do well by doing good - lyxor etf uk - lyxor...our belief you can do well by doing good drove us to...

This document is for the exclusive us 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 2014/65/EU.

Lyxor’s ESG ETFsDriving change since 2007

Do well by doing good

Embrace ESG September 2019

Champions of change

Leaders, not followers 3

Discovering a new world 4

Investing for good 5

Lyxor’s ESG difference makers 6

The Lyxor ESG range 8

Our ESG Leaders 12

Investing in ESG standard setters 13

Lyxor's Corporate Bond ETFs 14

Measured and monitored 15

We are curious explorers 16

Our product range 17

Knowing your risk 18

Lyxor ETF | ESG ETFs

At Lyxor, we believe in making investments affordable and available to everyone, from large institutions right down to individual investors. We also believe investing can have a positive impact on the world around us, helping to channel funds to the areas that deserve it most.

Exchange Traded Funds are the great democratiser, offering a straightforward and transparent way to invest, with affordable fees. As such, they are a perfect match for Environmental, Social and Governance (ESG) investing.

ESG ETFs open up investment themes that were once out of bounds to all but the biggest of investors. As you’d expect from a true trailblazer, we’re championing change.

Breaking new groundOur belief you can do well by doing good drove us to become one of the very first providers to offer what would now be considered an ESG ETF. Since then we’ve added more difference makers to our range and are now the first provider with an offering contributing to four of the UN’s Sustainable Development Goals1.

We won’t stop there, because we know there’s more we can do. Our ESG teams are constantly working with the industry’s leading experts to create investments capable of making a tangible and lasting impact.

Leaders, not followers

This way nowWe launched our first ESG based ETF in 2007 and it has grown to become one of the biggest water ETFs in Europe2. So instead of responding to the market and offering ESG investments based only on demand, we’re waving a flag for responsible investing and educating investors about its benefits. Not just in terms of impact, but also growth and risk.

Because this is about more than philanthropy; it’s about making a difference through direct action, while still providing demonstrable returns.

We’re leaders, not followers, waving a flag for responsible investing and educating investors about its benefits.

1Gender Equality, Glean Water and Sanitation, Affordable and Clean Energy, and Climate Action. 2Source: Lyxor International Asset Management, based on assets under management. Data as at 25/09/2019.

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Discovering a new worldBack in 2007, we launched ETFs investing in companies from the water sector and clean energy. The funds were designed to capture the growth we foresaw in these areas. They also align with UN goals of Clean Water and Sanitation, and Affordable and Clean Energy.

We were leading the way in ESG investing before it was even a concept. These funds have since channeled over €730m towards companies who lead the way in these two fields.1

Be the differenceSince those early days, we have gone on to develop two other ETFs focused on UN goals, our Green Bonds ETF and our Gender Equality ETF – bringing you even more choice as to how you make your specific impact. ETFs are the ideal way to make a difference because they offer more scalability, more liquidity and greater transparency than most investments. With an ETF, you’ll always know your fund is investing your money in exactly the way you want it to.

As for the argument passive funds can’t be active when it comes to corporate governance, here at Lyxor we are proving that the opposite is the case…

Holding companies to accountWe started voting actively in 2015 on issues including board composition, remuneration and social/environmental shareholder proposals. We work in tandem with Institutional Shareholder Services, one of the world’s largest proxy organisations, to make our voice heard more often than we otherwise could. They provide customised recommendations on how we should vote, based on our voting policy, but the final decision always rests with us. In 2018, we voted on more than 2,600 resolutions affecting the management of 200 companies – all of which are either French or European.2

From the AUM perspective, we voted on €13.8bn of equity positions. We cast negative votes in 22% of resolutions, and voted “Against” at least once in 77% of the general meetings we’ve attended2. Our corporate activism will only grow from here.

Put simply, passive managers don’t have to be passive. We use indices that make positive and active choices in investment. For instance, in some of our broader exposures, we don’t simply invest in companies that are best in class in terms of ESG rating, but also in companies that are making the strongest efforts to drive improvement.

1Source: Lyxor International Asset Management, as of 23/09/2019, as measured by total assets under management in the Lyxor World Water UCITS ETF and the Lyxor New Energy UCITS ETF.2Source: Lyxor International Asset Management, as of 31/12/2018.


Investing for goodOur ESG investment platform is founded on two main pillars. The first is made up of four powerful thematic funds. This pillar suits investors seeking to make a tangible and targeted investment with a specific impact in mind.

A team effortAcross each of our funds we seek to identify and then work with acknowledged experts in their field.

Our water fund was designed in partnership with RobecoSAM an investment specialist focused exclusively on sustainability investing. The fund focuses on on companies involved in water utilities, infrastructure and treatment, while creating value for investors.

For new energy, also a RobecoSAM collaboration, we focus on global alternative energy companies, particularly those with the largest share of their own revenues in distributed energy, renewable energy and energy efficiency.

For our green bonds ETFs, we are working with the Climate Bonds Initiative (CBI), a non-governmental organisation promoting standards for a low carbon and climate-resilient economy. Every month, the CBI’s experts select the green bonds that are eligible for index inclusion, under their rigorous selection standards.

We chose to work with independent gender equality research organisation Equileap for our gender equality fund. Equileap have developed a comprehensive database analysing social reports and asking companies of $2bn market capitalisation or more a range of in-depth questions to assess their commitment to gender equality.

Do somethingThe second pillar is made up of broader ESG champions. They enable investors to redeploy their core equity allocation into equivalent allocations with a much better ESG rating in order to have a more positive overall impact. This pillar is perhaps more suited to those people simply wanting to “do something”.

For these ESG Leaders, we work with MSCI, one of the world’s leading providers of research-driven insights and tools for institutional investors.

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We are the only ETF provider offering four impactful funds contributing to the Sustainable Development Goals of the UN.

Lyxor’s ESG difference makers


Turn the tide on water scarcity

The scarcity of good, clean water is one of the greatest challenges of our age.

We believe investing in the world’s leading water-related utilities, infrastructure and treatment companies can turn the tide, which is why we launched our World Water ETF – one of the largest of its kind in Europe.*

Lyxor World Water UCITS ETF

Water sector focusedGlobal companies deriving most of their revenue from water activities

Fast growingOver 320% growth in AUM over the past 5 years*

LargeOne of the largest water ETFs in Europe with over €615m in AUM*

AccomplishedNearly 12 years of track record*

*Source: Lyxor International Asset Management, 23/09/2019.


Build a cleaner future

The world’s natural resources are finite and declining, but the power of the natural world is still largely untapped.

We believe investing in companies committed to and involved in alternative energy, including distributed, renewable and efficient energy, can build a cleaner future, which is why we launched our New Energy ETF in 2007.

Lyxor New Energy UCITS ETF

Clean energy focusedGlobal companies involved in alternative energy activities

TargetedHigh revenue threshold for pure sector exposure

DiversifiedActivities spread across distributed energy, renewable, and energy efficiency

*Source: Lyxor International Asset Management, as at 23/09/2019.

AccomplishedAlmost 12 years' track record with €115m in assets*

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Improve the environment

Climate change is having a profound effect on the world around us.

We believe investing can help improve the environment, which is why we launched our Green Bond ETF – the first ever of its kind.

We also launched a variant of the fund with an issuer-level ESG screen which excludes companies involved in fossil fuel and nuclear power, controversial businesses or in violation of the UN Global Compact.

Both our ETFs only ever invest in global investment-grade green bonds independently approved by the Climate Bonds Initiative. The proceeds of these bonds are specifically earmarked to finance environmentally beneficial projects only.


Lyxor Green Bond (DR) UCITS ETF

PureCBI-approved greenbonds only

Greenfin labelAwarded French Label for Energy and Ecological Transition

FirstThe first green bond ETF in the world, with €125m in assets*

GreenImplement a low carbon transition policy, with or without ESG screen


Redress the balance

Promoting gender equality doesn’t just make for a fairer world, it can also help to reduce poverty and support long-term economic growth. Yet the dream remains distant.

We believe investing in the companies taking a stand for women in the workforce could help to redress the balance, which is why we launched our Gender Equality ETF – the first of its kind in Europe. It tracks an index of companies identified by Equileap as those at the forefront of change in the areas of gender balance in leadership and workforce, equal compensation and work life balance, internal policies, and transparency and accountability.

FirstThe first gender equality ETF in Europe*

PerformanceGender diverse companies have outperformed their peers**

EmpowermentTake a stand for gender equality

ImpactfulContribute to the Equileap Foundation with our ETF***

*Source: Lyxor International Asset Management, 23/09/2019. ** Source: McKinsey report 'Delivering through Diversity', January 2018. Performance based on profitability (average EBIT margin).***Equileap receives 25% of the management fees received from investors in the Lyxor Global Gender Equality (DR) UCITS ETF. Any profits from the licensing of Equileap’s data to Lyxor’s chosen index provider (Solactive) go to the Equileap Foundation, helping women and girls in developing countries.

Lyxor Global Gender Equality (DR) UCITS ETF

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Rather than striving to achieve a specific impact, our broad ESG Leaders range could appeal to those investors simply trying to “do something” with their money by making a broader, positive contribution to society.

Our ESG Leaders


We have partnered with MSCI, a leading expert in ESG data and scoring, to help identify those companies with a robust ESG profile today, as well as a demonstrated capacity to improve it.

MSCI has 40+ years' experience collecting, cleaning and standardising data on ESG policies, programmes and performance. Using over 1,000 data points from a wide range of public sources, MSCI’s dedicated team of 185+ ESG analysts covers approximately 6,500 companies, giving each their own rating.*

Using this data, MSCI have built ESG Leaders indices that focus purely on the best-in-class ESG stocks. This approach gives bigger index weights to those companies with the highest ESG scores. The Trend Leader indices go a step further by also taking into account the evolution of that rating over time. In this way, the leaders who have improved their score are rewarded, while those who have not are penalised.

We know investors are concerned about the kinds of companies they hold in their portfolio, so these indices exclude companies involved in activities with a high potential for negative social and/or environmental impact, including Alcohol, Tobacco, Gambling, Nuclear power and weapons manufacturers. They also exclude companies embroiled in severe controversies.

Investing in ESG standard setters

Far reaching 5 exposures with over €700m in assets**

DependableStock selection based on MSCI’s 40+ years of ESG expertise

*Source: MSCI ESG Research as of November 2018. Includes full time employees and allocated staff performing non-investment advisory tasks. **Source: Lyxor International Asset Management, as at 23/09/2019.

UniqueFirst ESG ETFs in the market to include ESG trend scores**

Representative Limited tracking error vs. the parent index

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Screen your corporate bonds

We’ve worked hard to get our investors ahead of the sustainability curve with regards to someof our investment grade corporate bond ETFs.We partnered with index provider Bloomberg Barclays, a leader in fixed income benchmarks,for these exposures.

The underlying indices take into account ESG criteria, ensuring only issuers with an MSCI ESG Rating of BBB or higher are included, with negative screens for those involved in certain business activities (e.g. weapons, alcohol, tobacco…) and for companies with a “red” MSCI ESG Controversy Score.


Lyxor's Corporate Bond ETFs

Far reachingEUR and USD IG corporate bonds and floating rate notes

SustainableMSCI ESG criteria for a sustainable credit exposure

DependableExclusions based on norms, businesses and controversies

AccomplishedOver 10 years’ experience with €2.3bn in assets*


Measured and monitoredWe measure the progress of each of our ESG funds, working closely with our partners to understand how the investment is evolving. During the regular fund rebalancing process, we also take great care to ensure liquidity criteria are met.

We don’t just believe in these funds, we believe in being transparent about the impact all of our ETFs have on the world around us, including our traditional exposures.

That’s why we’ve launched powerful reporting tools monitoring sustainability criteria on each of our products. We're able to update investors on a monthly basis on a wide range of ESG metrics, for instance a fund’s carbon footprint or exposure to fossil fuels and green technologies.

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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 18 years of commitment to performance, risk control, liquidity and transparency, it’s no surprise Lyxor ranks third in Europe with €62.3bn 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 220 products spanning all asset classes, geographies, sectors and types, our investors enjoy the freedom to choose precisely where and how they want to invest.

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.

We are curious explorers

CommittedWe have been a signatory of the Principles for Responsible Investment (PRI) since December 2014

ActiveWe vote frequently on issues including corporate governance and engage in direct dialogue with companies

Why Lyxor for ESG?

UniqueWe are the only provider in Europe offering ETFs contributing to four of the UN's SDGs

TransparentWe publish the estimated carbon footprint of all our equity ETFs on our website


*Source: Lyxor International Asset Management, as at 24/09/2019.**Source: Lyxor International Asset Management, Bloomberg. Based on average daily volume. Data period from 31/08/2018 to 31/08/2019.

ETF Name Asset Class Exposure AuM TER

Impact Funds

Lyxor Green Bond (DR) UCITS ETF Fixed income Global €125m 0.25%

Lyxor Green Bond ESG Screened (DR) UCITS ETF Fixed income Global €4m 0.25%

Lyxor New Energy UCITS ETF Equities Global €115m 0.60%

Lyxor World Water UCITS ETF Equities Global €619m 0.60%

Lyxor Global Gender Equality (DR) UCITS ETF Equities Global €15m 0.20%

ESG Leaders and Trend Leaders

Lyxor MSCI Europe ESG Leaders (DR) UCITS ETF Equities Europe €639m 0.20%

Lyxor MSCI EM ESG Trend Leaders UCITS ETF EquitiesEmerging markets

€27m 0.30%

Lyxor MSCI World ESG Trend Leaders (DR) UCITS ETF Equities Global €14m 0.30%

Lyxor MSCI EMU ESG Trend Leaders (DR) UCITS ETF Equities EMU €7m 0.20%

Lyxor MSCI USA ESG Trend Leaders (DR) UCITS ETF Equities US €21m 0.25%

SRI Investment Grade Corporate Bonds

Lyxor Euro Corporate Bond UCITS ETF Fixed income EUR credit €782m 0.20%

Lyxor Euro Corporate Bond Ex Financials UCITS ETF Fixed income EUR credit €158m 0.20%

Lyxor USD Corporate Bond UCITS ETF Fixed income USD credit €153m 0.09%*

Lyxor Euro Floating Rate Note UCITS ETF Fixed income EUR FRNs €1,070m 0.15%

Lyxor $ Floating Rate Note UCITS ETF Fixed income USD FRNs €153m 0.10%

Source: Lyxor International Asset Management, as at 24/09/2019. TERs correct as at 24/09/2019.*The Lyxor USD Corporate Bonds UCITS ETF has benefited from a discounted TER of 0.09% compared to the maximum of 0.15% stated in the fund prospectus. It will continue to benefit from this discount until September 2020, at which point the TER will change from 0.09% to 0.14%.

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Our product range

Knowing your risk It is important for potential investors to evaluate the general risks described below and in the fund prospectus on our website www.lyxoretf.com

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 riskThe 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 riskWith synthetic ETFs, 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 if they use a securities lending programme.

Concentration riskSmart 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.

Underlying riskThe Underlying index of a Lyxor ETF may be complex and volatile. For example, 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 riskETFs 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 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 2014/65/EU.

Except for the United Kingdom, where the 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 435658, this document is issued by Lyxor International Asset Management (LIAM), a French management company authorized by the Autorité des marchés financiers and placed under the regulations of the UCITS (2014/91/EU) 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).

Some of the funds described in this brochure are investment companies with Variable Capital (SICAV) incorporated under Luxembourg Law, listed on the official list of Undertakings for Collective Investment, authorised 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).

These funds are sub-fund of either Multi Units Luxembourg or Lyxor Index Fund and have been approved by the CSSF.

Alternatively, some of the funds described in this document are sub-funds of Multi Units France a French SICAV 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 (www.amf-france.org). 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 avilable free of charge on lyxoretf.com or upon request to [email protected]

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 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.

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