Source, a European provider of exchange-traded funds (ETFs), has teamed up with JPMorgan to roll out its third volatility ETF.
Known as Source J.P. Morgan Macro Hedge Dual Vega Target 4% TR UCITS ETF, the new product seeks to provide exposure to volatility for sophisticated investors.
The ETF switches between long and long/short positions on US volatility. In times of stress, the fund also adds long exposure to European equity volatility.
Using a vega target mechanism, the ETF index can also adjust its leverage up to 100 percent leverage depending on the volatility level.
The Ireland-domiciled ETF, which trades on London Stock Exchange in US dollars, will charge a management fee of 0.25% per annum and an index fee of 0.75% per annum.
The fund has been registered for sale in Austria, Finland, France, Germany, Ireland, Italy (, Luxembourg, the Netherlands, Norway, Switzerland, Sweden and the UK.
Rui Fernandes, head of equity and funds derivatives structuring at J.P. Morgan, said: "Investors need a hedging instrument that will capture the big spikes in volatility but doesn’t see large gains and losses when market conditions are more normal. By reducing exposure in these circumstances, we aim to generate more stable performance."