Lyxor expands its Active Smart Beta offering to Fixed Income

The strategy seeks to provide an innovative investment solution to investors who wish to maintain their exposure to European Sovereign Bonds to generate performance while keeping risks under strict control. To maximise the gains that can be expected out of such a generally low-yielding investment universe, the Fund implements Lyxor’s active risk-based strategy combined with a discretionary tactical allocation.

The active risk-based allocation improves the portfolio’s diversification properties compared to a traditional buy & hold portfolio, whereas the tactical allocation layer enables the portfolio management team to seize upcoming market opportunities. Interest rate risk is fully hedged through the use of asset swaps.

This solution is particularly appealing to banks that seek to optimize the risk-return profile of their High Quality Liquid Assets (HQLA) portfolios which are used in the computation of the Liquidity Coverage Ratio. Institutional investors which have to manage large bond portfolios due to regulation, liability management or duration matching are also captive.

Guillaume Lasserre, Head of Absolute Return & Solutions at Lyxor Asset Management says: “With USD 7.4 bn of assets under management and advisory recorded in two years in this segment, Lyxor accompanies strong investor interest in this new source of performance in Fixed Income investing. This clearly positions Lyxor as a European leader in the Active Smart Beta Fixed Income field, which will remain a strong growth area for us moving forward”.

As one of the authors of Smart Beta original models, Lyxor manages and advises USD 11.4 bn in Smart Beta and offers expertise-led solutions on both passive and active asset management.