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21 May 2018

Despite suggestions active managers were going to enjoy the new higher volatility regime this year, the signs are alpha generation has already deteriorated. So what’s next? Marlene Hassine Konqui, Head of ETF Research, and Jean Baptiste Berthon, Senior Cross Asset Strategist, tell us more.


Jean Baptiste  Berthon 

The information advantage wanes

Since the February correction, stocks in all regions have strated moving more in sync as investors focused on trade and geopolitical concerns, a potential peak in the economic cycle and worries about the pace of reforms in Europe and Japan. As a result, company fundamentals and the information advantage became less central to returns.

As well as increasingly moving in the same direction at the same time, stock dispersion – a measure of the difference between individual stock and index returns - is also narrowing, again hampering active managers. The exceptions are the emerging markets, where elevated commodity prices, a healthier economic pulse and relatively easy financial conditions should still support alpha generators.


So what does this mean for your portfolio?

When it comes to choosing the right investment vehicle for a given market, we believe the optimal portfolio would currently look like this: 

How to blend active and passive funds over the next few months 

US Europe Japan Emerging markets
Beta ++ ++ ++ --
Sector/Countries  + +
Themes + +

Smart beta + + +
Alpha  -- -- -- ++

+ Overweight 

- Underweight


The world of alpha today



Europe: Q1 outperformers = 58%

Europe is at an earlier stage in the cycle, so a wide range of stocks still offer upside potential given  greater capex, operational leverage and other catalysts – especially if politics don’t prove as problematic as feared. Theoretically then, alpha conditions are favourable. For now though, the political backdrop is deterring investors (as it impedes reform) as are euro appreciation and peaking economic growth. The latest earnings season was decent, but unimpressive. 

Verdict: MISS - We’re not sure alpha potential will be realised as we move into the summer months 



US block


US: Q1 outperformers = 19%

As it did in the rest of the world, February’s correction spurred a recorrelation across US stocks and sectors. We believe it could last. Meanwhile, a transitory rise in dispersion will not create meaningfully higher alpha generation potential. However, there could be some opportunity among stocks sensitive to strong themes including tax reform, wage growth or the energy revival. Earnings results have been robust, yet investors appear to be focusing more on warning signs of a possible peak in earnings – to the extent that positive surprises have been shrugged off and disappointments dealt with more severely. Returns following earnings announcements were primarily driven by sector and broader market moves rather than company idiosyncrasies.

Verdict: MISS - Alpha conditions are no better than they were in Q1

Reduce Cost Beta Theme Smart Beta
Core Morningstar US LCUS S&P 500 SP5 Infrastructure BUIL Min Var MVAU
    Small Cap RU2K  


Japan block


Japan: Q1 outperformers = 33%

Conditions for alpha generators in Japan are similar to those in Europe. The potential appears significant with a number of themes at play including tax reform, the implementation of Abe’s “third arrow” (reforming corporate governance structures) and greater spending on defence. Yet, political risks are catching up with the leadership, which could make the implementation of reforms and constitutional changes more challenging. Broader market sentiment and yen gyrations will continue to dominate in our view.

Verdict: MISS – Potential also disguises reality in Japan. We expect little improvement as we move into the summer 

Reduce Cost Beta Smart Beta
Core MSCI Japan LCUJ Topix 100 JPN Nikkei 400 JPX4 


EM block


Emerging: Q1 outperformers = 33%

It’s true monetary normalisation and peaking economic growth in the developed world is weakening some of the external support for EM markets but various local factors are beginning to prompt greater divergence between stocks and augment existing alpha potential. Equity correlations are also substantially lower. Right now, slowdown in China, trade concerns and tech are central to the prospects for Asian countries and their companies. Meanwhile, elections in Venezuela, Brazil and Mexico, and progress in NAFTA talks should drive Latin American markets. The situation in the Middle East, any renewal of the standoff between the US and Russia and the pace of European growth will dominate in EMEA.


Verdict: HIT – The alpha environment is improving in emerging markets



Sources: Bloomberg, Lyxor ETF and Cross Asset Research teams as at end April 2018. Past performance is no guide to future returns. This also applies to historical market data


Risk Warning


All views and opinions: Lyxor & SG Cross Asset & ETF Research teams as at 3 May 2018 unless otherwise stated. Past performance is no guide to future returns.

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 (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).

The products mentioned are the object of market-making contracts, the purpose of which is to ensure the liquidity of the products on 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 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.

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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

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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