Lyxor Flexible Allocation

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

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Current Site Absolute Hedge is a market leading UCITS research database providing proprietary research on funds, themes and strategies in the UCITS space. Kepler Trust Intelligence is produced by the investment companies team at Kepler Partners and is the UK’s premier source of detailed qualitative research on investment trusts. Kepler Liquid Strategies is a Dublin domiciled UCITS fund platform featuring a number of best-of-breed fund managers. Kepler Partners is a corporate advisory and asset raising boutique specialising in the regulated funds market in Europe and investment trusts in the UK.