Barclays Capital unveils European volatility fund

Barclays Capital has launched a fund to counter sharp drops in the European equity markets.


The Barclays Euro Mid Term Volatility Fund is a Luxembourg-based Ucits III proposition that uses a transparent futures-based strategy based on the volatility of the Euro Stoxx 50. Specifically it refers to the VStoxx, a futures-based index based on the Euro Stoxx 50.

It is based on the Euro Stoxx 50 options prices and replicates a continuously rolling position in VSTOXX futures, targeting a constant five-month forward exposure. The fund is aimed at investors who want to take a defensive position against falling markets.

Investors in the fund pay an annual portfolio replication cost of 0.89%, an investment management fee of 0.2% of the net asset value, along with a fixed fee of 0.20% p.a. There are no management or execution costs embedded within the index.

Nathan Bance, director in UK investor solutions at Barclays Capital, said: “Implied volatility has become an increasingly popular investment that typically exhibits strong positive performance during times of high market stress. We expect demand for volatility investments to increase as they can provide investors with a low-cost, transparent means of countering sharp draw downs, while providing a valuable tool for diversification.”


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