LSE: Source expands its range of volatility products

Source, announces the launch of the Source J.P. Morgan Macro Hedge Dual Vega Target 4% TR UCITS ETF. The ETF aims to provide cost-effective exposure to volatility and is designed for sophisticated investors. It is the third ETF in the J.P. Morgan Macro Hedge series…..

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Ted Hood – Source CEO

Volatility is an attractive hedge in times of macro-economic stress – it tends to spike when equities and other risky assets crash. However, volatility exposure can be costly over the long term. J.P. Morgan’s Macro Hedge indices aim to capture spikes in volatility and, when markets are calmer, to generate a positive return.

The J.P. Morgan Macro Hedge Dual Vega Target 4% TR Index takes exposure to US equity volatility, switching from long to long/short exposure depending on market conditions. During times of market stress, it adds long exposure to European equity volatility. The index also uses a “vega target” mechanism, adjusting its leverage between 0% and 100% depending on the absolute level of volatility. “This is a new feature for the J.P. Morgan Macro Hedge index series,” says Rui Fernandes, Head of Equity and Funds Derivatives Structuring at J.P. Morgan. “Investors need a hedging instrument that will capture the big spikes in volatility but doesn’t see large gains and losses when market conditions are more normal. By reducing exposure in these circumstances, we aim to generate more stable performance.”

Source: ETFWorld.co.uk