Lincoln Nasdaq-100 Buffer Fund Jun
Data updated: 2024-06-21
C000227872 — Lincoln Nasdaq-100 Buffer Fund Jun. United States Large Cap Blend / Core Equity · $4.06M AUM. Holdings, fees, performance and SEC filings.
C000227872 Fund Overview
Lincoln Nasdaq-100 Buffer Fund Jun is a US mutual fund managed by Lincoln Variable Insurance Products Trust, categorised as United States Large Cap Blend / Core Equity. 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: United States Large Cap Blend / Core Equity
- Assets under management: $4.06M
- 1-year return: 21.9%
- SEC CIK: 0000914036
- SEC series ID: S000072117
- Share class ID: C000227872
C000227872 Investment Objective and Strategy
Lincoln Nasdaq-100 Buffer Fund Jun describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Lincoln Variable Insurance Products Trust.
Investment objective
The Fund seeks, over a specified annual period (an Outcome Period), to provide returns that track the price return of the Invesco QQQ Trust SM , Series 1 up to a cap, while providing a buffer against losses.
Principal investment strategy
The Fund seeks, over each Outcome Period, to provide returns that track the price return of the Invesco QQQ Trust SM , Series 1 (the Underlying ETF) up to a cap, while providing a buffer against losses. The Fund employs a defined outcome strategy, sub-advised by Milliman Financial Risk Management LLC, which seeks to produce investment outcomes based on the performance of the Underlying ETFs market price over a one-year period (Outcomes), subject to the specified cap for gains and with the benefit of a buffer for losses. Due to the unique mechanics of the Funds strategy, the return an investor can expect to receive from an investment in the Fund has characteristics that are distinct from many other investment vehicles. The Fund, under normal circumstances, invests at least 80% of its assets in options that reference the Underlying ETF or in an underlying fund which tracks the same index as that tracked by the Underlying ETF.
At the outset of each Outcome Period, the Fund invests approximately half of its assets in FLexible EXchange Options ( FLEX Options ) and approximately half of its assets in the LVIP SSGA Nasdaq-100 Index Fund (the Underlying Fund), which is advised by the Funds investment adviser, Lincoln Financial Investments Corporation. The Funds current Outcome Period is the one-year period from June 17, 2023 to June 21, 2024. The Funds next Outcome Period is the one-year period June 16, 2024 to June 14, 2025. The Outcomes sought by the Fund, which include the buffer and cap discussed below, are based upon the performance of the Underlying ETFs market price during the Outcome Period. The Fund will not receive or benefit from any dividend payments made by the Underlying ETF. Buffer: The Fund seeks to provide a buffer against the first 12% of Underlying ETF price decreases over each Outcome Period, before the deduction of Fund expenses (the Buffer), which after Fund expenses is approximately 11.15% for the Standard Class and 10.80% for the Service Class.
The Fund, and therefore investors, will bear all Underlying ETF losses exceeding 12%. There is no guarantee the Fund will successfully buffer against Underlying ETF price decreases. The Buffer is designed to have its full effect only for investors who continually hold Fund shares for an entire Outcome Period. The Buffer is discussed in further detail below. Cap: For each Outcome Period, Fund performance is subject to a specified upside return cap that represents the maximum percentage return the Fund can achieve during the Outcome Period before the deduction of Fund expenses (the Cap). The Cap is set on the first day of an Outcome Period based on the cost of providing the Buffer and may increase or decrease from one Outcome Period to the next. If the Underlying ETF experiences gains over an Outcome Period, the strategy seeks to provide investment returns that track the performance of the Underlying ETF, up to the Cap.
If the Underlying ETF experiences returns over an Outcome Period in excess of the Cap, the Fund will not experience those excess gains. The Cap (before Fund expenses) is reduced by the Funds expenses. The Cap is expected to change from one Outcome Period to the next. The Cap is discussed in further detail below. The Funds website, lfg.com/definedoutcomefunds , provides important Fund information on a daily basis. The website includes, for example, information about the Cap and Buffer, current Outcome Period start and end dates, and information relating to the remaining potential Outcomes of an investment in the Fund. Investors considering purchasing shares should visit the website for the latest information. The two hypothetical graphical illustrations provided below are designed to illustrate the Outcomes based upon the hypothetical performance of the Underlying ETF for a shareholder that holds shares for the entirety of an Outcome Period.
There is no guarantee that the Fund will be successful in its attempt to provide the Outcomes for an Outcome Period. The returns that the Fund seeks to provide do not include the costs associated with purchasing shares of the Fund and the expenses incurred by the Fund. Use of FLEX Options. At the outset of each Outcome Period, the Fund invests approximately 50% of its assets in FLEX Options, the value of which is derived from the performance of the underlying reference asset, the Underlying ETF. FLEX Options are exchange-traded options contracts with uniquely customizable terms. FLEX Options are set to expire on the last day of the Outcome Period, at which time the Fund will invest in a new set of FLEX Options for the next Outcome Period. An option contract is an agreement between a buyer and seller that gives the purchaser of the option the right to buy or sell a particular reference asset at a specified future date at an agreed upon price.
Investment Strategy of the Buffer. The Fund pursues its objective by purchasing and selling call and put FLEX Options to create layers within the Funds portfolio. One layer is designed to buffer the Fund from losses, while another layer is designed to produce returns that track those of the Underlying ETF for an Outcome Period, up to the Cap. The Buffer layer of FLEX Options is designed to buffer the Fund from losses of up to 12% if the Underlying ETF experiences a loss at the end of an Outcome Period. There is no guarantee that the Fund will be successful in its attempt to provide buffered returns. The Buffer is operative only against the first 12% of Underlying ETF losses at the end an Outcome Period. If the Underlying ETF has decreased in value by more than 12% at the end of an Outcome Period, the Fund, and therefore investors, will experience those losses.
The Underlying ETF tracking layer of FLEX Options is designed to work alongside the Funds investment in the Underlying Fund to produce returns that track those of the Underlying ETF for an Outcome Period if the Underlying ETF has experienced gains during that Outcome Period. This gain is subject to the Cap, a maximum investment return level, which is discussed below. Outcome Periods. The Outcomes sought by the Fund are based upon the Funds NAV on the first day of an Outcome Period. An Outcome Period begins on the day the FLEX Options are entered into and ends on the day they expire. Each FLEX Options value is ultimately derived from the performance of the Underlying ETF during the Outcome Period. Because the terms of the FLEX Options do not change, the Cap and Buffer both relate to the Funds NAV on the first day of the Outcome Period.
To achieve the Outcomes for an Outcome Period, an investor must be holding shares for the entire Outcome Period. A shareholder that purchases shares after the commencement of an Outcome Period will likely have purchased shares at a different NAV than the NAV upon which the Outcomes are based and may experience investment Outcomes very different from those sought by the Fund over the entire Outcome Period. A shareholder that redeems shares prior to the end of an Outcome Period may also experience investment Outcomes very different from those sought by the Fund. There is no guarantee that the Fund will be successful in its attempt to provide the Outcomes. The value of FLEX Options is derived from the performance of the underlying reference asset, the Underlying ETF. However, because a component of an options total value is the time value (i.e., the time remaining until its expiration), during the Outcome Period, the Funds return will not perfectly correlate on a day-to-day basis with the Underlying ETF return, though as a FLEX Option approaches its expiration date and time value of the option decays, the options total value typically moves toward the intrinsic value of the option which is directly related to Underlying ETF returns.
While the Fund generally anticipates that its NAV will move in the same direction as the Underlying ETF (meaning that the Funds NAV will increase if the Underlying ETF experiences gains and that the Funds NAV will decrease if the Underlying ETF experiences losses), the Funds NAV may not increase or decrease at the same rate as the Underlying ETF. Similarly, the amount of time remaining until the end of the Outcome Period also affects the impact of the Buffer on the Funds NAV, which may not be in full effect prior to the end of the Outcome Period. The Funds strategy is designed to produce the Outcomes upon the expiration of the FLEX Options on the last day of the Outcome Period and it should not be expected that the Outcomes will be provided at any point prior to that time. Taken together, this means that at the midpoint of the Outcome Period, if the Underlying ETF has decreased in value by 12%, the Funds NAV can be expected to have decreased in value (because the Buffer is not yet in full effect), but by less than 12% (because the Funds NAV will not correlate one-to-one with the Underlying ETF and the Funds NAV tends not to participate fully in either Underlying ETF gains or losses).
Cap on Potential Upside Returns. Unlike other investment products, the potential returns an investor can receive from an investment in the Fund are subject to an upside return Cap. This means that if the Underlying ETF experiences gains for the Outcome Period beyond the level of the Cap, the Fund will not experience those excess gains. Therefore, regardless of the performance of the Underlying ETF, the Cap (after Fund expenses) is the maximum return an investor can achieve from an investment in the Fund for an Outcome Period. The Cap will change for each Outcome Period based upon prevailing market conditions at the beginning of an Outcome Period. The Cap may increase or decrease from one Outcome Period to the next. The Cap, and the Funds position relative to it, should be considered before investing in the Fund.
If the Fund has already increased in value to a level near to the Cap, an investor purchasing shares at that price has limited or no potential gains available for the remainder of the Outcome Period but remains vulnerable to significant downside risks. Buffer. The Buffer is operative only against the first 12% of Underlying ETF losses for an Outcome Period; however, there is no guarantee that the Fund will be successful in its attempt to provide buffered returns . If the Underlying ETF has decreased in value by more than 12% during an Outcome Period, the Fund will experience all further losses. The Buffer is calculated prior to taking into account Fund expenses, such as Fund management fees equal to 0.55% of the Funds daily net assets, transaction fees, and any other expenses incurred by the Fund.
If an investor purchases shares during an Outcome Period, and the Fund has already decreased in value during that Outcome Period, that investor may not fully benefit from the Buffer for the remainder of the Outcome Period, but will have increased gains available prior to reaching the Cap. Conversely, during the Outcome Period, if the Fund has already increased in value, then a shareholder investing at that time may experience losses prior to gaining the protection offered by the Buffer. While the Fund seeks to limit losses by 12% for shareholders who hold shares for an entire Outcome Period, there is no guarantee it will successfully do so. Notwithstanding the Buffer, a shareholder that purchases shares at the beginning of an Outcome Period or during an Outcome Period may lose its entire investment.
An investment in the Fund is only appropriate for shareholders willing to bear those losses. Fund Rebalance. The Fund is a continuous investment vehicle. It does not terminate and distribute its assets at the conclusion of each Outcome Period. On the termination date of an Outcome Period, the Fund will invest in a new set of FLEX Options, which will provide a new Cap, and another Outcome Period will commence.
C000227872 Holdings
Top 4 holdings of Lincoln Nasdaq-100 Buffer Fund Jun by percentage of net assets, from the fund's latest SEC N-PORT filing.
| Holding | % of net assets |
|---|---|
| LVIP SSGA Nasdaq-100 Index Fund | 52.69% |
| Intercontinental Exchange, Inc. | 51.33% |
| State Street Global Advisors | 1.25% |
| Intercontinental Exchange, Inc. | 0.23% |
C000227872 Portfolio Allocation
Asset-class allocation of Lincoln Nasdaq-100 Buffer Fund Jun by percentage of net assets, from the latest SEC N-PORT filing.
| Asset class | Allocation |
|---|---|
| Equity | 52.7% |
| Derivatives | 46.7% |
| Cash & Equivalents | 1.3% |
C000227872 Performance
Total returns for C000227872 (as of 2026-10-01), from SEC filings.
| Period | Total return |
|---|---|
| 1 year | 21.9% |
| 3 years (annualised) | 8.4% |
C000227872 Risk Information
Risk metrics for C000227872, derived from monthly returns in SEC filings.
- 1-year volatility (annualised): 8.5%
C000227872 Costs and Fees
C000227872 costs about $120 per $10,000 invested per year in fund expenses.
- Net expense ratio: 1.20%
- Gross expense ratio: 3.85%
- Portfolio turnover: 7%
- Brokerage commissions: 4.15 bps of average net assets (SEC N-CEN)
C000227872 Cashflows
Over the 12 months to 2024-03, Lincoln Nasdaq-100 Buffer Fund Jun had net inflows of $612.52K, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2024-03 | −$1.36K |
| 2024-02 | −$10.15K |
| 2024-01 | −$1.31K |
| 2023-12 | $84.29K |
| 2023-11 | $87.25K |
| 2023-10 | $5.67K |
C000227872 Debt Constituents
No individual debt constituents are reported in Lincoln Nasdaq-100 Buffer Fund Jun's latest SEC N-PORT filing.
C000227872 Prospectus and SEC Filings
Official Lincoln Nasdaq-100 Buffer Fund Jun filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
- Prospectus (485BPOS) — filed 2024-06-21
- Prospectus (485BPOS) — filed 2024-04-29
- Prospectus (485BPOS) — filed 2023-04-28
- Portfolio holdings (N-PORT) — filed 2024-05-20
- Portfolio holdings (N-PORT) — filed 2024-02-07
- Portfolio holdings (N-PORT) — filed 2023-11-20
- Annual census (N-CEN) — filed 2024-03-06
- Annual census (N-CEN) — filed 2023-03-08
Related Funds
Other United States Large Cap Blend / Core Equity funds tracked on ABC INVEST:
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.