The invention relates to a composite yarn including a filament yarn of an inorganic or organic material and a matrix of polymer material, the filament yarn being coated, extruded, or incorporated in the polymer material matrix. The matrix includes at least one foamed polymer. A composite yarn is characterized in that it has a core of an above-mentioned composite yarn and is coated, extruded or incorporated in a second polymer material matrix surrounding the core. Various methods may be used for producing the inventive yarns by coating and extrusion.