Lyxor launches multi-factor long/short equity ETF

"(...) Lyxor has launched the Lyxor Scientific Beta Developed Long/Short UCITS ETF, providing exposure to an equity market neutral index that takes a long position in a number of portfolios de ...

"(...) Lyxor has launched the Lyxor Scientific Beta Developed Long/Short UCITS ETF, providing exposure to an equity market neutral index that takes a long position in a number of portfolios designed to maximise exposure to different factors while shorting the broad cap-weighted market. The underlying reference, created by smart beta index provider ERI Scientific Beta, is the Scientific Beta Multi-Beta Multi-Strategy Managed Volatility L/S Equity Market Neutral (x 3.5) Index which includes large- and mid-cap equities from global developed markets. The index implements its long/short strategy through a short position in the cap-weighted reference index and a quarterly allocation to sub-portfolios in the long leg. The long leg sub-portfolios are designed to efficiently capture the long-run risk premia associated with tilts towards the value, momentum, low volatility, high profitability, and low investment factors. The allocation across smart factor indices is implemented with the goal of minimising the volatility of the long/short spread. Return amplification is obtained by the use of 3.5x leverage, maintaining volatility below 8%. (...)"

Type: Press article
Date: le 22/05/2018
Source : ETF Strategy

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