Update: Source Nomura Voltage Mid-Term UCITS ETF

Dieser ETF bildet die Volatilität des S&P 500 Index ab und schützt so Aktienportfolios in turbulenten Zeiten. Aufgrund seiner Komplexität eignet sich dieser ETF allerdings nur für sehr erfahrene Investoren.

Kenneth Lamont 31.10.2014

Rolle im Portfolio 

The Source Nomura Voltage Mid-Term UCITS ETF provides investors with nuanced exposure to the expected future volatility of the S&P 500 index as measured by the VIX index.

This fund is most suitable for sophisticated investors who fully understand the unorthodox nature of the underlying exposure and wish to partially hedge their portfolios against future declines in the S&P 500 index. Stock market volatility tends to spike in the face of declining share prices. Expected volatility, thus, serves as a proxy for market uncertainty, affording the VIX Index the sobriquet of "The Fear Index". When investors are fearful and uncertain, they will demand higher expected returns and thus pay less for assets in the present.

In addition to being effective speculative tools allowing bearish investors to bet on short-term declines in the US stock market,vehicles that follow the VIX tend to make theoretically good diversifiers for equity-based portfolios due to the negative relationship between volatility and share prices. Unfortunately, volatility is strongly mean-reverting, and as such will theoretically produce zero long-term return. If we include the significant re-balancing, management and indexing costs associated with this product, its long-term expected returns are likely to be negative. Therefore this product is best deployed as a portfolio hedge over relatively short periods of time.

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Über den Autor

Kenneth Lamont  ist Fondsanalyst bei Morningstar.

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