ETF tracks actively managed portfolio of implied volatility and money market ..
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A new active ETF from the issuer Lyxor Asset Management has been tradable in Deutsche Börse’s XTF segment since Thursday.
Name: Lyxor ETF Unleveraged S&P 500 VIX Futures Enhanced Roll
Asset class: volatility
ISIN: FR0011376565
Total expense ratio: 0.40 percent
Distribution policy: non-distributing
Benchmark: Portfolio of S&P 500 VIX Futures Enhanced Roll Index and the US money market
The Lyxor ETF Unleveraged S&P 500 VIX Futures Enhanced Roll tracks a portfolio consisting of the implied volatility of the stocks in the S&P 500 using VIX futures contracts with varying maturities and a deposit earning the federal funds effective rate. The effective federal funds rate represents the weighted average interbank interest rate that federal funds actually trade at in a day. Depending on the expected volatility, the VIX portfolio component may range from 50 percent to 100 percent.
The product offering in Deutsche Börse’s XTF segment currently comprises a total of 1,020 exchange-listed index funds, making it the largest offering of all European stock exchanges. This selection, together with an average monthly trading volume of around €11 billion, makes Xetra Europe’s leading trading venue for ETFs.
Source: ETFWorld – Deutsche Boerse
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