Weather political risk

Transcription

1 Weather political risk ETFs for the political wave This document is for the exclusive use of investors acting on their own account and categorised either as eligible counterparties or professional clients within the meaning of markets in financial instruments directive 2004/39/ce Index Insights March 2017

2 Lyxor ETF ETFs for the political wave 3 Tides could Welcome be turning in Europe Someone once wrote about the need to keep your head when all about you are losing theirs. As an investor, 2017 could test your mettle. We don t yet know how hard Brexit will actually be, nor whether Europe s leaders will withstand the potential rise of populism. But the political climate could change dramatically, and with it the eurozone as we know it. Elections in France are the flashpoint. Heads could roll. Opportunities could arise. We've created this document to help you through this unpredictable landscape. Its two halves illustrate ways you could protect yourself ahead of the elections ( Expect the unexpected ) as well as ways to exploit a relief rally should risk fade afterwards ( Ride the wave ). The events to watch out for Our key calls 4 Expect the unexpected Smart Beta 8 Short Bonds 12 Short Equities 16 Currency Hedging 18 Ride the wave European equities 22 Single Countries 26 Mid caps and sectors 31 Why choose Lyxor? 35 Knowing your risk 36 Lyxor International Asset Management ( LIAM ) or its employees may have or maintain business relationships with companies covered in its research reports. As a result, investors should be aware that LIAM and its employees may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. Please see appendix at the end of this report for the analyst(s) certification(s), important disclosures and disclaimers. Alternatively, visit our global research disclosure website March 15: Rutte wins Dutch election March 29: Brexit triggered April 23 & May 7: French elections September 24: German elections Q3 - Q4: Snap elections in Italy?

3 Lyxor ETF ETFs for the political wave 5 Our key calls Expect the unexpected Pages 6-19 Ride the wave Pages Smart Beta Short bonds / equities Currency hedging Broad European equities Single countries Mid caps and sectors Reduce risk with Minimum Variance strategies FTSE Europe Minimum Variance Favour quality as uncertainty mounts SG European Quality Income Switch to strategies built to enhance returns: J.P. Morgan Multi-Factor Europe Rising rates and inflation, Brexit and a possible ECB taper could weigh on bond markets: 10yr US Treasury Daily Short 10yr US Treasury Daily Double Short Bund Daily Short Bund Daily Double Short BTP Daily Short BTP Daily Double Short Daily Short Take FX risk out of the equation as currencies start moving quickly: Daily Hedged (GBP, USD or CHF) Euro Stoxx 300 Monthly Hedged (GBP) FTSE 100 Monthly Hedged (EUR or USD) MSCI EMU Monthly Hedged CHF Populism fades, broad indices rise: MSCI Europe MSCI EMU Small Cap MSCI EMU Growth MSCI EMU Value Daily Leverage Narrow your search if recovery takes hold: CAC 40 CAC 40 Daily Leverage DAX Daily LevDAX IBEX 35 IBEX 35 Daily Leverage FTSE MIB FTSE MIB Daily Leverage Dig deeper for more opportunities: CAC Mid 60 MDAX IBEX Mid Stoxx Europe 600 Banks Stoxx Europe 600 Oil & Gas Stoxx Europe 600 Basic Resources Stoxx Europe 600 Construction & Materials Stoxx Europe 600 Automobile & Parts Stoxx Europe 600 Retail Daily Double Short CAC 40 Daily Short CAC 40 Daily Double Short DAX Daily Double Short FTSE MIB Daily Short FTSE MIB Daily Double Short IBEX 35 Daily Short IBEX 35 Daily Double Short

4 Lyxor ETF ETFs for the political wave 7 Expect the unexpected The only thing that could have positioned portfolios properly in 2016 was a crystal ball. Very few market participants priced in the possibility of Brexit or a Trump win may feature plenty of surprises of its own, especially if the wave of populism regathers speed. At the very least, we should expect the unexpected. Smart Beta can help reduce risk through Minimum Variance strategies. Short ETFs come in handy for hedging against or exploiting losses. Should currencies take a beating, tackle FX risk with currency-hedged products. Smart Beta 8 Reduce risk with Minimum Variance strategies Short ETFs 16 Protect yourself or profit by going short Currency hedged 18 Take FX risk out of the equation

5 Lyxor ETF Expect the unexpected 9 Smart Beta Reduce Risk The numbers that matter European markets have been surprisingly calm since June. Even Trump s victory in November couldn t disturb the mood for long. But complacency can be dangerous. This could be the calm before the storm. The UK has triggered Brexit, while Europe's two biggest economies Germany and France are going to the polls between now and October. The wave of populism appears to have lost its energy, but last year taught us to expect the unexpected and to prepare our portfolios accordingly. Minimum Variance strategies can reduce risk by up to 30%, while quality stocks could also help you keep your head above water. A multi-factor approach could help enhance returns if the storm eases. Minimum Variance seek to reduce risk by selecting stocks that are less volatile, and less correlated in terms of performance. FTSE Russell s approach however goes a step further, adding some of the strictest diversification targets in the industry. This results in a more robust portfolio, which has reduced the risk of investing in European equities by 26% over the last ten years. Beware of concentration risk in Minimum Variance strategies* MSCI Europe 446 stocks Volatility has dipped since Brexit... but is this the calm before the storm? FTSE Europe Minimum Variance 67 % 359 stocks 12 month historical volatility MSCI Europe and S&P 500 indices 24% 22% Did you know? The top 10 stocks of the FTSE Europe Minimum Variance index account for 8% of the portfolio, approximately half the level of concentration of peer indices.** 20% 18% 16% 14% MSCI Europe Minimum Variance 36 % 160 stocks 12% 31/05/ /06/ /06/ /07/ /07/ /07/ /08/ /08/ /08/ /09/ /09/ /09/ /10/ /10/ /11/ /11/ /11/ /12/ /12/ /12/ /01/ /01/ /02/ /02/ /02/2017 istoxx Europe Minimum Variance 13 % 80 stocks MSCI Europe S&P 500 Source: Lyxor International Asset Management/Bloomberg. Data period from 31/05/2016 to 28/02/2017. Past performance is not a reliable indicator of future results. *Source: Lyxor International Asset Management/Bloomberg. Data period 30/12/ /12/2016. Figures are relative to the market cap weighted FTSE Developed Europe index. Past performance is not a reliable indicator of future results. **Source: Lyxor International Asset Management. Data as at 28/02/2017. Peer indices used for comparison are the MSCI Europe Minimum Variance index, and the istoxx Europe Minimum Variance index.

6 Lyxor ETF Expect the unexpected 11 Robust performance Which route will you take? Performance of FTSE Europe Minimum Variance vs. market cap and 1Y rolling volatility reduction % outperformance* 40% 35% I am wary of the political situation in Europe, but I want to stay invested in equities. I need a strategy to reduce my risk. FTSE Europe Minimum Variance % %* risk reduction* 25% 20% 15% A flight to defensive, quality stocks is possible should results surprise. SG European Quality Income seeks the high quality companies most able to keep their dividend promises. SG European Quality Income Feb 07 Jul 07 Dec 07 May 08 Oct 08 Mar 09 Aug 09 Jan 10 Jun 10 Nov 10 Apr 11 Sep 11 Feb 12 Jul 12 Dec 12 May 13 Oct 13 Mar 14 Aug 14 Jan 15 Jun 15 Nov 15 Apr 16 Sep 16 Feb 17 10% 5% J.P. Morgan Multi-Factor Europe Should political concerns dissipate, European equities could rally. I want to try to enhance my returns. Our factor framework focuses on the purest possible factor exposure for each of the five core engines of return; Low Size, Value, Quality, Low Beta and Momentum. FTSE Europe Minimum Variance FTSE Developed Europe Volatility Reduction Source: Lyxor International Asset Management/Bloomberg. Data as at 28/02/2017. Past performance is not a reliable indicator of future results. *Figure refers to the average volatility reduction achieved over the period between 30/12/2006 and 30/12/2016. Diversification pays off Did you know? Approximately 84% of the stocks in the FTSE Minimum Variance Europe index are large caps. The istoxx 600 index has a much larger tilt towards large caps, at 99.7%* *Source: Lyxor International Asset Management. Data as at 28/02/2017. Key performance stats* Annualised return Annualised volatility MSCI Daily Net TR Europe Euro 2.63% 20.60% FTSE Developed Europe Minimum Variance Net Tax Index 4.82% 15.38% *Source: Lyxor International Asset Management/Bloomberg. Data period 30/12/ /12/2016. Past performance is not a reliable indicator of future results. Why Lyxor for Minimum Variance? 26 % 67 % Average risk reduction, & 3.7% average excess return 1 Percentage of starting universe retained 1 Global, European, US and Emerging Market exposures available 1 Source: Lyxor International Asset Management/Bloomberg. Data period 30/12/ /12/2016. Figures are relative to the market cap weighted FTSE Developed Europe index. Past performance is not a reliable indicator of future results.

7 Lyxor ETF Expect the unexpected 13 Short bonds Stand Ready Take a position Many in the market have assumed the bond sell-off in the immediate aftermath of Trump s victory went too far, too fast. In our view, they haven t adjusted to the new market reality. Prepare your portfolio Single and double short ETFs provide the inverse or twice the inverse daily performance of their underlying indices.* You can use them to: We find the current calm slightly eerie given the economic and policy news. To coin a phrase, it s quiet, too quiet. In our view, the global upturn, a fast-diminishing global output gap and rising inflation risks continue to be underestimated. Should things take a turn for the worse, short bonds could come into their own. Stand ready to hedge against, or exploit, losses. Manage downside risk Benefit from falling markets Calm or complacency? How major bond markets have moved since Trump's triumph 3 Hedge against falling markets Protect your investments Profit using a single short ETF Boost your potential return with a double short ETF % Many investors already have February 2017: Inflows hit a one-year high on Short Bond strategy ETFs with EUR525M % % /11/ /11/ /11/ /11/ /12/ /12/ /12/ /12/ /01/ /01/ /01/ /01/ /01/ /02/ /02/ /02/ /02/ UK US Germany Mar 16 Apr 16 May 16 Jun 16 Jul 16 Aug 16 Sep 16 Oct 16 Nov 16 Dec 16 Jan 17 Feb 17 Source: Lyxor International Asset Management, Bloomberg. Monthly data in EUR M from 01/03/2016 until 28/02/2017. Source: Lyxor International Asset Management/Bloomberg. Data period from 31/12/2007 to 28/02/2017. Past performance is not a reliable indicator of future results. *Please note that both gains and losses are amplified when using double short ETFs.

8 Lyxor ETF Expect the unexpected 15 Which route will you take? How UCITS ETFs compare with other short and leveraged instruments UCITS ETFs UCITS eligible ETPs Warrants and certificates Futures contracts Spread bets and CFDs UCITS compliant funds? Yes No No No No Leverage factor Between -2x and +2x No limit No limit No limit No limit US Treasuries Battered by rate rises and inflation? German bunds Yields dragged higher with US market. ECB Taper? Italian BTPs Political situation unravels. Financial sector blow-up? Maintenance of margin account by the investor? No No No Yes Yes Losses limited to Initial investment? Yes Yes Yes No No Traded on public exchanges? Yes Yes Can be Futures exchanges No Short the market Double up Multiple market makers? Yes Yes Usually not but can be Yes No Collateralised? Yes, within strict UCITS guidelines Usually but not always No No No Threat? I need a short term hedge for protection Opportunity? I want to profit from a market fall Threat? I want a quick hedge with less capital Opportunity? I want to double my potential profits or halve my capital at risk The compounding effect 10 Yr US Treasuries Daily Short Bund Daily Short BTP Daily Short Daily Double Short 10 Yr US Treasuries Daily Double Short Bund Daily Double Short BTP The performance of both short and double short products is calculated daily, so returns are always based on the previous day s closing price. If an index with a starting value of 100 is down 5% to 95 at the end of a trading day, the associated double short ETF (with the same starting value) should be up by 10% to 110, before fees. If the Index regained 5% the following day, it would close at The ETF however would fall by 10% to 99, before fees. So, over the two days, the performance of the ETF (-1%) is not exactly twice that of the Index (-0.25%) because of the daily reset of the leverage. A single short experiences similar slippage over time, without the doubling of returns. This slippage means short and double short ETFs may not be suitable as long-term holdings. This is especially true when markets are volatile, as the compounding of positive and negative returns can have a material effect on long-term performance. Why Lyxor for Short bond ETFs? 6 1 st We have 6 ways to go short across fixed income exposures 1 Largest range of Inverse ETFs in Europe by number of exposures and AuM 1 We were the first to launch double short ETFs in Europe in Source: Lyxor International Asset Management. $2.7bn in assets under management across inverse ETF exposures as at 07/12/ First double short ETF launched by Lyxor in Europe in January 2007 (Lyxor CAC 40 Daily Double Short UCITS ETF).

9 Lyxor ETF Expect the unexpected 17 Short equities Protect against losses Which route will you take? The rise of populism has dominated the front pages but hasn t, as yet, derailed the EU project. The Dutch election result soothed some nerves. All eyes now turn to France. The impact of some potential policies hard to predict. They could have lasting consequences for the eurozone as we know it. Should voters favour the central ground, Europe s improving fundamentals may get the attention we feel they deserve. Eurozone equities Will populism prevail? Italian politics and banking crisis Will it all unravel in 2017 French elections Will the political scene turn sour? German elections Is an upset on the horizon? Catalan independence referendum Will Catalonia stay or go? But other events loom on the horizon, Germany goes to the polls in the autumn and the rise of the far right could still reshape the teutonic political landscape. A snap election remains possible in Italy. Go short, or long, as the results roll in. Threat? I need a short term hedge for protection Short the market Opportunity? I want to profit from a market fall Threat? I want a quick hedge with less capital Double up Opportunity? I want to double my potential profits or halve my capital at risk Pessimism about the future of the EU (%) Greece 69.0 % France 57.6 % Daily Short CAC 40 Daily Short Euro Stoxx 50 Daily Double Short CAC 40 Daily Double Short Daily ShortDAX x Italy 54.6 % Germany 47.0 % IBEX 35 Daily Short FTSE MIB Daily Short IBEX 35 Daily Double Short FTSE MIB Daily Double Short Netherlands 45.0 % Spain 40.1 % What you should know about gains and losses The nature of these investments means losses as well as gains may be amplified. Even if you're convinced your investment will pay off, you should be able to tolerate substantial losses over a short period of time. Potential slippage vs. the benchmark means daily leverage, daily short and daily double short ETFs should not be considered as long-term holdings 0 Jan 2007 Jan 2008 Jan 2009 Jan 2010 Jan 2011 Jan 2012 Jan 2013 Jan 2014 Jan 2015 Jan 2016 France Germany Italy Spain Netherlands Greece Source: European Commission DG Communication, 01/07/2016. Data indicates the share of respondents for each country with a pessimistic view of the future of the EU. Why Lyxor for Short equities? 11 1 st 11 ways to go short, by region or single country* First double short equity ETF launched in Europe* +10 yrs 10+ years experience managing short equity ETFs* *Source: Lyxor International Asset Management. Data as at 28/02/2017. First double short equity ETF launched in Europe on 15/01/2007 (Lyxor CAC 40 Daily Double Short UCITS ETF).

10 Lyxor ETF Expect the unexpected 19 Currency hedging Tackle FX risk Which route will you take? Risk rears its head in many forms, not least in currencies. Calling FX movements is notoriously difficult, especially when the geopolitical environment is so uncertain. You only have to look at the shock Brexit vote in June and the beating sterling took in its aftermath as an example of what can happen and how quickly it can happen. The wave of elections in Europe, lingering questions over how hard Brexit will actually be and signs that Greece may be on the brink of another crisis mean it s time to think about the potential currency risks lurking in your portfolio. The Economic Monetary Union may not withstand downward pressure on the euro. I d rather protect myself. MSCI EMU (DR) CHF Monthly Hedged FTSE 100 EUR Monthly Hedged Brexit negotiations may weaken GBP further. When currency shocks can hurt you FTSE 100 USD Monthly Hedged January 2015: CHF unpegged from EUR June 2016: Brexit s effect on GBP 1.3 EUR - CHF 1.5 GBP - USD Brexit Weaker EUR overnight -19% in one day % in less than two weeks (DR) GBP Daily Hedge (DR) USD Daily Hedged The euro may not withstand political unrest. I d prefer to hedge this risk out of my eurozone portfolio /01/ /07/ /01/ /07/ /01/ /01/ /07/2016 (DR) CHF Daily Hedged Euro Stoxx 300 (DR) GBP Monthly Hedged Performance of G10 currency basket vs. EUR since Brexit USD AUD NZD NOK Did you know? We are pragmatic about how we hedge. For some underlying indices, a daily hedge makes sense, while for others a monthly hedge is sufficient. CHF CAD DKK JPY SEK GBP -13% -12% -11% -10% -9% -8% -7% -6% -5% -4% -3% -2% -1% 0 1% 2% 3% 4% 5% 6% 7% Why Lyxor for Currency hedging? 7 7 ways to hedge FX risk in equities* +3 yrs 0.15 % Over 3 years currency-hedged ETF expertise* Total Expense Ratios starting at just 0.15%* Source: Lyxor International Asset Management. Data as at 21/11/2016. Past performance is not a reliable indicator of future results. *Source: Lyxor International Asset Management. Data as at 28/02/2017. First currency-hedged equity ETF share class launched 25/04/2013 (Lyxor Japan (TOPIX) (DR) UCITS ETF - daily hedged D-EUR).

11 Lyxor ETF ETFs for the political wave 21 Ride the wave While investors may need to tread, and trade, carefully this year, it s not all doom and gloom. Opportunities may arise should risk fade and populism peter out. The Dutch election result, and the subsequent rally, could be a sign of things to come. Look beyond the headlines and you can see Europe s fundamentals are improving. If you are confident in its future, you can benefit in many ways. Access broad exposures like the or consider more targeted exposures like specific countries, capitalisations or sectors as the results roll in. Daily leverage products could help amplify short term returns if you re prepared to take on the risk. Broad equities 22 Access broad European exposures Single countries 26 Narrow your search if recovery takes hold Mid caps and sectors 31 Dig deeper for more opportunities

12 Lyxor ETF Ride the political wave 23 Broad European equities This year's headliners? European equities could be this year s headliners, despite the possible political upheaval. ECB support is assured, fiscal expansion possible and higher inflation likely by year end. Should political risk fade attention will turn to Europe s less demanding valuations, more generous dividend yields and improving sentiment. Margin betterment could lead to superior EPS growth. Breakdown of exposures 90% 80% 70% 60% European Equity indices overview Defensive MSCI EMU Value MSCI EMU Small Cap J.P. Morgan Equity Risk Premia - Europe Multi Factor Long Only (EUR) Cyclical 50% 40% 30% 20% 10% MSCI Europe 0% MSCI EMU Growth Net Return EUR Index EURO STOXX 50 Net Return EUR MSCI EMU Value Net Return EUR Index Core Periphery UK Nordics and other MSCI EMU Small Cap Net Return EUR Index FTSE Developed Europe Minimum Variance Net Tax Index MSCI Europe Net Return EUR Index J.P. Morgan Equity Risk Premia - Europe Multi Factor Long Only (EUR) Index MSCI EMU Growth Source: Lyxor International Asset Management. Data as at 28/02/2017. Key points FTSE Developed Europe Minimum Variance Source: Lyxor International Asset Management. Data as at 28/02/2017. Recovery factors like low size and value play very firmly to recovery. Should you wish to tilt towards small caps or value stocks, consider the MSCI EMU Small Cap and MSCI Value indices, respectively Defence the MSCI Europe, MSCI EMU Growth, and FTSE Developed Europe Minimum Variance indices offer the most balanced mix of defensive and cyclical exposures Financials the MSCI EMU Value offers a high Financials weighting Key points Diversification vs. concentration the MSCI Europe offers a wide exposure to the Continent. The has a 70% exposure to Germany and France should you favour the core. Brexit should Brexit damage UK equities, the and MSCI EMU indices have far less exposure to the UK than the MSCI Europe The most balanced index in terms of exposure to core, periphery, UK and Nordics is the J.P. Morgan Equity Risk Premia Europe Multi-Factor index Did you know? Lyxor ranked number 1 for tracking efficiency on key European exposures in 2016, including the MSCI Europe, CAC 40, FTSE 100, IBEX 35 and FTSE MIB.* Add the footnote: *Source: Lyxor International Asset Management/Bloomberg. Data period from 31/12/2015 to 31/12/2016. The rationale and construction of the indicator are detailed in an academic paper published by Thierry Roncalli, former Head of Research & Development at Lyxor and Professor of Finance at the Evry University, and Marlene Hassine Konqui, ETF strategist. The academic paper can be downloaded from SSRN: or from REPEC

13 Lyxor ETF Ride the political wave 25 The numbers that matter Which route will you take? Index Number of stocks Cap Breakdown Top 3 Sectors Top 3 Countries 2016 Return (EUR) 5 Yr Return (EUR) EURO STOXX 50 Net Return EUR MSCI Europe Net Return EUR Index % 30bn, 13.61% 10-30bn 60.61% 30bn, 26.86% 10-30bn 10.61% 5-10bn 1.93% 2-5bn 20.96% Financials, 14.52% Industrials, 11.26% Consumer Discretionary 20.29% Financials, 14.17% Consumer Staples, 13.19% Health Care 35.76% France, 34.27% Germany, 10.08% Spain 25.13% UK 15.25% France 14.56% Germany 3.72% 53.05% 2.58% 58.22% With ECB support assured, and fiscal expansion possible, I favour Europe MSCI Europe I like the eurozone. I'm not so sure about post-brexit UK MSCI EMU Small Cap Net Return EUR Index MSCI EMU Value Net Return EUR Index % 5-10bn 50.63% 2-5bn 22.19% 1-2bn 14.08% 150m-1bn 60.50% 30bn 29.81% 10-30bn 7.94% 5-10bn 1.74% 2-5bn 23.76% Industrials 13.20% Financials 12.08% Consumer Discretionary 34.03% Financials 12.70% Industrials 11.84% Consumer Discretionary 23.88% Germany 16.25% France 14.79% Italy 32.35% France 27.70% Germany 13.77% Spain 3.26% 99.68% 6.89% 53.44% Daily Leverage* I feel very confident about the eurozone. I'm comfortable doubling up on potential returns MSCI EMU Growth Net Return EUR Index % 30bn 35.40% 10-30bn 10.91% 5-10bn 1.15% 2-5bn 23.40% Consumer Staples 17.51% Consumer Discretionary 17.36% Industrials 32.12% Germany 29.95% France 11.68% Netherlands 1.49% 71.70% Growth means I want more specific, cyclical exposures MSCI EMU Value FTSE Developed Europe Minimum Variance Net Tax Index % 30bn, 35.45% 10-30bn 36.69% 5-10bn 19.38% 2-5bn 19.63% Industrials 14.88% Consumer Staples 12.86% Consumer Discretionary 30.02% UK 10.96% France 9.95% Germany 23.7% 86% FTSE MSCI Developed EMU Europe Small-Caps Min Var I m expecting small-caps to benefit J.P. Morgan Equity Risk Premia - Europe Multi Factor Long Only (EUR) Index % 30bn 29.79% 10-30bn 40.14% 5-10bn 15.57% 2-5bn 0.22% 1-2bn 18.82% Financials 16.84% Consumer Discretionary 15.00% Industrials 19.36% Switzerland 15.61% UK 14.11% France -0.55% 63.24% Source: Lyxor International Asset Management. Data period as at 28/02/2017. Past performance is not a reliable indicator of future returns. Post-Brexit performance in Europe One-month performance 6% 5% 4% 3% 2% 1% FTSE Developed Europe Minimum Variance MSCI EMU Growth MSCI Europe Trending Up MSCI EMU Small-Cap MSCI EMU Value I think the earnings outlook for European companies is bright. I favour growth at this stage MSCI EMU Growth *A key risk of leveraged investments is that by nature, losses as well as gains are amplified. For this reason, even though you are convinced that your investment will pay off, you should be able to tolerate substantial losses over a short period of time. Did you know? Global flows suggest the stampede towards value may be losing momentum. European and UK investors are yet to respond, but with value underperforming growth since the turn of the year, it may just be a matter of time.* *Source: Lyxor ETF Research, march % -2% Reversing Down 0% 5% 10% 15% 20% 25% Performance since Brexit Why Lyxor for European equities? +15 #1 Over 15 ways to explore broad European markets* Largest Euro Stoxx 50 ETF in the European market* Most efficient MSCI Europe ETF in 2016** Source: Lyxor International Asset Management. Data from 30/06/2016 to 28/02/2017 (since Brexit), and from 01/31/2017 to 28/02/2017 (one-month performance). Past performance is not a reliable indicator of future returns. *Source: Lyxor International Asset Management/Bloomberg. Lyxor (DR) UCITS ETF assets under management at 7.1bn. Data as at 28/02/2017. **Source: Lyxor International Asset Management/Bloomberg. Data period from 31/12/2015 to 31/12/2016. The rationale and construction of the indicator are detailed in an academic paper published by Thierry Roncalli, former Head of Research & Development at Lyxor and Professor of Finance at the Evry University, and Marlene Hassine Konqui, ETF strategist. The academic paper can be downloaded from SSRN: or from REPEC

14 Lyxor ETF Ride the political wave 27 Single countries Focusing on opportunity Better economic momentum, inflation expectations picking up and more fiscal easing should support single country exposures. It s been a largely positive year for European equities both in terms of performance and flows despite the heavy political agenda, so what s next? If markets view the outcomes of the forthcoming elections favourably, several opportunities could arise. Capture compelling country stories should markets breathe a sigh of relief. Favour the core should the ECB taper. Single country exposures 35% 30% 25% 20% 15% 10% 5% 0% CAC 40 Total Return Index DAX INDEX FTSE MIB Net Total Return Index IBEX 35 Net Return Index Post-Brexit performance in Europe One-month performance 6% 5% 4% 3% 2% 1% -1% Reversing Down -2% Trending Up FTSE 100 DAX CAC 40 IBEX 35 FTSE MIB 0% 5% 10% 15% 20% 25% Consumer Discretionary Consumer Staples Energy Financials HealthCare Industrials Information Technology Materials Real Estate Telecommunication Services Utilities Source: Lyxor International Asset Management. Data as at 28/02/2017. The numbers that matter Index name CAC 40 Total Return Index Number of stocks Exposure Top 3 sectors Weight Market Cap 150m-1bn 1-2bn 2-5bn 5-10bn 10-30bn 30bn Other 40 DAX INDEX 30 FTSE MIB Net Total Return Index 40 French large caps German large caps Italian large caps 16.56% Industrials 16.18% Consumer Discretionary 14.11% Financials 18.61% Consumer Discretionary 16.92% Financials 15.11% Health Care 33.40% Financials 17.41% Utilities 15.81% Energy 0.00% 0.00% 0.00% 0.70% 34.05% 65.25% 0.00% 0.00% 0.00% 0.00% 3.04% 19.84% 77.12% 0.00% 0.00% 0.00% 11.14% 10.78% 45.09% 32.30% 0.69% Source: Lyxor International Asset Management. Data from 30/06/2016 to 28/02/2017 (since Brexit), and from 01/31/2017 to 28/02/2017 (one-month performance). Past performance is not a reliable indicator of future returns. IBEX 35 Net Return Index 35 Spanish large caps 33.32% Financials 15.75% Utilities 13.63% Industrials 0.00% 0.39% 5.09% 11.03% 30.71% 52.78% 0.00% Source: Lyxor International Asset Management. Data as at 28/02/2017. Why Lyxor for Single countries? yrs 12 ways to explore European countries* Largest ETFs in Europe on the CAC 40, FTSE MIB and IBEX 35* 15 years experience managing single country ETFs* *Source: Lyxor International Asset Management. Data as at 28/02/2017. Large cap benchmarks used for comparison are the CAC 40, DAX, and IBEX 35 indices. *Source: Lyxor International Asset Management. Data as at 28/02/2047. First single country ETF launched 13/12/2000 (Lyxor CAC 40 (DR) UCITS ETF).

15 Lyxor ETF Ride the political wave 29 Leveraged equities Climb higher, faster For investors looking to amplify their potential returns from a market rally, Leverage ETFs provide two times the daily performance of their underlying indices.* Leveraged ETFs could help you make the most of any rebound following a market-friendly election results. By doubling your exposure to a given index like the CAC 40 or DAX, you open the door to twice the return. You also give yourself the opportunity to reduce the amount of capital you put at risk on any given day.* Investors seeking to amplify returns through Leveraged ETFs tend to keep their powder dry until they know more. This can be seen in the chart below, with relatively limited flows in the months preceding major events such as Brexit in June and Trump s election in November, with inflows and outflows spiking mainly in the build-up and aftermath. Monthly Net New Assets on leveraged European equity ETFs Boosting daily returns with leverage 50 Average intraday performance of traditional indices vs. daily leverage indices over a one year period 2.5% % % % Mar - 16 Apr - 16 May - 16 Jun - 16 Jul - 16 Aug - 16 Sep - 16 Oct - 16 Nov - 16 Dec - 16 Jan - 17 Feb- 17 Source: Lyxor International Asset Management, Bloomberg. Monthly data in EUR M from 01/03/2016 until 28/02/ % The numbers that matter Daily Leverage CAC 40 CAC 40 Leverage DAX LevDAX IBEX 35 IBEX 35 Double Lev FTSE MIB FTSE MIB Leveraged Index name Exposure Number of stocks Leverage factor Leverage reset frequency Average intraday performance over 1y Source: Lyxor International Asset Management, Bloomberg. Data period 22/01/ /03/2017. Past performance is not a reliable indicator of future results. EURO STOXX 50 Daily Leverage Index Eurozone large caps 50 2X Daily 1.71% CAC 40 Leveraged GR Index French large caps 40 2X Daily 1.62% *What you should know about Gains and Losses A key risk of leveraged investments is that by nature, losses as well as gains are amplified. For this reason, even though you are convinced that your investment will pay off, you should be able to tolerate substantial losses over a short period of time. LevDAX Index IBEX 35 Double Lev Net German large caps Spanish large caps 30 2X Daily 1.68% 35 2X Daily 1.96% FTSE MIB Leveraged RT Net-of-Tax Lux TR Index Italian large caps 40 2X Daily 2.42% Source: Lyxor International Asset Management. Data as at 22/01/ /03/2017.

16 Lyxor ETF Ride the political wave 31 Which route will you take? Mid caps and sectors Digging deeper I m relatively confident in the ECB s ongoing support, and the possibility of fiscal expansion revving up in Europe. Daily Leverage I really believe in the future of Europe, and am comfortable doubling up for the short term. When markets are in recovery mode, mid caps tend to outperform larger companies. They could appeal to those with an adventurous spirit. French elections are holding me back, but I think things are on the up. CAC 40 CAC 40 Daily Leverage I m happy the outcome will go my way and fundamentals are picking up. I need in now. The likely combination of sustained ECB liquidity and the improving economic outlook bodes well for mid- and small-caps. Should the ECB choose to taper, more caution may be required. Peripheral countries in particular would be in the spotlight. Favour the core if the hawks win out. German elections are still a way off. I prefer to tread carefully until new information comes through. DAX DAX Daily Leverage I think there s gains to be made in the short term, and I want to make the best of them. I can stomach the risk. Mid caps have more exposure to cyclicals than large-cap benchmarks CAC Mid 60 Gross Return Index 25.40% Spain and the Catalan referendum doesn t worry me too much. I think there could be potential in Spain. IBEX 35 MSCI IBEX EMU 35 Daily Growth Leverage I see things shaping up for Spain sooner rather than later. I m convinced now is the time to act, and maximise potential gains. MDAX PERF INDEX 20.32% IBEX Medium Cap Net Return 21.17% I think the risks of a full blown banking crisis and political fallout are relatively low. I m tentatively long Italian equities. Did you know? The leverage factor of UCITS ETFs is limited to 2. Anything higher, and it s not a UCITS ETF. Why Lyxor for Leveraged equities? 7 1 st We have 7 ways to amplify returns across equity exposures FTSE MIB FTSE MIB Daily Leverage Largest range of leveraged ETFs in Europe by number of exposures and assets under management 1 I believe risks in Italian equity markets are overblown. I m convinced markets are set to rise. We were the first to launch leveraged ETFs in Europe in Source: Lyxor International Asset Management. Data as at 28/02/2017. Large cap benchmarks used for comparison are the CAC 40, DAX, and IBEX 35 indices. Key points If recovery prospects harden, look to mid cap indices for their higher weightings toward cyclical sectors like financials and industrials All of our single country mid-cap exposures have at least a 20% higher exposure to cyclicals than their large-cap equivalents* Dig even deeper with Stoxx Europe sectors should fiscal policies change and the politics play out without any surprises 1 Source: Lyxor International Asset Management. $1.2bn in assets under management across long leveraged ETF exposures as at 07/12/ First leveraged ETF launched by Lyxor in Europe in June 2006 (Lyxor DAILY LevDAX UCITS ETF).

17 Lyxor ETF Ride the political wave 33 The numbers that matter Index name CAC Mid 60 Gross Return Index MDAX PERF INDEX IBEX Medium Cap Net Return Number of stocks Exposure French mid caps German mid caps Spanish mid caps Overweight of cyclicals vs. large cap index Weight Market Cap 150m-1bn 1-2bn 2-5bn 5-10bn 10-30bn 30bn Other 25.40% 1.71% 5.87% 49.47% 32.95% 10.00% 0.00% 0.00% 20.32% 0.00% 4.42% 23.79% 37.05% 24.66% 0.00% 10.08% 21.17% 2.92% 27.41% 69.67% 0.00% 0.00% 0.00% 0.00% Source: Lyxor International Asset Management. Data as at 28/02/2017. Large cap benchmarks used for comparison are the CAC 40, DAX, and IBEX 35 indices. Index name EURO STOXX Banks Net Return EUR STOXX Europe 600 Banks Net Return EUR STOXX Europe 600 Retail (Net Return) EUR Number of stocks Top 3 countries Cap breakdown 2016 return (EUR) 5yr return (EUR) 33.51% Spain 26.35% France 13.06% Netherlands 32.87% UK 15.24% Spain 11.99% France 32.62% UK 16.01% Spain 14.33% France 70.98% 30bn 18.77% 10-30bn 7.60% 5-10bn 2.65% 2-5bn 71.27% 30bn 22.69% 10-30bn 3.73% 5-10b 2.31% 2-5bn 25.09% 30bn 32.52% 10-30bn 28.90% 5-10bn 12.65% 2-5bn 0.84% 1-2bn -4.60% n/a -2.83% 29.74% -4.76% 38.92% STOXX Europe 600 Basic Resources Net Return EUR % UK 15.17% Switzerland 13.48% Australia 49.23% 30bn 31.41% 10-30bn 14.24% 5-10bn 5.12% 2-5bn 65.71% -1.42% Sectors The improving outlook and a potential post-election ramp up in fiscal spending could be supportive for construction, infrastructure and materials. Improving employment outlooks should prove beneficial for eurozone consumers and by extension the Retail, Consumer Discretionary and Autos & Parts sectors. STOXX Europe 600 Construction & Materials (Net Return) EUR STOXX Europe 600 Oil & Gas (Net Return) EUR STOXX Europe 600 Automobiles & Parts (Net Return) EUR % France 22.26% Switzerland 13.16% Sweden 29.79% France 17.86% UK 15.09% Netherlands 62.58% Germany 25.42% France 6.73% UK 27.10% 30bn 54.22% 10-30bn 11.70% 5-10bn 6.99% 2-5bn 73.70% 30bn 16.97% 10-30bn 3.67% 5-10bn 5.66% 2-5bn 57.10% 30bn 33.58% 10-30bn 7.19% 5-10bn 2.13% 2-5bn 11.47% 92.58% 28.76% 5.26% -1.65% 84.60% Post-Brexit performance in Europe Source: Lyxor International Asset Management. Data as at 28/02/2017. One-month performance 6% 5% 4% 3% 2% 1% Food & Bevrg Utilities Real Estate Oil & Gas Construction & Materials Auto &Parts Trending Up European sectors key points: Infrastructure spending if fiscal spending does pick up, Basic Resources and Construction & Materials could benefit Energy if deals limiting supply hold, Oil & Gas looks well valued Sentiment improves Retail and Automobiles & Parts are geared to a recovering consumer Financials bounce should profit growth outweigh risk, consider European Banks -1% -2% Retail Reversing Down -10% 0% 10% 20% 30% 40% 50% 60% Performance since Brexit Banks Source: Lyxor International Asset Management. Data from 30/06/2016 to 28/02/2017 (since Brexit), and from 01/31/2017 to 28/02/2017 (one-month performance). Past performance is not a reliable indicator of future returns. Basic Resources Why Lyxor for Equity sectors? 5 20 #1 5 ways to access European mid caps* 20 ways to explore European sectors* The largest and most liquid European banks ETF in Europe* *Source: Lyxor International Asset Management. The largest and most liquid European banks ETF refers to the Lyxor STOXX 600 BANKS UCITS ETF, and is based on assets under management, and bid/ask spread over a one year period. Data as at 28/02/2047.

18 Lyxor ETF ETFs for the political wave 35 We are Why choose Lyxor? the original pioneers Our success is built on a history of innovation and a constant drive to provide investors with better, more efficient ways to access more investment opportunities around the world. With over 15 years of commitment to performance, risk control, liquidity and transparency, it s no surprise that Lyxor ranks third in Europe with EUR 56.4bn of ETF assets under management* and second in terms of the liquidity of its ETFs. As one of the most experienced ETF providers, Lyxor has the scope to offer greater choice when it comes to your investment. With more than 200 products spanning all asset classes, geographies, sectors and types, our investors enjoy the freedom to choose precisely where and how they want to invest. Range All asset classes However, it s more than just the choice; it is our absolute commitment to tracking efficiency, and our relentless focus on quality that tells investors they can trust us wherever they want to invest, and whatever their investment goals. Lxyor ETF Quality Funds you can rely on Heritage 3rd largest ETF issuer by AUM* *Source: Lyxor International Asset Management, Bloomberg. Data as at 20/03/2017. Liquidity data refers to period between January 2016 and January 2017.

19 Lyxor ETF ETFs for the political wave 37 Product Snapshot Expect the unexpected Ride the wave ETF name ISIN Main Ticker TER (bps) Income AUM Base currency Benchmark currency Bloomberg benchmark ETF name ISIN Main Ticker TER (bps) Income AUM Base currency Benchmark currency Bloomberg benchmark Smart Beta Broad Equities FTSE Europe Minimum Variance J.P. Morgan Multi-Factor Europe Index SG European Quality Income NTR Short Bonds LU MVAE FP 20 Acc 120 EUR EUR AWDEUMVN LU LYX5 GY 40 Acc 78 EUR EUR JPERPLMF LU SGQE FP 45 Dist 22 EUR EUR SGQENTR 10Yr US Treasury Daily Short LU US1S 20 Acc 11 USD USD SGIXTYS1 Daily Double Short 10Y US Treasury FR DSUS FP 20 Acc 59 USD USD SGIXDSTY Bund Daily Short LU BUNS FP 15 Acc 69 EUR EUR SGIXRXS1 Daily Double Short Bund FR DSB FP 20 Acc 1207 EUR EUR DSFBI BTP Daily Short LU BTP1S IM 40 Acc 38 EUR EUR SGIXIKS1 Double Daily Short BTP FR BTPS FP 40 Acc 429 EUR EUR SGIXDSBT Short Equities EURO STOXX 50 Daily Short FR BSX FP 40 Acc 116 EUR EUR SX5TS EURO STOXX 50 Daily Double Short FR BXX FP 60 Acc 90 EUR EUR SX5T2S Daily Short CAC 40 FR SHC FP 40 Acc 33 EUR EUR CACSH CAC 40 Daily Double Short FR BX4 FP 60 Acc 174 EUR EUR CACDSH Daily ShortDAX x2 FR DSD FP 60 Acc 55 EUR EUR SHRTDAX2 FTSE MIB Daily Short (Bear) FR BERMIB IM 60 Acc 55 EUR EUR FMIBI1X FTSE MIB Daily Double Short (XBear) FR XBRMIB IM 60 Acc 138 EUR EUR FMIBI2X IBEX 35 Inverso Diario FR INVEX SM 40 Acc 20 EUR EUR IBEXSH IBEX 35 Doble Inverso Diario FR INVE SM 60 Acc 23 EUR EUR IBEXDS Currency Hedging EURO STOXX 50 (DR) USD Daily Hedged EURO STOXX 50 (DR) GBP Daily Hedged EURO STOXX 50 (DR) CHF Daily Hedged EURO STOXX 300 (DR) GBP Monthly Hedged MSCI EMU (DR) CHF Monthly Hedged FR MSEU LN 20 Acc 7,112 USD USD SX5DU FR MSEX LN 20 Acc 7,112 GBP GBP SX5EDHB FR MSEC SW 20 Acc 7,112 CHF CHF SX5EDCHD LU MFEG LN 30 Acc 66 GBP GBP SXEMHB FR MFEC SW 25 Acc 136 CHF CHF M0EMHCHF EURO STOXX 50 (DR) FR MSE FP 20 Dist 7,112 EUR EUR SX5T EURO STOXX 50 (DR) FR MSE FP 20 Dist 7,112 EUR EUR SX5T MSCI Europe FR MEU FP 25 Dist 1,489 EUR EUR M7EU MSCI EMU Growth FR GWT FP 40 Dist 30 EUR EUR M7EM000G MSCI EMU Value FR VAL FP 40 Dist 179 EUR EUR M7EM000V MSCI Europe Small Cap FR SMAE FP 40 Dist 3 EUR EUR M7EUSC MSCI EMU Small Cap FR MMS FP 40 Dist 213 EUR EUR M7EMSC EURO STOXX 50 Daily Leverage Single countries: standard & leverage FR LVE FP 40 Acc 239 EUR EUR SX5TL CAC 40 (DR) FR CAC FP 25 Dist 3,813 EUR EUR CACR DAX (DR) LU DAX FP 15 Acc 1,005 EUR EUR DAX FTSE 100 FR L100 LN 15 Acc 7,681 GBP GBP UKX FTSE MIB FR MIB FP 35 Dist 817 EUR EUR FTSEMIBN IBEX 35 (DR) FR LYXIB SM 30 Dist 662 EUR EUR IBEXNR Daily Leverage CAC 40 FR LVC FP 40 Acc 210 EUR EUR CACGL Daily LevDAX LU LVD FP 40 Acc 267 EUR EUR D1AJ FTSE MIB Daily Leveraged FR LEVMIB IM 60 Dist 304 EUR EUR FMIBL2X IBEX 35 Doble Apalancado Diario Mid-caps & Sectors FR IBEXA SM 40 Acc 91 EUR EUR IBXQ CAC Mid 60 FR CACM FP 50 Dist 4 EUR EUR CM1GR German Mid-Cap MDAX FR MD4X GY 40 Dist 11 EUR EUR MDAX IBEX Mid FR IBXM SM 50 Dist 3 EUR EUR IBEXCN STOXX Europe 600 Automobiles & Parts FR AUT FP 30 Acc 66 EUR EUR SXAR STOXX Europe 600 Banks FR BNK FP 30 Acc 678 EUR EUR SX7R STOXX Europe 600 Basic Resources STOXX Europe 600 Construction & Materials FR BRE FP 30 Acc 160 EUR EUR SXPR FR CST FP 30 Acc 49 EUR EUR SXOR STOXX Europe 600 Oil & Gas FR OIL FP 30 Acc 232 EUR EUR SXER STOXX Europe 600 Retail FR RTA FP 30 Acc 14 EUR EUR SXRR FTSE 100 USD Monthly Hedged FTSE 100 EUR Monthly Hedged FR H LN 30 Acc 958 USD USD UKXHEUSD FR H FP 30 Acc 898 EUR EUR UKXHEUR

20 Lyxor ETF Expect the unexpected 39 Knowing your risk It is important for potential investors to evaluate the risks described below and in the fund prospectus on our website Capital at risk ETFs are tracking instruments: Their risk profile is similar to a direct investment in the Underlying index. Investors capital is fully at risk and investors may not get back the amount originally invested Replication risk The fund objectives might not be reached due to unexpected events on the underlying markets which will impact the index calculation and the efficient fund replication. Counterparty risk investors are exposed to risks resulting from the use of an OTC swap with Société Générale. In-line with UCITs guidelines, the exposure to Société Générale cannot exceed 10% of the total fund assets. Physically replicated ETFs may have counterparty risk resulting from the use of a securities lending programme. Concentration Risk Smart Beta ETFs select stocks or bonds for their portfolio from the original benchmark index. Where selection rules are extensive it can lead to a more concentrated portfolio where risk is spread over fewer stocks than the original benchmark. Compounding Risk 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 thus lead to slippage over time between the index and the ETF, meaning single short, double short and leveraged ETFs may not be suitable as long-term holdings. Leverage Risk Leveraged products amplify both gains and losses by a given leverage factor. Losses can therefore potentially be substantial. Underlying risk The Underlying index of a Lyxor ETF may be complex and volatile. When investing in commodities, the Underlying index is calculated with reference to commodity futures contracts exposing the investor to a liquidity risk linked to costs such as cost of carry and transportation. ETFs exposed to Emerging Markets carry a greater risk of potential loss than investment in Developed Markets as they are exposed to a wide range of unpredictable Emerging Market risks. Currency risk ETFs may be exposed to currency risk if the ETF is denominated in a currency different to that of the Underlying index they are tracking. This means that exchange rate fluctuations could have a negative or positive effect on returns. Liquidity risk Liquidity is provided by registered market-makers on the respective stock exchange where the ETF is listed, including Société Générale. On exchange, liquidity may be limited as a result of a suspension in the underlying market represented by the Underlying index tracked by the ETF; a failure in the systems of one of the relevant stock exchanges, or other market-maker systems; or an abnormal trading situation or event. Important information This communication is exclusively directed and available to Institutional Investors as defined by the 2004/39/EC Directive on markets in financial instruments acting for their own account and categorised as eligible counterparties or professional clients. This communication is not directed at retail clients. This document is issued in the UK by Lyxor Asset Management UK LLP, which is authorized and regulated by the Financial Conduct Authority in the UK under Registration Number Some of the funds described in this brochure are sub-funds of either Multi Units Luxembourg or Lyxor Index Fund, being both investment companies with Variable Capital (SICAV) incorporated under Luxembourg Law, listed on the official list of Undertakings for Collective Investment, and have been approved and authorised by the CSSF under Part I of the Luxembourg Law of 17th December 2010 (the 2010 Law ) on Undertakings for Collective Investment in accordance with provisions of the Directive 2009/65/ EC (the 2009 Directive ) and subject to the supervision of the Commission de Surveillance du Secteur Financier (CSSF). Alternatively, some of the funds described in this document are either (i) French FCPs (fonds commun de placement) or (ii) sub-funds of Multi Units France a French SICAV, both the French FCPs and sub-funds of Multi Units France are incorporated under the French Law and approved by the French Autorité des marchés financiers. Each fund complies with the UCITS Directive (2009/65/CE), and has been approved by the French Autorité des marchés financiers. Société Générale and Lyxor AM recommend that investors read carefully the risk factors section of the product s prospectus and Key Investor Information Document (KIID). The prospectus and the KIID are available in French on the website of the AMF ( The prospectus in English and the KIID in the relevant local language (for all the countries referred to, in this document as a country in which a public offer of the product is authorised) are available free of charge on lyxoretf.com or upon request to client-services-etf@ lyxor.com. The products are the object of market-making contracts, the purpose of which is to ensure the liquidity of the products on NYSE Euronext Paris, Deutsche Boerse (Xetra) and the London Stock Exchange, assuming normal market conditions and normally functioning computer systems. Units of a specific UCITS ETF managed by an asset manager and purchased on the secondary market cannot usually be sold directly back to the asset manager itself. Investors must buy and sell units on a secondary market with the assistance of an intermediary (e.g. a stockbroker) and may incur fees for doing so. In addition, investors may pay more than the current net asset value when buying units and may receive less than the current net asset value when selling them. Updated composition of the product s investment portfolio is available on www. lyxoretf.com. In addition, the indicative net asset value is published on the Reuters and Bloomberg pages of the product, and might also be mentioned on the websites of the stock exchanges where the product is listed. Prior to investing in the product, investors should seek independent financial, tax, accounting and legal advice. It is each investor s responsibility to ascertain that it is authorised to subscribe, or invest into this product. This document together with the prospectus and/or more generally any information or documents with respect to or in connection with the Fund does not constitute an offer for sale or solicitation of an offer for sale in any jurisdiction (i) in which such offer or solicitation is not authorized, (ii) in which the person making such offer or solicitation is not qualified to do so, or (iii) to any person to whom it is unlawful to make such offer or solicitation. In addition, the shares are not registered under the U.S Securities Act of 1933 and may not be directly or indirectly offered or sold in the United States (including its territories or possessions) or to or for the benefit of a U.S Person (being a United State Person within the meaning of Regulation S under the Securities Act of 1933 of the United States, as amended, and/or any person not included in the definition of Non-United States Person within the meaning of Section 4.7 (a) (1) (iv) of the rules of the U.S. Commodity Futures Trading Commission.). No U.S federal or state securities commission has reviewed or approved this document and more generally any documents with respect to or in connection with the fund. Any representation to the contrary is a criminal offence. This document is of a commercial nature and not of a regulatory nature. This document does not constitute an offer, or an invitation to make an offer, from Société Générale, Lyxor Asset Management (together with its affiliates, Lyxor AM) or any of their respective subsidiaries to purchase or sell the product referred to herein. These funds include a risk of capital loss. The redemption value of this fund may be less than the amount initially invested. The value of this fund can go down as well as up and the return upon the investment will therefore necessarily be variable. In a worst case scenario, investors could sustain the loss of their entire investment. This document is confidential and may be neither communicated to any third party (with the exception of external advisors on the condition that they themselves respect this confidentiality undertaking) nor copied in whole or in part, without the prior written consent of Lyxor AM or Société Générale. The obtaining of the tax advantages or treatments defined in this document (as the case may be) depends on each investor s particular tax status, the jurisdiction from which it invests as well as applicable laws. This tax treatment can be modified at any time. We recommend to investors who wish to obtain further information on their tax status that they seek assistance from their tax advisor. The attention of the investor is drawn to the fact that the net asset value stated in this document (as the case may be) cannot be used as a basis for subscriptions and/or redemptions. The market information displayed in this document is based on data at a given moment and may change from time to time. Authorizations: Lyxor International Asset Management (Lyxor AM) is a French management company authorized by the Autorité des marchés financiers and placed under the regulations of the UCITS (2009/65/EC) and AIFM (2011/61/EU) Directives. Société Générale is a French credit institution (bank) authorised by the Autorité de contrôle prudentiel et de résolution (the French Prudential Control Authority. 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.