ETFs provide access for the first time to risk factor strategies of the J.P. Morgan Europe index family….
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Five new exchange-listed index funds issued by Lyxor International Asset Management have been tradable on Xetra and Börse Frankfurt since Friday.
The new Lyxor ETFs track the performance of the J.P. Morgan Europe Factor Indices, which comprise 40 European stock corporations from the MSCI Europe Index depending on the tracked strategy. The selection and weighting of each stock is based on the respective strategy: low-beta, company value, company size, momentum and earnings quality.
The low-beta strategy selects companies with a low beta factor. The beta factor shows how sensitively the share price reacts to changes in an index.
The value-based strategy selects stock corporations on the basis of three factors: earnings yield, book-to-price ratio, and the free cash flow yield.
The low-size strategy selects companies with the lowest market capitalisation in a sector and weights them equally in the reference index.
The momentum strategy measures the strength of a share price movement. Companies with high momentum are selected and then weighted equally in the reference index.
Investors also have access to the quality strategy. Companies are selected based on the quality of their earnings, i.e. return on equity, the equity debt ratio and the net profit margin on equity.
|Lyxor ETFs||ISIN||Total expense ratio (TER)|
|Lyxor J.P. Morgan Europe Low Beta Factor Index UCITS ETF||LU1218122742||0.30%|
|Lyxor J.P. Morgan Europe Value Factor Index UCITS ETF||LU1218123716||0.30%|
|Lyxor J.P. Morgan Europe Low Size Factor Index UCITS ETF||LU1218123047||0.30%|
|Lyxor J.P. Morgan Europe Momentum Factor Index UCITS ETF||LU1218123393||0.30%|
|Lyxor J.P. Morgan Europe Quality Factor Index UCITS ETF||LU1218123559||0.30%|