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ETF Research & Solutions | Active-Passive Navigator 01 June 2020 1
‘*Q1 data period observed from 01/01/2020 to 31/03/2020. Data was collected on 21/05/2020
This document is for the exclusive use of investors acting on their own account and categorised either as “Eligible Counterparties” or “Professional Clients” within the meaning of Markets in Financial Instruments Directive 2014/65/EU. This document is reserved and must be given in Switzerland exclusively to Qualified Investors as defined by the Swiss Collective Investment Scheme Act of 23 June 2006 (as amended from time to time, CISA).
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Active-Passive Navigator: Q1 2020 The Active-Passive Navigator contains a comprehensive analysis of the performance of active managers through the last 10 years. In this report, we also assess the main trends that influenced global market performance and how well active managers generated alpha in Q1 20201
Q1 2020 was a quarter of superlatives. The spread of the Covid-19 pandemic and subsequent shutdown triggered two major market reversals in a short timeframe.
Increased fundamental pricing supported active managers until the virus reached its pandemic status.
Market timing and sector allocation were key differentiators during the market downturn and subsequent rebound.
Equities Fixed Income
Small Caps: Over the quarter, small-cap managers strongly outperformed their benchmarks.
US and Europe: The uneven impact of local responses to the epidemic fuelled increased economic and stock dispersion and benefited active European large-cap funds. US active funds did better than average, supported by higher sector bias towards the tech sector.
In contrast, passive funds outperformed in Japan, the UK, and EM. Active managers were caught on the wrong side as the pandemic crushed the market rally which had been supported by receding political uncertainty across the globe (trade war & Brexit).
Investors were better off with passive funds in most fixed income segments with the notable exception of High Yield (HY).
Active managers with government bond exposure navigated a perfect storm, particularly in the US. An impressive bond rally followed unprecedented Fed support and aggressive fiscal stimulus.
Flexible managers also suffered. Their investment-grade allocations, generally tilted to higher risk, underperformed during the credit market meltdown.
HY managers stood out in Q1. Cautiously positioned at the start of the quarter, they were more resilient during the selloff. Active managers focusing on Emerging Market (EM) hard-currency debt underperformed moderately.
Lyxor Research Contributors
ETF Research & Solutions
Vincent Denoiseux (Head)
Cross Asset Research
Jean-Baptiste Berthon (Senior strategist)
Summary
Equity managers in Q1 2
Fixed Income managers in Q1 4
2019 at a Glance 6
Long term analysis 7
Asset-Class Analysis 11
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‘*Q1 data period observed from 01/01/2020 to 31/03/2020. Data was collected on 21/05/2020
This document is for the exclusive use of investors acting on their own account and categorised either as “Eligible Counterparties” or “Professional Clients” within the meaning of Markets in Financial Instruments Directive 2014/65/EU. This document is reserved and must be given in Switzerland exclusively to Qualified Investors as defined by the Swiss Collective Investment Scheme Act of 23 June 2006 (as amended from time to time, CISA).
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Equity: Q1 a quarter of two halves for both active and passive managers
2020 started on a strong footing. Receding political
uncertainty (‘Phase One’ trade agreement between the
US and China, lower hard-Brexit risks) and prospects of
a mid-cycle recovery supported market performance.
This allowed for greater sector and factor differentiation.
Cyclical sectors outperformed along with Growth and
Quality factor stocks.
Active managers benefited from the higher dispersion in
equity performance and sector rotation. While most
active funds did well during the first half of the quarter,
they only modestly outperformed their benchmarks.
Equities most sensitive to domestic activity
outperformed, supporting the performance of small-cap
funds in Europe and in the US. Conversely, large-cap
active funds, less sensitive to domestic uncertainty,
underperformed passive managers. Alpha generation
was also poor in Japan. Japanese equities took a larger-
than-expected hit from the consumption tax hike and
stock dispersion was low.
That market environment went through a massive
upheaval after mid-February when the spread of the
Covid-19 reached pandemic status. The sudden halt in
economic activity increased uncertainty and triggered
bouts of volatility along with heavy selloffs across equity
markets. Extreme market gyrations during the second
half of the quarter were driven by many factors, including
the pace of the virus spreading, unprecedented stimulus
decisions, a self-inflicted oil price war, and the collapse in
corporate earnings guidance.
As such, stock valuations were of little relevance and the traditional assessment methods of corporate fundamentals (DCF, financial ratio, equity risk premium or business analysis, etc.) were of little help, considering the unprecedented negative shock to activity. The quality of market timing, sector arbitrage and risk management were key differentiating factors when comparing the performance of active managers over the period.
Q1 2020: A quarter of two halves Performance of the main equity indices (Net total return, in EUR, base 100 = 01/01/2020)
Source: Bloomberg, Lyxor International Asset Management, data as at 21/05/2020. Past performance is not a reliable indicator of future performance.
Equity Managers’ Alpha in Q1 2020 Equal-weighted average of the relative performance of active funds by exposure (in EUR)
Exposure Funds Return
(ew)
Alpha
US Small Cap -25.4% 3.7%
Europe Small Cap -26.3% 2.6%
EMU Large Cap -24.0% 1.1%
Europe Large Cap -22.2% 0.4%
World Large Cap -18.8% 0.4%
France Large Cap -25.7% 0.2%
US Large Cap Blend -18.5% -0.6%
Germany Large Cap -26.0% -0.7%
UK Large Cap -29.7% -1.4%
Emerging Equities -23.3% -1.5%
Japan Large Cap -16.8% -1.9%
Source: Morningstar, Lyxor International Asset Management. Alpha is calculated against each respective Benchmark gross of fees. Data as at 21/05/2020. Past performance is not indicative of future performance.
50
60
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110
Jan 20 Feb 20 Mar 20
S&P 500 Total Return
EuroSTOXX 50 Total Return
MSCI World Net Return
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Small-cap funds strongly outperformed their free-falling
benchmark indices and were able to navigate some of the
most obvious sector rotations (out of consumer
discretionary, energy, financial, value stocks; into the
defensive, growth and quality segments).
International and eurozone equity funds successfully
arbitraged the soaring local market dispersion that resulted
from uneven responses to the outbreak from different
authorities. Most of these funds also adequately
maintained their overall exposures, allowing them to benefit
from the market rally that started in the last week of March.
In contrast, for UK large-cap and EM exposure, investors
were better off in passive funds. The strong reversal in
defensive/cyclical performance affected UK large-cap
indices the most. Meanwhile, EM equities suffered record
outflows across the board and dislocated liquidity
conditions. Active managers with EM equity exposure also
struggled to capture the rotation back into Chinese equities
and in some parts of EM Asia countries at the expense of
the other EM blocks.
Equity Managers’ Hit Ratio in Q1 2020 Percentage of reporting funds outperforming their respective net benchmark
Exposure Hit Ratio
Europe Small Cap 68%
US Small Cap 64%
EMU Large Cap 59%
World Large Cap 55%
Europe Large Cap 53%
France Large Cap 52%
US Large Cap Blend 49%
Germany Large Cap 45%
Emerging Equities 33%
UK Large Cap 33%
Japan Large Cap 32%
Average 49%
Source: Morningstar, Lyxor International Asset Management. Hit Ratio is calculated against each respective Benchmark, net of fees. Data as at 21/05/2020. Past performance is not indicative of future performance.
Market: elevated volatilities across the board in Q1 2020
Implied volatility for the main Equity benchmarks
Source: Bloomberg, Lyxor International Asset Management, data as at 27/05/2020. Past results are not a reliable indicator of future results.
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100
Jan 20 Feb 20 Mar 20
S&P 500 Volatility (VIX)
EuroSTOXX 50 Volatility (VSTOXX)
Nikkei 225 Volatility (VNKY)
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Fixed Income managers: most active managers went through a perfect storm in Q1
Active strategies focusing on sovereign bonds
strongly underperformed their benchmarks, caught
on the wrong side especially in the US. The impressive
US Treasury rally was challenging to beat, and the
unexpected Fed rate cut early March at an
unscheduled meeting caught most managers off guard.
Moreover, they struggled to navigate a counterintuitive
flattening of the curve in the first part of Q1 when
economic activity was gaining traction. This was
followed by a sudden steepening of the US Treasury
curve when it became clear the global economy will
experience its steepest recession since WWII.
Active managers were also generally long inflation
breakevens before vanishing demand and a price war
among producers triggered an 80% plunge in the oil
price. The avalanche of monetary and fiscal stimulus
was also particularly challenging to predict and
arbitrate. Funds with the longest duration were more
resilient. Funds operating in European markets only
modestly underperformed thanks to the wider
dispersion in government bond yields which reflected
the uneven governmental response to the pandemic.
Flexible managers in Europe and the US also
strongly underperformed their aggregate bond
benchmarks. The most resilient managers held long
duration hedges, especially in the US. However, their
number was limited.
Investment Grade (IG) Credit managers moderately
underperformed. Active investment-grade managers
tend to structurally boost their beta exposures,
particularly when liquidity conditions are buoyant. This
contributed negatively when the credit market
downturn started. Some were able to benefit from the
appealing valuations in primary markets.
HY managers stood out positively in Q1 both in the US and Europe. The credit crash was particularly severe in this segment. Market liquidity dried up, with record outflows and surging bid-ask spreads. Implied volatility levels in the credit market shot up to levels not seen since the 2008 Global Financial Crisis. Primary dealers’ corporate bond balances shrunk reflecting growing concerns about global and corporate financial stability. Concerns about rich credit valuations and deteriorating credit metrics (such as covenants or leverage) earlier in the quarter, led managers to stand reasonably cautious. They also had limited deep HY/distressed positions. Finally, some managers took the opportunity to further reduce their exposures when equities plunged, a week before credit markets.
Fixed Income Managers’ Alpha in Q1 2020 Equal-weighted average of the relative performance of active funds by exposure (in EUR)
Exposure Funds Return
(ew)
Alpha
Euro High Yield -14.0% 0.8%
USD High Yield Bonds -10.2% 0.4%
Euro Corporate -6.6% -0.4%
Euro Government Bonds -0.6% -0.8%
EM Debt - Hard Currency -12.3% -1.0%
Euro Aggregate -3.6% -2.5%
USD Aggregate Bonds 2.6% -2.9%
Global Bonds -1.0% -3.0%
USD Government Bonds 7.4% -3.2%
Source: Morningstar, Lyxor International Asset Management. Alpha is calculated against each respective Benchmark, gross of fees. Data as at 21/05/2020. Past performance is not a reliable indicator of future performance.
Elevated credit spread across EUR and USD segments Investment Grade option-adjusted spreads (in %)
Source: Bloomberg, Lyxor International Asset Management, data as at 27/05/2020. Past performance is not a reliable indicator of future performance.
Fixed Income Managers’ Hit Ratio in Q1 2020 Percentage of reporting funds outperforming their respective net benchmark
Exposure Hit Ratio
Euro High Yield 65%
USD High Yield Bonds 50%
EM Debt - Hard Currency 40%
Euro Corporate 35%
Global Bonds 33%
Euro Government Bonds 29%
Euro Aggregate 21%
USD Aggregate Bonds 20%
USD Government Bonds 17%
Average 34%
Source: Morningstar, Lyxor International Asset Management. Hit Ratio is calculated against each respective Benchmark, net of fees. Data as at 21/05/2020. Past performance is not indicative of future performance.
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01 Jan 20 21 Jan 20 10 Feb 20 01 Mar 20 21 Mar 20
Bbg Barclays US Agg IG Corp. Avg OAS (%)
Bberg Barclays EuroAgg IG Corp. AvgeOAS (%)
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Sector rotation also contributed positively to the outperformance, with businesses most exposed to the virus unsurprisingly hit the most.
The modest alpha destruction of EM Hard Currency Debt managers was better than feared, in light of the heavy outflows and poor liquidity conditions in EM markets during the selloff. Differentiation across EM countries soared in Q1, fuelled by their uneven exposure to the pandemic, their specific sensitivities to regional Developed Markets, business cycles, and their own ability to stimulate their economies. Their vulnerability to capital outflows, their external debts and to oil prices were additional drivers of differentiation.
The favourable contribution from relative arbitrages helped mitigate the losses from dried-out liquidity.
Elevated credit spread across EUR and USD segments High Yield credit spreads across Q1 2020 (in bps)
Source: Bloomberg, Lyxor International Asset Management, data as at 27/05/2020. Past performance is not a reliable indicator of future returns.
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01 Jan 20 21 Jan 20 10 Feb 20 01 Mar 20 21 Mar 20Bbg Barclays US High Yield Spread (CDX, bps)
Bbg Barclays EUR High Yield Spread (iTraxx, bps)
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Active management performance in 2019
In 2019, the ability of active managers to outperform vastly differed across exposures. On average, 45%
(simple average across exposures) of fund managers outperformed their benchmarks over the year (35% for
Fixed Income managers)..
Equity
Exposure Hit Ratio
US Small Cap 66%
Germany Large Cap 64%
UK Large Cap 61%
Emerging Equities 60%
Japan Large Cap 48%
Europe Large Cap 39%
Europe Small Cap 39%
EMU Large Cap 39%
US Large Cap Blend 26%
France Large Cap 25%
World Large Cap 23%
Average 45%
Exposure Funds Return (ew) Alpha
US Small Cap 29.6% 2.3%
Emerging Equities 21.7% 1.1%
UK Large Cap 26.9% 0.7%
Germany Large Cap 23.3% 0.3%
Japan Large Cap 21.4% -0.5%
Europe Large Cap 24.3% -1.7%
EMU Large Cap 23.1% -2.4%
US Large Cap Blend 29.9% -3.4%
France Large Cap 24.2% -3.8%
Europe Small Cap 27.4% -4.1%
World Large Cap 25.7% -4.4%
Source: Morningstar, Lyxor International Asset Management. Hit Ratio is calculated against the Benchmark, net of fees. Alpha is calculated against each respective Benchmark, gross of fees. Q1 data period observed from 01/01/2020 to 31/03/2020. Data was collected on 21/05/2020. Past performance is not indicative of future performance.
Fixed Income
Exposure Hit Ratio
USD High Yield Bonds 45%
Euro Corporate 44%
Global Bonds 42%
USD Aggregate Bonds 41%
Euro Government Bonds 35%
Euro Aggregate 31%
EM Debt - Hard Currency 30%
USD Government Bonds 27%
Euro High Yield 21%
Average 35%
Exposure Funds Return (ew) Alpha
Euro Corporate 5.6% -0.6%
USD Aggregate Bonds 9.7% -1.0%
Global Bonds 7.8% -1.0%
USD Government Bonds 7.6% -1.2%
USD High Yield Bonds 15.0% -1.4%
Euro Aggregate 4.3% -1.7%
Euro Government Bonds 4.5% -1.9%
Euro High Yield 8.8% -2.6%
EM Debt - Hard Currency
14.1% -3.1%
Source: Morningstar, Lyxor International Asset Management. Hit Ratio is calculated against the Benchmark, net of fees. Alpha is calculated against the Benchmark, gross of fees. Q1 data period observed from 01/01/2020 to 31/03/2020. Data was collected on 21/05/2020. Past performance is not indicative of future performance.
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Long term analysis: hit ratios by asset class
We looked at active funds’ outperformance over different timeframes for each asset class. We define the ‘hit ratio’
as the percentage of active funds for each asset class that have outperformed the corresponding standard Net
Benchmark.
The tables below suggest a high dispersion in performance among exposures. This does not come as a surprise
as dispersion, analyst coverage and importance of macro-economic factors vastly differ.
However, results suggest that it can be more challenging to generate sustainable alpha over a longer period. The
average Hit Ratio moved from 49% YTD to 36% over a 5Y timespan. Over 10 years, the results are even more
striking (see page 11).
Equity
Hit Ratio
Asset Class Benchmark YtD 1Y 3Y 5Y
Europe Small Cap MSCI Europe Small Cap 68% 59% 46% 59%
US Small Cap Russell 2000 64% 68% 65% 63%
EMU Large Cap MSCI EMU 59% 55% 44% 37%
World Large Cap MSCI World 55% 42% 24% 17%
Europe Large Cap MSCI Europe 53% 49% 36% 36%
France Large Cap MSCI France 52% 40% 16% 16%
US Large Cap Blend MSCI USA 49% 37% 19% 13%
Germany Large Cap MSCI Germany 45% 37% 46% 58%
Emerging Equities MSCI EM 33% 43% 34% 38%
UK Large Cap FTSE All-Share 33% 38% 32% 23%
Japan Large Cap MSCI Japan 32% 28% 31% 37%
Average 49% 45% 36% 36%
Source: Morningstar, Lyxor International Asset Management. Data was collected on 21/05/2020. Past performance is not indicative of future performance.
Fixed Income
Hit Ratio
Asset Class Benchmark YtD 1Y 3Y 5Y
Euro High Yield BBgBarc Pan Euro HY Euro 65% 55% 32% 31%
USD High Yield Bonds BBgBarc High Yield Corporate 50% 52% 42% 20%
EM Debt - Hard Currency JPM EMBI Global Diversified 40% 36% 21% 15%
Euro Corporate BBgBarc Euro Corps 35% 38% 27% 26%
Global Bonds BBgBarc Global Aggregate 33% 30% 24% 13%
Euro Government Bonds BBgBarc Euro Govt 29% 25% 19% 19%
Euro Aggregate BBgBarc Euro Bond 21% 13% 11% 11%
USD Aggregate Bonds BBgBarc US Bond 20% 16% 17% 14%
USD Government Bonds BBgBarc US Treasury 17% 12% 14% 13%
Average 34% 31% 23% 18%
Source: Morningstar, Lyxor International Asset Management. Data was collected on 21/05/2020. Past performance is not indicative of future performance.
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Long term analysis: fund survivorship
We looked at the fund universe 1Y, 5Y and 10Y ago, counted the number of funds which were operating at that
time and assessed whether they were still operational at the end of March 2020. We define the result as
“survivorship”.
Results show high survivorship over the shortest timeframe (95% on average, across all asset classes over a 1Y
period). However, it declines over time. On average, only 63% of the funds that were operational 10 years ago
were still active at the end of March 2020.
How many funds stayed afloat?
Survivorship 1Y Survivorship 5Y Survivorship 10Y
EM Debt - Hard Currency 97% 79% 70%
EMU Large Cap 98% 81% 61%
Emerging Equities 94% 75% 73%
Euro Aggregate 95% 74% 55%
Euro Corporate 97% 80% 67%
Euro Government Bonds 95% 73% 56%
Euro High Yield 98% 84% 76%
Europe Large Cap 92% 76% 55%
Europe Small Cap 94% 86% 65%
France Large Cap 92% 78% 65%
Germany Large Cap 90% 76% 67%
Global Bonds 95% 79% 69%
Japan Large Cap 92% 71% 48%
UK Large Cap 90% 73% 57%
US Large Cap Blend 91% 74% 56%
US Small Cap 94% 65% 58%
USD Aggregate Bonds 93% 75% 53%
USD Government Bonds 97% 74% 62%
USD High Yield Bonds 99% 95% 97%
World Large Cap 96% 75% 57%
Average 95% 77% 63%
Source: Morningstar, Lyxor International Asset Management. Data was collected on 21/05/2020. Past performance is not indicative of future performance..
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Survivorship Bias
We also compared the performance of the funds that stayed active to those that had been liquidated to measure
any survivorship bias.
We needed to replace “missing” returns by a reasonable estimate of the returns that an investor would have
benefited from in the period following the fund’s liquidation. To achieve this, we replaced missing returns (following
a fund closure) with the average returns of the funds in the same asset category.
The table below shows that, on average and across asset classes, funds that have been liquidated tend to have
significantly lower hit ratio than those still active.
It is therefore critical to adjust data to reflect this “survivorship bias” when looking at long term hit ratios (e.g. 10y).
What’s the performance difference between reporting and closed funds?
Hit Ratio by observation window
5Y, live funds 5Y, all funds 10Y, live funds 10Y, all funds
EM Debt - Hard Currency 15% 12% 7% 5%
EMU Large Cap 37% 32% 36% 26%
Emerging Equities 38% 32% 37% 31%
Euro Aggregate 11% 8% 14% 9%
Euro Corporate 26% 22% 33% 25%
Euro Government Bonds 19% 16% 23% 15%
Euro High Yield 31% 27% 14% 11%
Europe Large Cap 36% 30% 32% 21%
Europe Small Cap 59% 58% 42% 34%
France Large Cap 16% 12% 28% 18%
Germany Large Cap 58% 51% 40% 38%
Global Bonds 13% 10% 18% 13%
Japan Large Cap 37% 33% 33% 21%
UK Large Cap 23% 20% 48% 38%
US Large Cap Blend 13% 10% 7% 4%
US Small Cap 63% 62% 52% 52%
USD Aggregate Bonds 14% 10% 23% 12%
USD Government Bonds 13% 10% 17% 11%
USD High Yield Bonds 20% 19% 19% 19%
World Large Cap 17% 14% 9% 5%
Average 28% 24% 27% 20%
Source: Morningstar, Lyxor International Asset Management. Data was collected on 21/05/2020. Past performance is not indicative of future performance.
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Methodology
Investing is all about return and risk, and the monitoring of performance is key for investors. Increasing data
transparency over recent years has significantly increased the quality of fund performance analysis. Benchmarks
and financial indices have become an industry standard and Index Funds and ETFs have become an effective
way to track those indices at low cost.
While there are many tools available to compare a small universe of investment funds with their respective
benchmarks, it remains difficult to get a grip of the broader picture. There are many challenges to address when
attempting such an analysis, mainly in ensuring a fair comparison of returns.
The Active-Passive Navigator aims for a comprehensive analysis of the performance of funds and ETFs domiciled
in Europe. For each asset category it compares fund and ETF performance against the most investable and
replicable benchmarks.
Fund Universe and Classification
We screen the fund universe as defined by Morningstar Direct, a market leader in funds’ data. We primarily use
Morningstar Funds and ETF classifications. In some instances, we can use other sources such as Bloomberg,
Lyxor International Asset Management, providers’ websites and regulatory filings. Feeder funds and funds of
funds are excluded from the analysis.
The initial universe of funds screened by this report covers 68,410 funds and ETFs, and most of the data is as at
21/05/2020.
Fund Survivorship and Performance
To reduce survivorship bias, our analysis includes liquidated funds.
We a) indicate the survivorship level over each reported time; and b) reconstruct an estimated performance of the
entire fund universe (equal-weighted and asset-weighted) and swap any fund that has been liquidated by the
equal-weighted performance of the remaining funds in the universe.
In this process, we replicate what an average investor would most likely have done, i.e. redeeming his or her
investment from the liquidated funds and investing in the remaining funds of the same fund category.
Fund Share Classes and Returns
Historical assets under management (AuM) data are essential to calculate asset-weighted funds returns. For each
fund, we extract long-term performance and AuM time series for open-ended funds (Active and Index Funds) and
exchange-traded funds (ETFs) domiciled in Europe, using Morningstar data.
When comparing returns, we look at each fund’s Oldest Share Class as defined by Morningstar (“the most
appropriate share class to use for performance-comparison purposes”1). For each exposure type, we calculate
equal-weighted (“ew”) and asset-weighted (“aw”) aggregate returns.
Benchmark and Net Benchmark
For each market segment, before comparing returns, we define a financial index as the Benchmark. The choice
of benchmark relies on broad recognition by the investment community and availability (e.g. a long track record
for the Total Return, net of withholding taxes). When calculating the “Hit Ratio”, i.e. the percentage of funds which
outperformed their respective benchmark, we deduct the average Net Expense Ratio of the ETFs within the same
category. The Next Expense Ratio is asset-weighted and observed over the last 3 years.
1 See “Oldest Share Class Methodology”, 31 October 2016, Morningstar
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Asset Class Analysis: Table of Contents
Return to home page
Fixed Income: Equities:
Euro Aggregate: analysis Euro Corporate: analysis Euro Government Bonds: analysis Euro High Yield: analysis USD Aggregate Bonds: analysis USD Government Bonds: analysis USD High Yield Bonds: analysis EM Debt - Hard Currency: analysis Global Bonds: analysis
Europe Large Cap: analysis Europe Small Cap: analysis EMU Large Cap: analysis France Large Cap: analysis Germany Large Cap: analysis Japan Large Cap: analysis UK Large Cap: analysis US Large Cap Blend: analysis US Small Cap: analysis Emerging Equities: analysis World Large Cap: analysis
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Asset Class Deep Dive: Euro Aggregate Return to Table of Contents
This universe covers Europe domiciled funds which invest in Euro
denominated investment grade bonds across all issuers and
durations.
The universe covers EUR 128.9bn, out of which EUR 124.2 bn is
invested in 503 active operating funds.
Compared to an investment in Bloomberg Barclays Euro Bond net
of 0.22 % (average expense ratio of the ETFs of this universe)
13.2% of the active, operating funds belonging to this universe have
outperformed over 1Y (11.0% over 5Y and 13.7% over 10Y ).
Hit Ratio snapshot Percentage of outperformers (%, in EUR)
Market Performance Fund Universe: Overview
BBgBarc Euro
Bond
Active Funds (ew)
Year To Date -1.13 % -3.61 %
1 Year 2.23 % -1.33 %
3 Years (pa) 2.26 % 0.04 %
5 Years (pa) 1.37 % -0.03 %
10 Years (pa) 3.68 % 2.16 %
All funds 1344
Operating funds (Active) 512 (503)
Total AUM EUR 128.9bn
Active / passive AUM EUR 124.2 / 4.7 bn
Funds / ETFs AUM EUR 126.4 / 2.6bn
Avg. active fee (aw) 0.67 % (0.56 %)
Avg. ETF fee (aw) 0.23 % (0.23 %)
Avg. ETF Exp. Ratio (aw) 0.18 % (0.22 %)
Benchmark BBgBarc Euro Bond
Hit ratio: 2020 (YtD) compared to previous years Hit ratio of reporting funds vs. net benchmark, annual performances (%, in EUR, Year to Date for 2020)
Calendar year performance Active performance net of fund fees & costs (%, in EUR)
YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Benchmark -1.13 5.98 0.41 0.68 3.32 1.00 11.10 2.17 11.19 3.24 2.18
Net benchmark -1.18 5.75 0.18 0.46 3.09 0.77 10.85 1.94 10.95 3.01 1.95
Reporting funds (ew) -3.61 4.28 -1.60 0.68 2.27 0.02 7.16 1.56 1.56 1.46 2.09
Reporting funds (aw) -2.69 4.91 -1.08 0.63 2.56 0.35 8.62 1.45 9.46 1.86 2.42
Hit ratio (%) 21 % 31 % 8 % 47 % 29 % 23 % 22 % 39 % 27 % 30 % 51 %
Reporting funds (#) 493 477 499 510 527 545 571 595 571 585 611
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Q1-2020 hit ratio compared to previous quarters
Quarterly outperformance of reporting funds (%, in EUR)
Quarterly performance Active performance net of fund fees & costs (% in EUR)
Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18 Q2 18
Benchmark -1.13 -2.24 2.86 2.83 2.51 0.87 -0.70 -0.47
Net benchmark -1.18 -2.30 2.80 2.77 2.45 0.81 -0.76 -0.53
Reporting funds (ew) -3.61 -1.00 1.58 1.73 1.87 -0.29 -0.42 -0.88
Reporting funds (aw) -2.69 -1.51 2.01 2.21 2.16 0.02 -0.50 -0.81
Hit ratio (%) 21 % 87 % 18 % 23 % 29 % 13 % 76 % 33 %
Reporting funds (#) 493 493 497 502 508 511 512 511
Monthly performance Active performance net of fund fees & costs (% in EUR)
Mar Feb Jan Dec Nov Oct Sep Aug Jul Jun May Apr
Benchmark -3.39 0.35 1.99 -0.73 -0.62 -0.92 -0.53 1.91 1.47 1.89 0.80 0.12
Net benchmark -3.41 0.33 1.97 -0.75 -0.64 -0.93 -0.55 1.90 1.45 1.87 0.79 0.10
Funds (ew) -4.51 -0.12 1.05 -0.22 -0.31 -0.48 -0.37 0.99 0.94 1.26 0.19 0.28
Funds (aw) -4.12 0.09 1.40 -0.43 -0.45 -0.64 -0.52 1.40 1.13 1.54 0.43 0.23
Hit ratio (%) 34 % 17 % 13 % 90 % 78 % 84 % 69 % 20 % 18 % 24 % 14 % 68 %
Reporting funds (#) 496 497 495 495 496 498 500 504 504 507 507 505
Performance consistency: annual returns
The ability of fund managers to outperfom over subsequent periods is key in delivering sustainable alpha. An upward sloping line usually indicates that the outperformers are consistent across time.
2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Long term active performance of live funds
Performance over different time periods (in %, in EUR)
YtD 1Y 3Y 5Y 10Y
Benchmark -1.13 2.23 2.26 1.37 3.68
Reporting funds: equal-weighted average -3.61 -1.33 0.04 -0.03 2.16
Reporting funds: asset-weighted average -2.69 -0.07 0.75 0.32 2.55
Reporting funds: top decile -0.29 2.42 2.10 1.17 3.56
Reporting funds: top quartile -1.44 0.85 1.26 0.61 3.08
Reporting funds: median -2.96 -0.99 -0.07 -0.01 2.22
Reporting funds: bottom quartile -5.00 -3.45 -1.01 -0.59 1.42
Reporting funds: bottom decile -7.64 -5.28 -1.95 -1.20 0.63
Net benchmark -1.18 2.00 2.03 1.15 3.45
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Long term survivorship: how many funds stayed afloat? Number of funds that stayed active over different investment horizons
YtD 1Y 3Y 5Y 10Y
Reporting funds 493 479 448 427 358
All funds = reporting + non-reporting 493 505 526 579 650
Survivorship: %of reporting funds vs total 100.0 % 94.9 % 85.2 % 73.7 % 55.1 %
Survivorship Bias: what’s the performance difference between reporting and closed funds? Percentage of live and closed funds (in EUR, estimated performance for closed funds)
YtD 1Y 3Y 5Y 10Y
Benchmark -1.13 2.23 2.26 1.37 3.68
Net benchmark -1.18 2.00 2.03 1.15 3.45
Hit ratio (vs reporting funds) 21 % 13.2 % 11.2 % 11.0 % 13.7 %
Hit ratio (vs all funds) 20.7 % 12.5 % 9.5 % 8.3 % 8.8 %
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Has a higher relative risk been rewarded by a higher active return over the last year? 1-year relative returns (in EUR) as a function of 1-year tracking-error (52 weekly returns, in EUR) An upward sloping line usually indicates that asset managers taking a higher Active Risk against the benchmark are on average rewarded by a a higher Active Return.
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Asset Class Deep Dive: Euro Corporate Return to Table of Content
This universe covers Europe domiciled funds which invest in Euro
denominated corporate bonds across all durations.
The universe covers EUR 169.0bn, out of which EUR 126.4 bn is
invested in 349 active operating funds.
Compared to an investment in Bloomberg Barclays Euro Corps net
of 0.20 % (average expense ratio of the ETFs of this universe)
37.5% of the active, operating funds belonging to this universe have
outperformed over 1Y (25.9% over 5Y and 32.7% over 10Y ).
Hit Ratio snapshot Percentage of outperformers (%, in EUR)
Market Performance Fund Universe: Overview
BBgBarc Euro
Corps
Active Funds (ew)
Year To Date -6.15 % -6.56 %
1 Year -3.38 % -3.99 %
3 Years (pa) 0.19 % -0.54 %
5 Years (pa) 0.71 % 0.04 %
10 Years (pa) 3.14 % 2.49 %
All funds 596
Operating funds (Active) 406 (349)
Total AUM EUR 169.0bn
Active / passive AUM EUR 126.4 / 42.6 bn
Funds / ETFs AUM EUR 139.9 / 28.9bn
Avg. active fee (aw) 0.55 % (0.45 %)
Avg. ETF fee (aw) 0.15 % (0.17 %)
Avg. ETF Exp. Ratio (aw) 0.20 % (0.20 %)
Benchmark BBgBarc Euro Corps
Hit ratio: 2020 (YtD) compared to previous years Hit ratio of reporting funds vs. net benchmark, annual performances (%, in EUR, Year to Date for 2020)
Calendar year performance Active performance net of fund fees & costs (%, in EUR)
YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Benchmark -6.15 6.24 -1.25 2.41 4.73 -0.56 8.40 2.37 13.59 1.49 4.75
Net benchmark -6.20 6.03 -1.45 2.21 4.52 -0.76 8.18 2.17 13.37 1.28 4.54
Reporting funds (ew) -6.56 5.60 -2.16 2.48 4.03 -0.76 6.67 2.64 2.64 0.34 3.94
Reporting funds (aw) -6.34 6.42 -2.10 2.85 4.26 -0.79 7.45 2.85 13.64 0.35 4.19
Hit ratio (%) 35 % 44 % 28 % 57 % 40 % 50 % 32 % 59 % 41 % 43 % 35 %
Reporting funds (#) 343 323 309 311 312 322 320 322 300 293 277
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Q1-2020 hit ratio compared to previous quarters
Quarterly outperformance of reporting funds (%, in EUR)
Quarterly performance Active performance net of fund fees & costs (% in EUR)
Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18 Q2 18
Benchmark -6.15 -0.51 1.29 2.16 3.20 -0.62 0.00 -0.25
Net benchmark -6.20 -0.56 1.24 2.11 3.14 -0.67 -0.05 -0.30
Reporting funds (ew) -6.56 -0.25 1.13 1.88 2.74 -1.01 0.04 -0.68
Reporting funds (aw) -6.34 -0.28 1.32 2.20 3.06 -1.01 0.09 -0.63
Hit ratio (%) 35 % 75 % 43 % 44 % 30 % 35 % 56 % 26 %
Reporting funds (#) 343 337 335 333 331 326 319 321
Monthly performance Active performance net of fund fees & costs (% in EUR)
Mar Feb Jan Dec Nov Oct Sep Aug Jul Jun May Apr
Benchmark -6.85 -0.40 1.16 -0.05 -0.25 -0.21 -0.76 0.64 1.43 1.58 -0.15 0.72
Net benchmark -6.87 -0.42 1.14 -0.07 -0.27 -0.23 -0.78 0.62 1.41 1.57 -0.17 0.70
Funds (ew) -6.96 -0.42 0.87 0.06 -0.14 -0.17 -0.58 0.54 1.17 1.40 -0.23 0.71
Funds (aw) -6.89 -0.38 0.98 0.05 -0.18 -0.15 -0.62 0.66 1.29 1.58 -0.17 0.78
Hit ratio (%) 41 % 50 % 23 % 74 % 72 % 63 % 69 % 44 % 33 % 41 % 43 % 57 %
Reporting funds (#) 346 346 344 343 341 339 338 340 338 336 335 334
Performance consistency: annual returns
The ability of fund managers to outperfom over subsequent periods is key in delivering sustainable alpha. An upward sloping line usually indicates that the outperformers are consistent across time.
2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Long term active performance of live funds
Performance over different time periods (in %, in EUR)
YtD 1Y 3Y 5Y 10Y
Benchmark -6.15 -3.38 0.19 0.71 3.14
Reporting funds: equal-weighted average -6.56 -3.99 -0.54 0.04 2.49
Reporting funds: asset-weighted average -6.34 -3.29 -0.03 0.39 2.82
Reporting funds: top decile -4.32 -2.09 0.52 0.85 3.45
Reporting funds: top quartile -5.81 -3.18 0.04 0.52 3.06
Reporting funds: median -6.67 -3.96 -0.44 0.13 2.60
Reporting funds: bottom quartile -7.63 -4.81 -1.14 -0.50 1.94
Reporting funds: bottom decile -8.66 -5.81 -1.67 -0.87 1.50
Net benchmark -6.20 -3.57 -0.01 0.51 2.94
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Long term survivorship: how many funds stayed afloat? Number of funds that stayed active over different investment horizons
YtD 1Y 3Y 5Y 10Y
Reporting funds 343 325 290 266 196
All funds = reporting + non-reporting 345 335 322 331 292
Survivorship: %of reporting funds vs total 99.4 % 97.0 % 90.1 % 80.4 % 67.1 %
Survivorship Bias: what’s the performance difference between reporting and closed funds? Percentage of live and closed funds (in EUR, estimated performance for closed funds)
YtD 1Y 3Y 5Y 10Y
Benchmark -6.15 -3.38 0.19 0.71 3.14
Net benchmark -6.20 -3.57 -0.01 0.51 2.94
Hit ratio (vs reporting funds) 35 % 37.5 % 26.6 % 25.9 % 32.7 %
Hit ratio (vs all funds) 34.8 % 37.3 % 24.5 % 22.1 % 24.7 %
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Has a higher relative risk been rewarded by a higher active return over the last year? 1-year relative returns (in EUR) as a function of 1-year tracking-error (52 weekly returns, in EUR) An upward sloping line usually indicates that asset managers taking a higher Active Risk against the benchmark are on average rewarded by a a higher Active Return.
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Asset Class Deep Dive: Euro Government Bonds Return to Table of Content
This universe covers Europe domiciled funds which invest in Euro
denominated government bonds across durations.
The universe covers EUR 102.8bn, out of which EUR 59.6 bn is
invested in 209 active operating funds.
Compared to an investment in Bloomberg Barclays Euro Govt net
of 0.19 % (average expense ratio of the ETFs of this universe)
25.1% of the active, operating funds belonging to this universe have
outperformed over 1Y (19.4% over 5Y and 22.9% over 10Y ).
Hit Ratio snapshot Percentage of outperformers (%, in EUR)
Market Performance Fund Universe: Overview
BBgBarc Euro Govt Active Funds (ew)
Year To Date 0.24 % -0.60 %
1 Year 4.06 % 1.97 %
3 Years (pa) 3.01 % 1.53 %
5 Years (pa) 1.65 % 0.66 %
10 Years (pa) 3.93 % 2.84 %
All funds 656
Operating funds (Active) 309 (209)
Total AUM EUR 102.8bn
Active / passive AUM EUR 59.6 / 43.3 bn
Funds / ETFs AUM EUR 77.2 / 25.6bn
Avg. active fee (aw) 0.42 % (0.32 %)
Avg. ETF fee (aw) 0.14 % (0.13 %)
Avg. ETF Exp. Ratio (aw) 0.17 % (0.19 %)
Benchmark BBgBarc Euro Govt
Hit ratio: 2020 (YtD) compared to previous years Hit ratio of reporting funds vs. net benchmark, annual performances (%, in EUR, Year to Date for 2020)
Calendar year performance Active performance net of fund fees & costs (%, in EUR)
YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Benchmark 0.24 6.34 0.92 0.20 3.13 1.51 12.42 2.13 10.55 3.54 1.49
Net benchmark 0.19 6.14 0.73 0.01 2.93 1.32 12.22 1.94 10.34 3.35 1.30
Reporting funds (ew) -0.60 4.47 -0.18 -0.16 2.12 0.70 9.92 1.49 1.49 2.73 0.99
Reporting funds (aw) -0.37 5.27 -0.13 0.02 2.43 0.87 10.57 1.25 9.12 2.97 1.13
Hit ratio (%) 29 % 35 % 19 % 36 % 31 % 31 % 34 % 40 % 34 % 39 % 40 %
Reporting funds (#) 207 193 201 206 221 226 231 240 229 240 232
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Q1-2020 hit ratio compared to previous quarters
Quarterly outperformance of reporting funds (%, in EUR)
Quarterly performance Active performance net of fund fees & costs (% in EUR)
Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18 Q2 18
Benchmark 0.24 -2.83 3.53 3.19 2.43 1.36 -0.98 -0.68
Net benchmark 0.19 -2.87 3.48 3.14 2.39 1.31 -1.03 -0.73
Reporting funds (ew) -0.60 -2.11 2.54 2.27 1.80 0.83 -0.82 -0.79
Reporting funds (aw) -0.37 -2.30 3.07 2.60 1.88 0.94 -0.93 -0.91
Hit ratio (%) 29 % 66 % 38 % 30 % 34 % 24 % 58 % 40 %
Reporting funds (#) 207 203 199 200 205 209 208 207
Monthly performance Active performance net of fund fees & costs (% in EUR)
Mar Feb Jan Dec Nov Oct Sep Aug Jul Jun May Apr
Benchmark -2.56 0.51 2.35 -0.93 -0.81 -1.10 -0.44 2.35 1.60 2.14 1.06 -0.03
Net benchmark -2.57 0.49 2.34 -0.95 -0.83 -1.12 -0.46 2.33 1.59 2.13 1.05 -0.05
Funds (ew) -2.33 0.18 1.59 -0.58 -0.70 -0.84 -0.34 1.69 1.20 1.59 0.67 -0.01
Funds (aw) -2.44 0.28 1.84 -0.66 -0.79 -0.86 -0.27 1.92 1.39 1.85 0.72 0.02
Hit ratio (%) 62 % 21 % 21 % 79 % 61 % 71 % 64 % 33 % 29 % 36 % 27 % 61 %
Reporting funds (#) 208 208 207 206 206 205 204 203 201 200 204 207
Performance consistency: annual returns
The ability of fund managers to outperfom over subsequent periods is key in delivering sustainable alpha. An upward sloping line usually indicates that the outperformers are consistent across time.
2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Long term active performance of live funds
Performance over different time periods (in %, in EUR)
YtD 1Y 3Y 5Y 10Y
Benchmark 0.24 4.06 3.01 1.65 3.93
Reporting funds: equal-weighted average -0.60 1.97 1.53 0.66 2.84
Reporting funds: asset-weighted average -0.37 2.94 1.97 0.91 3.05
Reporting funds: top decile 0.78 4.57 3.24 1.71 4.13
Reporting funds: top quartile 0.28 3.86 2.67 1.37 3.72
Reporting funds: median -0.40 2.50 1.86 0.85 3.10
Reporting funds: bottom quartile -0.94 0.34 0.42 0.10 1.94
Reporting funds: bottom decile -2.31 -1.09 -0.54 -0.62 1.15
Net benchmark 0.19 3.87 2.81 1.46 3.74
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Long term survivorship: how many funds stayed afloat? Number of funds that stayed active over different investment horizons
YtD 1Y 3Y 5Y 10Y
Reporting funds 207 195 180 170 140
All funds = reporting + non-reporting 207 205 223 233 252
Survivorship: %of reporting funds vs total 100.0 % 95.1 % 80.7 % 73.0 % 55.6 %
Survivorship Bias: what’s the performance difference between reporting and closed funds? Percentage of live and closed funds (in EUR, estimated performance for closed funds)
YtD 1Y 3Y 5Y 10Y
Benchmark 0.24 4.06 3.01 1.65 3.93
Net benchmark 0.19 3.87 2.81 1.46 3.74
Hit ratio (vs reporting funds) 29 % 25.1 % 18.9 % 19.4 % 22.9 %
Hit ratio (vs all funds) 29.5 % 24.9 % 16.1 % 15.9 % 15.1 %
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Has a higher relative risk been rewarded by a higher active return over the last year? 1-year relative returns (in EUR) as a function of 1-year tracking-error (52 weekly returns, in EUR) An upward sloping line usually indicates that asset managers taking a higher Active Risk against the benchmark are on average rewarded by a a higher Active Return.
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Asset Class Deep Dive: Euro High Yield Return to Table of Content
This universe covers Europe domiciled funds which invest in Euro
denominated High Yield bonds across all durations.
The universe covers EUR 48.4bn, out of which EUR 41.7 bn is
invested in 165 active operating funds.
Compared to an investment in Bloomberg Barclays Pan Euro HY
Euro net of 0.48 % (average expense ratio of the ETFs of this
universe) 55.0% of the active, operating funds belonging to this
universe have outperformed over 1Y (30.7% over 5Y and 13.5%
over 10Y ).
Hit Ratio snapshot Percentage of outperformers (%, in EUR)
Market Performance Fund Universe: Overview
BBgBarc Pan Euro
HY Euro
Active Funds (ew)
Year To Date -14.77 % -13.96 %
1 Year -9.87 % -10.28 %
3 Years (pa) -1.43 % -2.60 %
5 Years (pa) 0.85 % -0.14 %
10 Years (pa) 5.00 % 3.26 %
All funds 291
Operating funds (Active) 177 (165)
Total AUM EUR 48.4bn
Active / passive AUM EUR 41.7 / 6.6 bn
Funds / ETFs AUM EUR 41.7 / 6.6bn
Avg. active fee (aw) 0.77 % (0.72 %)
Avg. ETF fee (aw) 0.37 % (0.46 %)
Avg. ETF Exp. Ratio (aw) 0.39 % (0.48 %)
Benchmark BBgBarc Pan Euro HY Euro
Hit ratio: 2020 (YtD) compared to previous years Hit ratio of reporting funds vs. net benchmark, annual performances (%, in EUR, Year to Date for 2020)
Calendar year performance Active performance net of fund fees & costs (%, in EUR)
YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Benchmark -14.77 11.33 -3.82 6.90 9.13 1.00 5.83 10.14 27.32 -3.22 14.15
Net benchmark -14.88 10.80 -4.29 6.39 8.60 0.51 5.32 9.61 26.71 -3.68 13.60
Reporting funds (ew) -13.96 8.77 -4.28 4.90 7.63 1.19 3.32 7.44 7.44 -3.72 12.26
Reporting funds (aw) -13.68 9.07 -3.98 4.98 7.42 1.42 3.40 8.18 21.48 -3.64 13.21
Hit ratio (%) 65 % 21 % 56 % 20 % 33 % 66 % 20 % 20 % 11 % 52 % 39 %
Reporting funds (#) 161 146 144 128 128 133 129 120 111 99 92
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Q1-2020 hit ratio compared to previous quarters
Quarterly outperformance of reporting funds (%, in EUR)
Quarterly performance Active performance net of fund fees & costs (% in EUR)
Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18 Q2 18
Benchmark -14.77 1.77 1.50 2.38 5.27 -3.66 1.67 -1.30
Net benchmark -14.88 1.64 1.38 2.26 5.14 -3.78 1.54 -1.42
Reporting funds (ew) -13.96 1.43 1.02 1.83 4.25 -3.67 1.32 -1.26
Reporting funds (aw) -13.68 1.57 0.99 1.98 4.27 -3.48 1.36 -1.16
Hit ratio (%) 65 % 38 % 25 % 28 % 22 % 56 % 44 % 67 %
Reporting funds (#) 161 156 155 154 151 150 149 147
Monthly performance Active performance net of fund fees & costs (% in EUR)
Mar Feb Jan Dec Nov Oct Sep Aug Jul Jun May Apr
Benchmark -13.34 -1.86 0.21 1.07 0.85 -0.16 -0.12 0.78 0.83 2.44 -1.35 1.32
Net benchmark -13.38 -1.90 0.17 1.03 0.81 -0.20 -0.16 0.74 0.79 2.40 -1.40 1.28
Funds (ew) -12.61 -1.62 0.10 0.88 0.76 -0.21 -0.08 0.51 0.57 1.85 -1.23 1.23
Funds (aw) -12.34 -1.64 0.12 0.93 0.71 -0.08 -0.09 0.53 0.55 1.93 -1.19 1.25
Hit ratio (%) 61 % 67 % 37 % 37 % 44 % 57 % 57 % 24 % 19 % 19 % 62 % 50 %
Reporting funds (#) 163 162 161 161 162 159 158 158 155 155 154 154
Performance consistency: annual returns
The ability of fund managers to outperfom over subsequent periods is key in delivering sustainable alpha. An upward sloping line usually indicates that the outperformers are consistent across time.
2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Long term active performance of live funds
Performance over different time periods (in %, in EUR)
YtD 1Y 3Y 5Y 10Y
Benchmark -14.77 -9.87 -1.43 0.85 5.00
Reporting funds: equal-weighted average -13.96 -10.28 -2.60 -0.14 3.26
Reporting funds: asset-weighted average -13.68 -9.71 -2.16 0.11 3.65
Reporting funds: top decile -10.16 -6.87 -0.97 1.23 4.65
Reporting funds: top quartile -12.40 -8.47 -1.57 0.52 4.16
Reporting funds: median -14.18 -10.03 -2.41 -0.13 3.62
Reporting funds: bottom quartile -15.86 -11.91 -3.41 -0.80 2.67
Reporting funds: bottom decile -17.14 -13.78 -4.55 -1.44 1.22
Net benchmark -14.88 -10.31 -1.90 0.36 4.49
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Long term survivorship: how many funds stayed afloat? Number of funds that stayed active over different investment horizons
YtD 1Y 3Y 5Y 10Y
Reporting funds 161 149 124 114 74
All funds = reporting + non-reporting 161 152 133 135 97
Survivorship: %of reporting funds vs total 100.0 % 98.0 % 93.2 % 84.4 % 76.3 %
Survivorship Bias: what’s the performance difference between reporting and closed funds? Percentage of live and closed funds (in EUR, estimated performance for closed funds)
YtD 1Y 3Y 5Y 10Y
Benchmark -14.77 -9.87 -1.43 0.85 5.00
Net benchmark -14.88 -10.31 -1.90 0.36 4.49
Hit ratio (vs reporting funds) 65 % 55.0 % 32.3 % 30.7 % 13.5 %
Hit ratio (vs all funds) 64.6 % 55.3 % 30.1 % 27.4 % 11.3 %
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Has a higher relative risk been rewarded by a higher active return over the last year? 1-year relative returns (in EUR) as a function of 1-year tracking-error (52 weekly returns, in EUR) An upward sloping line usually indicates that asset managers taking a higher Active Risk against the benchmark are on average rewarded by a a higher Active Return.
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
ETF Research & Solutions | Active-Passive Navigator 01 June 2020 24
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Asset Class Deep Dive: USD Aggregate Bonds Return to Table of Content
This universe covers Europe domiciled funds which invest in US
Dollar denominated bonds across all issuers and durations.
The universe covers EUR 42.2bn, out of which EUR 37.5 bn is
invested in 86 active operating funds.
Compared to an investment in Bloomberg Barclays US Bond net of
0.25 % (average expense ratio of the ETFs of this universe) 16.0%
of the active, operating funds belonging to this universe have
outperformed over 1Y (13.9% over 5Y and 22.8% over 10Y ).
Hit Ratio snapshot Percentage of outperformers (%, in EUR)
Market Performance Fund Universe: Overview
BBgBarc US Bond Active Funds (ew)
Year To Date 5.52 % 2.59 %
1 Year 11.48 % 7.56 %
3 Years (pa) 3.94 % 2.11 %
5 Years (pa) 2.92 % 1.56 %
10 Years (pa) 6.08 % 4.94 %
All funds 280
Operating funds (Active) 89 (86)
Total AUM EUR 42.2bn
Active / passive AUM EUR 37.5 / 4.6 bn
Funds / ETFs AUM EUR 39.7 / 2.4bn
Avg. active fee (aw) 0.71 % (0.50 %)
Avg. ETF fee (aw) 0.21 % (0.25 %)
Avg. ETF Exp. Ratio (aw) 0.19 % (0.25 %)
Benchmark BBgBarc US Bond
Hit ratio: 2020 (YtD) compared to previous years Hit ratio of reporting funds vs. net benchmark, annual performances (%, in EUR, Year to Date for 2020)
Calendar year performance Active performance net of fund fees & costs (%, in EUR)
YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Benchmark 5.52 10.72 5.06 -9.05 5.72 12.01 20.67 -6.26 2.61 11.45 13.94
Net benchmark 5.46 10.44 4.80 -9.28 5.46 11.73 20.37 -6.49 2.36 11.17 13.66
Reporting funds (ew) 2.59 9.68 3.91 -9.23 4.94 10.78 18.21 -6.04 -6.04 7.63 12.09
Reporting funds (aw) 2.24 10.02 4.27 -8.67 5.69 11.57 18.69 -6.15 6.12 7.25 13.77
Hit ratio (%) 20 % 41 % 30 % 46 % 34 % 30 % 22 % 60 % 62 % 15 % 30 %
Reporting funds (#) 85 83 88 89 91 96 93 96 92 95 103
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Q1-2020 hit ratio compared to previous quarters
Quarterly outperformance of reporting funds (%, in EUR)
Quarterly performance Active performance net of fund fees & costs (% in EUR)
Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18 Q2 18
Benchmark 5.52 -2.70 6.83 1.64 4.80 3.27 0.54 5.17
Net benchmark 5.46 -2.76 6.76 1.57 4.74 3.20 0.48 5.10
Reporting funds (ew) 2.59 -2.52 6.18 1.15 4.72 2.19 0.63 4.78
Reporting funds (aw) 2.24 -2.49 6.26 1.43 4.67 2.51 0.66 4.81
Hit ratio (%) 20 % 69 % 28 % 32 % 56 % 18 % 60 % 34 %
Reporting funds (#) 85 85 86 85 87 89 90 89
Monthly performance Active performance net of fund fees & costs (% in EUR)
Mar Feb Jan Dec Nov Oct Sep Aug Jul Jun May Apr
Benchmark -0.48 2.70 3.24 -1.84 1.13 -1.99 0.48 3.72 2.51 -0.92 2.35 0.22
Net benchmark -0.50 2.68 3.22 -1.86 1.11 -2.01 0.45 3.70 2.49 -0.94 2.33 0.20
Funds (ew) -2.23 2.00 2.86 -1.70 1.19 -2.01 0.57 3.07 2.45 -0.94 1.79 0.31
Funds (aw) -2.68 2.03 2.96 -1.70 1.08 -1.86 0.55 3.21 2.39 -0.80 1.87 0.37
Hit ratio (%) 29 % 16 % 39 % 69 % 63 % 37 % 55 % 25 % 43 % 51 % 20 % 69 %
Reporting funds (#) 85 87 87 86 86 86 87 87 86 86 86 87
Performance consistency: annual returns
The ability of fund managers to outperfom over subsequent periods is key in delivering sustainable alpha. An upward sloping line usually indicates that the outperformers are consistent across time.
2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Long term active performance of live funds
Performance over different time periods (in %, in EUR)
YtD 1Y 3Y 5Y 10Y
Benchmark 5.52 11.48 3.94 2.92 6.08
Reporting funds: equal-weighted average 2.59 7.56 2.11 1.56 4.94
Reporting funds: asset-weighted average 2.24 7.46 2.41 1.96 5.35
Reporting funds: top decile 7.10 13.54 4.04 2.77 6.05
Reporting funds: top quartile 4.93 10.17 3.14 2.26 5.70
Reporting funds: median 3.09 8.08 2.40 1.64 5.11
Reporting funds: bottom quartile -0.10 4.84 1.13 1.02 4.25
Reporting funds: bottom decile -2.87 2.29 -0.16 0.38 3.51
Net benchmark 5.46 11.20 3.68 2.66 5.82
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Long term survivorship: how many funds stayed afloat? Number of funds that stayed active over different investment horizons
YtD 1Y 3Y 5Y 10Y
Reporting funds 85 81 76 72 57
All funds = reporting + non-reporting 87 87 94 96 108
Survivorship: %of reporting funds vs total 97.7 % 93.1 % 80.9 % 75.0 % 52.8 %
Survivorship Bias: what’s the performance difference between reporting and closed funds? Percentage of live and closed funds (in EUR, estimated performance for closed funds)
YtD 1Y 3Y 5Y 10Y
Benchmark 5.52 11.48 3.94 2.92 6.08
Net benchmark 5.46 11.20 3.68 2.66 5.82
Hit ratio (vs reporting funds) 20 % 16.0 % 17.1 % 13.9 % 22.8 %
Hit ratio (vs all funds) 19.5 % 14.9 % 13.8 % 10.4 % 12.0 %
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Has a higher relative risk been rewarded by a higher active return over the last year? 1-year relative returns (in EUR) as a function of 1-year tracking-error (52 weekly returns, in EUR) An upward sloping line usually indicates that asset managers taking a higher Active Risk against the benchmark are on average rewarded by a a higher Active Return.
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
ETF Research & Solutions | Active-Passive Navigator 01 June 2020 27
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Asset Class Deep Dive: USD Government Bonds Return to Table of Content
This universe covers Europe domiciled funds which invest in US
Dollar denominated government bonds across all durations.
The universe covers EUR 52.4bn, out of which EUR 14.2 bn is
invested in 37 active operating funds.
Compared to an investment in Bloomberg Barclays US Treasury
net of 0.20 % (average expense ratio of the ETFs of this universe)
12.1% of the active, operating funds belonging to this universe have
outperformed over 1Y (13.0% over 5Y and 17.4% over 10Y ).
Hit Ratio snapshot Percentage of outperformers (%, in EUR)
Market Performance Fund Universe: Overview
BBgBarc US
Treasury
Active Funds (ew)
Year To Date 10.69 % 7.44 %
1 Year 15.87 % 10.93 %
3 Years (pa) 4.93 % 2.95 %
5 Years (pa) 3.20 % 1.84 %
10 Years (pa) 6.03 % 4.76 %
All funds 142
Operating funds (Active) 82 (37)
Total AUM EUR 52.4bn
Active / passive AUM EUR 14.2 / 38.2 bn
Funds / ETFs AUM EUR 21.7 / 30.7bn
Avg. active fee (aw) 0.34 % (0.19 %)
Avg. ETF fee (aw) 0.10 % (0.09 %)
Avg. ETF Exp. Ratio (aw) 0.16 % (0.20 %)
Benchmark BBgBarc US Treasury
Hit ratio: 2020 (YtD) compared to previous years Hit ratio of reporting funds vs. net benchmark, annual performances (%, in EUR, Year to Date for 2020)
Calendar year performance Active performance net of fund fees & costs (%, in EUR)
YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Benchmark 10.69 8.82 5.94 -10.13 4.06 12.33 19.63 -6.95 0.43 13.48 13.23
Net benchmark 10.64 8.60 5.73 -10.32 3.85 12.10 19.39 -7.14 0.22 13.26 13.00
Reporting funds (ew) 7.44 7.59 4.47 -9.85 3.41 10.49 17.31 -6.94 -6.94 9.74 11.11
Reporting funds (aw) 7.28 7.27 4.07 -10.00 3.29 10.79 17.30 -6.33 0.80 10.05 11.81
Hit ratio (%) 17 % 27 % 31 % 43 % 36 % 12 % 33 % 47 % 54 % 8 % 22 %
Reporting funds (#) 35 33 32 28 33 32 33 38 35 37 37
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Q1-2020 hit ratio compared to previous quarters
Quarterly outperformance of reporting funds (%, in EUR)
Quarterly performance Active performance net of fund fees & costs (% in EUR)
Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18 Q2 18
Benchmark 10.69 -3.65 6.97 1.57 3.96 4.21 -0.07 5.44
Net benchmark 10.64 -3.70 6.92 1.51 3.90 4.16 -0.13 5.39
Reporting funds (ew) 7.44 -3.20 6.13 1.04 3.93 3.09 -0.06 5.06
Reporting funds (aw) 7.28 -3.06 5.53 0.97 3.85 2.97 -0.04 4.81
Hit ratio (%) 17 % 66 % 26 % 24 % 44 % 15 % 56 % 48 %
Reporting funds (#) 35 35 34 33 34 34 34 33
Monthly performance Active performance net of fund fees & costs (% in EUR)
Mar Feb Jan Dec Nov Oct Sep Aug Jul Jun May Apr
Benchmark 3.01 3.56 3.77 -2.32 0.88 -2.21 0.16 4.54 2.16 -1.24 2.93 -0.09
Net benchmark 2.99 3.54 3.75 -2.34 0.86 -2.23 0.14 4.52 2.14 -1.26 2.92 -0.10
Funds (ew) 1.51 2.60 3.13 -2.05 1.01 -2.17 0.30 3.64 2.08 -1.12 2.21 -0.11
Funds (aw) 1.50 2.62 2.99 -1.97 0.97 -2.07 0.49 2.83 2.13 -1.17 2.17 -0.00
Hit ratio (%) 31 % 17 % 29 % 69 % 71 % 40 % 57 % 29 % 59 % 48 % 24 % 53 %
Reporting funds (#) 35 35 35 35 35 35 35 35 34 33 33 34
Performance consistency: annual returns
The ability of fund managers to outperfom over subsequent periods is key in delivering sustainable alpha. An upward sloping line usually indicates that the outperformers are consistent across time.
2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
ETF Research & Solutions | Active-Passive Navigator 01 June 2020 29
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Long term active performance of live funds
Performance over different time periods (in %, in EUR)
YtD 1Y 3Y 5Y 10Y
Benchmark 10.69 15.87 4.93 3.20 6.03
Reporting funds: equal-weighted average 7.44 10.93 2.95 1.84 4.76
Reporting funds: asset-weighted average 7.28 10.82 2.85 1.67 4.62
Reporting funds: top decile 11.22 15.73 4.80 3.01 6.24
Reporting funds: top quartile 10.21 14.90 4.26 2.45 5.34
Reporting funds: median 6.64 10.08 2.72 1.88 5.00
Reporting funds: bottom quartile 4.08 7.93 1.60 1.11 4.45
Reporting funds: bottom decile 2.98 6.08 0.85 0.60 2.53
Net benchmark 10.64 15.64 4.71 2.99 5.82
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Long term survivorship: how many funds stayed afloat? Number of funds that stayed active over different investment horizons
YtD 1Y 3Y 5Y 10Y
Reporting funds 35 33 28 23 23
All funds = reporting + non-reporting 35 34 33 31 37
Survivorship: %of reporting funds vs total 100.0 % 97.1 % 84.8 % 74.2 % 62.2 %
Survivorship Bias: what’s the performance difference between reporting and closed funds? Percentage of live and closed funds (in EUR, estimated performance for closed funds)
YtD 1Y 3Y 5Y 10Y
Benchmark 10.69 15.87 4.93 3.20 6.03
Net benchmark 10.64 15.64 4.71 2.99 5.82
Hit ratio (vs reporting funds) 17 % 12.1 % 14.3 % 13.0 % 17.4 %
Hit ratio (vs all funds) 17.1 % 11.8 % 12.1 % 9.7 % 10.8 %
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Has a higher relative risk been rewarded by a higher active return over the last year? 1-year relative returns (in EUR) as a function of 1-year tracking-error (52 weekly returns, in EUR) An upward sloping line usually indicates that asset managers taking a higher Active Risk against the benchmark are on average rewarded by a a higher Active Return.
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Asset Class Deep Dive: USD High Yield Bonds Return to Table of Content
This universe covers Europe domiciled funds which invest in US
Dollar denominated High Yield bonds across all durations.
The universe covers EUR 45.9bn, out of which EUR 40.4 bn is
invested in 83 active operating funds.
Compared to an investment in Bloomberg Barclays High Yield
Corporate net of 0.48 % (average expense ratio of the ETFs of this
universe) 51.9% of the active, operating funds belonging to this
universe have outperformed over 1Y (20.4% over 5Y and 19.4%
over 10Y ).
Hit Ratio snapshot Percentage of outperformers (%, in EUR)
Market Performance Fund Universe: Overview
BBgBarc High Yield
Corporate
Active Funds (ew)
Year To Date -10.68 % -10.23 %
1 Year -4.76 % -5.08 %
3 Years (pa) -0.09 % -0.86 %
5 Years (pa) 2.34 % 1.10 %
10 Years (pa) 7.88 % 6.59 %
All funds 101
Operating funds (Active) 93 (83)
Total AUM EUR 45.9bn
Active / passive AUM EUR 40.4 / 5.6 bn
Funds / ETFs AUM EUR 40.4 / 5.6bn
Avg. active fee (aw) 0.64 % (0.65 %)
Avg. ETF fee (aw) 0.39 % (0.48 %)
Avg. ETF Exp. Ratio (aw) 0.40 % (0.48 %)
Benchmark BBgBarc High Yield Corporate
Hit ratio: 2020 (YtD) compared to previous years Hit ratio of reporting funds vs. net benchmark, annual performances (%, in EUR, Year to Date for 2020)
Calendar year performance Active performance net of fund fees & costs (%, in EUR)
YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Benchmark -10.68 16.42 2.86 -5.57 20.63 6.42 16.67 2.80 14.03 8.49 23.12
Net benchmark -10.79 15.88 2.37 -6.02 20.07 5.91 16.12 2.31 13.50 7.98 22.55
Reporting funds (ew) -10.23 14.99 2.19 -6.46 16.42 6.88 15.12 1.93 1.93 6.07 22.23
Reporting funds (aw) -10.23 14.78 2.34 -6.77 15.14 6.78 14.59 1.79 11.45 6.37 20.65
Hit ratio (%) 50 % 45 % 36 % 35 % 13 % 65 % 32 % 30 % 25 % 31 % 44 %
Reporting funds (#) 82 80 78 68 61 55 50 47 40 35 32
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Q1-2020 hit ratio compared to previous quarters
Quarterly outperformance of reporting funds (%, in EUR)
Quarterly performance Active performance net of fund fees & costs (% in EUR)
Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18 Q2 18
Benchmark -10.68 -0.34 5.85 1.07 9.20 -3.00 2.94 6.42
Net benchmark -10.79 -0.46 5.73 0.95 9.07 -3.12 2.82 6.29
Reporting funds (ew) -10.23 -0.63 5.80 0.79 8.51 -2.91 2.59 5.87
Reporting funds (aw) -10.23 -0.54 5.81 0.70 8.30 -2.79 2.57 6.02
Hit ratio (%) 50 % 41 % 61 % 45 % 36 % 50 % 32 % 31 %
Reporting funds (#) 82 83 82 82 81 80 81 80
Monthly performance Active performance net of fund fees & costs (% in EUR)
Mar Feb Jan Dec Nov Oct Sep Aug Jul Jun May Apr
Benchmark -11.36 -0.53 1.32 0.19 1.51 -2.01 1.38 1.51 2.86 0.08 -0.63 1.62
Net benchmark -11.40 -0.57 1.28 0.15 1.47 -2.05 1.34 1.47 2.82 0.04 -0.67 1.58
Funds (ew) -10.94 -0.54 1.31 -0.12 1.48 -1.97 1.46 1.50 2.74 -0.16 -0.51 1.47
Funds (aw) -10.80 -0.57 1.22 -0.08 1.52 -1.95 1.43 1.53 2.74 -0.20 -0.56 1.48
Hit ratio (%) 52 % 47 % 48 % 27 % 48 % 61 % 70 % 65 % 44 % 38 % 58 % 48 %
Reporting funds (#) 82 83 83 83 83 83 82 82 82 82 83 83
Performance consistency: annual returns
The ability of fund managers to outperfom over subsequent periods is key in delivering sustainable alpha. An upward sloping line usually indicates that the outperformers are consistent across time.
2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Long term active performance of live funds
Performance over different time periods (in %, in EUR)
YtD 1Y 3Y 5Y 10Y
Benchmark -10.68 -4.76 -0.09 2.34 7.88
Reporting funds: equal-weighted average -10.23 -5.08 -0.86 1.10 6.59
Reporting funds: asset-weighted average -10.23 -4.87 -0.80 1.02 6.25
Reporting funds: top decile -5.23 -1.14 0.68 2.23 7.79
Reporting funds: top quartile -9.29 -3.34 0.08 1.65 7.07
Reporting funds: median -10.79 -5.09 -0.85 1.30 6.61
Reporting funds: bottom quartile -12.05 -6.59 -1.50 0.70 5.91
Reporting funds: bottom decile -13.59 -7.83 -2.22 -0.12 5.50
Net benchmark -10.79 -5.22 -0.57 1.85 7.37
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Long term survivorship: how many funds stayed afloat? Number of funds that stayed active over different investment horizons
YtD 1Y 3Y 5Y 10Y
Reporting funds 82 81 66 54 31
All funds = reporting + non-reporting 83 82 71 57 32
Survivorship: %of reporting funds vs total 98.8 % 98.8 % 93.0 % 94.7 % 96.9 %
Survivorship Bias: what’s the performance difference between reporting and closed funds? Percentage of live and closed funds (in EUR, estimated performance for closed funds)
YtD 1Y 3Y 5Y 10Y
Benchmark -10.68 -4.76 -0.09 2.34 7.88
Net benchmark -10.79 -5.22 -0.57 1.85 7.37
Hit ratio (vs reporting funds) 50 % 51.9 % 42.4 % 20.4 % 19.4 %
Hit ratio (vs all funds) 49.4 % 52.4 % 40.8 % 19.3 % 18.8 %
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Has a higher relative risk been rewarded by a higher active return over the last year? 1-year relative returns (in EUR) as a function of 1-year tracking-error (52 weekly returns, in EUR) An upward sloping line usually indicates that asset managers taking a higher Active Risk against the benchmark are on average rewarded by a a higher Active Return.
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
ETF Research & Solutions | Active-Passive Navigator 01 June 2020 33
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Asset Class Deep Dive: EM Debt - Hard Currency Return to Table of Content
This universe covers Europe domiciled funds which invest in
Emerging Market debt, denominated in US Dollar across all
issuers and durations.
The universe covers EUR 118.0bn, out of which EUR 100.1 bn is
invested in 201 active operating funds.
Compared to an investment in JPM EMBI Global Diversified net
of 0.44 % (average expense ratio of the ETFs of this universe)
35.8% of the active, operating funds belonging to this universe
have outperformed over 1Y (14.8% over 5Y and 7.4% over 10Y ).
Hit Ratio snapshot Percentage of outperformers (%, in EUR)
Market Performance Fund Universe: Overview
JPM EMBI Global
Diversified
Active Funds (ew)
Year To Date -11.39 % -12.35 %
1 Year -4.66 % -6.88 %
3 Years (pa) -0.43 % -2.37 %
5 Years (pa) 2.38 % 0.44 %
10 Years (pa) 7.16 % 4.79 %
All funds 370
Operating funds (Active) 222 (201)
Total AUM EUR 118.0bn
Active / passive AUM EUR 100.1 / 17.9 bn
Funds / ETFs AUM EUR 108.5 / 9.5bn
Avg. active fee (aw) 0.82 % (0.80 %)
Avg. ETF fee (aw) 0.37 % (0.43 %)
Avg. ETF Exp. Ratio (aw) 0.41 % (0.44 %)
Benchmark JPM EMBI Global Diversified
Hit ratio: 2020 (YtD) compared to previous years Hit ratio of reporting funds vs. net benchmark, annual performances (%, in EUR, Year to Date for 2020)
Calendar year performance Active performance net of fund fees & costs (%, in EUR)
YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Benchmark -11.39 17.15 0.57 -3.15 13.45 12.71 22.33 -9.35 15.63 10.93 20.04
Net benchmark -11.49 16.65 0.13 -3.58 12.95 12.22 21.81 -9.75 15.13 10.45 19.52
Reporting funds (ew) -12.35 14.05 -1.27 -2.21 11.88 6.43 14.69 -9.10 -9.10 6.27 18.65
Reporting funds (aw) -13.75 13.87 -1.14 -3.69 11.85 7.41 15.07 -9.26 13.31 6.36 15.77
Hit ratio (%) 40 % 30 % 30 % 63 % 40 % 10 % 6 % 44 % 47 % 16 % 54 %
Reporting funds (#) 193 176 169 150 144 128 124 109 88 80 71
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Q1-2020 hit ratio compared to previous quarters
Quarterly outperformance of reporting funds (%, in EUR)
Quarterly performance Active performance net of fund fees & costs (% in EUR)
Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18 Q2 18
Benchmark -11.39 -1.12 6.03 2.62 8.89 0.33 2.84 1.60
Net benchmark -11.49 -1.23 5.92 2.51 8.77 0.22 2.73 1.49
Reporting funds (ew) -12.35 -0.07 4.03 2.32 7.16 0.22 1.26 -0.17
Reporting funds (aw) -13.75 -0.35 3.94 2.17 7.60 0.16 1.49 0.15
Hit ratio (%) 40 % 85 % 13 % 46 % 26 % 46 % 10 % 27 %
Reporting funds (#) 193 193 189 185 180 179 179 177
Monthly performance Active performance net of fund fees & costs (% in EUR)
Mar Feb Jan Dec Nov Oct Sep Aug Jul Jun May Apr
Benchmark -13.75 -0.09 2.83 0.20 0.70 -2.01 0.55 1.86 3.52 1.18 0.98 0.44
Net benchmark -13.79 -0.12 2.80 0.17 0.67 -2.04 0.52 1.82 3.49 1.14 0.95 0.40
Funds (ew) -13.82 -0.37 2.14 0.73 0.50 -1.29 1.14 -0.19 3.06 1.31 0.64 0.37
Funds (aw) -15.18 -0.52 2.22 0.86 0.45 -1.65 1.17 -0.39 3.14 1.10 0.73 0.33
Hit ratio (%) 47 % 47 % 24 % 73 % 47 % 80 % 81 % 7 % 36 % 62 % 27 % 46 %
Reporting funds (#) 195 194 196 195 195 193 190 190 190 190 188 185
Performance consistency: annual returns
The ability of fund managers to outperfom over subsequent periods is key in delivering sustainable alpha. An upward sloping line usually indicates that the outperformers are consistent across time.
2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
ETF Research & Solutions | Active-Passive Navigator 01 June 2020 35
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Long term active performance of live funds
Performance over different time periods (in %, in EUR)
YtD 1Y 3Y 5Y 10Y
Benchmark -11.39 -4.66 -0.43 2.38 7.16
Reporting funds: equal-weighted average -12.35 -6.88 -2.37 0.44 4.79
Reporting funds: asset-weighted average -13.75 -8.73 -2.92 0.01 4.13
Reporting funds: top decile -6.25 -0.77 0.08 2.14 6.67
Reporting funds: top quartile -9.86 -3.83 -1.06 1.31 5.87
Reporting funds: median -12.47 -6.77 -2.46 0.52 5.09
Reporting funds: bottom quartile -14.85 -9.61 -3.57 -0.43 3.96
Reporting funds: bottom decile -18.12 -13.06 -4.63 -1.55 2.88
Net benchmark -11.49 -5.08 -0.87 1.93 6.69
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Long term survivorship: how many funds stayed afloat? Number of funds that stayed active over different investment horizons
YtD 1Y 3Y 5Y 10Y
Reporting funds 193 179 135 108 54
All funds = reporting + non-reporting 195 184 155 136 77
Survivorship: %of reporting funds vs total 99.0 % 97.3 % 87.1 % 79.4 % 70.1 %
Survivorship Bias: what’s the performance difference between reporting and closed funds? Percentage of live and closed funds (in EUR, estimated performance for closed funds)
YtD 1Y 3Y 5Y 10Y
Benchmark -11.39 -4.66 -0.43 2.38 7.16
Net benchmark -11.49 -5.08 -0.87 1.93 6.69
Hit ratio (vs reporting funds) 40 % 35.8 % 21.5 % 14.8 % 7.4 %
Hit ratio (vs all funds) 40.5 % 35.3 % 20.6 % 11.8 % 5.2 %
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Has a higher relative risk been rewarded by a higher active return over the last year? 1-year relative returns (in EUR) as a function of 1-year tracking-error (52 weekly returns, in EUR) An upward sloping line usually indicates that asset managers taking a higher Active Risk against the benchmark are on average rewarded by a a higher Active Return.
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
ETF Research & Solutions | Active-Passive Navigator 01 June 2020 36
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Asset Class Deep Dive: Global Bonds Return to Table of Content
This universe covers Europe domiciled funds which invest
globally in investment grade bonds across all issuer types and
durations.
The universe covers EUR 81.1bn, out of which EUR 59.2 bn is
invested in 240 active operating funds.
Compared to an investment in Bloomberg Barclays Global
Aggregate net of 0.13 % (average expense ratio of the ETFs of
this universe) 29.5% of the active, operating funds belonging to
this universe have outperformed over 1Y (12.6% over 5Y and
17.6% over 10Y ).
Hit Ratio snapshot Percentage of outperformers (%, in EUR)
Market Performance Fund Universe: Overview
BBgBarc Global
Aggregate
Active Funds (ew)
Year To Date 1.97 % -1.04 %
1 Year 6.63 % 2.95 %
3 Years (pa) 2.67 % 0.94 %
5 Years (pa) 2.20 % 0.64 %
10 Years (pa) 4.64 % 3.53 %
All funds 375
Operating funds (Active) 265 (240)
Total AUM EUR 81.1bn
Active / passive AUM EUR 59.2 / 21.9 bn
Funds / ETFs AUM EUR 74.9 / 6.2bn
Avg. active fee (aw) 0.56 % (0.49 %)
Avg. ETF fee (aw) 0.12 % (0.12 %)
Avg. ETF Exp. Ratio (aw) 0.15 % (0.13 %)
Benchmark BBgBarc Global Aggregate
Hit ratio: 2020 (YtD) compared to previous years Hit ratio of reporting funds vs. net benchmark, annual performances (%, in EUR, Year to Date for 2020)
Calendar year performance Active performance net of fund fees & costs (%, in EUR)
YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Benchmark 1.97 8.80 3.78 -5.67 5.14 7.88 14.54 -6.81 2.72 9.17 12.88
Net benchmark 1.93 8.67 3.65 -5.79 5.01 7.74 14.40 -6.93 2.59 9.04 12.73
Reporting funds (ew) -1.04 7.77 1.38 -4.58 3.55 5.21 12.11 -6.32 -6.32 6.72 11.05
Reporting funds (aw) -0.52 8.51 1.62 -4.54 4.34 4.95 12.36 -6.28 4.56 7.24 12.11
Hit ratio (%) 33 % 42 % 16 % 58 % 28 % 17 % 31 % 46 % 59 % 29 % 40 %
Reporting funds (#) 238 223 228 212 214 212 214 209 188 188 183
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
ETF Research & Solutions | Active-Passive Navigator 01 June 2020 37
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Q1-2020 hit ratio compared to previous quarters
Quarterly outperformance of reporting funds (%, in EUR)
Quarterly performance Active performance net of fund fees & costs (% in EUR)
Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18 Q2 18
Benchmark 1.97 -2.41 5.20 1.85 4.05 2.82 -0.41 2.40
Net benchmark 1.93 -2.44 5.17 1.82 4.02 2.79 -0.44 2.37
Reporting funds (ew) -1.04 -1.53 3.99 1.54 3.61 1.55 -0.50 1.23
Reporting funds (aw) -0.52 -1.53 4.23 1.83 3.83 1.64 -0.36 1.00
Hit ratio (%) 33 % 63 % 32 % 46 % 35 % 21 % 41 % 18 %
Reporting funds (#) 238 236 238 233 237 237 237 238
Monthly performance Active performance net of fund fees & costs (% in EUR)
Mar Feb Jan Dec Nov Oct Sep Aug Jul Jun May Apr
Benchmark -2.13 1.57 2.58 -1.20 0.42 -1.63 -0.01 3.16 2.00 0.02 1.93 -0.10
Net benchmark -2.14 1.56 2.57 -1.21 0.41 -1.64 -0.02 3.15 1.99 0.01 1.92 -0.12
Funds (ew) -3.55 0.60 1.94 -0.64 0.25 -1.16 0.15 2.16 1.60 0.38 1.14 0.01
Funds (aw) -3.32 0.76 2.12 -0.52 0.23 -1.24 0.14 2.35 1.70 0.45 1.42 -0.05
Hit ratio (%) 37 % 21 % 33 % 62 % 33 % 63 % 47 % 32 % 28 % 76 % 26 % 52 %
Reporting funds (#) 240 240 238 237 237 237 239 241 240 237 236 239
Performance consistency: annual returns
The ability of fund managers to outperfom over subsequent periods is key in delivering sustainable alpha. An upward sloping line usually indicates that the outperformers are consistent across time.
2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
ETF Research & Solutions | Active-Passive Navigator 01 June 2020 38
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Long term active performance of live funds
Performance over different time periods (in %, in EUR)
YtD 1Y 3Y 5Y 10Y
Benchmark 1.97 6.63 2.67 2.20 4.64
Reporting funds: equal-weighted average -1.04 2.95 0.94 0.64 3.53
Reporting funds: asset-weighted average -0.52 3.96 1.28 0.85 3.70
Reporting funds: top decile 4.47 8.64 3.05 2.19 4.68
Reporting funds: top quartile 2.83 7.02 2.52 1.70 4.28
Reporting funds: median -0.05 4.41 1.48 1.06 3.80
Reporting funds: bottom quartile -4.12 -0.26 -0.53 -0.16 3.17
Reporting funds: bottom decile -8.22 -4.58 -1.79 -1.50 2.29
Net benchmark 1.93 6.49 2.54 2.07 4.51
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Long term survivorship: how many funds stayed afloat? Number of funds that stayed active over different investment horizons
YtD 1Y 3Y 5Y 10Y
Reporting funds 238 227 198 174 125
All funds = reporting + non-reporting 238 240 225 220 182
Survivorship: %of reporting funds vs total 100.0 % 94.6 % 88.0 % 79.1 % 68.7 %
Survivorship Bias: what’s the performance difference between reporting and closed funds? Percentage of live and closed funds (in EUR, estimated performance for closed funds)
YtD 1Y 3Y 5Y 10Y
Benchmark 1.97 6.63 2.67 2.20 4.64
Net benchmark 1.93 6.49 2.54 2.07 4.51
Hit ratio (vs reporting funds) 33 % 29.5 % 23.7 % 12.6 % 17.6 %
Hit ratio (vs all funds) 32.8 % 27.9 % 21.3 % 10.5 % 12.6 %
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Has a higher relative risk been rewarded by a higher active return over the last year? 1-year relative returns (in EUR) as a function of 1-year tracking-error (52 weekly returns, in EUR) An upward sloping line usually indicates that asset managers taking a higher Active Risk against the benchmark are on average rewarded by a a higher Active Return.
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
ETF Research & Solutions | Active-Passive Navigator 01 June 2020 39
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Asset Class Deep Dive: Europe Large Cap Return to Table of Content
This universe covers Europe domiciled funds which invest
globally in European large cap stocks and a balanced investment
style.
The universe covers EUR 161.9bn, out of which EUR 100.7 bn is
invested in 532 active operating funds.
Compared to an investment in MSCI Europe net of 0.25 %
(average expense ratio of the ETFs of this universe) 49.3% of the
active, operating funds belonging to this universe have
outperformed over 1Y (35.9% over 5Y and 31.8% over 10Y ).
Hit Ratio snapshot Percentage of outperformers (%, in EUR)
Market Performance Fund Universe: Overview
MSCI Europe Active Funds (ew)
Year To Date -22.59 % -22.15 %
1 Year -13.53 % -14.01 %
3 Years (pa) -3.17 % -4.44 %
5 Years (pa) -1.73 % -2.72 %
10 Years (pa) 4.63 % 3.47 %
All funds 1278
Operating funds (Active) 648 (532)
Total AUM EUR 161.9bn
Active / passive AUM EUR 100.7 / 61.2 bn
Funds / ETFs AUM EUR 126.2 / 35.5bn
Avg. active fee (aw) 0.97 % (0.77 %)
Avg. ETF fee (aw) 0.26 % (0.15 %)
Avg. ETF Exp. Ratio (aw) 0.30 % (0.25 %)
Benchmark MSCI Europe
Hit ratio: 2020 (YtD) compared to previous years Hit ratio of reporting funds vs. net benchmark, annual performances (%, in EUR, Year to Date for 2020)
Calendar year performance Active performance net of fund fees & costs (%, in EUR)
YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Benchmark -22.59 26.05 -10.57 10.24 2.58 8.22 6.84 19.82 17.29 -8.08 11.10
Net benchmark -22.64 25.75 -10.79 9.97 2.32 7.96 6.58 19.53 17.01 -8.31 10.82
Reporting funds (ew) -22.15 24.34 -13.20 10.34 -0.54 10.68 5.00 18.98 18.98 -11.34 10.67
Reporting funds (aw) -22.35 24.49 -12.24 10.03 -0.66 11.50 6.13 19.27 16.92 -10.58 11.52
Hit ratio (%) 53 % 39 % 26 % 49 % 21 % 74 % 29 % 43 % 57 % 19 % 49 %
Reporting funds (#) 521 488 485 471 453 439 441 455 433 455 493
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Q1-2020 hit ratio compared to previous quarters
Quarterly outperformance of reporting funds (%, in EUR)
Quarterly performance Active performance net of fund fees & costs (% in EUR)
Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18 Q2 18
Benchmark -22.59 5.71 2.58 3.01 12.84 -11.32 1.33 4.00
Net benchmark -22.64 5.65 2.51 2.95 12.78 -11.37 1.26 3.93
Reporting funds (ew) -22.15 5.86 1.68 2.86 12.15 -13.32 0.71 3.64
Reporting funds (aw) -22.35 5.88 1.95 2.50 12.52 -12.86 0.77 4.27
Hit ratio (%) 53 % 53 % 29 % 47 % 41 % 21 % 32 % 43 %
Reporting funds (#) 521 513 516 524 524 512 516 512
Monthly performance Active performance net of fund fees & costs (% in EUR)
Mar Feb Jan Dec Nov Oct Sep Aug Jul Jun May Apr
Benchmark -14.35 -8.47 -1.26 2.06 2.70 0.86 3.76 -1.44 0.30 4.43 -4.94 3.77
Net benchmark -14.37 -8.49 -1.28 2.04 2.67 0.83 3.74 -1.46 0.28 4.41 -4.96 3.75
Funds (ew) -14.88 -7.61 -1.06 1.88 2.84 1.01 2.98 -1.50 0.24 4.08 -4.64 3.64
Funds (aw) -14.88 -8.00 -0.84 1.92 2.86 1.00 3.08 -1.26 0.16 4.03 -4.67 3.35
Hit ratio (%) 45 % 71 % 59 % 42 % 57 % 58 % 27 % 50 % 44 % 46 % 60 % 47 %
Reporting funds (#) 525 529 528 522 522 520 523 525 525 528 530 532
Performance consistency: annual returns
The ability of fund managers to outperfom over subsequent periods is key in delivering sustainable alpha. An upward sloping line usually indicates that the outperformers are consistent across time.
2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
ETF Research & Solutions | Active-Passive Navigator 01 June 2020 41
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Long term active performance of live funds
Performance over different time periods (in %, in EUR)
YtD 1Y 3Y 5Y 10Y
Benchmark -22.59 -13.53 -3.17 -1.73 4.63
Reporting funds: equal-weighted average -22.15 -14.01 -4.44 -2.72 3.47
Reporting funds: asset-weighted average -22.35 -14.09 -3.97 -2.33 3.89
Reporting funds: top decile -16.95 -7.55 -0.57 -0.05 5.86
Reporting funds: top quartile -19.56 -10.39 -2.45 -1.24 4.70
Reporting funds: median -22.37 -13.83 -4.34 -2.67 3.51
Reporting funds: bottom quartile -24.84 -17.65 -6.26 -4.08 2.29
Reporting funds: bottom decile -27.44 -21.05 -8.29 -5.43 1.18
Net benchmark -22.64 -13.75 -3.41 -1.98 4.38
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Long term survivorship: how many funds stayed afloat? Number of funds that stayed active over different investment horizons
YtD 1Y 3Y 5Y 10Y
Reporting funds 521 489 414 351 286
All funds = reporting + non-reporting 529 529 486 462 516
Survivorship: %of reporting funds vs total 98.5 % 92.4 % 85.2 % 76.0 % 55.4 %
Survivorship Bias: what’s the performance difference between reporting and closed funds? Percentage of live and closed funds (in EUR, estimated performance for closed funds)
YtD 1Y 3Y 5Y 10Y
Benchmark -22.59 -13.53 -3.17 -1.73 4.63
Net benchmark -22.64 -13.75 -3.41 -1.98 4.38
Hit ratio (vs reporting funds) 53 % 49.3 % 36.5 % 35.9 % 31.8 %
Hit ratio (vs all funds) 53.1 % 48.6 % 33.5 % 29.9 % 20.7 %
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Has a higher relative risk been rewarded by a higher active return over the last year? 1-year relative returns (in EUR) as a function of 1-year tracking-error (52 weekly returns, in EUR) An upward sloping line usually indicates that asset managers taking a higher Active Risk against the benchmark are on average rewarded by a a higher Active Return.
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
ETF Research & Solutions | Active-Passive Navigator 01 June 2020 42
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Asset Class Deep Dive: Europe Small Cap Return to Table of Content
This universe covers Europe domiciled funds which invest in
European small cap stocks with a balanced investment style.
The universe covers EUR 17.4bn, out of which EUR 16.7 bn is
invested in 140 active operating funds.
Compared to an investment in MSCI Europe Small Cap net of 0.31
% (average expense ratio of the ETFs of this universe) 59.1% of
the active, operating funds belonging to this universe have
outperformed over 1Y (58.8% over 5Y and 42.2% over 10Y ).
Hit Ratio snapshot Percentage of outperformers (%, in EUR)
Market Performance Fund Universe: Overview
MSCI Europe Small
Cap
Active Funds (ew)
Year To Date -28.86 % -26.30 %
1 Year -18.13 % -16.30 %
3 Years (pa) -4.33 % -5.20 %
5 Years (pa) -0.23 % 0.37 %
10 Years (pa) 7.47 % 6.53 %
All funds 255
Operating funds (Active) 145 (140)
Total AUM EUR 17.4bn
Active / passive AUM EUR 16.7 / 0.7 bn
Funds / ETFs AUM EUR 16.7 / 0.6bn
Avg. active fee (aw) 1.27 % (1.20 %)
Avg. ETF fee (aw) 0.29 % (0.21 %)
Avg. ETF Exp. Ratio (aw) 0.32 % (0.31 %)
Benchmark MSCI Europe Small Cap
Hit ratio: 2020 (YtD) compared to previous years Hit ratio of reporting funds vs. net benchmark, annual performances (%, in EUR, Year to Date for 2020)
Calendar year performance Active performance net of fund fees & costs (%, in EUR)
YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Benchmark -28.86 31.44 -15.86 19.03 0.86 23.53 6.47 33.41 26.98 -17.45 29.91
Net benchmark -28.93 31.03 -16.13 18.66 0.54 23.15 6.14 33.00 26.59 -17.71 29.51
Reporting funds (ew) -26.30 27.37 -19.23 22.78 3.71 24.67 5.37 28.43 28.43 -17.61 28.22
Reporting funds (aw) -26.54 29.02 -17.54 22.19 -1.25 26.89 4.55 26.81 24.44 -16.67 30.45
Hit ratio (%) 68 % 39 % 30 % 74 % 57 % 61 % 40 % 24 % 33 % 53 % 52 %
Reporting funds (#) 139 133 132 121 111 107 94 86 85 89 93
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
ETF Research & Solutions | Active-Passive Navigator 01 June 2020 43
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Q1-2020 hit ratio compared to previous quarters
Quarterly outperformance of reporting funds (%, in EUR)
Quarterly performance Active performance net of fund fees & costs (% in EUR)
Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18 Q2 18
Benchmark -28.86 11.75 1.62 1.35 14.20 -16.49 -1.10 4.68
Net benchmark -28.93 11.66 1.54 1.27 14.12 -16.56 -1.18 4.60
Reporting funds (ew) -26.30 10.97 -1.28 3.67 12.11 -17.97 -1.48 2.98
Reporting funds (aw) -26.54 11.64 -1.04 3.58 12.75 -17.85 -1.14 4.03
Hit ratio (%) 68 % 47 % 10 % 83 % 24 % 28 % 46 % 33 %
Reporting funds (#) 139 137 139 138 140 138 137 135
Monthly performance Active performance net of fund fees & costs (% in EUR)
Mar Feb Jan Dec Nov Oct Sep Aug Jul Jun May Apr
Benchmark -21.28 -8.05 -1.72 4.24 4.59 2.49 3.53 -1.69 -0.15 2.92 -5.88 4.62
Net benchmark -21.31 -8.07 -1.75 4.22 4.56 2.47 3.51 -1.72 -0.18 2.89 -5.90 4.60
Funds (ew) -19.56 -7.72 -0.77 3.69 5.06 1.81 2.70 -3.16 -0.76 3.01 -4.78 5.75
Funds (aw) -19.39 -8.10 -0.83 3.76 5.34 2.13 2.87 -2.87 -0.96 3.07 -5.13 5.93
Hit ratio (%) 66 % 55 % 71 % 34 % 64 % 29 % 26 % 15 % 40 % 55 % 72 % 75 %
Reporting funds (#) 140 140 140 137 138 139 140 142 141 141 140 139
Performance consistency: annual returns
The ability of fund managers to outperfom over subsequent periods is key in delivering sustainable alpha. An upward sloping line usually indicates that the outperformers are consistent across time.
2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
ETF Research & Solutions | Active-Passive Navigator 01 June 2020 44
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Long term active performance of live funds
Performance over different time periods (in %, in EUR)
YtD 1Y 3Y 5Y 10Y
Benchmark -28.86 -18.13 -4.33 -0.23 7.47
Reporting funds: equal-weighted average -26.30 -16.30 -5.20 0.37 6.53
Reporting funds: asset-weighted average -26.54 -15.94 -4.08 0.27 7.14
Reporting funds: top decile -18.79 -6.46 0.60 4.25 10.06
Reporting funds: top quartile -22.13 -10.35 -2.11 2.33 8.66
Reporting funds: median -26.34 -16.37 -5.42 0.11 6.80
Reporting funds: bottom quartile -30.33 -21.95 -8.15 -1.76 4.66
Reporting funds: bottom decile -33.51 -25.81 -11.32 -3.66 2.96
Net benchmark -28.93 -18.39 -4.64 -0.54 7.13
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Long term survivorship: how many funds stayed afloat? Number of funds that stayed active over different investment horizons
YtD 1Y 3Y 5Y 10Y
Reporting funds 139 132 116 97 64
All funds = reporting + non-reporting 140 140 128 113 99
Survivorship: %of reporting funds vs total 99.3 % 94.3 % 90.6 % 85.8 % 64.6 %
Survivorship Bias: what’s the performance difference between reporting and closed funds? Percentage of live and closed funds (in EUR, estimated performance for closed funds)
YtD 1Y 3Y 5Y 10Y
Benchmark -28.86 -18.13 -4.33 -0.23 7.47
Net benchmark -28.93 -18.39 -4.64 -0.54 7.13
Hit ratio (vs reporting funds) 68 % 59.1 % 45.7 % 58.8 % 42.2 %
Hit ratio (vs all funds) 67.1 % 59.3 % 45.3 % 57.5 % 34.3 %
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Has a higher relative risk been rewarded by a higher active return over the last year? 1-year relative returns (in EUR) as a function of 1-year tracking-error (52 weekly returns, in EUR) An upward sloping line usually indicates that asset managers taking a higher Active Risk against the benchmark are on average rewarded by a a higher Active Return.
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
ETF Research & Solutions | Active-Passive Navigator 01 June 2020 45
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Asset Class Deep Dive: EMU Large Cap Return to Table of Content
This universe covers Europe domiciled funds which invest in the
Eurozone stock market with a focus on large capitalisations and
a balanced investment style.
The universe covers EUR 116.7bn, out of which EUR 67.4 bn is
invested in 362 active operating funds.
Compared to an investment in MSCI EMU net of 0.20 % (average
expense ratio of the ETFs of this universe) 54.8% of the active,
operating funds belonging to this universe have outperformed
over 1Y (37.4% over 5Y and 35.7% over 10Y ).
Hit Ratio snapshot Percentage of outperformers (%, in EUR)
Market Performance Fund Universe: Overview
MSCI EMU Active Funds (ew)
Year To Date -25.09 % -23.97 %
1 Year -16.02 % -15.72 %
3 Years (pa) -4.84 % -5.81 %
5 Years (pa) -2.27 % -3.17 %
10 Years (pa) 3.44 % 2.47 %
All funds 1202
Operating funds (Active) 462 (362)
Total AUM EUR 116.7bn
Active / passive AUM EUR 67.4 / 49.3 bn
Funds / ETFs AUM EUR 79.2 / 37.6bn
Avg. active fee (aw) 0.99 % (0.64 %)
Avg. ETF fee (aw) 0.29 % (0.13 %)
Avg. ETF Exp. Ratio (aw) 0.27 % (0.20 %)
Benchmark MSCI EMU
Hit ratio: 2020 (YtD) compared to previous years Hit ratio of reporting funds vs. net benchmark, annual performances (%, in EUR, Year to Date for 2020)
Calendar year performance Active performance net of fund fees & costs (%, in EUR)
YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Benchmark -25.09 25.47 -12.71 12.49 4.37 9.81 4.32 23.36 19.31 -14.89 2.40
Net benchmark -25.13 25.22 -12.88 12.27 4.17 9.59 4.11 23.12 19.07 -15.06 2.20
Reporting funds (ew) -23.97 23.11 -14.60 11.49 2.35 10.56 2.17 21.38 21.38 -15.70 3.13
Reporting funds (aw) -23.89 24.45 -14.87 11.96 2.22 12.37 2.04 22.76 20.21 -15.39 3.67
Hit ratio (%) 59 % 39 % 29 % 39 % 27 % 61 % 25 % 32 % 45 % 44 % 57 %
Reporting funds (#) 355 347 334 340 340 342 348 360 350 365 382
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
ETF Research & Solutions | Active-Passive Navigator 01 June 2020 46
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Q1-2020 hit ratio compared to previous quarters
Quarterly outperformance of reporting funds (%, in EUR)
Quarterly performance Active performance net of fund fees & costs (% in EUR)
Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18 Q2 18
Benchmark -25.09 5.06 2.59 4.01 11.93 -12.73 0.43 2.47
Net benchmark -25.13 5.01 2.54 3.96 11.87 -12.77 0.38 2.42
Reporting funds (ew) -23.97 4.93 1.72 3.74 11.10 -13.55 0.17 2.07
Reporting funds (aw) -23.89 5.34 2.04 3.96 11.37 -13.89 0.08 1.93
Hit ratio (%) 59 % 47 % 27 % 48 % 37 % 38 % 43 % 45 %
Reporting funds (#) 355 354 356 354 355 346 343 341
Monthly performance Active performance net of fund fees & costs (% in EUR)
Mar Feb Jan Dec Nov Oct Sep Aug Jul Jun May Apr
Benchmark -17.21 -7.92 -1.73 1.13 2.65 1.20 3.72 -1.23 0.14 5.11 -5.89 5.14
Net benchmark -17.23 -7.94 -1.74 1.11 2.64 1.19 3.70 -1.24 0.13 5.09 -5.90 5.13
Funds (ew) -16.48 -7.37 -1.81 1.13 2.77 0.95 3.25 -1.54 0.06 4.69 -5.24 4.59
Funds (aw) -16.31 -7.54 -1.63 1.25 2.99 1.02 3.37 -1.59 0.30 5.01 -5.60 4.87
Hit ratio (%) 60 % 67 % 46 % 49 % 52 % 37 % 38 % 39 % 47 % 41 % 75 % 33 %
Reporting funds (#) 355 355 356 354 355 356 356 356 356 355 356 357
Performance consistency: annual returns
The ability of fund managers to outperfom over subsequent periods is key in delivering sustainable alpha. An upward sloping line usually indicates that the outperformers are consistent across time.
2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
ETF Research & Solutions | Active-Passive Navigator 01 June 2020 47
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Long term active performance of live funds
Performance over different time periods (in %, in EUR)
YtD 1Y 3Y 5Y 10Y
Benchmark -25.09 -16.02 -4.84 -2.27 3.44
Reporting funds: equal-weighted average -23.97 -15.72 -5.81 -3.17 2.47
Reporting funds: asset-weighted average -23.89 -14.95 -5.31 -2.65 3.08
Reporting funds: top decile -18.25 -8.51 -2.06 -0.43 4.83
Reporting funds: top quartile -21.22 -12.27 -3.78 -1.73 3.65
Reporting funds: median -24.38 -15.62 -5.50 -3.10 2.68
Reporting funds: bottom quartile -26.40 -18.88 -7.52 -4.43 1.32
Reporting funds: bottom decile -29.15 -23.75 -10.02 -6.14 -0.36
Net benchmark -25.13 -16.19 -5.03 -2.47 3.24
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Long term survivorship: how many funds stayed afloat? Number of funds that stayed active over different investment horizons
YtD 1Y 3Y 5Y 10Y
Reporting funds 355 347 314 294 244
All funds = reporting + non-reporting 357 354 346 365 402
Survivorship: %of reporting funds vs total 99.4 % 98.0 % 90.8 % 80.5 % 60.7 %
Survivorship Bias: what’s the performance difference between reporting and closed funds? Percentage of live and closed funds (in EUR, estimated performance for closed funds)
YtD 1Y 3Y 5Y 10Y
Benchmark -25.09 -16.02 -4.84 -2.27 3.44
Net benchmark -25.13 -16.19 -5.03 -2.47 3.24
Hit ratio (vs reporting funds) 59 % 54.8 % 43.6 % 37.4 % 35.7 %
Hit ratio (vs all funds) 58.8 % 55.4 % 41.6 % 32.3 % 26.1 %
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Has a higher relative risk been rewarded by a higher active return over the last year? 1-year relative returns (in EUR) as a function of 1-year tracking-error (52 weekly returns, in EUR) An upward sloping line usually indicates that asset managers taking a higher Active Risk against the benchmark are on average rewarded by a a higher Active Return.
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
ETF Research & Solutions | Active-Passive Navigator 01 June 2020 48
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Asset Class Deep Dive: France Large Cap Return to Table of Content
This universe covers Europe domiciled funds which invest in the
French stock market with a focus on large capitalisations and a
balanced investment style.
The universe covers EUR 27.9bn, out of which EUR 17.7 bn is
invested in 88 active operating funds.
Compared to an investment in MSCI France net of 0.25 %
(average expense ratio of the ETFs of this universe) 39.5% of the
active, operating funds belonging to this universe have
outperformed over 1Y (15.9% over 5Y and 28.4% over 10Y ).
Hit Ratio snapshot Percentage of outperformers (%, in EUR)
Market Performance Fund Universe: Overview
MSCI France Active Funds (ew)
Year To Date -25.89 % -25.73 %
1 Year -15.81 % -17.29 %
3 Years (pa) -2.41 % -5.68 %
5 Years (pa) 0.04 % -2.13 %
10 Years (pa) 4.23 % 3.05 %
All funds 187
Operating funds (Active) 104 (88)
Total AUM EUR 27.9bn
Active / passive AUM EUR 17.7 / 10.2 bn
Funds / ETFs AUM EUR 23.2 / 4.7bn
Avg. active fee (aw) 1.39 % (1.11 %)
Avg. ETF fee (aw) 0.22 % (0.23 %)
Avg. ETF Exp. Ratio (aw) 0.25 % (0.25 %)
Benchmark MSCI France
Hit ratio: 2020 (YtD) compared to previous years Hit ratio of reporting funds vs. net benchmark, annual performances (%, in EUR, Year to Date for 2020)
Calendar year performance Active performance net of fund fees & costs (%, in EUR)
YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Benchmark -25.89 28.03 -8.36 13.09 8.02 11.27 2.58 20.87 19.43 -14.09 2.55
Net benchmark -25.94 27.72 -8.59 12.81 7.75 10.99 2.32 20.57 19.14 -14.31 2.30
Reporting funds (ew) -25.73 24.21 -14.54 12.35 4.42 13.05 1.90 21.42 21.42 -15.50 4.17
Reporting funds (aw) -25.47 24.57 -14.14 12.33 5.13 13.63 2.21 22.86 19.11 -14.78 2.61
Hit ratio (%) 52 % 25 % 7 % 39 % 15 % 76 % 42 % 57 % 55 % 38 % 59 %
Reporting funds (#) 87 87 91 95 99 102 104 113 112 112 111
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Q1-2020 hit ratio compared to previous quarters
Quarterly outperformance of reporting funds (%, in EUR)
Quarterly performance Active performance net of fund fees & costs (% in EUR)
Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18 Q2 18
Benchmark -25.89 5.38 2.66 5.00 12.71 -13.69 3.36 4.85
Net benchmark -25.94 5.32 2.60 4.93 12.64 -13.74 3.30 4.79
Reporting funds (ew) -25.73 4.67 1.13 5.11 11.50 -15.70 0.82 3.22
Reporting funds (aw) -25.47 4.56 1.48 5.18 11.62 -15.26 1.14 2.85
Hit ratio (%) 52 % 26 % 8 % 64 % 34 % 16 % 7 % 29 %
Reporting funds (#) 87 88 89 91 94 93 96 95
Monthly performance Active performance net of fund fees & costs (% in EUR)
Mar Feb Jan Dec Nov Oct Sep Aug Jul Jun May Apr
Benchmark -17.61 -8.06 -2.15 1.13 2.92 1.25 3.48 -0.62 -0.18 6.11 -5.59 4.81
Net benchmark -17.63 -8.09 -2.17 1.11 2.89 1.23 3.46 -0.64 -0.20 6.09 -5.61 4.79
Funds (ew) -17.92 -7.56 -2.12 1.56 2.83 0.21 2.52 -1.39 0.04 5.86 -5.31 4.86
Funds (aw) -18.02 -7.40 -1.83 1.59 2.76 0.16 2.66 -1.18 0.03 5.74 -5.11 4.83
Hit ratio (%) 55 % 63 % 43 % 76 % 48 % 12 % 21 % 12 % 60 % 52 % 68 % 48 %
Reporting funds (#) 87 87 88 88 90 90 90 89 89 91 93 93
Performance consistency: annual returns
The ability of fund managers to outperfom over subsequent periods is key in delivering sustainable alpha. An upward sloping line usually indicates that the outperformers are consistent across time.
2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Long term active performance of live funds
Performance over different time periods (in %, in EUR)
YtD 1Y 3Y 5Y 10Y
Benchmark -25.89 -15.81 -2.41 0.04 4.23
Reporting funds: equal-weighted average -25.73 -17.29 -5.68 -2.13 3.05
Reporting funds: asset-weighted average -25.47 -16.83 -5.39 -1.88 3.25
Reporting funds: top decile -21.34 -11.85 -1.44 0.45 4.95
Reporting funds: top quartile -23.78 -14.78 -3.45 -0.76 4.03
Reporting funds: median -25.84 -17.13 -5.16 -1.90 3.19
Reporting funds: bottom quartile -27.18 -18.90 -7.83 -3.50 2.48
Reporting funds: bottom decile -29.33 -22.06 -10.85 -4.90 1.40
Net benchmark -25.94 -16.02 -2.65 -0.21 3.97
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Long term survivorship: how many funds stayed afloat? Number of funds that stayed active over different investment horizons
YtD 1Y 3Y 5Y 10Y
Reporting funds 87 86 83 82 74
All funds = reporting + non-reporting 87 93 99 105 114
Survivorship: %of reporting funds vs total 100.0 % 92.5 % 83.8 % 78.1 % 64.9 %
Survivorship Bias: what’s the performance difference between reporting and closed funds? Percentage of live and closed funds (in EUR, estimated performance for closed funds)
YtD 1Y 3Y 5Y 10Y
Benchmark -25.89 -15.81 -2.41 0.04 4.23
Net benchmark -25.94 -16.02 -2.65 -0.21 3.97
Hit ratio (vs reporting funds) 52 % 39.5 % 15.7 % 15.9 % 28.4 %
Hit ratio (vs all funds) 51.7 % 37.6 % 13.1 % 12.4 % 18.4 %
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Has a higher relative risk been rewarded by a higher active return over the last year? 1-year relative returns (in EUR) as a function of 1-year tracking-error (52 weekly returns, in EUR) An upward sloping line usually indicates that asset managers taking a higher Active Risk against the benchmark are on average rewarded by a a higher Active Return.
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Asset Class Deep Dive: Germany Large Cap Return to Table of Content
This universe covers Europe domiciled Funds which invest in the
German stock market with a focus on large capitalisations and a
balanced investment style.
The universe covers EUR 36.1bn, out of which EUR 24.4 bn is
invested in 60 active operating funds.
Compared to an investment in MSCI Germany net of 0.16 %
(average expense ratio of the ETFs of this universe) 36.8% of the
active, operating funds belonging to this universe have
outperformed over 1Y (57.8% over 5Y and 40.0% over 10Y ).
Hit Ratio snapshot Percentage of outperformers (%, in EUR)
Market Performance Fund Universe: Overview
MSCI Germany Active Funds (ew)
Year To Date -25.32 % -26.04 %
1 Year -15.61 % -17.32 %
3 Years (pa) -7.63 % -7.85 %
5 Years (pa) -4.40 % -4.42 %
10 Years (pa) 4.36 % 3.69 %
All funds 148
Operating funds (Active) 83 (60)
Total AUM EUR 36.1bn
Active / passive AUM EUR 24.4 / 11.7 bn
Funds / ETFs AUM EUR 24.5 / 11.5bn
Avg. active fee (aw) 1.01 % (0.96 %)
Avg. ETF fee (aw) 0.22 % (0.12 %)
Avg. ETF Exp. Ratio (aw) 0.24 % (0.16 %)
Benchmark MSCI Germany
Hit ratio: 2020 (YtD) compared to previous years Hit ratio of reporting funds vs. net benchmark, annual performances (%, in EUR, Year to Date for 2020)
Calendar year performance Active performance net of fund fees & costs (%, in EUR)
YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Benchmark -25.32 22.99 -18.25 12.17 5.82 9.29 2.08 25.69 28.89 -15.34 15.97
Net benchmark -25.36 22.80 -18.38 11.99 5.66 9.12 1.92 25.49 28.69 -15.48 15.79
Reporting funds (ew) -26.04 23.27 -20.19 15.86 2.45 12.20 1.17 24.49 24.49 -16.82 17.97
Reporting funds (aw) -26.90 25.52 -22.11 17.34 3.26 15.05 2.09 26.97 30.42 -17.32 19.60
Hit ratio (%) 45 % 64 % 28 % 89 % 18 % 74 % 38 % 39 % 33 % 29 % 74 %
Reporting funds (#) 58 58 58 57 56 57 55 54 51 52 53
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Q1-2020 hit ratio compared to previous quarters
Quarterly outperformance of reporting funds (%, in EUR)
Quarterly performance Active performance net of fund fees & costs (% in EUR)
Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18 Q2 18
Benchmark -25.32 6.73 0.24 5.62 8.84 -14.12 -0.05 1.17
Net benchmark -25.36 6.69 0.20 5.58 8.80 -14.15 -0.09 1.13
Reporting funds (ew) -26.04 7.24 -0.41 4.86 9.33 -15.48 -0.28 0.76
Reporting funds (aw) -26.90 7.75 -0.18 5.88 10.22 -17.11 -0.67 1.16
Hit ratio (%) 45 % 64 % 39 % 44 % 69 % 27 % 45 % 42 %
Reporting funds (#) 58 61 61 62 62 62 62 62
Monthly performance Active performance net of fund fees & costs (% in EUR)
Mar Feb Jan Dec Nov Oct Sep Aug Jul Jun May Apr
Benchmark -16.94 -8.43 -1.82 0.11 3.01 3.50 3.49 -1.88 -1.28 5.03 -6.06 7.05
Net benchmark -16.95 -8.45 -1.83 0.09 3.00 3.49 3.48 -1.89 -1.29 5.02 -6.07 7.03
Funds (ew) -17.90 -8.89 -1.23 0.98 3.08 3.03 2.77 -2.20 -0.89 3.98 -5.77 7.00
Funds (aw) -18.35 -10.12 -0.38 0.66 3.52 3.40 2.86 -1.90 -1.08 4.97 -6.83 8.26
Hit ratio (%) 36 % 32 % 60 % 79 % 59 % 31 % 41 % 45 % 63 % 31 % 55 % 57 %
Reporting funds (#) 58 59 60 61 61 61 61 62 63 62 62 63
Performance consistency: annual returns
The ability of fund managers to outperfom over subsequent periods is key in delivering sustainable alpha. An upward sloping line usually indicates that the outperformers are consistent across time.
2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Long term active performance of live funds
Performance over different time periods (in %, in EUR)
YtD 1Y 3Y 5Y 10Y
Benchmark -25.32 -15.61 -7.63 -4.40 4.36
Reporting funds: equal-weighted average -26.04 -17.32 -7.85 -4.42 3.69
Reporting funds: asset-weighted average -26.90 -16.75 -7.95 -3.99 4.85
Reporting funds: top decile -21.11 -11.15 -4.57 -2.45 6.21
Reporting funds: top quartile -23.98 -12.79 -6.24 -3.53 4.76
Reporting funds: median -26.08 -17.53 -8.07 -4.39 3.85
Reporting funds: bottom quartile -28.93 -20.66 -9.71 -5.76 2.87
Reporting funds: bottom decile -30.97 -24.03 -10.91 -6.67 0.53
Net benchmark -25.36 -15.75 -7.78 -4.55 4.19
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Long term survivorship: how many funds stayed afloat? Number of funds that stayed active over different investment horizons
YtD 1Y 3Y 5Y 10Y
Reporting funds 58 57 50 45 40
All funds = reporting + non-reporting 60 63 61 59 60
Survivorship: %of reporting funds vs total 96.7 % 90.5 % 82.0 % 76.3 % 66.7 %
Survivorship Bias: what’s the performance difference between reporting and closed funds? Percentage of live and closed funds (in EUR, estimated performance for closed funds)
YtD 1Y 3Y 5Y 10Y
Benchmark -25.32 -15.61 -7.63 -4.40 4.36
Net benchmark -25.36 -15.75 -7.78 -4.55 4.19
Hit ratio (vs reporting funds) 45 % 36.8 % 46.0 % 57.8 % 40.0 %
Hit ratio (vs all funds) 43.3 % 34.9 % 42.6 % 50.8 % 38.3 %
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Has a higher relative risk been rewarded by a higher active return over the last year? 1-year relative returns (in EUR) as a function of 1-year tracking-error (52 weekly returns, in EUR) An upward sloping line usually indicates that asset managers taking a higher Active Risk against the benchmark are on average rewarded by a a higher Active Return.
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Asset Class Deep Dive: Japan Large Cap Return to Table of Content
This universe covers Europe domiciled funds which invest in the
Japan stock with a focus on stocks with small market
capitalisations and a balanced investment style.
The universe covers EUR 81.9bn, out of which EUR 45.0 bn is
invested in 195 active operating funds.
Compared to an investment in MSCI Japan net of 0.33 % (average
expense ratio of the ETFs of this universe) 27.9% of the active,
operating funds belonging to this universe have outperformed
over 1Y (36.6% over 5Y and 33.1% over 10Y ).
Hit Ratio snapshot Percentage of outperformers (%, in EUR)
Market Performance Fund Universe: Overview
MSCI Japan Active Funds (ew)
Year To Date -14.87 % -16.76 %
1 Year -4.51 % -7.14 %
3 Years (pa) 0.10 % -1.38 %
5 Years (pa) 1.38 % 0.55 %
10 Years (pa) 6.02 % 5.32 %
All funds 700
Operating funds (Active) 280 (195)
Total AUM EUR 81.9bn
Active / passive AUM EUR 45.0 / 36.9 bn
Funds / ETFs AUM EUR 67.0 / 14.9bn
Avg. active fee (aw) 0.98 % (0.74 %)
Avg. ETF fee (aw) 0.30 % (0.22 %)
Avg. ETF Exp. Ratio (aw) 0.38 % (0.33 %)
Benchmark MSCI Japan
Hit ratio: 2020 (YtD) compared to previous years Hit ratio of reporting funds vs. net benchmark, annual performances (%, in EUR, Year to Date for 2020)
Calendar year performance Active performance net of fund fees & costs (%, in EUR)
YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Benchmark -14.87 21.81 -8.49 8.91 5.44 22.05 9.29 21.67 6.52 -11.47 23.46
Net benchmark -14.95 21.41 -8.79 8.55 5.09 21.65 8.93 21.27 6.17 -11.77 23.05
Reporting funds (ew) -16.76 21.36 -11.96 11.98 5.60 21.27 7.22 21.21 21.21 -10.78 22.46
Reporting funds (aw) -16.77 21.93 -11.40 11.56 6.94 22.28 7.35 21.49 5.26 -9.93 23.42
Hit ratio (%) 32 % 48 % 17 % 72 % 53 % 43 % 34 % 38 % 33 % 56 % 50 %
Reporting funds (#) 189 183 186 187 182 187 199 208 206 226 242
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Q1-2020 hit ratio compared to previous quarters
Quarterly outperformance of reporting funds (%, in EUR)
Quarterly performance Active performance net of fund fees & costs (% in EUR)
Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18 Q2 18
Benchmark -14.87 4.54 7.73 -0.40 8.59 -12.86 4.22 2.35
Net benchmark -14.95 4.46 7.64 -0.48 8.50 -12.93 4.13 2.26
Reporting funds (ew) -16.76 4.85 7.08 -0.55 8.67 -14.52 3.24 2.08
Reporting funds (aw) -16.77 4.67 6.65 -0.19 9.43 -14.50 3.48 2.10
Hit ratio (%) 32 % 61 % 36 % 47 % 44 % 26 % 28 % 48 %
Reporting funds (#) 189 187 192 194 201 200 204 200
Monthly performance Active performance net of fund fees & costs (% in EUR)
Mar Feb Jan Dec Nov Oct Sep Aug Jul Jun May Apr
Benchmark -7.05 -8.34 -0.09 0.28 1.75 2.46 5.10 0.08 2.42 1.52 -3.41 1.58
Net benchmark -7.07 -8.37 -0.12 0.25 1.72 2.43 5.07 0.05 2.40 1.49 -3.44 1.55
Funds (ew) -7.15 -9.37 -1.03 0.33 2.20 2.26 5.30 -0.58 2.30 1.68 -3.98 1.91
Funds (aw) -6.62 -9.82 -1.17 0.11 2.65 1.85 5.30 -0.71 2.00 1.89 -4.15 2.19
Hit ratio (%) 49 % 16 % 20 % 56 % 66 % 40 % 59 % 30 % 49 % 58 % 34 % 59 %
Reporting funds (#) 190 189 189 188 188 189 192 193 195 198 197 199
Performance consistency: annual returns
The ability of fund managers to outperfom over subsequent periods is key in delivering sustainable alpha. An upward sloping line usually indicates that the outperformers are consistent across time.
2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Long term active performance of live funds
Performance over different time periods (in %, in EUR)
YtD 1Y 3Y 5Y 10Y
Benchmark -14.87 -4.51 0.10 1.38 6.02
Reporting funds: equal-weighted average -16.76 -7.14 -1.38 0.55 5.32
Reporting funds: asset-weighted average -16.77 -7.27 -1.08 1.09 5.69
Reporting funds: top decile -12.40 -0.57 2.44 3.50 7.46
Reporting funds: top quartile -14.49 -4.39 0.08 1.69 6.17
Reporting funds: median -16.79 -7.41 -1.71 0.50 5.16
Reporting funds: bottom quartile -18.92 -9.80 -2.94 -0.76 4.16
Reporting funds: bottom decile -21.24 -13.22 -4.94 -2.08 3.14
Net benchmark -14.95 -4.83 -0.24 1.05 5.67
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Long term survivorship: how many funds stayed afloat? Number of funds that stayed active over different investment horizons
YtD 1Y 3Y 5Y 10Y
Reporting funds 189 183 158 142 121
All funds = reporting + non-reporting 189 199 190 199 254
Survivorship: %of reporting funds vs total 100.0 % 92.0 % 83.2 % 71.4 % 47.6 %
Survivorship Bias: what’s the performance difference between reporting and closed funds? Percentage of live and closed funds (in EUR, estimated performance for closed funds)
YtD 1Y 3Y 5Y 10Y
Benchmark -14.87 -4.51 0.10 1.38 6.02
Net benchmark -14.95 -4.83 -0.24 1.05 5.67
Hit ratio (vs reporting funds) 32 % 27.9 % 31.0 % 36.6 % 33.1 %
Hit ratio (vs all funds) 31.7 % 27.1 % 28.4 % 32.7 % 21.3 %
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Has a higher relative risk been rewarded by a higher active return over the last year? 1-year relative returns (in EUR) as a function of 1-year tracking-error (52 weekly returns, in EUR) An upward sloping line usually indicates that asset managers taking a higher Active Risk against the benchmark are on average rewarded by a a higher Active Return.
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
.
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Asset Class Deep Dive: UK Large Cap Return to Table of Content
This universe covers Europe domiciled funds which invest in the
UK stock market with a focus on large capitalisations and a
balanced investment style.
The universe covers EUR 136.0bn, out of which EUR 54.8 bn is
invested in 138 active operating funds.
Compared to an investment in FTSE All-Share net of 0.10 %
(average expense ratio of the ETFs of this universe) 38.2% of the
active, operating funds belonging to this universe have
outperformed over 1Y (23.4% over 5Y and 48.5% over 10Y ).
Hit Ratio snapshot Percentage of outperformers (%, in EUR)
Market Performance Fund Universe: Overview
FTSE All-Share Active Funds (ew)
Year To Date -28.31 % -29.66 %
1 Year -20.59 % -21.35 %
3 Years (pa) -5.32 % -6.55 %
5 Years (pa) -3.40 % -4.78 %
10 Years (pa) 4.47 % 4.39 %
All funds 426
Operating funds (Active) 204 (138)
Total AUM EUR 136.0bn
Active / passive AUM EUR 54.8 / 81.2 bn
Funds / ETFs AUM EUR 121.1 / 15.0bn
Avg. active fee (aw) 0.80 % (0.45 %)
Avg. ETF fee (aw) 0.22 % (0.10 %)
Avg. ETF Exp. Ratio (aw) 0.19 % (0.10 %)
Benchmark FTSE All-Share
Hit ratio: 2020 (YtD) compared to previous years Hit ratio of reporting funds vs. net benchmark, annual performances (%, in EUR, Year to Date for 2020)
Calendar year performance Active performance net of fund fees & costs (%, in EUR)
YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Benchmark -28.31 26.23 -10.47 8.76 0.81 6.33 8.47 17.77 15.66 -0.97 18.74
Net benchmark -28.33 26.11 -10.56 8.65 0.71 6.22 8.36 17.66 15.55 -1.07 18.62
Reporting funds (ew) -29.66 26.95 -11.11 7.05 -3.21 8.38 8.26 21.84 21.84 -3.13 19.46
Reporting funds (aw) -29.58 26.38 -10.29 6.80 -2.53 7.99 8.34 20.65 17.07 -3.40 18.99
Hit ratio (%) 33 % 61 % 40 % 35 % 16 % 69 % 47 % 78 % 66 % 28 % 55 %
Reporting funds (#) 138 137 141 140 140 144 151 155 151 150 164
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Q1-2020 hit ratio compared to previous quarters
Quarterly outperformance of reporting funds (%, in EUR)
Quarterly performance Active performance net of fund fees & costs (% in EUR)
Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18 Q2 18
Benchmark -28.31 8.75 2.43 -0.56 13.96 -10.94 -1.52 8.26
Net benchmark -28.33 8.72 2.40 -0.58 13.93 -10.96 -1.55 8.23
Reporting funds (ew) -29.66 9.64 2.34 -0.41 13.63 -11.80 -1.99 8.13
Reporting funds (aw) -29.58 9.35 2.48 -0.48 13.31 -11.72 -1.97 8.49
Hit ratio (%) 33 % 64 % 52 % 50 % 41 % 34 % 33 % 48 %
Reporting funds (#) 138 138 142 142 150 146 148 147
Monthly performance Active performance net of fund fees & costs (% in EUR)
Mar Feb Jan Dec Nov Oct Sep Aug Jul Jun May Apr
Benchmark -17.46 -10.94 -2.48 3.94 3.41 1.17 5.23 -3.03 0.37 2.44 -5.69 2.93
Net benchmark -17.47 -10.95 -2.49 3.94 3.40 1.17 5.22 -3.04 0.37 2.43 -5.70 2.92
Funds (ew) -19.11 -11.25 -2.08 3.63 3.99 1.73 4.87 -2.73 0.35 2.01 -5.94 3.75
Funds (aw) -19.00 -11.24 -2.05 3.52 3.90 1.66 4.97 -2.78 0.42 2.15 -6.06 3.71
Hit ratio (%) 25 % 29 % 61 % 38 % 82 % 67 % 37 % 59 % 46 % 26 % 44 % 77 %
Reporting funds (#) 138 138 139 140 142 141 142 142 142 142 145 151
Performance consistency: annual returns
The ability of fund managers to outperfom over subsequent periods is key in delivering sustainable alpha. An upward sloping line usually indicates that the outperformers are consistent across time.
2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Long term active performance of live funds
Performance over different time periods (in %, in EUR)
YtD 1Y 3Y 5Y 10Y
Benchmark -28.31 -20.59 -5.32 -3.40 4.47
Reporting funds: equal-weighted average -29.66 -21.35 -6.55 -4.78 4.39
Reporting funds: asset-weighted average -29.58 -21.46 -6.27 -4.53 4.07
Reporting funds: top decile -24.54 -14.04 -3.26 -2.56 5.78
Reporting funds: top quartile -27.62 -18.40 -5.04 -3.54 5.17
Reporting funds: median -29.95 -21.89 -6.58 -4.65 4.32
Reporting funds: bottom quartile -31.98 -24.54 -8.41 -5.97 3.49
Reporting funds: bottom decile -34.23 -27.42 -10.11 -7.37 2.34
Net benchmark -28.33 -20.67 -5.41 -3.49 4.37
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Long term survivorship: how many funds stayed afloat? Number of funds that stayed active over different investment horizons
YtD 1Y 3Y 5Y 10Y
Reporting funds 138 136 120 111 99
All funds = reporting + non-reporting 140 151 145 152 175
Survivorship: %of reporting funds vs total 98.6 % 90.1 % 82.8 % 73.0 % 56.6 %
Survivorship Bias: what’s the performance difference between reporting and closed funds? Percentage of live and closed funds (in EUR, estimated performance for closed funds)
YtD 1Y 3Y 5Y 10Y
Benchmark -28.31 -20.59 -5.32 -3.40 4.47
Net benchmark -28.33 -20.67 -5.41 -3.49 4.37
Hit ratio (vs reporting funds) 33 % 38.2 % 31.7 % 23.4 % 48.5 %
Hit ratio (vs all funds) 32.1 % 37.1 % 29.7 % 19.7 % 37.7 %
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Has a higher relative risk been rewarded by a higher active return over the last year? 1-year relative returns (in EUR) as a function of 1-year tracking-error (52 weekly returns, in EUR) An upward sloping line usually indicates that asset managers taking a higher Active Risk against the benchmark are on average rewarded by a a higher Active Return.
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Asset Class Deep Dive: US Large Cap Blend Return to Table of Content
This universe covers Europe domiciled funds which invest in the
US stock market with a focus on large capitalisations and a
balanced investment style.
The universe covers EUR 335.9bn, out of which EUR 112.6 bn is
invested in 419 active operating funds.
Compared to an investment in MSCI USA net of 0.12 % (average
expense ratio of the ETFs of this universe) 36.5% of the active,
operating funds belonging to this universe have outperformed
over 1Y (13.1% over 5Y and 6.8% over 10Y ).
Hit Ratio snapshot Percentage of outperformers (%, in EUR)
Market Performance Fund Universe: Overview
MSCI USA Active Funds (ew)
Year To Date -17.92 % -18.51 %
1 Year -5.53 % -8.08 %
3 Years (pa) 3.55 % 0.92 %
5 Years (pa) 5.46 % 2.69 %
10 Years (pa) 12.16 % 9.28 %
All funds 1045
Operating funds (Active) 566 (419)
Total AUM EUR 335.9bn
Active / passive AUM EUR 112.6 / 223.2 bn
Funds / ETFs AUM EUR 221.5 / 114.0bn
Avg. active fee (aw) 0.86 % (0.40 %)
Avg. ETF fee (aw) 0.27 % (0.10 %)
Avg. ETF Exp. Ratio (aw) 0.24 % (0.12 %)
Benchmark MSCI USA
Hit ratio: 2020 (YtD) compared to previous years Hit ratio of reporting funds vs. net benchmark, annual performances (%, in EUR, Year to Date for 2020)
Calendar year performance Active performance net of fund fees & costs (%, in EUR)
YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Benchmark -17.92 33.28 -0.25 6.45 14.21 12.16 28.33 26.10 13.56 4.75 22.75
Net benchmark -17.95 33.12 -0.37 6.32 14.07 12.02 28.17 25.94 13.42 4.62 22.60
Reporting funds (ew) -18.51 29.88 -3.41 4.95 11.95 8.49 24.46 25.33 25.33 0.78 19.75
Reporting funds (aw) -17.84 30.43 -2.22 5.97 11.68 9.56 25.28 25.08 10.89 0.78 21.00
Hit ratio (%) 49 % 26 % 21 % 31 % 31 % 19 % 24 % 43 % 18 % 18 % 19 %
Reporting funds (#) 408 385 389 373 364 362 347 345 332 347 359
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Q1-2020 hit ratio compared to previous quarters
Quarterly outperformance of reporting funds (%, in EUR)
Quarterly performance Active performance net of fund fees & costs (% in EUR)
Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18 Q2 18
Benchmark -17.92 5.83 5.93 2.67 15.80 -12.42 7.92 8.92
Net benchmark -17.95 5.80 5.89 2.64 15.76 -12.45 7.89 8.89
Reporting funds (ew) -18.51 5.07 4.83 2.45 15.00 -13.19 6.61 8.51
Reporting funds (aw) -17.84 5.29 4.97 2.50 15.14 -12.90 6.87 8.79
Hit ratio (%) 49 % 33 % 30 % 43 % 35 % 34 % 23 % 43 %
Reporting funds (#) 408 404 407 416 423 411 407 406
Monthly performance Active performance net of fund fees & costs (% in EUR)
Mar Feb Jan Dec Nov Oct Sep Aug Jul Jun May Apr
Benchmark -12.63 -7.40 1.45 1.06 4.92 -0.19 2.77 -0.72 3.82 4.68 -5.85 4.17
Net benchmark -12.64 -7.41 1.44 1.05 4.91 -0.20 2.76 -0.73 3.81 4.67 -5.86 4.16
Funds (ew) -12.89 -7.79 1.44 0.64 4.79 -0.36 2.31 -1.54 4.08 4.11 -5.55 4.23
Funds (aw) -12.31 -7.93 1.77 0.74 4.91 -0.38 2.21 -1.35 4.11 4.06 -5.53 4.27
Hit ratio (%) 51 % 40 % 44 % 30 % 45 % 41 % 40 % 31 % 55 % 32 % 59 % 52 %
Reporting funds (#) 413 415 414 410 411 407 411 413 420 420 423 426
Performance consistency: annual returns
The ability of fund managers to outperfom over subsequent periods is key in delivering sustainable alpha. An upward sloping line usually indicates that the outperformers are consistent across time.
2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Long term active performance of live funds
Performance over different time periods (in %, in EUR)
YtD 1Y 3Y 5Y 10Y
Benchmark -17.92 -5.53 3.55 5.46 12.16
Reporting funds: equal-weighted average -18.51 -8.08 0.92 2.69 9.28
Reporting funds: asset-weighted average -17.84 -6.92 2.15 3.60 10.02
Reporting funds: top decile -13.94 -1.67 4.82 5.78 11.59
Reporting funds: top quartile -16.12 -4.59 3.13 4.52 10.67
Reporting funds: median -18.05 -7.08 1.12 3.15 9.42
Reporting funds: bottom quartile -20.72 -11.02 -0.98 1.12 8.34
Reporting funds: bottom decile -24.13 -16.11 -3.34 -1.13 6.46
Net benchmark -17.95 -5.65 3.42 5.33 12.02
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Long term survivorship: how many funds stayed afloat? Number of funds that stayed active over different investment horizons
YtD 1Y 3Y 5Y 10Y
Reporting funds 408 386 320 275 207
All funds = reporting + non-reporting 414 424 384 372 367
Survivorship: %of reporting funds vs total 98.6 % 91.0 % 83.3 % 73.9 % 56.4 %
Survivorship Bias: what’s the performance difference between reporting and closed funds? Percentage of live and closed funds (in EUR, estimated performance for closed funds)
YtD 1Y 3Y 5Y 10Y
Benchmark -17.92 -5.53 3.55 5.46 12.16
Net benchmark -17.95 -5.65 3.42 5.33 12.02
Hit ratio (vs reporting funds) 49 % 36.5 % 19.1 % 13.1 % 6.8 %
Hit ratio (vs all funds) 48.8 % 34.2 % 16.4 % 9.9 % 3.8 %
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Has a higher relative risk been rewarded by a higher active return over the last year? 1-year relative returns (in EUR) as a function of 1-year tracking-error (52 weekly returns, in EUR) An upward sloping line usually indicates that asset managers taking a higher Active Risk against the benchmark are on average rewarded by a a higher Active Return.
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Asset Class Deep Dive: US Small Cap Return to Table of Content
This universe covers Europe domiciled funds which invest in the
US stock market with a focus on stocks with small market
capitalisations and a balanced investment style.
The universe covers EUR 12.3bn, out of which EUR 10.5 bn is
invested in 73 active operating funds.
Compared to an investment in Russell 2000 net of 0.36 %
(average expense ratio of the ETFs of this universe) 68.3% of the
active, operating funds belonging to this universe have
outperformed over 1Y (62.8% over 5Y and 51.7% over 10Y ).
Hit Ratio snapshot Percentage of outperformers (%, in EUR)
Market Performance Fund Universe: Overview
Russell 2000 Active Funds (ew)
Year To Date -29.10 % -25.38 %
1 Year -22.55 % -18.13 %
3 Years (pa) -5.83 % -2.00 %
5 Years (pa) -1.08 % 0.77 %
10 Years (pa) 8.73 % 8.52 %
All funds 160
Operating funds (Active) 83 (73)
Total AUM EUR 12.3bn
Active / passive AUM EUR 10.5 / 1.8 bn
Funds / ETFs AUM EUR 10.5 / 1.8bn
Avg. active fee (aw) 1.16 % (1.06 %)
Avg. ETF fee (aw) 0.35 % (0.32 %)
Avg. ETF Exp. Ratio (aw) 0.37 % (0.36 %)
Benchmark Russell 2000
Hit ratio: 2020 (YtD) compared to previous years Hit ratio of reporting funds vs. net benchmark, annual performances (%, in EUR, Year to Date for 2020)
Calendar year performance Active performance net of fund fees & costs (%, in EUR)
YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Benchmark -29.10 27.30 -6.88 0.32 24.39 6.06 19.00 32.31 14.07 -1.36 35.18
Net benchmark -29.17 26.85 -7.22 -0.04 23.95 5.68 18.58 31.85 13.67 -1.71 34.71
Reporting funds (ew) -25.38 29.62 -5.36 4.19 19.32 6.49 16.55 31.68 31.68 -3.17 33.68
Reporting funds (aw) -23.90 31.23 -6.21 2.20 20.84 6.24 17.75 31.65 10.23 -2.54 31.97
Hit ratio (%) 64 % 66 % 53 % 67 % 29 % 61 % 29 % 55 % 28 % 44 % 37 %
Reporting funds (#) 69 62 62 61 59 59 56 49 46 45 46
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Q1-2020 hit ratio compared to previous quarters
Quarterly outperformance of reporting funds (%, in EUR)
Quarterly performance Active performance net of fund fees & costs (% in EUR)
Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18 Q2 18
Benchmark -29.10 6.66 1.84 0.56 16.53 -19.01 4.02 13.40
Net benchmark -29.17 6.57 1.75 0.47 16.43 -19.09 3.93 13.31
Reporting funds (ew) -25.38 5.78 1.88 2.08 17.47 -18.59 5.09 12.88
Reporting funds (aw) -23.90 5.59 2.46 2.82 17.98 -18.25 5.03 12.55
Hit ratio (%) 64 % 32 % 60 % 67 % 51 % 60 % 59 % 34 %
Reporting funds (#) 69 69 65 66 67 65 66 65
Monthly performance Active performance net of fund fees & costs (% in EUR)
Mar Feb Jan Dec Nov Oct Sep Aug Jul Jun May Apr
Benchmark -21.69 -7.64 -1.97 1.01 5.31 0.27 3.06 -3.93 2.85 4.72 -7.29 3.58
Net benchmark -21.72 -7.67 -2.00 0.98 5.28 0.24 3.03 -3.96 2.82 4.69 -7.32 3.55
Funds (ew) -19.79 -7.61 0.58 0.28 5.66 -0.22 1.14 -3.43 4.14 4.26 -6.09 4.29
Funds (aw) -18.41 -8.16 1.56 0.22 5.92 -0.52 1.07 -3.19 4.73 4.48 -5.99 4.68
Hit ratio (%) 66 % 46 % 77 % 32 % 50 % 33 % 37 % 61 % 75 % 33 % 70 % 76 %
Reporting funds (#) 70 69 69 69 70 70 68 66 65 67 66 67
Performance consistency: annual returns
The ability of fund managers to outperfom over subsequent periods is key in delivering sustainable alpha. An upward sloping line usually indicates that the outperformers are consistent across time.
2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Long term active performance of live funds
Performance over different time periods (in %, in EUR)
YtD 1Y 3Y 5Y 10Y
Benchmark -29.10 -22.55 -5.83 -1.08 8.73
Reporting funds: equal-weighted average -25.38 -18.13 -2.00 0.77 8.52
Reporting funds: asset-weighted average -23.90 -15.35 -2.00 1.00 9.09
Reporting funds: top decile -18.07 -9.09 6.19 5.60 12.15
Reporting funds: top quartile -20.04 -12.72 3.33 3.45 10.70
Reporting funds: median -24.37 -18.54 -3.25 -0.44 8.40
Reporting funds: bottom quartile -31.38 -23.95 -7.47 -2.56 6.81
Reporting funds: bottom decile -32.61 -27.65 -10.54 -3.98 4.77
Net benchmark -29.17 -22.84 -6.17 -1.44 8.35
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Long term survivorship: how many funds stayed afloat? Number of funds that stayed active over different investment horizons
YtD 1Y 3Y 5Y 10Y
Reporting funds 69 63 54 43 29
All funds = reporting + non-reporting 69 67 64 66 50
Survivorship: %of reporting funds vs total 100.0 % 94.0 % 84.4 % 65.2 % 58.0 %
Survivorship Bias: what’s the performance difference between reporting and closed funds? Percentage of live and closed funds (in EUR, estimated performance for closed funds)
YtD 1Y 3Y 5Y 10Y
Benchmark -29.10 -22.55 -5.83 -1.08 8.73
Net benchmark -29.17 -22.84 -6.17 -1.44 8.35
Hit ratio (vs reporting funds) 64 % 68.3 % 64.8 % 62.8 % 51.7 %
Hit ratio (vs all funds) 63.8 % 68.7 % 64.1 % 62.1 % 52.0 %
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Has a higher relative risk been rewarded by a higher active return over the last year? 1-year relative returns (in EUR) as a function of 1-year tracking-error (52 weekly returns, in EUR) An upward sloping line usually indicates that asset managers taking a higher Active Risk against the benchmark are on average rewarded by a a higher Active Return.
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Asset Class Deep Dive: World Large Cap Return to Table of Content
This universe covers Europe domiciled funds which invest
globally in equities with a focus on large market capitalisations
and a balanced investment style.
The universe covers EUR 518.7bn, out of which EUR 343.9 bn is
invested in 1229 active operating funds.
Compared to an investment in MSCI World net of 0.27 % (average
expense ratio of the ETFs of this universe) 42.0% of the active,
operating funds belonging to this universe have outperformed
over 1Y (17.4% over 5Y and 8.9% over 10Y ).
Hit Ratio snapshot Percentage of outperformers (%, in EUR)
Market Performance Fund Universe: Overview
MSCI World Active Funds (ew)
Year To Date -19.23 % -18.83 %
1 Year -8.30 % -9.87 %
3 Years (pa) 1.06 % -1.26 %
5 Years (pa) 2.80 % 0.44 %
10 Years (pa) 8.83 % 6.05 %
All funds 2427
Operating funds (Active) 1388 (1229)
Total AUM EUR 518.7bn
Active / passive AUM EUR 343.9 / 174.9 bn
Funds / ETFs AUM EUR 466.2 / 52.1bn
Avg. active fee (aw) 0.95 % (0.72 %)
Avg. ETF fee (aw) 0.31 % (0.25 %)
Avg. ETF Exp. Ratio (aw) 0.35 % (0.27 %)
Benchmark MSCI World
Hit ratio: 2020 (YtD) compared to previous years Hit ratio of reporting funds vs. net benchmark, annual performances (%, in EUR, Year to Date for 2020)
Calendar year performance Active performance net of fund fees & costs (%, in EUR)
YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Benchmark -19.23 30.02 -4.11 7.51 10.73 10.42 19.50 21.20 14.05 -2.38 19.53
Net benchmark -19.29 29.67 -4.37 7.22 10.43 10.13 19.18 20.88 13.74 -2.65 19.21
Reporting funds (ew) -18.83 25.66 -8.04 7.85 6.61 8.76 14.40 17.26 17.26 -7.06 15.90
Reporting funds (aw) -19.24 27.60 -6.81 8.53 8.06 9.56 16.51 18.76 13.18 -6.51 18.41
Hit ratio (%) 55 % 23 % 18 % 58 % 19 % 39 % 19 % 28 % 34 % 20 % 32 %
Reporting funds (#) 1,182 1,041 964 910 898 861 815 819 762 760 771
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Q1-2020 hit ratio compared to previous quarters
Quarterly outperformance of reporting funds (%, in EUR)
Quarterly performance Active performance net of fund fees & costs (% in EUR)
Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18 Q2 18
Benchmark -19.23 5.43 5.02 2.54 14.51 -12.03 5.53 7.16
Net benchmark -19.29 5.36 4.95 2.48 14.44 -12.09 5.46 7.09
Reporting funds (ew) -18.83 5.40 3.49 1.93 12.98 -12.10 3.51 5.33
Reporting funds (aw) -19.24 5.92 3.99 2.12 13.44 -12.12 4.25 6.06
Hit ratio (%) 55 % 54 % 20 % 37 % 24 % 47 % 16 % 21 %
Reporting funds (#) 1,182 1,145 1,113 1,093 1,080 1,051 1,052 1,031
Monthly performance Active performance net of fund fees & costs (% in EUR)
Mar Feb Jan Dec Nov Oct Sep Aug Jul Jun May Apr
Benchmark -13.14 -7.64 0.67 1.17 4.00 0.21 3.16 -0.96 2.79 4.30 -5.23 3.74
Net benchmark -13.16 -7.66 0.65 1.15 3.98 0.18 3.14 -0.99 2.77 4.28 -5.26 3.72
Funds (ew) -12.74 -7.32 0.33 1.33 3.59 0.39 2.66 -1.63 2.47 3.58 -4.89 3.49
Funds (aw) -12.92 -7.74 0.52 1.40 3.86 0.57 2.81 -1.64 2.84 3.86 -5.25 3.77
Hit ratio (%) 57 % 57 % 41 % 55 % 35 % 61 % 36 % 28 % 40 % 27 % 60 % 43 %
Reporting funds (#) 1,201 1,191 1,191 1,180 1,169 1,157 1,144 1,137 1,123 1,112 1,104 1,100
Performance consistency: annual returns
The ability of fund managers to outperfom over subsequent periods is key in delivering sustainable alpha. An upward sloping line usually indicates that the outperformers are consistent across time.
2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Long term active performance of live funds
Performance over different time periods (in %, in EUR)
YtD 1Y 3Y 5Y 10Y
Benchmark -19.23 -8.30 1.06 2.80 8.83
Reporting funds: equal-weighted average -18.83 -9.87 -1.26 0.44 6.05
Reporting funds: asset-weighted average -19.24 -9.15 -0.29 1.39 7.09
Reporting funds: top decile -13.67 -3.36 2.38 3.07 8.42
Reporting funds: top quartile -16.22 -6.47 0.61 2.00 7.58
Reporting funds: median -18.98 -9.60 -1.19 0.57 6.27
Reporting funds: bottom quartile -21.44 -12.97 -2.85 -0.89 4.99
Reporting funds: bottom decile -23.68 -16.32 -4.67 -2.50 3.35
Net benchmark -19.29 -8.55 0.78 2.53 8.54
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Long term survivorship: how many funds stayed afloat? Number of funds that stayed active over different investment horizons
YtD 1Y 3Y 5Y 10Y
Reporting funds 1,182 1,053 818 682 470
All funds = reporting + non-reporting 1,192 1,092 981 907 827
Survivorship: %of reporting funds vs total 99.2 % 96.4 % 83.4 % 75.2 % 56.8 %
Survivorship Bias: what’s the performance difference between reporting and closed funds? Percentage of live and closed funds (in EUR, estimated performance for closed funds)
YtD 1Y 3Y 5Y 10Y
Benchmark -19.23 -8.30 1.06 2.80 8.83
Net benchmark -19.29 -8.55 0.78 2.53 8.54
Hit ratio (vs reporting funds) 55 % 42.0 % 23.6 % 17.4 % 8.9 %
Hit ratio (vs all funds) 54.7 % 40.9 % 21.1 % 14.0 % 5.3 %
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Has a higher relative risk been rewarded by a higher active return over the last year? 1-year relative returns (in EUR) as a function of 1-year tracking-error (52 weekly returns, in EUR) An upward sloping line usually indicates that asset managers taking a higher Active Risk against the benchmark are on average rewarded by a a higher Active Return.
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Asset Class Deep Dive: Emerging Equities Return to Table of Content
This universe covers Europe domiciled Funds which invest in
Emerging Markets Equities, with a focus on large capitalisations
and a balanced investment style.
The universe covers EUR 246.8bn, out of which EUR 161.7 bn is
invested in 472 active operating funds.
Compared to an investment in MSCI EM net of 0.35 % (average
expense ratio of the ETFs of this universe) 43.0% of the active,
operating funds belonging to this universe have outperformed
over 1Y (37.6% over 5Y and 37.1% over 10Y ).
Hit Ratio snapshot Percentage of outperformers (%, in EUR)
Market Performance Fund Universe: Overview
MSCI EM Active Funds (ew)
Year To Date -21.84 % -23.33 %
1 Year -15.77 % -17.01 %
3 Years (pa) -2.46 % -4.12 %
5 Years (pa) -0.79 % -1.81 %
10 Years (pa) 2.82 % 1.79 %
All funds 907
Operating funds (Active) 568 (472)
Total AUM EUR 246.8bn
Active / passive AUM EUR 161.7 / 85.1 bn
Funds / ETFs AUM EUR 217.0 / 29.7bn
Avg. active fee (aw) 0.99 % (0.88 %)
Avg. ETF fee (aw) 0.41 % (0.26 %)
Avg. ETF Exp. Ratio (aw) 0.48 % (0.35 %)
Benchmark MSCI EM
Hit ratio: 2020 (YtD) compared to previous years Hit ratio of reporting funds vs. net benchmark, annual performances (%, in EUR, Year to Date for 2020)
Calendar year performance Active performance net of fund fees & costs (%, in EUR)
YtD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010
Benchmark -21.84 20.61 -10.27 20.59 14.51 -5.23 11.38 -6.81 16.41 -15.70 27.13
Net benchmark -21.92 20.20 -10.59 20.17 14.12 -5.56 11.00 -7.14 16.00 -16.00 26.70
Reporting funds (ew) -23.33 21.68 -12.58 19.27 12.23 -4.45 10.25 -5.23 -5.23 -17.49 25.82
Reporting funds (aw) -22.83 22.52 -12.52 19.06 12.34 -3.89 11.19 -5.03 16.35 -15.83 26.12
Hit ratio (%) 33 % 60 % 31 % 44 % 37 % 57 % 46 % 62 % 46 % 37 % 38 %
Reporting funds (#) 458 429 437 432 436 418 424 409 356 314 280
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Q1-2020 hit ratio compared to previous quarters
Quarterly outperformance of reporting funds (%, in EUR)
Quarterly performance Active performance net of fund fees & costs (% in EUR)
Q1 20 Q4 19 Q3 19 Q2 19 Q1 19 Q4 18 Q3 18 Q2 18
Benchmark -21.84 8.62 0.02 -0.80 11.91 -5.99 -0.58 -3.05
Net benchmark -21.92 8.53 -0.06 -0.89 11.82 -6.07 -0.67 -3.13
Reporting funds (ew) -23.33 7.80 0.25 0.18 12.26 -6.13 -1.81 -3.42
Reporting funds (aw) -22.83 7.82 0.44 0.53 12.54 -5.98 -1.72 -3.36
Hit ratio (%) 33 % 43 % 59 % 74 % 57 % 44 % 38 % 41 %
Reporting funds (#) 458 453 452 453 456 456 460 458
Monthly performance
Active performance net of fund fees & costs (% in EUR)
Mar Feb Jan Dec Nov Oct Sep Aug Jul Jun May Apr
Benchmark -15.31 -4.43 -3.43 5.56 1.04 1.84 2.94 -3.83 1.03 3.96 -6.73 2.30
Net benchmark -15.34 -4.46 -3.46 5.53 1.02 1.81 2.91 -3.86 1.00 3.93 -6.76 2.27
Funds (ew) -16.87 -5.13 -2.77 4.88 1.28 1.49 2.78 -3.66 1.26 3.99 -5.81 2.31
Funds (aw) -16.28 -5.29 -2.68 4.97 1.26 1.43 2.75 -3.65 1.45 4.19 -5.89 2.53
Hit ratio (%) 31 % 36 % 60 % 35 % 62 % 38 % 46 % 53 % 62 % 59 % 74 % 51 %
Reporting funds (#) 463 463 462 457 460 460 458 458 458 459 457 457
Performance consistency: annual returns
The ability of fund managers to outperfom over subsequent periods is key in delivering sustainable alpha. An upward sloping line usually indicates that the outperformers are consistent across time.
2019 vs 2018 (%, in EUR) 2018 vs 2017 (%, in EUR)
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Long term active performance of live funds
Performance over different time periods (in %, in EUR)
YtD 1Y 3Y 5Y 10Y
Benchmark -21.84 -15.77 -2.46 -0.79 2.82
Reporting funds: equal-weighted average -23.33 -17.01 -4.12 -1.81 1.79
Reporting funds: asset-weighted average -22.83 -15.99 -3.65 -1.40 2.50
Reporting funds: top decile -19.34 -11.55 -0.10 1.11 4.34
Reporting funds: top quartile -21.37 -13.86 -2.18 -0.29 3.17
Reporting funds: median -23.11 -16.81 -4.01 -1.88 1.78
Reporting funds: bottom quartile -25.11 -19.79 -5.88 -3.15 0.61
Reporting funds: bottom decile -27.79 -23.69 -7.93 -4.47 -0.49
Net benchmark -21.92 -16.07 -2.80 -1.14 2.46
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Long term survivorship: how many funds stayed afloat? Number of funds that stayed active over different investment horizons
YtD 1Y 3Y 5Y 10Y
Reporting funds 458 430 379 330 210
All funds = reporting + non-reporting 461 457 441 441 287
Survivorship: %of reporting funds vs total 99.3 % 94.1 % 85.9 % 74.8 % 73.2 %
Survivorship Bias: what’s the performance difference between reporting and closed funds? Percentage of live and closed funds (in EUR, estimated performance for closed funds)
YtD 1Y 3Y 5Y 10Y
Benchmark -21.84 -15.77 -2.46 -0.79 2.82
Net benchmark -21.92 -16.07 -2.80 -1.14 2.46
Hit ratio (vs reporting funds) 33 % 43.0 % 33.5 % 37.6 % 37.1 %
Hit ratio (vs all funds) 32.8 % 42.2 % 32.0 % 31.7 % 30.7 %
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
Has a higher relative risk been rewarded by a higher active return over the last year? 1-year relative returns (in EUR) as a function of 1-year tracking-error (52 weekly returns, in EUR)
An upward sloping line usually indicates that asset managers taking a higher Active Risk against the benchmark are on average rewarded by a a higher Active Return.
Source: Morningstar, Lyxor International Asset Management. Data as at 21/05/2020. Past performance is not indicative of future performance.
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Knowing your risk It is important for potential investors to evaluate the risks described below and in the fund prospectus on our website www.lyxoretf.com Capital at risk ETFs are tracking instruments: Their risk profile is similar to a direct investment in the Underlying index. Investors’ capital is fully at risk and investors may not get back the amount originally invested. Replication risk The fund objectives might not be reached due to unexpected events on the underlying markets which will impact the index calculation and the efficient fund replication. Counterparty risk With synthetic ETFs, investors are exposed to risks resulting from the use of an OTC swap with Societe Generale. In-line with UCITS guidelines, the exposure to Société Générale cannot exceed 10% of the total fund assets. Physically replicated ETFs may have counterparty risk if they use a securities lending programme. Concentration Risk Thematic and Smart Beta ETFs select stocks or bonds for their portfolio from the original benchmark index. Where selection rules are extensive it can lead to a more concentrated portfolio where risk is spread over fewer stocks than the original benchmark.
Underlying risk The Underlying index of a Lyxor ETF may be complex and volatile. For example, when investing in commodities, the Underlying index is calculated with reference to commodity futures contracts exposing the investor to a liquidity risk linked to costs such as cost of carry and transportation. ETFs exposed to Emerging Markets carry a greater risk of potential loss than investment in Developed Markets as they are exposed to a wide range of unpredictable Emerging Market risks. Currency risk ETFs may be exposed to currency risk if the ETF is denominated in a currency different to that of the Underlying index they are tracking. This means that exchange rate fluctuations could have a negative or positive effect on returns. Liquidity risk Liquidity is provided by registered market-makers on the respective stock exchange where the ETF is listed, including Societe Generale. On exchange, liquidity may be limited as a result of a suspension in the underlying market represented by the Underlying index tracked by the ETF; a failure in the systems of one of the relevant stock exchanges, or other market-maker systems; or an abnormal trading situation or event.
Important information This message is a product of LIAM sales group and is not a product of LIAM Cross Asset Research Department. It is not intended for use by or targeted at retail clients. The circumstances in which this message has been produced are such that it may not be characterised as independent investment research and should be treated as a marketing communication even if it contains a research recommendation. For more, visit our global research disclosure website www.lyxoretf.com/compliance. This document is for the exclusive use of investors acting on their own account and categorised either as “eligible counterparties” or “professional clients” within the meaning of markets in financial instruments directive 2014/65/EU. This communication is not directed at retail clients. Except in the UK, where the document is issued by Lyxor Asset Management UK LLP, which is authorized and regulated by the Financial Conduct Authority in the UK under Registration Number 435658, this document is issued by Lyxor International Asset Management (LIAM), a French management company authorized by the Autorité des marchés financiers and placed under the regulations of the UCITS (2014/91/EU) and AIFM (2011/61/EU) Directives. Société Générale is a French credit institution (bank) authorised by the Autorité de contrôle prudentiel et de résolution (the French Prudential Control Authority). Some of the funds described in this brochure are sub-funds of either Multi Units Luxembourg or Lyxor Index Fund, being both investment companies with Variable Capital (SICAV) incorporated under Luxembourg Law, listed on the official list of Undertakings for Collective Investment, and have been approved and authorised by the CSSF under Part I of the Luxembourg Law of 17th December 2010 (the “2010 Law”) on Undertakings for Collective Investment in accordance with provisions of the Directive 2009/65/EC (the “2009 Directive”) and subject to the supervision of the Commission de Surveillance du Secteur Financier (CSSF). Alternatively, some of the funds described in this document are either (i) French FCPs (fonds commun de placement) or (ii) sub-funds of Multi Units France a French SICAV, both the French FCPs and sub-funds of Multi Units France are incorporated under the French Law and approved by the French Autorité des marchés financiers. Each fund complies with the UCITS Directive (2009/65/CE) and has been approved by the French Autorité des marchés financiers. Société Générale and Lyxor AM recommend that investors read carefully the “risk factors” section of the product’s prospectus and Key Investor Information Document (KIID). The prospectus and the KIID are available in French on the website of the AMF (www.amf-france.org). The prospectus in English and the KIID in the relevant local language (for all the countries referred to, in this document as a country in which a public offer of the product is authorised) are available free of charge on Lyxor etf. com or upon request to client-services-etf@ lyxor.com. The products are the object of market-making contracts, the purpose of which is to ensure the liquidity of the products on NYSE Euronext Paris, Deutsche Boerse (Xetra) and the London Stock Exchange, assuming normal market conditions and normally functioning computer systems. Units of a specific UCITS ETF managed by an asset manager and purchased on the secondary market cannot usually be sold directly back to the asset manager itself.
Investors must buy and sell units on a secondary market with the assistance of an intermediary (e.g. a stockbroker) and may incur fees for doing so. In addition, investors may pay more than the current net asset value when selling them. Updated composition of the product’s investment portfolio is available on www. lyxoretf.com. In addition, the indicative net asset value is published on the Reuters and Bloomberg pages of the product and might also be mentioned on the websites of the stock exchanges where the product is listed. Prior to investing in the product, investors should seek independent financial, tax, accounting and legal advice. It is each investor’s responsibility to ascertain that it is authorised to subscribe or invest into this product. This document together with the prospectus and/or more generally any information or documents with respect to or in connection with the Fund does not constitute an offer for sale or solicitation of an offer for sale in any jurisdiction (i) in which such offer or solicitation is not authorized, (ii) in which the person making such offer or solicitation is not qualified to do so, or (iii) to any person to whom it is unlawful to make such offer or solicitation. In addition, the shares are not registered under the U.S Securities Act of 1933 and may not be directly or indirectly offered or sold in the United States (including its territories or possessions) or to or for the benefit of a U.S Person (being a “United State Person” within the meaning of Regulation S under the Securities Act of 1933 of the United States, as amended, and/or any person not included in the definition of “Non-United States Person” within the meaning of Section 4.7 (a) (1) (iv) of the rules of the U.S. Commodity Futures Trading Commission.). No U.S federal or state securities commission has reviewed or approved this document and more generally any documents with respect to or in connection with the fund. Any representation to the contrary is a criminal offence. This document is of a commercial nature and not of a regulatory nature. This document does not constitute an offer, or an invitation to make an offer, from Société Générale, Lyxor Asset Management (together with its affiliates, Lyxor AM) or any of their respective subsidiaries to purchase or sell the product referred to herein. These funds include a risk of capital loss. The redemption value of this fund may be less than the amount initially invested. The value of this fund can go down as well as up and the return upon the investment will therefore necessarily be variable. In a worst-case scenario, investors could sustain the loss of their entire investment. This document is confidential and may be neither communicated to any third party (with the exception of external advisors on the condition that they themselves respect this confidentiality undertaking) nor copied in whole or in part, without the prior written consent of Lyxor AM or Société Générale. The obtaining of the tax advantages or treatments defined in this document (as the case may be) depends on each investor’s particular tax status, the jurisdiction from which it invests as well as applicable laws. This tax treatment can be modified at any time. We recommend to investors who wish to obtain further information on their tax status that they seek assistance from their tax advisor. The attention of the investor is drawn to the fact that the net asset value stated in this document (as the case may be) cannot be used as a basis for subscriptions and/or redemptions. The market information displayed in this document is based on data at a given moment and may change from time to time.
For investors in Switzerland
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This document has been provided by Lyxor International Asset Management that is solely responsible for its content. This document is not to be deemed distribution of funds in Switzerland according to the Swiss collective investment schemes act of 23 June 2006 (as amended from time to time, CISA) or any other applicable Swiss laws or regulations. This document is reserved and must be given in Switzerland exclusively to Qualified Investors as defined by the Swiss Collective Investment Scheme Act of 23 June 2006 (as amended from time to time, CISA). Financial intermediaries (including particularly, representatives of private banks or independent asset managers, Intermediaries) are hereby reminded on the strict regulatory requirements applicable under the CISA to any distribution of foreign collective investment schemes in Switzerland. It is each Intermediary’s sole responsibility to ensure that (i) all these requirements are put in place prior to any Intermediary distributing any of the Funds presented in this document and (ii) that otherwise, it does not take any action that could constitute distribution of collective investment schemes in Switzerland as defined in article 3 CISA and related regulation. Any information in this document is given only as of the date of this document and is not updated as of any date thereafter. This document is for information purposes only and does not constitute an offer, an invitation to make an offer, a solicitation or recommendation to invest in collective investment schemes. This document is not a prospectus as per article 652a or 1156 of the Swiss Code of Obligations, a listing prospectus according to the listing rules of the SIX Swiss Exchange or any other trading venue as defined by the Swiss Financial Market Infrastructure Act of 19 June 2015 (as amended from time to time, FMIA), a simplified prospectus, a key investor information document or a prospectus as defined in the CISA. An investment in collective investment schemes involves significant risks that are described in each prospectus or offering memorandum. Each potential investor should read the entire prospectus or offering memorandum and should carefully consider the risk warnings and disclosures before making an investment decision. Any benchmarks/indices cited in this document are provided for information purposes only. This document is not the result of a financial analysis and therefore is not subject to the “Directive on the Independence of Financial Research” of the Swiss Bankers Association. This document does not contain personalized recommendations or advice and is not intended to substitute any professional advice on investments in financial products. Important information for German and Austrian Investors For professional investors - not suitable for private investors This publication is an advertising client information and is for informational purposes only and does not constitute an individual investment recommendation or an offer to buy or sell or trade securities or other financial instruments. This information does not meet all legal requirements for the impartiality of investment recommendations and is not subject to any prohibition of trading prior to publication. All sources of information have been classified as reliable and no guarantee is given for external sources of information. This elaboration alone does not replace individual investor- and investment-oriented advice. Before investing in the funds, the investor should seek independent financial, tax, legal and, where appropriate, accounting advice. As an investor, you should consider the risks you face with investing in ETFs. In particular, when subscripting and purchasing ETF shares, the investor should be aware that ETFs involve certain risks and that the repayment may be below the value of the capital used and that, at worst, a total loss may occur. A comprehensive description of the fund’s terms and conditions and associated risks can be found in the respective prospectus and the key investor information (KIID, in German), which, like the annual and semi-annual reports in paper form, available free of charge from Lyxor International Asset Management S.A.S. Deutschland (Lyxor Deutschland), Neue Mainzer Strasse 46-50, 60311 Frankfurt am Main, in Austria from Erste Bank der österreichischen Sparkassen AG, Am Belvedere 1, A-100 Vienna, who acts as paying agent and tax representative and under www.lyxoretf.com in English. The tax treatment depends on the individual circumstances of each investor and may change in the future. The current composition of the investment portfolio of the respective ETF can be found under www.lyxoretf.com. The indicative net asset value is published on the corresponding websites for the ETF product of Reuters and Bloomberg and, if applicable, also reported on the websites of the exchanges on which the product is listed. Professional advice should be sought before making an investment decision. The drafting is not intended for distribution to or use by persons or entities having the citizenship of a country or domicile dwell in a country or judicial district where the distribution, publication or use of such information is prohibited. Each investor is responsible for verifying that he/she is entitled to subscribe or investment in the respective ETFs. The fund is not registered under the United States Securities Act of 1933 or the United States Investment Company Act of 1940 and may not be registered, directly or indirectly, in the United States of America, including its territories and properties. or other jurisdictions under its jurisdiction or to or on the basis of any U.S. citizen. This document is confidential and may not be passed on or reproduced in whole or in part to third parties without the prior written permission of Lyxor Germany. This document is issued by Lyxor International Asset Management (LIAM), a French limited-liability company established on 12 June 1998 by the French Autorité des Marchés Financiers (“AMF”) as a management company. registered office in 17 Cours Valmy, Tour Société Générale, 92800 Puteaux, France and registered with the Registre de Commerce et des Sociétés in Nanterre. ©2020 Lyxor Asset Management. All rights reserved. As of May 2020.