J.P. Morgan and Source offer a new kind of volatility exposure

The ETF aims to provide cost‐effective, long‐term exposure to volatility, via a systematic strategy developed by J.P. Morgan. It is designed for sophisticated investors to either use as a hedging tool or as a way to take stand‐alone volatility exposure.

Volatility as an asset class continues to attract attention: since volatility tends to spike when equity markets crash, it is seen as a potential hedge to long equity positions. However, using volatility as a hedge can be very costly. In normal market conditions, a long volatilità investment will typically lose value. J.P. Morgan’s Macro Hedge family of indices take an innovative two‐pronged approach: in times of market stress, they aim to capture spikes in volatility; in normal market conditions, they aim to generate a positive return.

“Our Macro Hedge Indices combine long volatility exposure with a transparent source of absolute return” says Rui Fernandes, Head of Equity and Funds Derivatives Structuring at J.P. Morgan. “With more than a year of live track record and significant client investments in note and derivative format, the Macro Hedge family of indices has proven able to provide a robust tail hedge through equity market sell‐offs, while mitigating the usual negative carry associated with traditional outright long volatility instruments.” The new J.P. Morgan Macro Hedge US TR Index, part of the popular Macro Hedge family, takes both long and short exposure to futures on US equity volatility, switching from long to long/short depending on market conditions.

This innovative index is now available to sophisticated investors via a Source ETF. Commenting on the launch, Source CEO Ted Hood said, “Source continues to deliver cuttingedge content alongside our standard benchmark products. We believe that our ETF structure – with its operational convenience and its robust management of counterparty risk – offers a clear advantage over an OTC transaction, even for the most sophisticated investors.” Hood also noted the interest in volatility as a tradable asset class. “We see escalating interest in volatility in today’s markets”, he said, “but the challenge is always the high cost, which makes this product particularly interesting.”

The J.P. Morgan Macro Hedge US TR Source ETF is listed on the London Stock Exchange and trade in USD. It is registered for sale in Austria, Finland, France, Germany, Ireland, Italy (for institutional investors only), Luxembourg, the Netherlands, Norway, Sweden and the UK.

Product Name: J.P Morgan Macro Hedge US TR Source ETF

ISIN: IE00B3P1F038

Bloomberg Ticker : MHUU LN

Base/trading currency USD / USD

Management fee 0.25% per annum*

Listing :London Stock Exchange

Benchmark : J.P. Morgan Macro Hedge US TR Index

Benchmark Bloomberg Ticker : JPMZMHUT Index

UCITS eligible: Yes

Domicile : Ireland

* An index cost of 0.75% per annum and certain notional rebalancing costs are included in the calculation of the Benchmark