Lyxor adds managed futures strategy to Ucits platform
French group Lyxor Asset Management has added the IKOS Futures Strategy Index to its alternatives Ucits platform, Lyxor Dimension, to meet investor demand for CTA strategies providing diversified returns.
IKOS is the second alternative manager to have joined Lyxor Dimension, which added quantitative equity market neutral strategy, Lyxor/Old Mutual Global Statistical Arbitrage Strategy Index Fund, to the platform last September.
The Lyxor/IKOS Futures Strategy Index Fund provides access to the flagship IKOS managed futures strategy which applies a systematic global macro approach to trade highly liquid listed futures.
Laurent Seyer, outgoing chief executive of Lyxor, said the IKOS strategy will “meet investors’ needs as short-term CTA strategies are well diversified and they can better adapt to the current market conditions and as such should create value for investors.”
The Lyxor CTA Short Term Index was one of the few hedge fund strategies tracked by the Lyxor Hedge Indices to post positive performance in 2011 when it was up 3.06%. By contrast the overall Lyxor Hedge Fund Index was down 6.59% last year.
The Lyxor/IKOS Futures Strategy Index fund aims to generate absolute returns in the global futures markets whilst maintaining low correlation with major indices. Its strategy is applied across five asset classes including bonds, rates, equity indices, currencies and commodities.
The strategy uses econometric factors, time-series analysis and market micro-structure models. Model categories include macro, fundamental, trend and counter-trend. These models are applied over a variety of timeframes, ranging from tick-by-tick through several months.
IKOS’s founder Elena Ambrosiadou said she was pleased to bring her company’s flagship managed futures strategy to Ucits investors.
When Old Mutual added its strategy to Lyxor Dimension last October, Lyxor’s head of managed account development Nathaniel Benzaken said he thought the platform could attract high calibre managers as it provides offshore managers access to investors they would not usually be able to approach, such as high net worth individuals and private banks across Europe.
Running hedge fund strategies in Ucits format can also open new markets for managers, particularly in Asia and South America where institutional investors such as pension funds are keen on the regulated onshore Ucits brand.
Lyxor said it would select more alternative Ucits funds for the platform in the coming months. This is likely to be overseen by its incoming chief executive, Inès de Dinechin (pictured). Dinechin will soon take over Seyer’s activities as head of the group as he prepares his departure to Axa Investment Managers in May as global head of investment solutions.
Lyxor Dimension launched in 2009 to bring alternative strategies in Ucits format to investors. It has over 10 multi-manager funds, one absolute return program and two single strategy hedge funds.
IKOS was established in 1991 by Ambrosiadou and now has $2bn in assets under management and business affiliations in Cyprus, New York, London, Vienna, Frankfurt and Tokyo.
Lyxor Asset Management was founded in 1998 as a subsidiary of Societe Generale and today has over €76bn in assets under management. It focuses on alternative investments, indexing & ETFs, quantitative and structured investments.