Source launches European ETF on S&P 500 VIX futures index
Source has launched the S&P 500 VIX Futures ETF, the first volatility-linked exchange-traded fund in Europe to track the S&P 500 VIX Short-Term Futures Total Return index.
The fund and has a 0.60 per cent per annum management fee.
The fund was created by Source and Nomura and offers liquid exposure via VIX futures.
The CBOE Volatility Index, known as the VIX, is a widely used measure of implied volatility and is seen as a barometer for market uncertainty. However, the VIX is not easily investable.
The S&P 500 VIX Futures Source ETF tracks the S&P 500 VIX Short-Term Futures Total Return index, an investable index that reflects the return from rolling short-term VIX futures contracts.
Although the performance of the index differs from the VIX, it has historically shown high correlation with the VIX and high negative correlation with the S&P 500 index.
Until now, European investors have been limited to trading individual VIX futures contracts or gaining exposure via structured notes.
The S&P 500 VIX Futures Source ETF is a Ucits III compliant fund, is listed on the London Stock Exchange and trades in US dollars.
Ted Hood, chief executive of Source, says: “The past few years have taught us that sudden, large movements in the markets can never be discounted. We are delighted to be offering this tactical tool to European investors that can be used to take an outright view on implied volatility or for hedging against worst-case market scenarios.”
Mohamed Yangui, managing director, head of product development and structuring group at Nomura, adds: “As one of Source’s strategic partners, we are confident that this new generation of Ucits compliant volatility instruments will establish itself amongst European investors as one of the preferred solutions due to its liquidity, transparency and the potential for exposure mitigation.”
The addition of this new ETF brings Source’s product range to 77 across equity and commodity segments of the market.
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