LVO

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

Latest NAV
3.5883 EUR
Performance YTD

23.58%

Assets Under Management
165m 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.

Product 1Y 3Y 5Y
Lyxor S&P 500 VIX Futures Enhanced Roll UCITS ETF - Acc 10.27% -3.41% -6.79%
Benchmark Index 12.7% -1.54% -5.36%
Data as of 27/09/2022, 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 23.58% 11.59% 11.31% 10.27% -9.89% -29.64% - -93.42%
Benchmark Index 25.59% 11.8% 11.97% 12.7% -4.54% -24.1% - -92.59%
Data as of 27/09/2022, 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 27/09/2022, Source: Lyxor International Asset Management

NAV History

Date NAV Currency Fund AUM
27/09/2022 3.6641 EUR 168m EUR
26/09/2022 3.6265 EUR 166m EUR
23/09/2022 3.5092 EUR 161m EUR
22/09/2022 3.3591 EUR 154m EUR
21/09/2022 3.3508 EUR 153m 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.

Name Currency Weight Sector Country
Generic 4th 'UX' Future USD 50.64%
Generic 3rd 'UX' Future USD 41.8%
Generic 5th 'UX' Future USD 7.55%
Name Listing Currency Quantity Weight Sector Country
APPLE INC USD 95,526 9.31% Information Technology United States
MICROSOFT CORP USD 58,445 8.97% Information Technology United States
ELI LILLY CO USD 32,619 6.48% Health Care United States
ALPHABET INC CL A USD 83,724 5.31% Communication Services United States
JPMORGAN CHASE & CO USD 71,715 4.95% Financials United States
AMAZON.COM INC USD 61,454 4.57% Consumer Discretionary United States
BRISTOL-MYERS SQUIBB CO USD 98,147 4.45% Health Care United States
ELEVANCE HEALTH INC USD 15,026 4.35% Health Care United States
EXELON CORP USD 161,595 4.24% Utilities United States
CITIZENS FINANCIAL GROUP INC USD 190,040 4.13% Financials 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 12/09/2022

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 -2.43%
Total Expense Ratio +0.6%
Swap price component estimation =-1.83%

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

Index Composition Breakdown

Sector Breakdown

100%

Currency Breakdown

USD 100%

CHARACTERISTICS

Main Fund Characteristics

ISIN LU0832435464
UCITS Yes
Share Class Currency EUR
Assets Under Management 164.6m EUR
Total Expense Ratio 0.6%
Dividend Treatment Capitalisation
Tax data (PEA) No
EU-SD Status Out of Scope
Fund Type SICAV
Domicile Luxembourg
Replication Method Indirect (Unfunded swap)
Umbrella AUM 45,857.1m 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 LVX BB USD - 06/10/2017 Capitalisation - LU0832435464 162m USD
Borsa Italiana LVO IM EUR - 29/01/2013 Capitalisation - LU0832435464 168m EUR
Xetra VOOL GY EUR - 17/12/2012 Capitalisation - LU0832435464 168m EUR
Euronext LVO NA EUR - 30/11/2012 Capitalisation - LU0832435464 168m 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 27/09/2022, Source: Lyxor International Asset Management

DOCUMENTS

ETF Name Type Language Publication Date Size
Lyxor S&P 500 VIX Futures Enhanced Roll UCITS ETF - Acc
Prospectus English 05/11/2021 4427 Ko

NEWS

Notice to Shareholders
20/05/2022

Notice to Shareholders Change of Registered Office - Multi Units Luxembourg

Notice to Shareholders
29/04/2022

Notice to Shareholders Lyxor International Asset Management Merger - Amundi

Notice to Shareholders
08/04/2022

Notice to Shareholders Multi Units Luxembourg - Annual General Meeting Of Shareholders

Notice to Shareholders
08/04/2022

Notice to Shareholders Annual General Meeting 2022 - Multi Units Luxembourg

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