Lyxor Asset Management, Europe’s third largest provider of exchange-traded funds and a subsidiary of Societe Generale, has unveiled an ETF designed for the “brave value investor”.
Andrew Lapthorne, Head of Quantitative Equity Research at Societe Generale.
According to SG, there are two types of value investors: patient value investors seeking to benefit from compounding above-average dividend yields offered by quality companies, and brave value investors seeking to gain from a share price recovery in companies currently discounted by the market.
The newly launched Lyxor UCITS ETF SG Global Value Beta (SGVB) is aimed at the latter.
The fund, which has been listed in both London and Paris, is linked to the SG Value Smart Beta Index, an index developed by SG quants Andrew Lapthorne and Georgios Oikonomou which invests in the 200 cheapest stocks on a sector relative basis in global developed markets.
The index has demonstrated higher returns than the market historically and has also exhibited higher returns, albeit with greater risk, than the SG Quality Income Index, underlying strategy to Lyxor ETFs with almost $500 million in assets under management.
The SG Quality Income Index, developed in 2012, aims to track the performance of the “patient value investor” by buying sensible higher quality companies with an above market dividend yield. Historically, it has generated steady outperformance with lower volatility than the overall market.
Commenting on the launch, Andrew Lapthorne, Head of Quantitative Equity Research at SG, said: “By combining the brave and patient smart beta value index, we believe the investor can get the best of both worlds, with full exposure to the value premium and the ability to become increasingly brave or patient depending on their risk tolerance. Building a portfolio mixing such types of risk factors is becoming increasingly popular as an alternative to diversifying in the traditional way, by asset class”.
The fund is denominated in USD and is available for trading in USD, GBP and EUR. It has a total expense ratio of 0.40%.