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10 Sep 2018

Volatility: what to expect over the next few weeks


Any avid reader of the headlines over the holidays may have assumed equity returns would have been affected by all the talk of trade wars, geopolitical squabbles and Brexit. But once again, the stock markets sailed on relatively serenely. 


A mute point?

Barring the brief spike earlier in the year, volatility has been rather muted in developed markets, leaving them largely disconnected from all of the geopolitical tensions of recent times. As a result, valuations are still a little stretched but not sufficiently so in our view to trigger a bear market in general.

The real issue is whether you believe the economic upswing can be sustained. Recent manufacturing surveys results still point to robust growth in the US and stability in China. However, results in Germany and Japan seem to have peaked. Whatever your view on what these peaks signal, it could be worth preparing for some more volatility over the next few weeks. 

Global manufacturing survey results since 2005

Global manufacturing survey results since 2005

Sources: Lyxor AM International, ThomsonReuters Eikon, data as at 30/08/2018

Past performances are not indicative of future results.


What goes up... 

So what does happen when survey results peak? Peaks are of course inevitable, but they don’t in themselves guarantee recession, far from it. In fact, we can identify more than 20 peaks in the ISM since 1960 but only six recessions (two or more consecutive quarters of negative growth). The current configuration of results suggest that while some economies are no longer accelerating - may even be decelerating – we are nowhere near recession. 


Seasonally affected disorder

That said, we do expect more volatility post the summer. The charts below show the S&P 500 has tended to be more volatile in October than in any other month anyway since 1990. 


VIX Seasonality index (1990-2017)

                       chart 2


 Source:Thompson Reuters Datastream, Lyxor AM International, data as at 30/08/18



CBOE VIX INDEX (Monthly average of weekly data, in %)


          Chart 3

Source: Thomson Reuters Datastream, Lyxor AM, data as at 30/08/2018. Past performances are not indicative of future results 

By definition, few can predict the nature and timing of the market’s next outlier event. There are plenty of candidates including a full blown trade war, renewed concerns on China’s growth or the US entering an earlier-than-expected recession. Brexit negotiations will continue to dominate the front pages while the people will have their first say on the Trump presidency in the US mid-term elections on 6 November. 


Get your sitting ducks in a row

Both the House of Congress and the Senate are up for grabs at the mid-terms and is likely the Democrats will retake at least one of them, particularly with the President’s popularity level bobbing around below the 40% mark. For all the wailing and gnashing of teeth over his policies and pronouncements, Trump has kept the equity bulls running, at least until now. But, as the chart below shows, US equities have tended to suffer larger-than-average losses ahead of almost every mid-term election since 1962. The maximum year-on-year decline of the S&P 500 during the June-October run-up to a mid-term is on average 16% - significantly higher than the 12% average during non-election years. 

Sources: Lyxor AM International, Bloomberg, data as at 04/09/2018

Past performances are not indicative of future results

Prepare for problems 

In these conditions, protecting more of what you already have may be front of mind. Our 50+ problem-solvers help you rise to any challenge, simply and cost-effectively. Whether you’re looking to find shelter against equity volatility, ride rising rates, or guard against currency moves, we offer a range of unique and groundbreaking solutions.

 

UCITS ETF Bloomberg ticker Trading currency 

Replication type

AuM1  (M€) TER1
Lyxor FTSE Europe Minimum Variance  MVAE FP

EUR 

Indirect (Swap Based) 77 0.20%
Lyxor FTSE USA Minimum Variance  MVAU LN USD Indirect (Swap Based) 93 0.20%
Lyxor FTSE EMU Minimum Variance  MVMU FP EUR Indirect (Swap Based) 31 0.20%
Lyxor FTSE All World Minimum Variance  MVAW LN USD Indirect (Swap Based) 12 0.30%
Lyxor FTSE Emerging Minimum Variance  MVAM LN USD Indirect (Swap Based) 20 0.40%
Lyxor SG Global Quality Income NTR  SGQD LN, SGQP LN USD,GBP Indirect (Swap Based) 1117 0.45%
Lyxor SG European Quality Income NTR SGQE LN EUR Indirect (Swap Based) 35 0.45%
Lyxor SG Japan Quality Income SGQJ LN USD Indirect (Swap Based) 36 0.45%
Lyxor FTSE UK Quality Low Vol Dividend (DR)  DOSH LN GBP Direct (Physical) 0.4 0.19%
Lyxor FTSE US Quality Low Vol Dividend (DR)  DIVU LN, BUCK LN GBP,USD Direct (Physical) 0.4 0.19%
Lyxor 10Y US Treasury Daily (-2x) Inverse * DSUS LN USD Indirect (Swap Based) 43 0.20%
Lyxor 10Y US Treasury Daily (-1x) Inverse * US1S FP EUR Indirect (Swap Based) 17 0.20%
Lyxor Smart Cash USD  SMTC LN, SMARTU IM USD,EUR Indirect (Swap Based) 144 0.12%
Lyxor Smart Cash GBP  CSH2 LN GBP Indirect (Swap Based) 48 0.06%
Lyxor Smart Cash EUR  CSH2 FP EUR Indirect (Swap Based) 705 0.05%
Lyxor Barclays Floating Rate Euro 0-7Y FLOT FP EUR Indirect (Swap Based) 1 0.15%
Lyxor $ Floating Rate Note  SWIM LN, BUOY LN GBP,USD Indirect (Swap Based) 379 0.10%

 

Source: Lyxor AM International, 1Data and TER as at 05/09/2018

* Risk Warning: Before deciding to use Short & Leveraged ETFs, there are some things you should know. 
Leveraged products amplify both gains and losses by a given leverage factor. Losses can therefore be substantial. 
The performance of single short, double short and leveraged ETFs is calculated on a daily basis. This means there is a compounding effect as the daily return will always be based on the previous day's closing price. 
Compounding can lead to slippage over time between the index and the ETF. This slippage can be significant over periods longer than 1 business day, meaning these ETFs are typically unsuitable for investors planning to hold them for longer than one trading session unless used as part of a trading or hedging strategy. 
Any positions in these ETFs should be monitored on an ongoing basis. We recommend investors carefully read the 'risk factor' section of the product's prospectus and Key Investor Information Document (KIID), available for download on www.lyxoretf.com

FOR QUALIFIED INVESTORS ONLY– 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).

Important information

This document has been provided by Lyxor International Asset Management that is solely responsible for its content.

fund-table-ch-en

The funds that are specified as being listed on SIX Swiss Exchange / licensed by FINMA in the chart comprised in this document (Registered Funds) are collective investment schemes approved by the Swiss Financial Market Supervisory Authority FINMA (FINMA) as foreign collective investment schemes pursuant to article 120 of the Swiss Collective Investment Schemes Act of 23 June 2006 (as amended from time to time, CISA) for distribution in Switzerland to non-Qualified Investors as defined in the CISA.The above mentioned Exchange Trade Funds (ETFs) are listed on the SIX Swiss Exchange.

The funds that are not specified as being listed on SIX Swiss Exchange / licensed by FINMA in the chart comprised in this document (non-Registered Funds, and together with the Registered Funds, the Funds) are collective investment schemes not approved by the FINMA as foreign collective investment schemes pursuant to article 120 of the CISA for distribution in Switzerland. Accordingly, the non-Registered Funds may be offered in Switzerland exclusively to Qualified Investors as defined in the CISA and its implementing ordinance. 

Research disclaimer

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. The Representative and the Paying Agent of the Funds in Switzerland is Société Générale, Paris, Zurich Branch, Talacker 50, 8001 Zurich. The prospectus or offering memorandum, the key investor information documents, the management regulation, the articles of association and/or any other constitutional documents as well as the annual and semi-annual financial reports may be obtained free of charge from the Representative in Switzerland. In respect to the units/shares of the Funds distributed in and from Switzerland, place of performance and jurisdiction is at the registered office of the Representative in Switzerland. 

Conflicts of interest 

This research contains the views, opinions and recommendations of Lyxor International Asset Management (“LIAM”) Cross Asset and ETF research analysts and/or strategists. To the extent that this research contains trade ideas based on macro views of economic market conditions or relative value, it may differ from the fundamental Cross Asset and ETF Research opinions and recommendations contained in Cross Asset and ETF Research sector or company research reports and from the views and opinions of other departments of LIAM and its affiliates. Lyxor Cross Asset and ETF research analysts and/or strategists routinely consult with LIAM sales and portfolio management personnel regarding market information including, but not limited to, pricing, spread levels and trading activity of ETFs tracking equity, fixed income and commodity indices. Trading desks may trade, or have traded, as principal on the basis of the research analyst(s) views and reports. Lyxor has mandatory research policies and procedures that are reasonably designed to (i) ensure that purported facts in research reports are based on reliable information and (ii) to prevent improper selective or tiered dissemination of research reports. In addition, research analysts receive compensation based, in part, on the quality and accuracy of their analysis, client feedback, competitive factors and LIAM’s total revenues including revenues from management fees and investment advisory fees and distribution fees.

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