ETF tracks volatility of US blue chips……
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An additional index fund issued by Source has been tradable on Xetra since Thursday. It is the first Euro-traded ETF to enable investors to invest in the volatility of American blue chips.
ETF name: Nomura Voltage Mid-Term Source ETF
Asset class: volatility
ISIN: DE000A1JQQZ6
Total expense ratio: 0.30 percent
Distribution policy: non-distributing
Benchmark: Nomura Strategy Mid-Term 30 day USD Total Return Index
The Nomura Voltage Mid-Term Source ETF provides investors with the first opportunity to participate in the performance of the Nomura Strategy Mid-Term 30 day USD Total Return Index. The index offers a volatility-adjusted investment in the S&P 500 VIX Mid-Term Futures Index in which roll losses are minimised. Roll losses can arise through the sale of maturing futures and acquisition of longer dated contracts at higher prices to replace them.
The index is composed of the S&P 500 VIX Mid-Term Futures Index and US treasury bonds with three-month maturities. The weighting of the S&P 500 VIX Mid-Term Futures Index fluctuates between zero and 100% depending on its own volatility – the higher the volatility in relation to the past 30 days, the greater the weighting. This approach aims to make use of volatility spikes and to reduce the costs of a permanent long position at the same time.
The product offering in Deutsche Börse’s XTF segment currently comprises a total of 900 exchange-listed index funds, while the average monthly trading volume stands at €16 billion.
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