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Los Lyxor ETFs presentados en la página web de lyxoretf.com, 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 www.lyxoretf.es

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Volatility: what to expect over the next few weeks


Any avid reader of the headlines over the holidays may have assumed equity returns would have been affected by all the talk of trade wars, geopolitical squabbles and Brexit. But once again, the stock markets sailed on relatively serenely. 


A mute point?

Barring the brief spike earlier in the year, volatility has been rather muted in developed markets, leaving them largely disconnected from all of the geopolitical tensions of recent times. As a result, valuations are still a little stretched but not sufficiently so in our view to trigger a bear market in general.

The real issue is whether you believe the economic upswing can be sustained. Recent manufacturing surveys results still point to robust growth in the US and stability in China. However, results in Germany and Japan seem to have peaked. Whatever your view on what these peaks signal, it could be worth preparing for some more volatility over the next few weeks. 

Global manufacturing survey results since 2005

Global manufacturing survey results since 2005

Sources: Lyxor AM International, ThomsonReuters Eikon, data as at 30/08/2018

Past performances are not indicative of future results.


What goes up... 

So what does happen when survey results peak? Peaks are of course inevitable, but they don’t in themselves guarantee recession, far from it. In fact, we can identify more than 20 peaks in the ISM since 1960 but only six recessions (two or more consecutive quarters of negative growth). The current configuration of results suggest that while some economies are no longer accelerating - may even be decelerating – we are nowhere near recession. 


Seasonally affected disorder

That said, we do expect more volatility post the summer. The charts below show the S&P 500 has tended to be more volatile in October than in any other month anyway since 1990. 


VIX Seasonality index (1990-2017)

                       chart 2


 Source:Thompson Reuters Datastream, Lyxor AM International, data as at 30/08/18



CBOE VIX INDEX (Monthly average of weekly data, in %)


          Chart 3

Source: Thomson Reuters Datastream, Lyxor AM, data as at 30/08/2018. Past performances are not indicative of future results 

By definition, few can predict the nature and timing of the market’s next outlier event. There are plenty of candidates including a full blown trade war, renewed concerns on China’s growth or the US entering an earlier-than-expected recession. Brexit negotiations will continue to dominate the front pages while the people will have their first say on the Trump presidency in the US mid-term elections on 6 November. 


Get your sitting ducks in a row

Both the House of Congress and the Senate are up for grabs at the mid-terms and is likely the Democrats will retake at least one of them, particularly with the President’s popularity level bobbing around below the 40% mark. For all the wailing and gnashing of teeth over his policies and pronouncements, Trump has kept the equity bulls running, at least until now. But, as the chart below shows, US equities have tended to suffer larger-than-average losses ahead of almost every mid-term election since 1962. The maximum year-on-year decline of the S&P 500 during the June-October run-up to a mid-term is on average 16% - significantly higher than the 12% average during non-election years. 

Sources: Lyxor AM International, Bloomberg, data as at 04/09/2018

Past performances are not indicative of future results

Prepare for problems 

In these conditions, protecting more of what you already have may be front of mind. Our 50+ problem-solvers help you rise to any challenge, simply and cost-effectively. Whether you’re looking to find shelter against equity volatility, ride rising rates, or guard against currency moves, we offer a range of unique and groundbreaking solutions.

UCITS ETF Bloomberg ticker Trading currency 

Replication type

AuM1  (M€) TER1
Lyxor FTSE Europe Minimum Variance  MVAE FP

EUR

Indirect (Swap Based) 77 0.20%
Lyxor FTSE USA Minimum Variance  MVAU LN USD  Indirect (Swap Based) 93 0.20%
Lyxor FTSE EMU Minimum Variance  MVMU FP EUR Indirect (Swap Based) 31 0.20%
Lyxor FTSE All World Minimum Variance  MVAW LN USD Indirect (Swap Based) 12 0.30%
Lyxor FTSE Emerging Minimum Variance  MVAM LN USD Indirect (Swap Based) 20 0.40%
Lyxor SG Global Quality Income NTR  SGQD LN, SGQP LN USD,GBP Indirect (Swap Based) 1117 0.45%
Lyxor SG European Quality Income NTR SGQE LN EUR Indirect (Swap Based) 35 0.45%
Lyxor SG Japan Quality Income SGQJ LN USD Indirect (Swap Based) 36 0.45%
Lyxor FTSE UK Quality Low Vol Dividend (DR)  DOSH LN GBP Direct (Physical) 0.4 0.19%
Lyxor FTSE US Quality Low Vol Dividend (DR)  DIVU LN, BUCK LN GBP,USD Direct (Physical) 0.4 0.19%
Lyxor 10Y US Treasury Daily (-2x) Inverse * DSUS LN USD Indirect (Swap Based) 43 0.20%
Lyxor 10Y US Treasury Daily (-1x) Inverse * US1S FP EUR Indirect (Swap Based) 17 0.20%
Lyxor Smart Cash USD  SMTC LN, SMARTU IM USD,EUR Indirect (Swap Based) 144 0.12%
Lyxor Smart Cash GBP  CSH2 LN GBP Indirect (Swap Based) 48 0.06%
Lyxor Smart Cash EUR  CSH2 FP EUR Indirect (Swap Based) 705 0.05%
Lyxor Barclays Floating Rate Euro 0-7Y FLOT FP EUR Indirect (Swap Based) 1 0.15%
Lyxor $ Floating Rate Note  SWIM LN, BUOY LN GBP,USD Indirect (Swap Based) 379 0.10%

Source: Lyxor AM International, 1Data and TER as at 05/09/2018

* Risk Warning: Before deciding to use Short & Leveraged ETFs, there are some things you should know. 
Leveraged products amplify both gains and losses by a given leverage factor. Losses can therefore be substantial. 
The performance of single short, double short and leveraged ETFs is calculated on a daily basis. This means there is a compounding effect as the daily return will always be based on the previous day's closing price. 
Compounding can lead to slippage over time between the index and the ETF. This slippage can be significant over periods longer than 1 business day, meaning these ETFs are typically unsuitable for investors planning to hold them for longer than one trading session unless used as part of a trading or hedging strategy. 
Any positions in these ETFs should be monitored on an ongoing basis. We recommend investors carefully read the 'risk factor' section of the product's prospectus and Key Investor Information Document (KIID), available for download on www.lyxoretf.com

Risk Warning

THIS COMMUNICATION IS FOR ELIGIBLE COUNTERPARTIES OR PROFESSIONAL CLIENTS ONLY

Disclaimers :

For professional clients only. All views & opinion are sourced Lyxor Cross Asset, Lyxor ETF & SG Cross Asset Research teams as at  )5 September  2018 unless otherwise stated. Past performance is no guide to future returns.   

This document is for the exclusive use of investors acting on their own account and categorized either as “Eligible Counterparties” or “Professional Clients” within the meaning of Markets in Financial Instruments Directive 2004/39/EC. 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 www.lyxoretf.com, and upon request to client-services-etf@lyxor.com.

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 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 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.

Lyxor International Asset Management (LIAM), société par actions simplifiée having its registered office at Tours Société Générale, 17 cours Valmy, 92800 Puteaux (France), 418 862 215 RCS Nanterre, is authorized and regulated by the Autorité des Marchés Financiers (AMF) under the UCITS Directive (2009/65/EU) and the AIFM Directive (2011/31/EU). LIAM is represented 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. Société Générale is a French credit institution (bank) authorised by the Autorité de contrôle prudentiel et de résolution (the French Prudential Control Authority).

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 www.lyxoretf.com/compliance.

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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