Lyxor Asset Management has launched a suite of five global equity ETFs combining thematic investing with socially responsible selection criteria.

The funds provide global exposure to disruptive themes while screening out companies with poor ESG profiles.

The funds cover a range of exposures including smart cities, millennials, disruptive technology, future mobility, and the digital economy while utilizing an environmental, social, and governance (ESG) screen to filter out firms with poor sustainability profiles.

Constituent selection is driven by exposure to the underlying theme, while the ETFs also employ a fundamentals-based weighting approach that tilts towards the quality factor.

The ETFs have listed on Euronext Paris in euros and on SIX Swiss Exchange in Swiss francs.

Each comes with an expense ratio of 0.45% which is being temporarily discounted to 0.15% until September 2021. Income is capitalized.

Methodology

Lyxor has partnered with MSCI for the launch with the ETFs tracking indices derived from the MSCI ACWI, the index provider’s main benchmark for combined developed and emerging market stocks.

Using insights from MSCI ESG Research, the indices screen out companies embroiled in severe ESG-related controversies, in violation of UN Global Compact principles, as well as those with operations linked to weapons, tobacco, thermal coal, and oil sands.

Firms are then assigned a broad ESG score that reflects its ability to manage key ESG risks relative to firms operating within the same sector. Companies with the lowest scores of ‘CCC’ are also removed.

The methodology then seeks to identify companies linked to the relevant theme. All firms are assigned a thematic relevance score based on the percentage of revenue derived from certain industries as well as the frequency of certain keywords within business statements and public company descriptions. Companies with relevance scores below 25% are removed.

The remaining firms are ranked according to their relevance scores and the top half are selected for final index inclusion subject to a minimum of 60 and a maximum of 250 securities.

These constituents are then weighted according to a quality factor score derived from three metrics: percentage of sales spent on R&D; return on invested capital, and one-year sales growth.

The indices are reconstituted and rebalanced on a semi-annual basis.

The funds

The Lyxor MSCI Smart Cities ESG Filtered UCITS ETF (IQCT FP; IQCT SW) tracks the MSCI ACWI IMI Smart Cities ESG Filtered Net Total Return Index. The index covers companies deriving significant revenue from smart connectivity, smart buildings, smart homes, smart safety and security, smart mobility, smart waste and water management, and smart energy and grids.

The Lyxor MSCI Millennials ESG Filtered UCITS ETF (MILL FP; MILL SW) tracks the MSCI ACWI IMI Millennials ESG Filtered Net Total Return Index. The index covers companies deriving significant revenue from social media and entertainment, health and fitness, clothing and apparel, food and dining, travel and leisure, housing and home goods, and financial services.

The Lyxor MSCI Disruptive Technology ESG Filtered UCITS ETF (UNIC FP; QBIT SW) tracks the MSCI ACWI IMI Disruptive technology ESG Filtered Index. The index covers companies deriving significant revenue from 3D printing, the ‘Internet of Things’, cloud computing, Fintech, digital payments, healthcare, robotics, clean energy and smart grids, and cybersecurity.

The Lyxor MSCI Future Mobility ESG Filtered UCITS ETF (ELCR FP; ELCR SW) tracks the MSCI ACWI IMI Future Mobility ESG Filtered Net Total Return Index. The index covers companies deriving significant revenue from electric vehicles, autonomous vehicles and related technologies, new passenger and freight transportation methods, electro-chemical energy storage technologies, shared mobility, and the mining of metals involved in battery manufacture.

The Lyxor MSCI Digital Economy ESG Filtered UCITS ETF (EBUY FP; EBUY SW) tracks the MSCI ACWI IMI Digital Economy ESG Filtered Net Total Return Index. The index covers companies deriving significant revenue from e-commerce, digital payments, cybersecurity, social media, cloud computing, robotics, and the sharing economy.