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Información relevante 

Los Lyxor ETFs presentados en la página web de, pueden ser objeto de restricciones en lo que respecta a la inversión por determinadas personas o en determinados países, en virtud de las distintas regulaciones nacionales aplicables a dichas personas o en dichos países. Cualquier persona que acceda a esta página web desde una jurisdicción en la cual se aplican dichas restricciones tiene que informarse al respecto y observar dichas restricciones. Por consiguiente, le corresponde a usted asegurarse de que, efectivamente está autorizado a invertir en los Lyxor ETFs presentados en esta página web. Invirtiendo en estos productos, usted garantiza a Société Générale que está efectivamente autorizado a invertir. Inversores españoles se deben dirigir a

La información contenida en esta página web no constituye una oferta o invitación para adquirir o vender los productos aquí descritos a personas sometidas a  jurisdicciones donde:

(a) dicha oferta o invitación no esté autorizada;
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Todos los LyxorETFs presentados en esta página web han sido aprobados por la “Autorité des Marchés Financiers (AMF)” y son objeto de un folleto aprobado por la AMF y pasaporteado en la CNMV conforme a la Directiva 2003/71/CE. Dichos folletos están disponibles en esta página Web.

La documentación relativa a los Lyxor ETFs preverá métodos de ajuste y de sustitución para tener en cuenta que consecuencias tendría cualquier suceso extraordinario que afecte a uno o varios de los subyacentes de estos productos.

Antes de invertir en un Lyxor ETF, usted debe hacer su propia valoración del riesgo desde un punto de vista legal, fiscal y  contable, sin depender exclusivamente de la información que le proporcionamos y consultando, si lo estima necesario, sus propios asesores en la materia o cualquier otro asesor independiente.

El inversor de ETFs estará expuesto a los siguientes factores de riesgo: Riesgo de pérdida del capital invertido, al no existir ninguna garantía, como consecuencia de un movimiento desfavorable del Índice de Referencia, Riesgo de que el objetivo de gestión solo se cumpla parcialmente, Riesgo de contrapartida como resultado de la utilización de los instrumentos financieros (OTC) formalizados con un establecimiento de crédito. Se recomienda a los inversores que consulten la sección del folleto antes de invertir.

En la medida en que cumpla con la legislación aplicable, ninguna entidad del Grupo Société Générale acepta responsabilidad alguna por las consecuencias financieras o de cualquier otra naturaleza que resulten de la inversión en este producto.

30 ene 2020

Two defensive strategies for uncertain markets

The outbreak of a new coronavirus in the central Chinese city of Wuhan has triggered a risk-off global mood.  Stock markets around the world have fallen and safe havens are in high demand. Viral outbreaks develop in unpredictable ways and there may be more bumps in the road over the coming weeks and months. Diversifying safe-haven investments with Smart Beta strategies makes sense in that context.

Read on to learn the diversification power of two different Smart Beta strategies: Quality Income and Minimum Variance

SG Quality Income: the safe haven diversifier

Equity income investing relies on identifying companies with sustainable dividends, particularly when the rest of the market has written them off. In this instance you can secure an income stream from the dividend and see an uptick in the share price when the market reprices the stock to reflect its true value. Of course, the risk is getting the call wrong – selecting companies with poor governance and an ultimately unsustainable dividend policy. This highlights the importance of assessing quality alongside income to ensure you own the long-term winners.  

Finding a quality investment requires searching for companies that have a good management, a strong balance sheet (low leverage & high interest cover), an enterprise life cycle, an economic moat (competitive advantage), a sound dividend policy, stable earnings and efficient operations (a good ROA).

The SG Quality Income indices provide an equally weighted portfolio of high-quality companies from either global or European equity markets. Each stock is assessed on the quality of its business using Piotroski’s F-score2, the strength of its balance sheet (Merton’s distance to default3) and targets stocks with a 4% or higher dividend yield.4 Standard size and liquidity filters are also in place.

SG Quality Income focuses on companies that pay and grow their dividend, but it also proves resilient in periods of market downturn. SG Global Quality Income (SGQI) has been on average 20%5 less volatile vs. a regular equity allocation (MSCI World NTR).

Volatility reduction vs. MSCI World index


Source: Lyxor International Asset Management, Bloomberg. Data as at 07/10/2019. Performance shown prior to 15 May 2012 is a back test. Performance does not include transaction costs. Past performance is not indicative of future performance. 3 years rolling volatility based on daily returns. Sample period starts on 01/01/2004. Data as at 08/10/2019.

Quality income investing is ultimately a contrarian strategy. While active income managers often play a role in this space, there is always a risk they stray from their remit or let emotions affect their judgement. Our index-based approach has a clear investment process, is rules-driven, and applies tighter liquidity constraints than an active manager. Going passive can add real value and security in this respect.

Minimum Variance: Build your exposure with less risk

Minimum variance strategies are based on more systematic criteria and aim to deliver reduced volatility based on historical return information. The FTSE Global Minimum Variance Index Series methodology focuses on stocks with low volatility and reduced correlation to their underlying market. By nature, these strategies tend to be less exposed to traditionally more volatile sectors such as financials, information technology and energy.6

However, the FTSE Minimum Variance methodology incorporates explicit constraints to maintain diversification and retain most of the benchmark index. This allows investors to invest almost as if they were still buying their chosen market, but with a marked reduction in volatility. This is particularly true for developed markets – as shown in the table below. 

Similar exposure with less volatility

chart 3

Source: Lyxor International Asset Management, Bloomberg, FTSE, data sample from 30/12/2006 to 30/09/2019

Seeking shelter with Lyxor ETF

While risk assets may continue to struggle in the coming weeks, protecting more of what you already have may be front of mind. Our problem-solvers help you rise to any challenge, simply and cost-effectively. Whether you’re looking for shelter against global market volatility or peace of mind in quality stocks, we offer a range of unique and ground-breaking solutions.

 1Source: Lyxor International Asset Management, Bloomberg, data as at 14/10/2019. 2 The Piotroski score is based on profitability factors such as ROA, corporate leverage and liquidity as well as operating efficiency. 3The Distance to Default (DD) is a widely used indicator of the credit quality of a company. It measures the number of standard deviations between the asset’s value and the default point. See here for SG Quality Income index detailed methodology. 4In order to meet the required minimum number of stocks, this rule may be relaxed to a dividend yield threshold of 3.5%. 5Long term average based on 3 years rolling volatility based on daily returns. Sample period starts on 01/01/2004. Data as at 08/10/2019. 6See FTSE Russell Index Methodology for Minimum Variance here

Risk Warning

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 2014/65/EU. These products comply with the UCITS Directive (2009/65/EC). Société Générale and Lyxor International Asset Management (LIAM) recommend that investors read carefully the “investment risks” section of the product’s documentation (prospectus and KIID). The prospectus and KIID are available free of charge on, and upon request to

Except for the United-Kingdom, where this communication 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, this communication is issued by Lyxor International Asset Management (LIAM), a French management company authorized by the Autorité des marchés financiers and placed under the regulations of the UCITS (2014/91/EU) 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).

The products mentioned are the object of market-making contracts, the purpose of which is to ensure the liquidity of the products on 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 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 is of a commercial nature and not of a regulatory nature. This material is of a commercial nature and not 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.

Research disclaimer

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

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.

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