In 1938, Tudor had a spat with Rambert and left her company to form his own troupe, which he dubbed the London Ballet. Lloyd was one of the Rambert dancers who became founding members of this newly formed company. For it, she created two more memorable roles. As the Italian ballerina in Tudor's "Gala Performance", she displayed both elegance and wit in competing for the limelight with her French and Russian rivals, and in Howard's "La Fête Étrange", a haunting, dreamlike tale, she was mysteriously beautiful as the bride-to-be who captures the fancy of an adolescent boy. (The Boy was played by the young Frank Staff, a fellow South African and former student of Lloyd's in Cape Town.) After the outbreak of war with Germany in September 1939, and Tudor's departure for greener, and safer, pastures in America, Lloyd and Peggy van Praagh directed and danced in the company until the blitz caused nearly all the London theaters to close. When the London Ballet folded and was absorbed back into Ballet Rambert in 1940, Lloyd retired from the stage.