INVESTMENT STRATEGY J Asseraf-Bitton, head of Market Research JB Berthon, senior strategist - Lyxor
←
→
Page content transcription
If your browser does not render page correctly, please read the page content below
OCTOBER 2021
INVESTMENT STRATEGY
J Asseraf-Bitton, head of Market Research
JB Berthon, senior strategist
Contact email CrossAssetResearch@Lyxor.com. Slides updated as of October 19th , 2021
Important Notice: For investors in the European Economic Area, this material is directed as clients (actual or potential) who meet the definition of a “Professional Counterparty” or
“Eligible Counterparty” under the Markets in Financial Instruments Directive (“MiFiD”), and any products or services described which fall within the scope of MiFiD are only available to
such clients. This communication is a marketing communication within the meaning of MiFiD. MARKET RESEARCH >> INVESTMENT STRATEGY
Global
Backdrop
MARKET RESEARCH >> INVESTMENT STRATEGY 2
Post-rebound growth prospects threatened
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 3Covid-19 risks receding (latest
wave peaking, and vaccination
effective in preventing severe forms)
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 4Shortages impacting inflation & growth prospects
Freight rates finally peaking ?
Baltic Dry Index takes freight rates for bulk
commodities such as coal, iron ore and grain
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 5Shortages impacting inflation
& growth prospects
Energy crisis
Tight supply (CH safety + US Ida) +
Demand (reopening + weather + ESG)
NordStream2 completed Sept 10, to
deliver 55 bn m3/y (EU consumption
394 bn m3/y)
Should ease pressures once regulatory
obstacles overcome (up to 4M)
Futures point to €40 by mid-2022
Limited impact on oil prices, in our view
Switch from gas to oil, would add
0.5mb/d to oil demand, seems
manageable by OPEC+
Brent prices likely firm in Q4 / Q1 2022
MARKET RESEARCH >> INVESTMENT STRATEGY 6Supply chains disorganization: unprecedented delivery times
Note : Index falling delivery times lengthening
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 7Energy crisis spillover into industrial metal markets
Zinc/Aluminum at highest since 2007/08
Copper back up > $10000
Spillover from energy crisis that hits
supply of energy sensitive commodities:
supply cuts spreading (China, Europe)
Oct 13, Nyrstar (large zinc producer)
said it will cut output at 3 European
smelters by up to 50% due to rising
power prices and costs associated with
carbon emissions
Green transition adding to demand
GSCI Industrial Metals = 6.12% GSCI
= Cu 2.64% + Al 2.17% + Zn 0.85% + Ni 0.60% + Pb 0.28%
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 8Headline inflation deceleration delayed, not compromised
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 9Core inflation surge transitory … for longer
Wage inflation likely to rise further but productivity up
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 10Withdrawal of policy support
(fiscal cliff & fight against tax
avoidance) to stay cautious
Corporation Global Minimum Tax : 15%
July 1st: 140 countries deal on blueprint
National parliament approval needed
Early Oct: EU27 approval no longer
blocked; Ireland, Hungary & Estonia
joined the deal before OECD-led talks
resume
Oct 30: finalization at G20 summit
Implementation targeted in 2023
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 11DM Central Banks to normalize cautiously
Tapering: net-net issuance to
remain favorable in 2022
US deficit ▼$1000bn
Fed QE ▼$800bn
NNI ▼$200bn
EGB NI: $600 to $350bn
ECB QE: $1100 to $480bn
NNI still negative
BoE puzzling hawkish stance
Would hike 1st in 2022
Low odds of Fed liftoff before
late 2022 / 2023
ECB to follow
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 12Higher yields ahead amid return to normality
Govies: strategic U/W, tactical Neutral-
Reflation / Monetary normalization
Less distorted bond markets
Recovery in term premium
US / GE 10YY nearing our Q4 target
tactical Neutral- Treasuries & Bunds
UK 10YY stretched after surge
Gilts upgraded at Neutral
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 13Equities remain attractive vs. govies
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 14Earnings driven equity markets
Neutral US Equity
2022 EPS outlook clouded by Biden’s policies
Tax reform could trim EPS by 3% to …10%
Momentum heading south
O/W EMU Equity
Tax backdrop unlikely to change much
Strong operating leverage
Attractive valuation
O/W Japan Equity
Fumio KISHIDA (100
th PM): little visibility on
fiscal and tax policies
Activity upside / high operating leverage
Margin upside left
Attractive valuation
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 15US
MARKET RESEARCH >> INVESTMENT STRATEGY 16U.S. Activity upside after soft patch in Q3
Lyxor tracker for Q3 @4.2% Y/Y, that is about 0% Q/Q
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 17US Headline CPI not peaking, yet
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 18US Core CPI driven by rent acceleration (may last longer given
house price trends); Upside risks if wage inflation intensifies
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 19US labor mismatch should fade as jobless benefits expire
Insured unemployment below 2% and initial claims below 300K
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 20U.S. Capex bodes well for productivity (≈2%), an offset to wage
pressures. Low odds of a lasting shift in inflation regime
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 21Fed Tapering nearing
Sept FOMC projections: growth shift
from 2021 (revised ▼to 5.9%) to 2022
(revised ▲to 3.8%); core inflation up
to 3.7% in 2021 & 2.3% in 2022
Taper to start in Nov: $15bn / month
(10 UST + 5 MBS) over 8 months
Rate liftoff: large dispersion of views
among members. 50-50 for 2022
Forward curve starting to price an
earlier liftoff than DOTS
Rising risk on Powell re-appointment
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 22Caution on US Breakeven: Taper of TIPS would restore
liquidity premium (Fed owns about $360bn = 22% of $1600bn TIPS)
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 23Strategic U/W long dated UST (12M target @2.25%)
ST Tactical Neutral (Q4 target 1.65%)
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 24S&P 500 Sales rebound (WTI@$70 2021@+16%; 2022 @+7.5%)
US Margins: operating leverage more than offset cost pressures
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 25US Fiscal policy: negotiations drag on
House vote on IIJA delayed
Vote no longer tied with the budget vote
$3.5tn budget likely downsized (to $2tn?)
given implied tax hikes and/or deficit increase
that do not convince all democrats
US Senate & House passed the $3.5tn10Y budget
blueprint, unlocking the reconciliation process
(allows a final bill Senate vote with only 51)
US Senate passed IIJA (Infrastructure Bill)
$550bn new investment
110 Roads + 66 Railroads + 65 Power grid + 65
Broadband + 59 Water + 47 Resilience
(cybersecurity + climate change)
IIJA partly paid for: 200 unspent Covid-19 relief +
87 5G auction + 56 dynamic scoring (economic
effects) + 53 unused unemployment funds …
CBO: $256bn added deficit over 10Y
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 26US uncertain tax outlook
US Corporate tax
▲ 21% to likely 25% (28% top OECD)
Quasi-worldwide regime (reduced rate)
Bill in effective in 2022?
US Tax on Households, likely hikes:
▲ federal capital gain tax from 20% to 28%
▲ top marginal income tax from 37% to
39.6%
US Tax Reform probably phased-in, would trim
2022 S&P 500 EPS by 3% to … 10%
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 27US Equity downgraded at Neutral
Bottom-up and Top-down
convergence on EPS estimates
2021 ≈ +45 % 2022 ≈ +10%
2022 EPS outlook clouded by Biden’s
tax agenda
Return to normality battling headwinds
(vaccination lag, bottlenecks)
Probable added volatility due to fiscal
policy / tax reform
Valuations supported by Fed’s policies
Limited ST upside
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 28US Sectors & Themes
O/W Banks: cyclicality, steeper yield
curve
O/W S&P500 Utilities: green capex,
dividend yield > 3%, fair valuation
sO/W S&P500 Health Eq. & Services:
Covid-19, Biden’s fiscal plans
Stay O/W U.S. Small versus Large
0 Valuation
Neutral REITS: strong prospects
already priced-in
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 29EUROPE
MARKET RESEARCH >> INVESTMENT STRATEGY 30EMU Headline inflation: upsurge likely transitory (reopening, oil
base effects) but core inflation to settle above past 10Y trend
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 31Market-based inflation expectations above pre-crisis levels
Neutral EMU breakeven
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 32ECB to normalize cautiously
Slower pace of PEPP purchases
agreed unanimously in Sept (likely to
€60-70bn / month in Q4)
Major decisions on PEPP and APP
due in December: likely confirmation
of the end of PEPP in March 2022
and APP doubled to $40bn
Tapering: net-net issuance to remain
favorable in 2022
EGB NI: $600 to $350bn
ECB QE: $1100 to $480bn
NNI still negative
Rate liftoff not before the Fed
Unlikely before 2023
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 33Strategic U/W Bunds, tactical Neutral- (Q4 target -0.1%)
Periph. Spread: ST Neutral (Tapering could favor widening in 2022)
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 34O/W EMU equities, an attractively valued reflation trade
Solid EPS prospects amid reopening and operating leverage
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 35EMU sectors: keep preferring Cyclicals to Defensive
Cyclicals: IT, Cons. Disc, Materials, Industrials, Financials, Real Estate
Defensives: Cons. Staples, Utilities, Energy, HealthCare, Com. Services
O/W Financials (14%)
Bund curve steepening
Lackluster credit growth
Attractive valuation
O/W Cons. Discretionary (17%)
O/W Materials (7.5%)
Fair valuation and significant
beta to Bund yield
U/W Consumer Staples (8%)
Rich valuation and defensive
features
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 36UK growth challenged by Delta / Brexit / tax hikes / hawkish BoE
UK Labor supply▼ (retirement, students, discouraged, migration)
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 37UK 10Y Gilts upgraded at Neutral
3M target on 10Y yields reached; Gilt valuation fair to attractive
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 38Tactical Buy UK Equities: 0 div. yield & valuation
Neutral GBPUSD barometer of political risks
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 39JAPAN
MARKET RESEARCH >> INVESTMENT STRATEGY 40Japan: Activity upside
Covid wave receding ; what policy ahead?
Fumio KISHIDA, Japan’s 100th PM
Moderate-liberal, would steer the
conservative LDP to the left; eager to
address divisions of wealth through
aggressive income distribution
Investor hopes of more shareholder friendly
policies disappointed as Kishida might push
for a capital gain tax increase
Household recovering amid reopening,
better labor market & savings
Corporate Capex recovery likely to
broaden, amid elevated CF generation
External demand to be a milder driver:
High exposure to slowing China (+Asia)
Lingering constrains in chip and auto
Macrbond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 41Japan: BoJ easy mood
Falling Equity-JPY correlation
CPI Inflation nearing 0, mostly on
transitory and domestic factors
BoJ’s reduction in JGB purchases
(started in April) slowing almost to a halt
Neutral JPY, would stay in a range (little
monetary differentials with other DM)
Shallower Equity-JPY correlation:
domestic led recovery
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 42Staying O/W Japan Equity
Ongoing macro catch-up amid return to
normality
High operating leverage: largest margin
recovery within DM, with upside left
Attractive valuation
Japan equity still under-owned: return
of foreign flows could fuel the
performance catch-up
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 43EMERGING
MARKETS
MARKET RESEARCH >> INVESTMENT STRATEGY 44EM: Several EM Central Banks hiking policy rates
Inflation not abating (first commodities, then spreading out)
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 45EM Equities: Tactical Buy
for risk lovers
China slowdown amid regulatory
crackdown
Diverse Covid backdrop
EM Inflation issues & rate hikes
Technical, Positioning & Valuations
suggest upside potential
Surge in metal prices typically
conducive to EM equities
Favoring EM x China
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 46EM Equities – Neutral China & O/W Brazil
Neutral China
Slowdown amid regulatory crackdown
US trade war alive: less tariffs, more
multilateral pressure & non-tariff barriers
Evergrande spillover risks
Policy stimulus likely
Technicals point to an oversold market
O/W Brazil
The recovery is gaining traction: Covid-19
wave fading swiftly => ▼hit on activity
Inflation = key risk being tackled by CB
Equities remain cheap
To benefit from EM rebalancing, but risk from
Asian demand + more limited upside
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 47EM Equities – Neutral India & O/W Russia
▼Neutral India: taking profit
Past Covid-19 wave, fast normalization,
activity is growing
Higher threat from inflation, as the central
bank did not start its tightening cycle
Valuation becoming rich and momentum
stretched
O/W Russia
Activity gaining traction, including
consumption
Covid spreading again but more favorable
economics with oil > $80/b
Inflation would moderate after rate hikes
Valuation remain affordable (at LT average)
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 48EM HC Debt – Tactical buy amid improved valuation
Backdrop turning favorable
(+) EM reopening and recovery to resume
(+) Lower EM structural vulnerabilities
(-) High sensitivity to UST/$ trends
(-/=) Tightening EM central banks, but
several are well advanced in the process
(-/=) If Evergrande turns systemic
(+) LATAM & EMEA ~ 2/3 EM debt
Improved relative valuation (+50bps)
Spread tightening opportunities in Asia
and some Latam
Asia issuance moderating
Still provides credit diversification,
especially against DM HY
Diversification benefits
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 49COMMODITIES
& EURUSD
MARKET RESEARCH >> INVESTMENT STRATEGY 50O/W Copper: LT rationale intact and favored inflation hedge
Target 12M 10000+ $/t
Several temporary headwinds…
Chinese slowdown and pressure on real
estate (+Evergrande situation)
Chinese efforts to stem prices
Supply bottlenecks constraining several
sectors (auto, semi, consumer goods …)
Firm dollar, Fed tapering prospect
Conducive LT macro backdrop
Strong growth, infrastructure spending
likely & intact structural trends in
electronics and decarbonization
Shortage amid low supply addition.
Risk of outage in Peru & Chile (politics)
Better inflation hedge (than breakevens)
Supportive Technicals
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 51Neutral Gold: mixed fundamentals, tactically driven
12M Target $1800/oz
Slightly improving macro backdrop
(+) Alternative to cash (neg. yield debt
~21%) supportive but less so
(+) Physical market improvement
(jewelry, electronics), partially offset
by ▲ output
(=) Lower tail risk from vaccine &
ongoing recovery (though uneven)
(+/-) Inflation path not polarized
enough
(=) rangy USD
Technicals less supportive
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 52EURUSD under offsetting
influences
Strategic Neutral
Tactical buy (T @1.21 SL @1.15)
USD safe-haven feature => Long
speculative positions on USD starting
to look stretched
Fed / ECB normalization timeline
may not differ much more than
already priced-in
Reduced macro gap
Uncertain French elections MT
bearish EUR
EURUSD gap to PPP @14%
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 53Agenda
Oct 20: UK Inflation
Oct 22: EMU Oct PMI
Oct 28: US GDP Q3
Oct 28: BoJ meeting with outlook
Oct 28: ECB meeting
Oct 30-31: G20 Summit
Nov 3: FOMC meeting
Nov 4: BoE meeting with inflation report
Nov 7 or 14: Japan General elections
Early Dec: US Debt Ceiling
April 10/24, 2022: French presidential elections
Nov 8, 2022: US mid-terms
MARKET RESEARCH >> INVESTMENT STRATEGY 54Our 3M Views
U/W N O/W
EMU & JP Equities
Financials (U.S. & EMU)
U.S. Utilities & Health Eq/Serv
U.S. Equities
Equities EMU Consumer Staples U.S. Small vs. Large
U.S. REITs
EMU Cons. Disc. & Materials
UK & EM Equities (Tactical Buy)
Brazil & Russia
2Y UST Bund Gilts JGBs
10Y UST & Bund
Fixed 10Y JGBs Gilts
US IG Credit EM Debt HC (Tactical Buy)
Income HY Credit
EUR IG Credit
US & EMU Inflation Breakeven
FX USDJPY EURUSD
Gold
Commodities
Oil Copper
FI Multi-Strategy L/S Equity Directional
Hedge Global Macro EM Merger Arbitrage
L/S Credit
Funds L/S Equity Market Neutral Special Situations
CTAs Global Macro
MARKET RESEARCH >> INVESTMENT STRATEGY 55APPENDIX
MARKET RESEARCH >> INVESTMENT STRATEGY 56Inflation: structural tail risks rising
Peace dividend (end of Cold
War) over
Budgetary discipline vanished
with 2009 & Covid-19 crises
Monetary unorthodoxy aimed
at fostering an inflation revival
Free trade & GVC threatened
Reshoring
Sentiment now against
disinflation
BUT Technology downward
impact on inflation to last
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 57Inflation: structural tail risks rising (2)
The “peace dividend” relates to the end of the Cold
War, which allowed countries to cut defence budgets
and thus non-productive spending, a source of long-
term inflation. It faded away with the rise of a multi-
polar world at grips with terrorism.
Free trade and its benefits including specialization,
economies of scale, and increased competition (all of
which favor disinflation) are less in favor. Brexit,
increased US tariffs and ongoing reshoring illustrate
the resurgence of protectionism
MARKET RESEARCH >> INVESTMENT STRATEGY 58Financial stability: Evergrande
stress still mounting
Evergrande missed coupons on USD debt in
September and October
Oct 19: paid interest on domestic bond
Main fear = liquidity squeeze
PBoC injected > $100bn since 17/09 in
banking system. More injections likely
Chinese property developers ≈ ½ total
distressed USD bonds (Fantasia defaulted)
Rise in volatility / Social unrest in China
Foreign investors of Evergrande bonds
Ashmore > $400M / Blackrock ≈ $400M
UBS ≈ $300M / HSBC ≈ $200M
Little international systemic risk but spillover
effects through China’s growth
Refrain from chasing the oversold Chinese HY
market. Risks remain high
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 59US Debt Ceiling: Government funded until early December
Oct 1st: Congress temporary measure to
keep the government funded until Dec.
Sept 28: Republicans blocked the
Senate vote on the ceiling increase
Sept 28:Yellen “We now estimate that
Treasury is likely to exhaust its
extraordinary measures … by Oct 18”
Sept 21: House passed Debt limit bill
Hardly any risk of stalemate in Congress
priced-in, though tense political climate
comparable to 2011
Debt limit (set by law) = maximum amount of debt issued to
the public and to federal agencies (Gov. accounts)
The Aug 2019 Budget Act suspended the limit until July 31.
Since Aug 1: debt limit reset to $22tn (previous ceiling) +
cumulative borrowing over the suspension
Macrobond, Bloomberg, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 60U.S. Consumer financial health
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 61Value vs. Growth through sector recommendations
Media = Facebook+Google+Netflix+Twitter ; Retailing = Amazon
S&P 500
Pure Growth Pure Value
Industry Groups
Energy 0.0% 12.1%
Materials 0.2% 1.8%
Capital Goods 0.3% 5.8%
Commercial & Professional Serv 0.5% 0.0%
Transportation 0.2% 0.0%
Automobiles & Components 4.4% 2.5%
Consumer Durables & Apparel 0.0% 1.1%
Consumer Services 0.4% 0.0%
Retailing 10.5% 0.9%
Food & Staples Retailing 0.0% 4.5%
Food, Beverage & Tobacco 0.2% 1.8%
Household & Personal Products 0.0% 0.0%
Health Care Equipment & Servic 1.5% 6.6%
Pharmaceuticals, Biotechnology 3.0% 0.3%
Banks 0.2% 26.2%
Diversified Financials 1.1% 18.6%
Insurance 0.1% 7.1%
Real Estate 0.0% 0.8%
Software & Services 23.9% 0.1%
Technology Hardware & Equipmen 14.9% 1.3%
Semiconductors & Semiconductor 7.5% 0.0%
Telecommunication Services 0.0% 3.2%
Media & Entertainment 31.0% 2.5%
Utilities 0.0% 2.6%
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 62Stay O/W U.S. Small versus Large
0 Valuation
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 63US High-yield at Neutral
Estimated and implied default have converged; base risk increasing
Macrobond, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 64Neutral EU HY: valuations look fair to stretched
Macrobond, Bloomberg, Lyxor AM
MARKET RESEARCH >> INVESTMENT STRATEGY 65DISCLAIMER (1/2)
The circumstances in which this publication has been produced are such that it is not appropriate to characterise it as independent investment research as
referred to in MiFID and that it should be treated as a marketing communication even if it contains a research recommendation. This publication is also not
subject to any prohibition on dealing ahead of the dissemination of investment research. However, Lyxor is required to have policies to manage the
conflicts which may arise in the production of its research, including preventing dealing ahead of investment research.
This material has been prepared solely for informational purposes only and does not constitute an offer, or a solicitation of an offer, to buy or sell any
security or financial instrument, or to participate in any investment strategy. This material does not purport to summarize or contain all of the provisions that
would be set forth in any offering memorandum. Any purchase or sale of any securities may be made only pursuant to a final offering memorandum. No
advisory relationship is created by the receipt of this material. This material should not be construed as legal, business or tax advice. A more robust
discussion of the risks and tax considerations involving in investing in a fund is available from the more complete disclosures incorporated into the offering
documentation for such fund.
This material has not been prepared in regard to specific investment objectives, financial situations, or the particular needs of any specific entity or
person. Investors should make their own appraisal of the risks and should seek their own financial advice regarding the appropriateness of investing in any
securities or financial instrument or participating in any investment strategy. Before you decide to invest in any account or fund, you should carefully read
the relevant client agreements and offering documentation. No representation is made that your investment objectives will be achieved. This material is not
intended for use by retail customers.
Any descriptions involving investment process, risk management, portfolio characteristics or statistical analysis are provided for illustrative purposes only,
will not apply in all situations, and may be changed without notice. Past performance is not indicative of future results, and it is impossible to predict
whether the value of any fund or index will rise or fall over time.
While the information in this material has been obtained from sources deemed reliable, neither Société Générale (“SG”), Lyxor Asset Management S.A.S.
(“Lyxor AM”) nor their affiliates guarantee its accuracy, timeliness or completeness. We are under no obligation to update or otherwise revise such
information if and when it changes. Any opinions expressed herein are statements of our judgment on this date and are subject to change without notice.
SG, Lyxor AM and their affiliates assume no fiduciary responsibility or liability for any consequences, financial or otherwise, arising from an investment in
any security or financial instrument described herein or in any other security, or from the implementation of any investment strategy. Lyxor AM and its
affiliates may from time to time deal in, profit from the trading of, hold, have positions in, or act as market-makers, advisers, brokers or otherwise in relation
to the securities and financial instruments described herein. Service marks appearing herein are the exclusive property of SG and its affiliates, as the case
may be.
Hedge funds may invest in futures and other derivative instruments. Futures trading and other derivatives may permit extremely high degrees of leverage
and expose the funds to, among other things, volatility, market illiquidity, market risks, legal risks and operational risks. Hedge funds may be exposed to
risks relating to non-domestic markets, including, without limitation, risks relating to currency exchange, tax, lack of liquidity, market manipulation, political
instability and transaction costs. An investment in a hedge fund is subject to a total loss.
MARKET RESEARCH >> INVESTMENT STRATEGY 66DISCLAIMER (2/2)
This presentation contains the views of Lyxor AM analysts and/or strategies. The views espoused in this presentation may differ from opinions and
recommendations produced by other departments of SG.
Note about Indices: Indices are not available for direct investment. A comparison to an index is not meant to imply that an investment in a fund is
comparable to an investment in the funds or securities represented by such index. A fund is actively managed while an index is a passive index of
securities. Indices are not investable themselves, and thus do not include the deduction of fees and other expenses associated with an investment in a
fund. Not all the funds that comprise indices cited herein are suitable for US Investors as a result of, among other things, the implementation of the Volcker
Rule. Please see the offering documentation for these funds for more details.
Notice to U.S Investors: Any potential investment in any securities or financial instruments, the categories of which are described herein, may not be
suitable for all investors. Any prospective investment will require you to represent that you are an “accredited investor,” as defined in Regulation D under
the Securities Act of 1933, as amended, and a “qualified purchaser,” as defined in Section 2(a)(51) of the Investment Company Act of 1940, as amended
(the “40 Act”). The securities and financial instruments described herein may not be available in all jurisdictions.
Investments in or linked to hedge funds are highly speculative and may be adversely affected by the unregulated nature of hedge funds and the use of
trading strategies and techniques that are typically prohibited for funds registered under the ’40 Act. Also, hedge funds are typically less transparent in
terms of information and pricing and have much higher fees than registered funds. Investors in hedge funds may not be afforded the same protections as
investors in funds registered under the ’40 Act including limitations on fees, controls over investment policies and reporting requirements.
Notice to Canadian Investors: Any potential investment in any securities or financial instruments, the categories of which are described herein, may not be
suitable for all investors. Any prospective investment will require you to represent that you are a “permitted client,” as defined in Canadian Regulation
National Instrument 31-103, and an “accredited investor,” as defined in National Instrument 45-106. The securities and financial instruments described
herein may not be available in all jurisdictions of Canada.
For more information, US and Canadian investors and recipients should contact Lyxor Asset Management Inc., 1251 Sixth Avenue, New York, NY 10020
or invest@lyxor.com.
Notice to U.K. Investors: This communication is issued in the UK by Lyxor Asset Management UK LLP, which is authorised and regulated by the Financial
Conduct Authority in the UK under Registration Number 435658.
Source: This document has been prepared by Lyxor Asset Management S.A.S., 17 cours Valmy, 92800 Puteaux. Lyxor AM is a French management
company authorized by the Autorité des marchés financiers and placed under the regulations of the UCITS (2014/91/UE) and AIFM (2011/61/EU)
Directives. Lyxor AM is also registered with the US Commodity Futures Trading Commission as a registered commodity pool operator and a commodity
trading advisor.
MARKET RESEARCH >> INVESTMENT STRATEGY 67You can also read
