LVIP Franklin Templeton Value Managed Volatility Fund

C000131271 Fund Overview

LVIP Franklin Templeton Value Managed Volatility Fund is a US mutual fund managed by Lincoln Variable Insurance Products Trust, categorised as Capital Appreciation / Growth Allocation. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

• Type: US mutual fund
• Manager: Lincoln Variable Insurance Products Trust
• Category: Capital Appreciation / Growth Allocation
• Assets under management: $329.16M
• SEC CIK: 0000914036
• SEC series ID: S000042339
• Share class ID: C000131271

C000131271 Investment Objective and Strategy

LVIP Franklin Templeton Value Managed Volatility Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Lincoln Variable Insurance Products Trust.

Investment objective

The investment objective of the LVIP Franklin Templeton Value Managed Volatility Fund (the “Fund”) is to seek capital appreciation.

Principal investment strategy

The Fund operates under a fund of funds structure. The Fund pursues its investment objective by primarily investing in other mutual funds (the underlying funds), while seeking to control the level of portfolio volatility by employing an actively managed risk management overlay. Value Strategy. The underlying funds are Franklin-affiliated funds. The underlying funds invest in equity securities, including common stock (generally value stocks), preferred stock, or securities convertible into common or preferred stock. Certain underlying funds also may invest in debt securities of all types, including debt securities that are rated below investment grade (also known as junk bonds) and mortgage-backed securities. Certain underlying funds invest in equity securities of U.S. or foreign companies that the underlying funds management believes are available at market prices less than their value based on certain recognized or objective criteria (intrinsic value).

The Fund does not impose a limitation on the geographical locations or percentage of holdings of domestic and foreign issuers of the securities which the Fund holds through the underlying funds. To a lesser extent, certain underlying funds also may invest in merger arbitrage securities and the debt and equity of distressed companies. Certain underlying funds also may, from time to time, attempt to hedge against market risk using a variety of derivatives. Certain underlying funds invest in a broadly diversified portfolio of equity securities that the underlying funds management considers to be financially strong, with a focus on blue chip companies. Certain underlying funds invest predominantly in equity securities of financially sound companies that have paid consistently rising dividends.

Companies that have paid consistently rising dividends include those companies that currently pay dividends on their common stocks and have maintained or increased their dividend rate during the last four consecutive years. Certain underlying funds invest in a diversified portfolio of debt and equity securities and may shift from one asset class to another based on the underlying fund managements analysis of the best opportunities for the underlying fund in a given market. Certain underlying funds may invest in below investment grade debt securities. On at least an annual basis, the adviser will reassess and may make revisions in the Funds asset allocation strategy consistent with the Funds investment strategy and objective, including revising the weightings among the investments described above and adding underlying funds to or removing underlying funds from the asset allocation strategy.

The adviser will also periodically rebalance the weightings in the underlying funds held by the Fund to the current asset allocation strategy. In general, the adviser does not anticipate making frequent changes in the asset allocation strategy and will not attempt to time the market. The Fund intends to allocate to underlying funds including, but not limited to, the Franklin Mutual Shares VIP Fund (in an amount initially expected to be 50% of the portion of the Funds assets not subject to the overlay), Franklin Income Fund (in an amount initially expected to be 30% of the portion of the Funds assets not subject to the overlay), Franklin Growth and Income VIP Fund (in an amount initially expected to be 10% of the portion of the Funds assets not subject to the overlay), and Franklin Rising Dividends VIP Fund (in an amount initially expected to be 10% of the portion of the Funds assets not subject to the overlay).

The allocation to these underlying funds may change at the discretion of the adviser. Managed Volatility Strategy. The Funds Adviser has retained SSGA Funds Management, Inc. (SSGA FM or overlay manager) as sub-adviser to the Fund to implement the managed volatility strategy within the parameters stated below. This managed volatility strategy consists of selling (short) positions in exchange-traded futures contracts to manage overall portfolio volatility and seek to reduce the impact on the Funds portfolio of significant market downturns during periods of high volatility. SSGA FM, as identified by the adviser, buys or sells (shorts) individual futures contracts on equity indices of domestic and foreign markets that it believes are highly correlated to the Funds equity exposure. Although up to 20% of the Funds net assets may be used by SSGA FM to implement the managed volatility strategy, under normal market conditions it is expected that less than 10% of the Funds net assets will be used for the strategy.

SSGA FM uses a proprietary volatility forecasting model to manage the assets allocated to this strategy. The managed volatility strategy is separate and distinct from any riders or features of your insurance contract. A futures contract is an agreement between two parties to buy or sell a financial instrument for a set price on a future date. A short position would represent a contractual obligation to sell an equity index at a future date at a particular price. In contrast, a long position would represent a contractual obligation to buy an equity index at a future date at a particular price. A short position is generally used to protect against the possible decline in value of financial instruments. SSGA FM will regularly adjust the level of exchange-traded futures contracts to seek to manage the Funds overall net risk level, i.e., volatility.

Volatility is a statistical measure of the dispersion of the Funds investment returns. SSGA FMs investment in exchange-traded futures and their resulting costs could limit the upside participation of the Fund in strong appreciating markets relative to un-hedged funds. In situations of extreme market volatility, the exchange-traded futures could potentially reduce the Funds net economic exposure to equity securities to a substantial degree. The amount of exchange-traded futures may fluctuate frequently based upon market conditions. SSGA FM may take a long position in futures for the purpose of providing an equity exposure generally comparable to the holdings of cash. This allows the Fund to be fully invested in the market by turning cash into an equity position while still maintaining the liquidity provided by the cash.

The Investment Company Act of 1940 (the 1940 Act) and the rules and interpretations under the 1940 Act impose certain limitations on the Funds ability to use leverage.

C000131271 Costs and Fees

C000131271 costs about $64 per $10,000 invested per year in fund expenses.

• Net expense ratio: 0.64%
• Gross expense ratio: 1.31%
• Portfolio turnover: 12%
• Brokerage commissions: 0.07 bps of average net assets (SEC N-CEN)

C000131271 Cashflows

Over the 12 months to 2019-09, LVIP Franklin Templeton Value Managed Volatility Fund had net inflows of $2.57M, from monthly SEC N-PORT filings.

C000131271 Debt Constituents

No individual debt constituents are reported in LVIP Franklin Templeton Value Managed Volatility Fund's latest SEC N-PORT filing.

C000131271 Prospectus and SEC Filings

Official LVIP Franklin Templeton Value Managed Volatility Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

• Prospectus (485BPOS) — filed 2019-05-15
• Prospectus (485BPOS) — filed 2018-05-15
• Prospectus (485BPOS) — filed 2017-05-19
• Portfolio holdings (N-PORT) — filed 2019-11-22
• Annual census (N-CEN) — filed 2019-03-14

Related Funds

Other Capital Appreciation / Growth Allocation funds tracked on ABC INVEST:

• Catalyst/Millburn Hedge Strategy Fund (MBXAX)
• Roundhill Magnificent Seven ETF (MAGS)
• SPDR Bridgewater All Weather ETF (ALLW)
• Capital Appreciation Value Fund (JCAVX)
• Goldman Sachs Growth Strategy Portfolio (GGSIX)

Data Sources

ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.