UBS Investment Bank has launched a new ETN, VQTS, which is linked to the performance of the S&P 500 VEQTOR Switch Index, on the NYSE Arca.
VQTS offers Investors a strategy linked to volatility targeted S&P 500 Index and long/short VIX futures strategy. The VIX futures component aims to capture VIX roll yields and volatility drops (when allocated to short positions in VIX futures) and capture VIX upside during volatility spikes (when allocated to long positions in VIX futures)
The S&P 500 VEQTOR Switch Index seeks to simulate a dynamic portfolio that allocates between equity and volatility based on realised volatility in the broad equity market. The allocation to the equity component is dynamically adjusted to gain exposure to the S&P 500 with a target volatility of 10%. The remainder of the index is allocated to the S&P 500 VIX Futures Long/Short Switch Index that allocates between cash and long or short positions in an index of VIX futures with a constant one month maturity.