J.P. Morgan and Source have launched the J.P. Morgan Macro Hedge US TR Source ETF. The ETF aims to provide cost-effective, long-term exposure to volatility, via a systematic strategy developed by J.P. Morgan. It is designed for sophisticated investors to either use as a hedging tool or as a way to take stand-alone volatility exposure.

J.P. Morgan’s Macro Hedge family of indices aims to capture spikes in volatility in times of market stress and, in normal market conditions, they aim to generate a positive return.

“Our Macro Hedge Indices combine long volatility exposure with a transparent source of absolute return” says Rui Fernandes, head of equity and funds derivatives structuring at J.P. Morgan. “With more than a year of live track record and significant client investments in note and derivative format, the Macro Hedge family of indices has proven able to provide a robust tail hedge through equity market sell-offs, while mitigating the usual negative carry associated with traditional outright long volatility instruments.”

The new J.P. Morgan Macro Hedge US TR Index, part of the Macro Hedge family, takes both long and short exposure to futures on US equity volatility, switching from long to long/short depending on market conditions.