Product news

Fitch confirms 2019 rating- Lyxor HQLA Strategy

A ​HIGH RATING AWARDED TO OUR HQLA STRATEGY

Fitch reaffirmed the rating for Lyxor’s Eurogovies Risk Balanced Fund: 

  • Credit Quality Rating (AAf)​
  • Market Risk Sensitivity Rating (S2)

This rating highlights the fund’s consistent high credit quality assets as well as the fund’s low interest rate risk. This results from:

  • An investment universe concentrated on high quality assets,
  • Strategic diversification guidelines and an investment process based on risk contribution,
  • An experienced portfolio management team managing EUR10.7bn1 on similar strategies.

INTENDED INVESTORS

Banks, seeking to optimise the risk/return profile of their portfolios of high-quality liquid assets (HQLA) used to calculate their short-term liquidity ratio (LCR). The fund only invests in LCR Level-1 assets.

 

All investors in the highly-rated bond segment, aiming to invest in large bond portfolios for regulatory, commitment management or liquidity management reasons.

 

​Investors looking for an alternative to cash deposits with negative rates, who want to keep very high-quality assets but can accept slightly higher volatility.

RISK & RETURN INDICATORS 

Since its inception on November 18, 2014 the fund has delivered:

  • +87 bps return above Eonia2
  • 1% volatility
  • 0.19 Sharpe Ratio

 

1AUM for similar strategies as of November 13, 2019

2Source: Lyxor Asset management, SI-EUR Class, net of fees, as of October 31, 2019.

Associated Funds

Name
EuroGovies Risk Balanced