Investment Objective
The Fund's investment objective is to provide a net capital appreciation of EONIA +6% to 8% over a 3 to 5 year horizon with a level of annual volatility lower than 8%. The Fund seeks to achieve this objective by using a dynamic asset allocation process on a broad and diversified set of asset classes.
Reference Index
EONIA
Latest Meeting Note
Investor Meeting 18 Sep 2013
The Lyxor ARMA (absolute return multi asset) range of funds use a risk-based strategic asset allocation framework to trade equities, bonds and commodities. At the heart of the investment strategy is a risk parity based strategic asset al... Read more
The Lyxor ARMA (absolute return multi asset) range of funds use a risk-based strategic asset allocation framework to trade equities, bonds and commodities. At the heart of the investment strategy is a risk parity based strategic asset allocation which is then tactically adjusted based upon price and macroeconomic signals. The fund gains exposures to the various asset classes through listed futures, cash government bonds, and ETFs (to a maximum weight of 10%) to build a liquid portfolio. There are two funds available to investors targeting 3% and 8% which launched in June 2010 and November 2012 respectively. Given the travails of risk parity and trend following strategies this year we are impressed by the fund’s 3.7% YTD return with the two tactical adjustments adding significant value — the bond weight was tactically reduced to 2% versus a c.40% strategic weight during the May/June bond market selloff. Over a range of market cycles the funds have generated decent absolute returns with low volatility and we believe that the fund offers an interesting alternative to other systematic strategies.
Performance
JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2023 | 0.6 | 0.3 | 0.5 | 0.2 | 0.5 | 0.1 | 0.0 | 0.9 | 0.3 | 0.7 | 0.1 | 0.4 | 0.4 | |
2022 | 1.0 | 0.1 | 0.1 | 0.5 | 0.1 | 0.1 | 0.7 | 0.1 | 0.5 | 0.4 | 0.6 | 0.3 | 0.5 |