the
curve. Inflation will accelerate,
forcing rates to rise
Reversing Down
0%
20%
40%
60%
You can use inflation expectations ETFs to
benefit from rising inflation expectations, with
virtually no interest rate risk
80%
Why Lyxor for Inflation-linked bonds?
Source: Lyxor International Asset Management. Data as at 18/01/2017. Past performance is no guide to future returns.
1
st
Smart Beta 1
Europe
Momentum Factor
Individual factors have
*Did you know?
Ita 2Y
(+445%,-25%)
Performance since 8 November
anuary
FTSE Actuaries
UK Gilts Inflation
Linked
FR Breakeven 5Y
US 10Y
US TIPS 5Y
(-77%,-130%)
-20%
Ita Breakeven 5Y
FR Infl Link 5Y
Ita 10Y
UK 10Y
Trending Down
-20%
3%
EuroMTS IG
Trending Up
Reversing Up
30%
-10%
I think GBP weakness and
government investment will
boost growth and inflation in
the UK, but I don’t see the BoE
raising rates imminently
EuroMTS Inflation
Linked IG
UK 2Y
40%
I’m not convinced Trump will
deliver a great reflation
100.00%
18.8%
14.3%
Reversing
Down
FTSE USA
Minimum
Variance
16.90%
6.40%
KOSPI
US TIPS
Trending Up
45.30%
Australia's
S&P/ASX 200
MSCI AC ASIA
PAC
Sensex30
CON STPL
ENERGY
100.00%
I think the Fed’s right on
track. Inflation’s on the rise,
but I don’t see any rate
hikes in the near future
Trending Up
Europe Low Size
Factor Index
Launched first inflation
expectations ETFs in the
European ETF market1
$1.8bn+ in AUM
across our inflation
ETF range
1 Source: Lyxor International Asset Management. Data refers to Lyxor’s inflation ETF Assets under Management as at 21/11/16.
Range spans US,
European and UK
inflation-linked bonds
Lyxor ETF | ETFs and fiscal expansion
Smart
Beta
27
Pinpoint
positioning
Global growth supports more cyclical areas.
Value, momentum and size factors could be in play.
Of course, policies could disappoint. If the push is delayed,
or watered down, the reaction could be severe. Prepare for
potential turbulence with minimum variance indices.
Factors overview
0%
15%
30%
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Real Estate
Telecommunication Services
Utilities
SG Global Value Beta
J.P Morgan Europe Low Size factor
J.P Morgan Europe Momentum factor
J.P Morgan Europe Value factor
J.P Morgan Europe Quality factor
J.P Morgan Europe Low Beta factor
Key points
►►
Cyclicality – the J.P. Morgan Europe Value Factor has strong weightings
towards cyclical sectors like Consumer Discretionary and Industrials
►►
Recovering consumer – the J.P. Morgan Europe Momentum Factor holds
25%+ in Consumer Discretionary stocks
►►
Diversification vs. concentration – should you be wary of timing your
allocations to individual factors, consider multi-factor indices for
diversification and access to developed world growth on a broader scale
One-month perf
TAIWAN TAIEX
CSI 300
SHANGHAI
-1%
Lyxor ETF | ETFs and fiscal expansion
Trending Down
JPX Nikkei 400
Reversing Down
TOPIX
SHENZHEN
(-10.7%,-6.76%)
-3%
29
NIKKEI 225
Enhance returns: the
numbers that matter
-6%
- 1%
4%
Reduce risk: the
numbers that matter
9%
Performance since 8 November
European Factors
Index INFLATION-LINKED
Constituents
Topyield
3 countries
Post-Trump
performance:
BONDS
One-month performance to 18 January
JPM 50%
Europe Low Size
UK 2Y
Reversing Up
JPM Europe Quality
30%
20%
UK Inflation Gilts 5Y
10%
40
UK Breakeven 5Y
0%
JPM Europe Low Beta
FR 2Y
Trending Down
-20%
0%
20.1% Industrials
20.0% Consumer Discretionary
12.5% Health Care
Reversing Down
20%
All data: Lyxor, JP Morgan as at 30 December 2016
37.4% $10-30bn
35.1% $5-10bn
17.5% $30bn+
40%
60%
1968
FTSE
Developed
Europe
Minimum
Variance
27.6% Consumer Discretionary
39.8% $10-30bn
Ita Breakeven 5Y
German 10Y
20.1% Financials
37.6% $5-10bn
FR 10Y 15.1% $30bn+
15.0% Industrials
25.1% UK
17.5% France
17.5% Germany
40
(-77%,-130%)
-20%
20.0% Financials
15.1% Consumer Discretionary
15.0% Industrials
Components
FTSE All
World
Minimum
Variance
5.0% $10-30bn
Trending Up
30.3% UK
US 15.0%
Breakeven
5Y
France
10.0% Germany
Index
50.9% $2-5bn
Ita Inflation
Linked 5Y
42.5% $5-10bn
(+304%,+84%)
FR Infl Link 5Y
Ita 10Y 22.7% UK
22.5% Financials
US 2Y
UK40
10Y
Breakeven 5Y
12.5% Denmark
17.6% FR
Industrials
US 10Y
12.4% France
15.0% Consumer Discretionary
German 2Y
JPM Europe Value US TIPS 5Y
-30%
Capitalisation
21.1% Financials
17.4% Utilities
14.9% Telecoms
47.8% UK
12.4% Denmark
9.9% Spain
40
JPM Europe Momentum
-10%
31.2% UK
10.0% Germany
10.0% Sweden
41
40%
Top 3 sectors
37.5% $5-10bn
34.9% $10-30bn
22.6% $2-5bn
360
FTSE USA
Minimum
Variance
42.3%Ita
$10-30bn
2Y
(+445%,-25%)
20.1%
$5-10bn
20.1% $30bn+
417
FTSE
Emerging
Minimum
Variance
80%
Performance since 8 November
548
% of original
retained
Largest
holding
Top 10
holdings
Excess
return
(10yrs)
Risk
reduction
(10 yrs)
+ 6.6% Japan,
+2.9% Hong Kong
- 9.5% US
-5.3% UK
0.18%
vs.
1.63%
1.55%
vs.
9.14%
3.0%
27.7%
+ 5.3% Switzerland
+ 3.3% Denmark
- 8.9% UK
-3.4% Germany
1.3%
vs.
2.8%
7.6%
vs.
17.6%
2.1%
25.7%
0.69%
vs
3.1%
6.42%
vs
17.18%
2.4%
21.0%
0.67%
vs.
4.1%
5.39%
vs. 19.13%
7.2%
29.7%
Main sector
differences
Main country
differences
64%
+3.6% Real Estat
+ 3.5% Utilities
- 5.2% Bank
-4.7% Oil & gas
67.3%
+ 6.9% Industrials
+ 2.9% Media
- 10.4% Banks
-5.5% Oil & gas
70.2%
+9.0% Utilities
+ 5.1% Real Estate
- 10.0% Technology
-5.5% Oil & gas
56%
+4.4% Utilities
+4.4% Industrial
goods & services
-7.0% Banks
-6.3% Technology
N/A
+4.8% Thailand
+3.5% Philippines
-6.7% South Africa
-6.4% China
All data: Lyxor, JP Morgan as at 30 December 2016
Smart Beta 1
Post-Trump
performance – Factors
Trending Up
Europe Low Size
Factor Index
Individual factors have
been outperforming
broad indices
2%
1%
0%
Europe Value
Factor Index
Multi-Factor
Europe Index
Europe Low Beta
Factor Index
Stoxx 600
Euro Stoxx 50
Europe Quality
Factor Index
Reversing Down
-1%
0%
4%
8%
Performance since 8 November
Source: Lyxor International Asset Management. Data as at 18/01/2017. Past performance is no guide to future returns.
MSCI EM
Trending Up
Reversing Up
12%
16%
One-month performance to 18 January
3%
One-month performance to 18 January
Smart Beta 2
Post-Trump
performance – Minimum Variance
Europe
Momentum Factor
4%
3%
Min var indices
started performing
World Min Var
EM Min Var
2%
Europe Min Var
USA Min Var
1%
MSCI WORLD
S&P 500
Stoxx 600
0%
-2%
0%
2%
4%
6%
Performance since 8 November
Source: Lyxor International Asset Management. Data as at 18/01/2017. Past performance is no guide to future returns.
Why Lyxor for Minimum Variance?
26
%
26% average risk
reduction, & 3.7%
average excess return1
64
%
64.4% of original
universes retained
on average1
Best value US index
based on P/B. P/E
and P/CF metrics2
1 Source: Lyxor, Bloomberg. Data from 30/12/2006 to 30/12/2016. Past performance is not a reliable indicator of future returns. 2 Source: Bloomberg, January 2017
8%
Lyxor ETF | ETFs and fiscal expansion
31
Product Snapshot
ETF Name
ISIN
Trading in £
Trading in $
Trading in €
TER (bp)
Income
AUM (mn $)
Bench.Currency
Bloomberg Benchmark
Replication Type
UK Report. Status
Eurozone
EURO STOXX 50 (DR)
FR0007054358
-
-
MSE FP
20
Dist.
7,501
EUR
SX5T
Direct
Yes
EURO STOXX 50 (DR) USD Daily Hedged
FR0012399806
-
MSEU LN
-
20
Accum.
7,501
USD
SX5DU
Direct
Yes
EURO STOXX 50 (DR) GBP Daily Hedged
FR0012399772
MSEX LN
-
-
20
Accum.
7,501
GBP
SX5EDHB
Direct
Yes
EURO STOXX 50 (DR)
LU0908501215
MSED LN
-
MSED FP
15
Accum.
116
EUR
SX5T
Direct
Yes
EURO STOXX 300 (DR)
LU0908501058
-
-
MFED FP
15
Accum.
70
EUR
SXXT
Direct
Yes
EURO STOXX 300 (DR)
LU0908501132
-
-
MFDD FP
15
Dist.
70
EUR
SXXT
Direct
Yes
EURO STOXX 300 (DR) GBP Monthly Hedged
LU1237272825
MFEG LN
-
-
30
Accum.
70
GBP
SXEMHB
Direct
Yes
MSCI EMU (DR)
FR0007085501
-
-
MFE FP
25
Dist.
143
EUR
M7EM
Direct
Yes
CAC 40 (DR)
FR0007052782
CACX LN
-
CAC FP
25
Dist.
4,022
EUR
CACR
Direct
Yes
DAX (DR)
LU0252633754
DAXX LN
-
DAX FP
15
Accum.
1,060
EUR
DAX
Direct
Yes
FTSE MIB
FR0010010827
MIBX LN
-
MIB FP
35
Dist.
862
EUR
FTSEMIBN
Indirect
Yes
IBEX 35 (DR)
FR0010251744
-
-
LYXIB SM
30
Dist.
699
EUR
IBEXNR
Direct
Yes
Europe
MSCI Europe
FR0010261198
MEUG LN
MEUU LN
MEU FP
25
Dist.
1,570
EUR
M7EU
Indirect
Yes
STOXX Europe 600 (DR)
LU0908500753
MEUD LN
-
MEUD FP
15
Accum.
110
EUR
SXXR
Direct
Yes
FTSE All Share
FR0010438150
LFAS LN
-
-
40
Accum.
16
GBP
FTPTTALL
Indirect
Yes
FTSE 100
FR0010438127
L100 LN
-
L100 FP
15
Accum.
862
GBP
TUKXG
Indirect
Yes
FTSE 100 USD Monthly Hedged
FR0013186582
-
100H LN
-
30
Accum.
862
USD
UKXHEUSD
Indirect
Yes
MSCI Europe Small Cap
FR0011779081
-
-
SMAE FP
40
Dist.
3
EUR
M7EUSC
Indirect
Yes
MSCI EMU Small Cap
FR0010168773
-
-
MMS FP
40
Dist.
224
EUR
M7EMSC
Indirect
Yes
CAC Mid 60
FR0011041334
-
-
CACM FP
50
Dist.
4
EUR
CM1GR
Indirect
Yes
German Mid-Cap MDAX
FR0011857234
-
-
MD4X GY
40
Dist.
12
EUR
MDAX
Indirect
Yes
FTSE Italia Mid Cap
FR0011758085
-
-
ITAMID IM
50
Dist.
45
EUR
ITMCN
Indirect
Yes
IBEX Mid
FR0011855188
-
-
IBXM SM
50
Dist.
3
EUR
IBEXCN
Indirect
Yes
FTSE 250
FR0010438135
L250 LN
-
-
35
Accum.
10
GBP
FTPTT250
Indirect
Yes
MSCI North America
FR0012647428
NORX LN
NORA LN
NORA FP
20
Accum.
1
USD
M1NA
Indirect
Yes
Dow Jones Industrial Average
FR0007056841
DJEL LN
DJEU LN
DJE FP
50
Dist.
216
USD
DJINR
Indirect
Yes
Yes
North America
NASDAQ-100
FR0007063177
-
-
UST FP
30
Dist.
499
USD
XNDXNNR
Indirect
NASDAQ-100 - USD
FR0010446930
USTL LN
UST LN
-
30
Dist.
499
USD
XNDXNNR
Indirect
Yes
MSCI USA
FR0010296061
-
-
USA FP
25
Dist.
1,071
USD
NDDUUS
Indirect
Yes
Yes
MSCI USA
FR0010372193
USAL LN
USAU LN
-
25
Dist.
1,071
USD
NDDUUS
Indirect
S&P 500
LU0496786574
-
-
SP5 FP
15
Dist.
2,757
USD
SPTR500N
Indirect
No
S&P 500
LU0496786657
LSPX LN
LSPU LN
-
15
Dist.
2,757
USD
SPTR500N
Indirect
Yes
Canada (S&P/TSX 60)
LU0496786731
-
-
TSX FP
40
Dist.
97
CAD
SPTSX60N
Indirect
No
Canada (S&P/TSX 60)
LU0496786814
LCAN LN
LCAU LN
-
40
Dist.
97
CAD
SPTSX60N
Indirect
Yes
Russell 2000
FR0011119254
RU2K LN
RUS2 LN
RU2K FP
19
Accum.
6
USD
RU20N30U
Indirect
Yes
MSCI Pacific Ex Japan
LU1220245556
PAXG LN
PAXJ LN
PAXJ FP
30
Dist.
106
USD
M1PCJ
Indirect
Yes
Australia (S&P/ASX 200)
LU0496786905
-
-
AU2 FP
40
Dist.
65
AUD
ASN51
Indirect
No
Australia (S&P/ASX 200)
LU0496787036
LAUS LN
LAUU LN
-
40
Dist.
65
AUD
ASN51
Indirect
Yes
Asia Pacific
Japan (TOPIX) (DR)
FR0010245514
JPNL LN
JPNU LN
JPN FP
45
Dist.
1,030
JPY
TPXDDVD
Direct
Yes
JPX-Nikkei 400 (DR)
FR0012144582
JPXG LN
JPX4 LN
JPX4 FP
25
Accum.
913
JPY
JPNKNTR
Direct
Yes
JPX-Nikkei 400 (DR) EUR Daily Hedged
FR0012154821
-
-
JPXH FP
25
Accum.
913
EUR
JN4NDEH
Direct
Yes
JPX-Nikkei 400 (DR) GBP Daily Hedged
FR0012329142
JPXX LN
-
-
25
Accum.
913
GBP
JN4NDGH
Direct
Yes
JPX-Nikkei 400 (DR) USD Daily Hedged
FR0012329159
-
JPXU LN
-
25
Accum.
913
USD
JN4NDUH
Direct
Yes
Global Exposure
DJ Global Titans 50
FR0011523505
MGTL LN
MGTU LN
-
40
Dist.
45
EUR
DJGTET
Indirect
Yes
MSCI All Country World
FR0011093418
ACWL LN
ACWU LN
-
45
Accum.
140
USD
M1WD
Indirect
Yes
MSCI World
FR0010315770
-
-
WLD FP
30
Dist.
1,681
USD
NDDUWI
Indirect
Yes
MSCI World
FR0010372201
WLDL LN
WLDD LN
-
30
Dist.
1,681
USD
NDDUWI
Indirect
Yes
MSCI World USD Monthly Hedged
FR0011669845
-
WLDU LN
-
30
Dist.
1,681
USD
WHANWIHD
Indirect
Yes
Lyxor ETF | ETFs and fiscal expansion
33
ISIN
Trading in £
Trading in $
Trading in €
TER (bp)
Income
AUM (mn $)
Bench.Currency
Bloomberg Benchmark
Replication Type
UK Report. Status
STOXX Europe 600 Automobiles & Parts
FR0010344630
-
STOXX Europe 600 Banks
FR0010345371
-
-
AUT FP
30
-
BNK FP
30
Accum.
70
EUR
SXAR
Indirect
Yes
Accum.
715
EUR
SX7R
Indirect
STOXX Europe 600 Basic Resources
FR0010345389
-
-
BRE FP
Yes
30
Accum.
169
EUR
SXPR
Indirect
STOXX Europe 600 Chemicals
FR0010345470
-
-
Yes
CHM FP
30
Accum.
21
EUR
SX4R
Indirect
STOXX Europe 600 Construction & Materials
FR0010345504
-
-
Yes
CST FP
30
Accum.
52
EUR
SXOR
Indirect
Yes
STOXX Europe 600 Financial Services
FR0010345363
-
STOXX Europe 600 Food & Beverage
FR0010344861
-
-
FIN FP
30
Accum.
21
EUR
SXFR
Indirect
Yes
-
FOO FP
30
Accum.
126
EUR
SX3R
Indirect
STOXX Europe 600 Healthcare
FR0010344879
Yes
-
-
HLT FP
30
Accum.
265
EUR
SXDR
Indirect
STOXX Europe 600 Industrial Goods & Services
Yes
FR0010344887
-
-
IND FP
30
Accum.
63
EUR
SXNR
Indirect
Yes
STOXX Europe 600 Insurance
FR0010344903
-
-
INS FP
30
Accum.
87
EUR
SXIR
Indirect
Yes
STOXX Europe 600 Media
FR0010344929
-
-
MDA FP
30
Accum.
9
EUR
SXMR
Indirect
Yes
STOXX Europe 600 Oil & Gas
FR0010344960
-
-
OIL FP
30
Accum.
244
EUR
SXER
Indirect
Yes
STOXX Europe 600 Personal & Household Goods
FR0010344978
-
-
PHG FP
30
Accum.
24
EUR
SXQR
Indirect
Yes
STOXX Europe 600 Retail
FR0010344986
-
-
RTA FP
30
Accum.
15
EUR
SXRR
Indirect
Yes
STOXX Europe 600 Technology
FR0010344796
-
-
TNO FP
30
Accum.
47
EUR
SX8R
Indirect
Yes
STOXX Europe 600 Telecommunications
FR0010344812
-
-
TEL FP
30
Accum.
94
EUR
SXKR
Indirect
Yes
STOXX Europe 600 Travel & Leisure
FR0010344838
-
-
TRV FP
30
Accum.
12
EUR
SXTR
Indirect
Yes
STOXX Europe 600 Utilities
FR0010344853
-
-
UTI FP
30
Accum.
52
EUR
SX6R
Indirect
Yes
EURO STOXX Banks
FR0011645647
BNKE LD
-
BNKE FP
30
Accum.
256
EUR
SX7T
Indirect
Yes
ETF Name
Europe sectors
World sectors
MSCI World Consumer Discretionary TR
LU0533032008
-
-
CODW FP
40
Accum.
122
USD
NDWUCDIS
Indirect
No
MSCI World Consumer Discretionary TR
LU0533032180
DISG LN
DISW LN
-
40
Accum.
122
USD
NDWUCDIS
Indirect
Yes
MSCI World Consumer Staples TR
LU0533032263
-
-
COSW FP
40
Accum.
88
USD
NDWUCSTA
Indirect
No
MSCI World Consumer Staples TR
LU0533032347
STAG LN
STAW LN
-
40
Accum.
88
USD
NDWUCSTA
Indirect
Yes
MSCI World Energy TR
LU0533032420
-
-
NRGW FP
40
Accum.
153
USD
NDWUENR
Indirect
No
MSCI World Energy TR
LU0533032776
NRGG LN
NRGW LN
-
40
Accum.
153
USD
NDWUENR
Indirect
Yes
MSCI World Financials TR
LU0533032859
-
-
FINW FP
40
Accum.
42
USD
NDWUFNCL
Indirect
No
MSCI World Financials TR
LU0533033071
FING LN
FINW LN
-
40
Accum.
42
USD
NDWUFNCL
Indirect
Yes
MSCI World Health Care TR
LU0533033238
-
-
HLTW FP
40
Accum.
330
USD
NDWUHC
Indirect
No
MSCI World Health Care TR
LU0533033311
HLTG LN
HLTW LN
-
40
Accum.
330
USD
NDWUHC
Indirect
Yes
MSCI World Industrials TR
LU0533033402
-
-
INDW FP
40
Accum.
121
USD
NDWUIND
Indirect
No
MSCI World Industrials TR
LU0533033584
INUG LN
INDW LN
-
40
Accum.
121
USD
NDWUIND
Indirect
Yes
MSCI World Information Technology TR
LU0533033667
-
-
TNOW FP
40
Accum.
80
USD
NDWUIT
Indirect
No
MSCI World Information Technology TR
LU0533033741
TNOG LN
TNOW LN
-
40
Accum.
80
USD
NDWUIT
Indirect
Yes
MSCI World Materials TR
LU0533033824
-
-
MATW FP
40
Accum.
83
USD
NDWUMAT
Indirect
No
MSCI World Materials TR
LU0533034046
MATG LN
MATW LN
-
40
Accum.
83
USD
NDWUMAT
Indirect
Yes
MSCI World Telecommunication Services TR
LU0533034129
-
-
TELW FP
40
Accum.
39
USD
NDWUTEL
Indirect
No
MSCI World Telecommunication Services TR
LU0533034392
TELG LN
TELW LN
-
40
Accum.
39
USD
NDWUTEL
Indirect
Yes
MSCI World Utilities TR
LU0533034558
-
-
UTLW FP
40
Accum.
37
USD
NDWUUTIL
Indirect
No
MSCI World Utilities TR
LU0533034632
UTIG LN
UTIW LN
-
40
Accum.
37
USD
NDWUUTIL
Indirect
Yes
Growth & Value
MSCI EMU Growth
FR0010168765
-
-
GWT FP
40
Dist.
32
EUR
M7EM000G
Indirect
Yes
Russell 1000 Growth
FR0011119171
RSGL LN
RUSG LN
-
19
Accum.
67
USD
RU1GN30U
Indirect
Yes
MSCI EMU Value
FR0010168781
-
-
VAL FP
40
Dist.
189
EUR
M7EM000V
Indirect
Yes
Russell 1000 Value
FR0011119205
RSVL LN
RUSV LN
-
19
Accum.
24
USD
RU1VN30U
Indirect
Yes
Smart Beta
FTSE Europe Minimum Variance
LU1237527160
MVEX LN
MVAE LN
MVAE FP
20
Accum.
127
EUR
AWDEUMVN
Indirect
Yes
FTSE Emerging Minimum Variance
LU1237527673
MVMX LN
MVAM LN
MVAM FP
40
Accum.
42
USD
AWALEMVN
Indirect
Yes
FTSE USA Minimum Variance
FR0012726560
MVUX LN
MVAU LN
MVAU FP
20
Accum.
120
USD
WIUSAMVN
Indirect
Yes
FTSE All World Minimum Variance
LU1389266302
-
MVAW LN
MVAW FP
30
Accum.
31
USD
AWLDMVN
Indirect
Yes
J.P. Morgan Multi-Factor Europe Index
LU1290894820
LYX5 LN
-
LYX5 GY
40
Accum.
82
EUR
JPERPLMF
Indirect
Yes
J.P. Morgan Europe Low Beta Factor Index
LU1218122742
LYXL LN
-
LYXL GY
30
Accum.
15
EUR
JPERPLBE
Indirect
Yes
J.P. Morgan Europe Momentum Factor
LU1218123393
LYXM LN
-
LYXM GY
30
Accum.
13
EUR
JPERPLMO
Indirect
Yes
J.P. Morgan Europe Quality Factor Index
LU1218123559
LYXQ LN
-
LYXQ GY
30
Accum.
20
EUR
JPERPLQU
Indirect
Yes
J.P. Morgan Europe Low Size Factor Index
LU1218123047
LYXS LN
-
LYXS GY
30
Accum.
12
EUR
JPERPLSI
Indirect
Yes
J.P. Morgan Europe Value Factor Index
LU1218123716
LYXV LN
-
LYXV GY
30
Accum.
11
EUR
JPERPLVA
Indirect
Yes
SG Global Value Beta
LU1081771369
SGVL LN
SGVB LN
SGVB FP
40
Accum.
57
EUR
SGVBNTR
Indirect
Yes
Yes
Inflation Linked
EuroMTS Inflation Linked Investment Grade (DR)
FR0010174292
MTIX LN
-
MTI FP
20
Accum.
1,026
EUR
FMMPIIG5
Direct
EUR 2-10Y Inflation Expectations
LU1390062245
INFL LN
-
INFL FP
25
Accum.
251
EUR
IBXXEBF1
Indirect
Yes
FTSE Actuaries UK Gilts Inflation-Linked (DR)
LU1407893301
GILI LN
-
GILI FP
7
Dist.
28
GBP
FTRFILA
Direct
Yes
US$ 10Y Inflation Expectations
LU1390062831
INFG LN
INFU LN
INFU FP
25
Accum.
404
USD
IBXXUBF1
Indirect
Yes
US TIPS (DR)
LU1452600270
TIPG LN
TIPU LN
TIUP GY
9
Dist.
39
USD
BCIT1T
Direct
Yes
Lyxor ETF | ETFs and fiscal expansion
35
Knowing
your risk
Important information
This communication is exclusively directed and available to
Institutional Investors as defined by the 2004/39/EC Directive on
markets in financial instruments acting for their own account and
categorised as eligible counterparties or professional clients.
This communication is not directed at retail clients.
This document is issued in the UK by Lyxor Asset Management
UK LLP, which is authorized and regulated by the Financial
Conduct Authority in the UK under Registration Number 435658.
It is important for potential investors to evaluate the
risks described below and in the fund prospectus on our
website www.lyxoretf.com
Capital at risk
Underlying risk
ETFs are tracking instruments: Their risk profile is similar
to a direct investment in the Underlying index. Investors’
capital is fully at risk and investors may not get back the
amount originally invested
The Underlying index of a Lyxor ETF may be complex and
volatile. When investing in commodities, the Underlying
index is calculated with reference to commodity futures
contracts exposing the investor to a liquidity risk linked
to costs such as cost of carry and transportation. ETFs
exposed to Emerging Markets carry a greater risk of
potential loss than investment in Developed Markets
as they are exposed to a wide range of unpredictable
Emerging Market risks.
Replication risk
The fund objectives might not be reached due to
unexpected events on the underlying markets which
will impact the index calculation and the efficient
fund replication.
Currency risk
Counterparty risk
investors are exposed to risks resulting from the use of
an OTC swap with Société Générale. In-line with UCITs
guidelines, the exposure to Société Générale cannot
exceed 10% of the total fund assets. Physically replicated
ETFs may have counterparty risk resulting from the use of
a securities lending programme.
Concentration Risk
Smart Beta ETFs select stocks or bonds for their portfolio
from the original benchmark index. Where selection rules
are extensive it can lead to a more concentrated portfolio
where risk is spread over fewer stocks than the
original benchmark.
ETFs may be exposed to currency risk if the ETF is
denominated in a currency different to that of the
Underlying index they are tracking. This means that
exchange rate fluctuations could have a negative or
positive effect on returns.
Liquidity risk
Liquidity is provided by registered market-makers on
the respective stock exchange where the ETF is listed,
including Société Générale. On exchange, liquidity may
be limited as a result of a suspension in the underlying
market represented by the Underlying index tracked by
the ETF; a failure in the systems of one of the relevant
stock exchanges, or other market-maker systems; or an
abnormal trading situation or event.
Some of the funds described in this brochure are investment
companies with Variable Capital (SICAV) incorporated under
Luxembourg Law, listed on the official list of Undertakings for
Collective Investment, authorised under Part I of the Luxembourg
Law of 17th December 2010 (the “2010 Law”) on Undertakings for
Collective Investment in accordance with provisions of the Directive
2009/65/EC (the “2009 Directive”) and subject to the supervision
of the Commission de Surveillance du Secteur Financier (CSSF).
These funds are sub-funds of either Multi Units Luxembourg
or Lyxor Index Fund and have been approved by the CSSF.
Alternatively, some of the funds described in this document
are sub-funds of Multi Units France a French SICAV
incorporated under the French Law and approved by the
French Autorité des marchés financiers . Each fund complies
with the UCITS Directive (2009/65/CE), and has been
approved by the French Autorité des marchés financiers.
Société Générale and Lyxor AM recommend that investors read
carefully the “risk factors” section of the product’s prospectus and
Key Investor Information Document (KIID). The prospectus and the
KIID are available in French on the website of the AMF
(www.amf-france.org). The prospectus in English and the KIID
in the relevant local language (for all the countries referred to,
in this document as a country in which a public offer of the
product is authorised) are available free of charge on lyxoretf.
com or upon request to client-services-etf@ lyxor.com.
The products are the object of market-making contracts, the
purpose of which is to ensure the liquidity of the products on
NYSE Euronext Paris, Deutsche Boerse (Xetra) and the London
Stock Exchange, assuming normal market conditions and normally
functioning computer systems. Units of a specific UCITS ETF
managed by an asset manager and purchased on the secondary
market cannot usually be sold directly back to the asset manager
itself. Investors must buy and sell units on a secondary market
with the assistance of an intermediary (e.g. a stockbroker) and
may incur fees for doing so. In addition, investors may pay more
than the current net asset value when buying units and may
receive less than the current net asset value when selling them.
Updated composition of the product’s investment portfolio
is available on www. lyxoretf.com. In addition, the indicative
net asset value is published on the Reuters and Bloomberg
pages of the product, and might also be mentioned on the
websites of the stock exchanges where the product is listed.
Prior to investing in the product, investors should seek
independent financial, tax, accounting and legal advice.
It is each investor’s responsibility to ascertain that it is
authorised to subscribe, or invest into this product.
This document together with the prospectus and/or more
generally any information or documents with respect to or in
connection with the Fund does not constitute an offer for sale
or solicitation of an offer for sale in any jurisdiction (i) in which
such offer or solicitation is not authorized, (ii) in which the person
making such offer or solicitation is not qualified to do so, or
(iii) to any person to whom it is unlawful to make such offer or
solicitation. In addition, the shares are not registered under the
U.S Securities Act of 1933 and may not be directly or indirectly
offered or sold in the United States (including its territories or
possessions) or to or for the benefit of a U.S Person (being a
“United State Person” within the meaning of Regulation S under
the Securities Act of 1933 of the United States, as amended,
and/or any person not included in the definition of “Non-United
States Person” within the meaning of Section 4.7 (a) (1) (iv) of the
rules of the U.S. Commodity Futures Trading Commission.).
No U.S federal or state securities commission has reviewed
or approved this document and more generally any
documents with respect to or in connection with the fund.
Any representation to the contrary is a criminal offence.
This document is of a commercial nature and not of a regulatory
nature. This document does not constitute an offer, or an invitation
to make an offer, from Société Générale, Lyxor Asset Management
(together with its affiliates, Lyxor AM) or any of their respective
subsidiaries to purchase or sell the product referred to herein.
These funds include a risk of capital loss. The redemption value of
this fund may be less than the amount initially invested. The value
of this fund can go down as well as up and the return upon the
investment will therefore necessarily be variable. In a worst case
scenario, investors could sustain the loss of their entire investment.
This document is confidential and may be neither communicated
to any third party (with the exception of external advisors on
the condition that they themselves respect this confidentiality
undertaking) nor copied in whole or in part, without the prior written
consent of Lyxor AM or Société Générale. The obtaining of the
tax advantages or treatments defined in this document (as the
case may be) depends on each investor’s particular tax status,
the jurisdiction from which it invests as well as applicable laws.
This tax treatment can be modified at any time. We recommend
to investors who wish to obtain further information on their tax
status that they seek assistance from their tax advisor. The
attention of the investor is drawn to the fact that the net asset
value stated in this document (as the case may be) cannot
be used as a basis for subscriptions and/or redemptions.
The market information displayed in this document is based on
data at a given moment and may change from time to time.
Authorizations: Lyxor International Asset Management (Lyxor AM)
is a French management company authorized by the Autorité
des marchés financiers and placed under the regulations of
the UCITS (2009/65/EC) and AIFM (2011/61/EU) Directives.
Société Générale is a French credit institution (bank)
authorised by the Autorité de contrôle prudentiel et de
résolution (the French Prudential Control Authority.
Conflicts of interest
This research contains the views, opinions and recommendations
of Lyxor International Asset Management (“LIAM”) Cross Asset
and ETF research analysts and/or strategists. To the extent that
this research contains trade ideas based on macro views of
economic market conditions or relative value, it may differ from
the fundamental Cross Asset and ETF Research opinions and
recommendations contained in Cross Asset and ETF Research
sector or company research reports and from the views and
opinions of other departments of LIAM and its affiliates. Lyxor
Cross Asset and ETF research analysts and/or strategists
routinely consult with LIAM sales and portfolio management
personnel regarding market information including, but not limited
to, pricing, spread levels and trading activity of ETFs tracking
equity, fixed income and commodity indices. Trading desks may
trade, or have traded, as principal on the basis of the research
analyst(s) views and reports. Lyxor has mandatory research
policies and procedures that are reasonably designed to (i)
ensure that purported facts in research reports are based on
reliable information and (ii) to prevent improper selective or tiered
dissemination of research reports. In addition, research analysts
receive compensation based, in part, on the quality and accuracy
of their analysis, client feedback, competitive factors and LIAM’s
total revenues including revenues from management fees and
investment advisory fees and distribution fees.
Contact information
+44 (0) 800 707 69 56 | [email protected] | www.lyxoretf.co.uk