Source unveils tactical volatility ETF

Source has launched an ETF providing exposure to volatility spikes, in partnership with investment bank Nomura.

The Nomura Voltage Mid-Term Source ETF, listed on the London Stock Exchange, allows investors to capture volatility spikes while decreasing the costs associated with a constant long volatility position.

The underlying Voltage index, maintained by Nomura, takes a volatility-adjusted position, allocating between the S&P 500 VIX Mid-Term Futures index and three-month US treasury bills.

As the relative volatility of the VIX increases, so does the exposure taken by Voltage, from a minimum of 0% up to a full 100%.

Rebalancing happens on a daily basis, which Source says creates a reactive tactical model in contrast to most OTC volatility instruments.

Nomura managing director and head of equity structuring Mohamed Yangui says his firm's index aims to outperform its volatility benchmark.

The launch augments Source's current offering of an S&P 500 VIX Futures Source ETF. CEO Ted Hood says: "Volatility is a new asset class for many investors and the combination of the cost of rolling futures and the VIX index's tendency to revert to the mean, have posed challenges for long term investors."

Yangui adds: "The tactical allocation of Voltage means it is an investment that can be considered on a longer term basis than the typical systematically long volatility funds available on the market today."

The ETF has a total expense ratio of 0.30%.