Lyxor cross-lists multifactor long/short ETF onto SIX Swiss Exchange

Aug 24th, 2018 | By | Category: Alternatives / Multi-Asset

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Lyxor has cross-listed its Lyxor Scientific Beta Developed Long/Short UCITS ETF onto SIX Swiss Exchange under the ticker code MFLS SW, trading in US dollars.

Lyxor cross-lists SciBeta long/short ETF onto SIX

Lyxor has cross-listed its Lyxor Scientific Beta Developed Long/Short UCITS ETF onto SIX Swiss Exchange.

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

The fund is referenced to the Scientific Beta Multi-Beta Multi-Strategy Managed Volatility L/S Equity Market Neutral (x 3.5) Index.

The long leg of the 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 index also comprises a short position in a broad market capitalization-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% and has grown to approximately $65 million in assets under management.

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