Copying and distributing are prohibited without permission of the publisher
Lyxor introduces ETF efficiency index
16 July 2013
Ranks many of its own products at top of market
Lyxor Research has developed an ETF Efficiency Indicator to compare and evaluate ETF construction and performance, with several of Lyxor's own products being ranked highly as a result.
The framework shows that investors can experience a range of outcomes for similar ETFs tracking the same index. The Lyxor ETF Efficiency Indicator takes into account performance relative to the benchmark, tracking error volatility and liquidity spread, to produce a “probability-based, easy-to-understand assessment of the likelihood of future performance against the benchmark index”.
The firm said that under these criteria, seven of its own ETFs – tracking the MSCI Emerging Markets, World, USA and Europe indices, as well as ETFs tracking the CAC40, FTSE100 and FTSE MIB – were ranked as most efficient ways to access the markets over the one-year period of May 31 2012 to May 31 2013.
Lyxor also said the framework would allow investors a straightforward comparison between funds based on the same index.
The research tracked 50 ETFs across 10 indices, with performance evaluated on the change in Net Asset Value across the period.