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

Latest NAV
3.0913 EUR
Performance YTD


Assets Under Management
104m EUR
Dividend Policy
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 Lyxor ETFs are efficient investment vehicles listed on exchange that offer transparent, liquid and low-cost exposure to the underlying benchmark index.


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


Performance history


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.

Product 1Y 3Y 5Y
Lyxor S&P 500 VIX Futures Enhanced Roll UCITS ETF - Acc -10.33% -7.07% -12.83%
Benchmark Index -8.38% -5.3% -11.53%
Data as of 17/08/2022, Source: Lyxor International Asset Management
Product YTD 1M 3M 1Y 3Y 5Y 10Y ALL
Lyxor S&P 500 VIX Futures Enhanced Roll UCITS ETF - Acc 4.3% -10.43% -8.12% -10.33% -19.73% -49.7% - -94.45%
Benchmark Index 5.73% -10.24% -7.59% -8.38% -15.05% -45.82% - -93.76%
Data as of 17/08/2022, Source: Lyxor International Asset Management
Product 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012
Lyxor S&P 500 VIX Futures Enhanced Roll UCITS ETF - Acc -38.29% 42.04% -34.7% 26.32% -63.76% -34.47% -12.39% -24.06% -53.17% -
Benchmark Index -36.99% 44.36% -33.82% 27.22% -63.44% -33.93% -11.68% -23.42% -52.68% -
Data as of 17/08/2022, Source: Lyxor International Asset Management

NAV History

Date NAV Currency Fund AUM
17/08/2022 3.0913 EUR 104m EUR
16/08/2022 3.0718 EUR 104m EUR
15/08/2022 3.0513 EUR 103m EUR
12/08/2022 3.0713 EUR 104m EUR
11/08/2022 3.0733 EUR 100m EUR

Dividend History

This fund does not distribute any dividend.


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.

Name Currency Weight Sector Country
Name Listing Currency Quantity Weight Sector Country
ALPHABET INC-CL A USD 61,512 7.05% Communication Services United States
Apple Inc USD 41,055 6.67% Information Technology United States
Tesla Inc USD 7,000 6.1% Consumer Discretionary United States
AMAZON.COM INC USD 43,046 5.78% Consumer Discretionary United States
TOTAL SA EUR 108,868 5.28% Energy France
T&D HOLDINGS INC JPY 468,838 4.85% Financials Japan
CVS Caremark Corp USD 47,657 4.75% Health Care United States
Vinci SA EUR 52,551 4.75% Industrials France
KONAMI CORP JPY 91,911 4.68% Communication Services Japan
NVIDIA CORP USD 26,111 4.66% Information Technology United States
Swap Information
Basket Adjustment The basket is daily adjusted to the fund outstanding level.
Counterparty Risk Level N/A
Swap Counterparty Société Générale
Date 15/08/2022

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 -1.95%
Total Expense Ratio +0.6%
Swap price component estimation =-1.35%

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

Index Composition Breakdown

Sector Breakdown


Currency Breakdown

USD 100%


Main Fund Characteristics

ISIN LU0832435464
Share Class Currency EUR
Assets Under Management 103.7m EUR
Total Expense Ratio 0.6%
Dividend Treatment Capitalisation
EU-SD Status Out of Scope
Fund Type SICAV
Domicile Luxembourg
Replication Method Indirect (Unfunded swap)
Umbrella AUM 51,318.9m EUR
Portfolio Managers Raphaël Dieterlen, Jean-Marc Guiot
Swap Counterparty Société Générale
Full Property of the Assets Yes
Financial Year End 31/12/2022
Inception Date 25/09/2012
Minimum Investment 1 Share
SFDR Classification 6

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 - LU0832435464 104m EUR
Euronext LVX BB USD - 06/10/2017 Capitalisation - LU0832435464 106m USD
Borsa Italiana LVO IM EUR - 29/01/2013 Capitalisation - LU0832435464 104m EUR
Xetra VOOL GY EUR - 17/12/2012 Capitalisation - LU0832435464 104m EUR
*Related Shareclasses

Market Makers

Flow Traders
Société Générale
Data provided by relevant exchanges

Passporting Information

Data as of 17/08/2022, Source: Lyxor International Asset Management


Notice to Shareholders

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