Lyxor ETF trading characteristics

Since October 2006, Lyxor AM has listed six ETFs in Singapore Exchange (SGX). Four of them are single country ETFs; only two of them track broad based asset classes and are of my interest: Lyxor ETF MSCI AC Asia-Pacific Ex Japan (Symbol: AEJ, ER: 0.65%) and Lyxor ETF Commodities CRB (Symbol: CRB, ER: 0.65%).

To understand their trading characteristics, such as bid/ask spread, premium/discount spread and volume, I recorded their price, volume and NAV over 23 days in from March to April. Below are the results over the observed period.

Lyxor ETF MSCI AC Asia-Pacific Ex Japan (AEJ)

AEJ Trading Information Table (click to enlarge)
AEJ trading info

AEJ Premium/Discount Chart (click to enlarge)
AEJ premium/discount chart

Bid/ask spread

  • 2 cents or 0.47% most of the time

Average volume

  • about 1200 shares

Premium/discount

  • # of Days between -0.25% & +0.25% = 6
  • % of Days between -0.25% & +0.25% = 26%
  • # of Days between -0.5% & +0.5% = 8
  • % of Days between -0.5% & +0.5% = 35%

From the above trading characteristics, this ETF has narrow and consistent bid/ask spread but low volume. Most of the time it is traded at premium, with only 28% of days traded between -0.25% & +0.25%.

Another characteristic that I have observed is the market maker usually puts a 16000-share buy order at the current indicative NAV, which is available from the ETF website, and puts a 14000-share sell order at 2 cents above the current indicative NAV. If you are able to buy at the market maker’s buy price, you will be likely to buy at the NAV.

Lyxor ETF Commodities CRB (CRB)

CRB Trading Information Table (click to enlarge)
CRB trading info

CRB Premium/Discount Chart (click to enlarge)
CRB premium/discount chart

Bid/ask spread

  • 4 cents or 1.36% most of the time

Average volume

  • about 1700 shares

Premium/discount

  • # of Days between -0.25% & +0.25% = 7
  • % of Days between -0.25% & +0.25% = 30%
  • # of Days between -0.5% & +0.5% = 13
  • % of Days between -0.5% & +0.5% = 57%

From the above trading characteristics, the bid/ask spread is wide most of the time, at about 1.36% or 4 cents. The volume is also very low. Most of the time it is traded at premium, with only 30% of days traded between -0.25% & +0.25% but a good 57% of days traded between -0.50% & +0.50%.

I have also observed that the market maker usually puts a 30000-share buy order at 2 cents below the current indicative NAV, and puts a 20000-share sell order at 2 cents above the current indicative NAV. This explains the wide bid/ask spread.

Comments related to my asset allocation plan

Although the trading volume is low, the market maker’s sell volume for AEJ is more than enough to meet the amount that I would buy. And the bid/ask spread is also quite low. So it should not be difficulty for me to trade AEJ, except in selling very large volume of AEJ in urgent cases.

So far I have not bought AEJ because the portfolio allocation is still within the target allocation of my asset allocation plan. I am not buying CRB because I have dropped the asset class from my plan (see my previous post HERE).

Note: When calculating premium/discount and the closing price is zero, the mid point between bid price and ask price is used as the closing price.

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9 responses to “Lyxor ETF trading characteristics

  1. great research! keep it up. we need more information on locally avaliable ETFs. I suspect there are many ‘passive’ investors out there who will read this with interest.

  2. Thanks for you comment. I hope to write more.

  3. Thanks for your research. I am an investor from HK and has interests on ETFs.

    Recently Lyxor has just launched a series of ETFs in HK which are very attractive. However, those ETFs sales volumn are low and the spread is consistence. It is apparently market makers’ works.

    Your research helps a lot. Thank you very much.

    Mary

  4. Hi Mary, thanks for your comment.

    I am also attracted by Lyxor ETFs in HK. From what I observed, their volume and spread are similar to the Lyxor ETFs in Singapore. Please check back as I will write more about them.

  5. Dear Choozm,
    it is wonderful and careful research. But according to Lyxor, these ETFs got ‘parent’ funds traded for a longer time in the European home market of Lyxor.Do you find their values meaningful?

  6. Hi wutaichi,

    I tried to make sense from the spread and volume info of Lyxor ETFs in Europe, but as they are specific to the exchange (Europe) where they are traded, I could not find any use of them. Other information like management fee and the indices they track remain the same.

    One difference between Lyxor ETFs in SGX and HKEX is that in the prospectus of those ETFs in HKEX , it mentions the use of synthetic replication technique for tracking the index. This technique is not mentioned in the prospectus of SGX ETFs. I am not sure what is the significance of this difference.

  7. Thanks a lot, your info is most meticulous and helpful
    will have more discussion later.

  8. Hi, just wondering where do I find this Lyxor ETF MSCI AC Asia-Pacific Ex Japan (Symbol: AEJ, ER: 0.65%)?

    I checked SGX website where I think they list all ETFs, and it doesn’t show? http://stquote.sgx.com/live/st/STETFund.asp

    Newbie here looking to start investing soon in ETFs ala Bogle principles but hardly able to find any ETFs without currency exchange risk).

    Thanks for sharing on your blog!

  9. Hi quarian,

    You can find the above ETF at: http://www.lyxoretf.com.sg

    Or SGX website: http://www.sgx.com/etf , which also lists other ETFs in SGX.

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