LVO

Lyxor S&P 500 VIX Futures Enhanced Roll UCITS ETF - Acc

Latest NAV
4.8272 EUR
Performance YTD

0.55%

Assets Under Management
99m EUR
TER
0.6%
ISIN
LU0832435464
Dividend Policy
Capitalisation
Investment Objective

The Lyxor S&P 500 VIX Futures Enhanced Roll UCITS ETF - Acc is a UCITS compliant exchange traded fund that aims to track the benchmark index S&P 500 VIX Futures Roll Enhanced TR. The S&P 500 VIX Futures Roll Enhanced TR dynamically switches between a short-term VIX futures portfolio and a mid-term VIX futures portfolio in order to model a cost efficient exposure to volatility in the broad equity market. The short-term VIX futures portfolio is represented by the S&P 500 VIX Short-Term Futures Index. The mid-term VIX futures portfolio models a daily rolling position in the third, fourth and fifth month VIX futures contracts. The allocation are evaluated daily, though changes in allocation may occur less frequently. The complete construction of the index is available on www.standardandpoors.com. Lyxor ETFs are efficient investment vehicles listed on exchange that offer transparent, liquid and low-cost exposure to the underlying benchmark index.

LVO

Lyxor S&P 500 VIX Futures Enhanced Roll UCITS ETF - Acc

PERFORMANCE

Performance history

Legend:

The figures relating to [past performances / simulated past performances / past performances and simulated past performances] refer or relate to past periods and are not a reliable indicator of future results. This also applies to historical market data.

Cumulative Performance

Product YTD 1M 3M 6M 1Y 3Y 5Y ALL
Lyxor S&P 500 VIX Futures Enhanced Roll UCITS ETF - Acc ETF 0.55% -6.48% -2.54% -26.29% 40.23% 14.2% -76.03% -91.32%
S&P 500 VIX Futures Roll Enhanced TR Benchmark Index 0.8% -6.34% -2.13% -25.65% 42.5% 18.64% -74.67% -90.57%
Data as of 24/02/2021, Source: Lyxor International Asset Management

Calendar Performance

Product 2020 2019 2018 2017
Lyxor S&P 500 VIX Futures Enhanced Roll UCITS ETF - Acc ETF 42.04% -34.7% 26.32% -63.76%
S&P 500 VIX Futures Roll Enhanced TR Benchmark Index 44.36% -33.82% 27.22% -63.44%
Data as of 24/02/2021, Source: Lyxor International Asset Management

NAV History

Date NAV Currency Fund AUM
24/02/2021 4.8272 EUR 99m EUR
23/02/2021 4.9643 EUR 99m EUR
22/02/2021 5.0702 EUR 99m EUR
19/02/2021 4.9788 EUR 85m EUR
18/02/2021 5.0641 EUR 85m EUR

Dividend History

This fund does not distribute any dividend.

HOLDINGS

This ETF uses synthetic replication to track the performance of the index. As such, the holdings of the ETF may vary from that of the benchmark index.
You can read more about our approach to replication in our pragmatic guide to replication.

No Record Found
Name Listing Currency Quantity Weight
Apple Inc USD 89,429 9.21%
Discovery Inc USD 245,796 8.88%
AMAZON.COM INC USD 2,857 7.47%
Anthem Inc USD 19,122 4.77%
MICROSOFT CORP USD 24,024 4.59%
ECOLAB INC USD 25,928 4.48%
FORTINET INC USD 30,718 4.24%
ALPHABET INC-CL C USD 2,374 4.02%
MORGAN STANLEY USD 59,382 3.77%
HOME DEPOT INC USD 15,733 3.44%
Swap Information
Basket Adjustment The basket is daily adjusted to the fund outstanding level.
Counterparty Risk Level N/A
Swap Counterparty Société Générale
Date 23/02/2021

1 week moving average of counterparty risk level

Counterparty risk level at daily adjustment time

Swap Price Component

Although past performance is no indicator of future performance, you can get an estimation of the swap price component over the last 12 months by adding the TER to the realized Tracking Difference. the price of being long the index and short the basket of securities held by the ETF (ie. the spread applicable to the index performance provided by the swap counterparty) can be understood as the swap price component. The latter can be positive or negative, depending on the following factors: Read more

Lyxor S&P 500 VIX Futures Enhanced Roll UCITS ETF - Acc

1Y Tracking Difference -2.28%
Total Expense Ratio +0.6%
Swap price component estimation =-1.68%

Index Information

Full Name S&P 500 VIX Futures Roll Enhanced TR
Index Type Performance
Index Bloomberg Ticker SPVIXETR
Index Currency USD
Number of Index Components 0
Further Information www.spindices.com

CHARACTERISTICS

Main Fund Characteristics

ISIN LU0832435464
UCITS Yes
Share Class Currency EUR
Assets Under Management 99.1m EUR
Total Expense Ratio 0.6%
Dividend Treatment Capitalisation
EU-SD Status Out of Scope
Fund Type SICAV
Domicile Luxembourg
Replication Method Indirect (Swap Based)
Umbrella AUM 38,983.2m EUR
Portfolio Managers Raphaël Dieterlen, Jean-Marc Guiot
Swap Counterparty Société Générale
Full Property of the Assets Yes
Financial Year End 31/12/2021
Inception Date 25/09/2012
Minimum Investment 1 Share

DISCLAIMER: This fund includes a risk of capital loss. Investors therefore may not recover all or part of their initial investment. The redemption value of this fund may be less than the amount initially invested. In a worst case scenario, investors could sustain the loss of their entire investment. Be sure to read carefully the Key Investor Information document, and the “risk factors” section of a fund’s performance to better understand the risks involved.

Trading Information

Exchange Ticker Bloomberg Listing Currency Currency Hedged Listing Date Dividend Policy ADV 3M ISIN Fund AUM in CCY
Euronext LVO NA EUR - 30/11/2012 Capitalisation 138,573EUR LU0832435464 99m EUR
Euronext LVX BB USD - 06/10/2017 Capitalisation 6,018USD LU0832435464 120m USD
Borsa Italiana LVO IM EUR - 29/01/2013 Capitalisation 1.11m EUR LU0832435464 99m EUR
Xetra VOOL GY EUR - 17/12/2012 Capitalisation 535,238EUR LU0832435464 99m EUR
*Related Shareclasses

Market Makers

Flow Traders
Optiver
Société Générale
Data provided by relevant exchanges

Passporting Information

Luxembourg
Finland
Spain
UK
Italy
Austria
Netherlands
Sweden
Germany
Belgium
Data as of 24/02/2021, Source: Lyxor International Asset Management

NEWS

Notice to Shareholders
30/08/2017

Notice to Shareholders Notice - Amalgamation of classes - Lyxor SP500 VIX