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Beverly Chandler

Lyxor expands smart beta range with European multi-factor product


Lyxor has expanded its smart beta range with the launch of a multi-factor ETF based on the J.P. Morgan European Equity Risk Premia Factor index.  

The firm writes that its new European multi-factor ETF provides access to five of the major risk factors in a single ETF. Starting from the MSCI Europe universe of approximately 440 stocks, J.P. Morgan’s index selects the 40 highest ranking stocks for each of the five factors; low size, value, quality, low beta and momentum. With any duplicates removed, the resulting number of European stocks is currently 172. Each factor is equally weighted within the index and the index holdings are re-balanced on a monthly basis to keep the selection up to date.   
Francois Millet, Head of ETF and Index Product Development at Lyxor Asset Management said: “Factors are increasingly used by investors to enhance their risk adjusted returns and increase their diversification. These five risk factors help to explain the systematic return patterns of the equity markets, which have been exploited by active fund managers for many years”.
Arnaud Jobert, EMEA head of Equity Payoffs and Tradable Index Structuring team at J.P. Morgan said: “Our single factor indices have been developed as a tool box for managers to tactically or strategically allocate between different factors in accordance with their views. This multi-factor product is a simple and transparent application of that philosophy, built to enable investors to replace their core market cap weighted equity exposure and realise enhanced returns and diversification from single factors.”

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