Lyxor cross-lists SciBeta long/short ETF onto Xetra

Jun 8th, 2018 | By | Category: ETF and Index News

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Lyxor has cross-listed its Lyxor Scientific Beta Developed Long/Short UCITS ETF onto Xetra and Börse Frankfurt under ticker code GLMN GY where it trades in euros.

JP Morgan cross-lists all UCITS ETFs onto Deutsche Börse

Lyxor cross-lists Scientific Beta Developed Long/Short UCITS ETF onto Xetra

The ETF debuted on the Euronext Paris (MFLS FP) in April 2018, in euros, and has also been cross-listed onto the London Stock Exchange (MFLS LN) and the Borsa Italiana (MFLS IM) where it trades in US dollars and euros, respectively.

The fund provides exposure to an equity market neutral index that is composed of a long position in a number of portfolios designed to maximise exposure to different factors and a short position in a broad market capitalisation-weighted index.

The underlying reference index, created by smart beta index provider ERI Scientific Beta, is the Scientific Beta Multi-Beta Multi-Strategy Managed Volatility L/S Equity Market Neutral (x 3.5) Index.

The long leg of the reference index includes a quarterly allocation to sub-portfolios designed to capture the long-run risk premia associated with tilts towards the value, momentum, low volatility, high profitability, and low investment factors from large- and mid-cap equities from global developed markets.

The reference index also embeds a short position in a broad market capitalisation-weighted index to achieve a market neutral stance.

The allocation across smart factor indices is implemented with the goal of minimising the volatility of the long/short spread. Return amplification is obtained by the use of 3.5x leverage, maintaining volatility below 8%.

The fund gains its exposure through indirect (swap-based) replication, with income accumulated within the portfolio.

The ETF has a total expense ratio (TER) of 0.55%.

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