Analyse: Source Nomura Voltage Mid-Term ETF

Dieser Volatilitäts-ETF folgt dem VIX-Index und kann als Absicherung gegen fallende Kurse eingesetzt werden.

Lee Davidson 07.12.2012
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The Source Nomura Voltage Mid-Term ETF provides investors with nuanced exposure to the expected future volatility of the S&P 500 index as measured by the VIX index. Sophisticated investors with medium- to long-term investment horizons could use this fund to partially hedge their portfolios against future declines in the S&P 500, but must first understand the mechanics of this exotic exposure. 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 moniker 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. This relationship between volatility and share prices can make vehicles that follow the VIX good diversifiers for equity-based portfolios. Some assets, like commodities and government bonds, show near-zero correlations to stocks, but volatility has a strong negative correlation with stock prices. Unfortunately, volatility is also a strongly mean-reverting, and as such will theoretically produce zero long-term return.

This offering from Source differentiates itself among other VIX products by tracking the Nomura Voltage Strategy Mid-Term index. The product attempts to capture spikes in volatility, while mitigating the cost of holding a long-volatility position through VIX futures. In order to achieve this objective, Nomura provides volatility adjusted exposure to the S&P 500 VIX Mid-Term Futures Index, allocating between 0% to 100% of the fund to this index and the remainder to a 3 month US Treasury Bill rate. Rebalancing happens daily and is triggered when the volatility of the S&P 500 VIX Mid-Term Futures index changes relative to the previous 30 days. If volatility of the VIX rises above the trailing 30-day average, then the ETF rebalances to hold obtain greater VIX exposure. In general, this means that the higher the volatility of the VIX, the higher the allocation to the VIX. The rationale is that greater price swings in the VIX index tend to precipitate spikes in the VIX index. Investors should note that Source charges investors 0.075% per rebalance and that rebalancing can be conducted as frequently as daily, potentially creating a hefty drag on returns.

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Über den Autor

Lee Davidson  is an ETF analyst with Morningstar Europe.

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