Lincoln S&P 500 Buffer Fund Feb
Data updated: 2024-05-20
C000229111 — Lincoln S&P 500 Buffer Fund Feb. United States Multi-Cap / All-Cap Blend / Core Equity · $5.11M AUM. Holdings, fees, performance and SEC filings.
C000229111 Fund Overview
Lincoln S&P 500 Buffer Fund Feb is a US mutual fund managed by Lincoln Variable Insurance Products Trust, categorised as United States Multi-Cap / All-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 Multi-Cap / All-Cap Blend / Core Equity
- Assets under management: $5.11M
- 1-year return: 18.8%
- SEC CIK: 0000914036
- SEC series ID: S000072678
- Share class ID: C000229111
C000229111 Investment Objective and Strategy
Lincoln S&P 500 Buffer Fund Feb 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 Fund is to seek long-term growth of capital.
Principal investment strategy
The Fund seeks long-term growth of capital. The Fund pursues its objective by providing exposure to the returns of the S&P 500 Price Return Index (the Index ) while implementing a hedging strategy to reduce downside exposure. Hedging means structuring a portfolio to seek to reduce the risk of loss of an existing position. The Fund employs a hedging strategy, sub-advised by Milliman Financial Risk Management LLC, which seeks to produce investment outcomes based on the performance of the Index, subject to limits on gains (a Cap ) and with the benefit of a buffer for losses (a Buffer ) for each tranche of options (as described below). The Fund, under normal circumstances, invests at least 80% of its net assets (including borrowings for investment purposes) in investments that reference the Index or in an underlying fund which tracks the Index.
The Fund invests approximately half of its assets in FLexible EXchange Options ( FLEX Options ) and approximately half of its assets in the LVIP SSGA S&P 500 Index Fund (the Underlying Fund), which is advised by the Funds investment adviser, Lincoln Financial Investments Corporation. The Index is a price return index, which captures only the capital appreciation component of the issuers in the Index and not the associated dividend payments. The Fund, and therefore investors of the Fund, will not receive the benefit of such dividends. As of December 31, 2023, a significant portion of the Funds investment exposure comprised companies in the information technology sector. FLEX Options Portfolio. FLEX Options are exchange-traded options contracts with uniquely customizable terms. The Funds FLEX Options have one-year terms and are based on the value of the Index.
The Fund invests in FLEX Options using a laddering technique, which means investing in several similar securities that have different maturity dates. The Fund will construct its portfolio so that each fiscal quarter, approximately 25% of the Funds FLEX Options will expire and the Fund will replace them with new FLEX Options. The Fund will therefore reset approximately 25% of its FLEX Options each quarter. The basket of FLEX Options transacted on a particular date is referred to as a tranche. The Fund will generally hold four tranches of FLEX Options. Each tranche consists of a combination of four FLEX Options contracts that provide exposure to the Index up to a Cap along with limited downside Buffer protection against the performance of the Index. Each tranche consists of the following: 1) purchased one-year near-zero calls that, in combination with the investment in the Underlying Fund, provide market exposure for the portion of the Fund whose FLEX Options are expiring.
2) purchased one-year at-the-money puts that provide limited downside protection for the portion of the Fund whose FLEX Options are expiring. 3) sold one-year puts with a strike price 12% out-of-the-money to help establish the Buffer and fund the purchase of calls and puts. 4) sold out-of-the-money calls to help fund the purchase of calls and puts. The above description is a summary for illustrative purposes and necessarily does not reflect all factors that could potentially affect the Funds strategy. This combination of FLEX Options provides the resetting tranche, for one year after the reset date, with limited downside protection from declines in the Indexs value as of the reset date, while allowing the Fund to participate in Index appreciation up to the strike price of the sold out-of-the-money calls.
This gain potential for each FLEX Options tranche is subject to a Cap, a maximum investment return level, which is the strike price of the sold out-of-the-money calls in that tranche. Fund performance for each tranche of FLEX Options is subject to a limited upside return Cap, which is the maximum percentage return the Fund can achieve from that tranche before the deduction of Fund expenses. A Cap is set for a FLEX Options tranche when it is created, and Caps for future tranches may be higher or lower depending on the strike price of the out-of-the-money calls that must be sold to offset the expense of the FLEX Options purchased. Buffers apply to particular tranches and not to the Funds portfolio overall. In addition to normally scheduled quarterly FLEX Options transactions, the Fund will also typically transact in FLEX Options in order to reflect investments into or redemptions from the Fund.
The Fund therefore may hold FLEX Options of various maturities, maintaining exposure to a wider range of cap rates and buffers. The Underlying Fund: The Fund invests approximately half of its net assets in the LVIP SSGA S&P 500 Index Fund (the Underlying Fund ) and approximately half of its assets in FLEX Options. The investment objective of the Underlying Fund is to seek to approximate as closely as practicable, before fees and expenses, the total rate of return of common stocks publicly traded in the U.S., as represented by the S&P 500 Index. The Underlying Fund pursues its objective by investing in the securities that make up the S&P 500 Index, although the Underlying Fund may not invest in every security in the S&P 500 Index if it is not practical to do so under the circumstances (such as when the transaction costs are too high, there is a liquidity issue, or there is a pending corporate action).
The Underlying Fund attempts to replicate the target index by investing all, or substantially all, of its assets in the stocks that make up the S&P 500 Index, holding each stock in approximately the same proportion as its weighting in the S&P 500 Index. The Underlying Fund, under normal market conditions, invests at least 90% of its assets, determined at the time of purchase, in the securities of issuers included in the S&P 500 Index. The S&P 500 Index is a widely used measure of large U.S. company stock performance. The market capitalization range of the S&P 500 Index was $5.75 billion to $3.09 trillion as of March 15, 2024. The stocks in the S&P 500 account for nearly three-quarters of the value of all U.S. stocks. The S&P 500 Index is a well-known stock market index that includes common stocks of 500 companies from a number of sectors, and that measures the performance of the large-cap sector of the U.S.
equity market. The Fund will reinvest Underlying Fund dividends and distributions in additional Underlying Fund shares. As of May 1, 2024, a significant portion of the Underlying Funds investment exposure was comprised of companies in the information technology sector. The Underlying Fund may invest in stock index futures as a substitute for a comparable market position in the securities underlying the S&P 500 Index. An index futures contract commits one party to sell and the other party to buy a stipulated quantity of a market index at a set price on or before a given date. This tactic can reduce the costs associated with direct investing. It also allows the Underlying Fund to approach the returns of a fully invested portfolio while keeping cash on hand, either in anticipation of shareholder redemptions or because the Underlying Fund has not yet invested new shareholder money.
C000229111 Holdings
Top 10 holdings of Lincoln S&P 500 Buffer Fund Feb by percentage of net assets, from the fund's latest SEC N-PORT filing.
| Holding | % of net assets |
|---|---|
| LVIP SSGA S&P 500 Index Fund | 51.26% |
| Intercontinental Exchange, Inc. | 13.06% |
| Intercontinental Exchange, Inc. | 13.03% |
| Intercontinental Exchange, Inc. | 12.10% |
| Intercontinental Exchange, Inc. | 12.08% |
| Intercontinental Exchange, Inc. | 0.74% |
| State Street Global Advisors | 0.72% |
| Intercontinental Exchange, Inc. | 0.56% |
| Intercontinental Exchange, Inc. | 0.32% |
| Intercontinental Exchange, Inc. | 0.10% |
C000229111 Portfolio Allocation
Asset-class allocation of Lincoln S&P 500 Buffer Fund Feb by percentage of net assets, from the latest SEC N-PORT filing.
| Asset class | Allocation |
|---|---|
| Equity | 51.3% |
| Derivatives | 48.4% |
| Cash & Equivalents | 0.7% |
C000229111 Performance
Total returns for C000229111 (as of 2026-10-01), from SEC filings.
| Period | Total return |
|---|---|
| 1 year | 18.8% |
| 3 years (annualised) | 8.5% |
C000229111 Risk Information
Risk metrics for C000229111, derived from monthly returns in SEC filings.
- 1-year volatility (annualised): 9.2%
C000229111 Costs and Fees
C000229111 costs about $70 per $10,000 invested per year in fund expenses.
- Net expense ratio: 0.70%
- Gross expense ratio: 2.65%
- Portfolio turnover: 13%
- Brokerage commissions: 3.46 bps of average net assets (SEC N-CEN)
C000229111 Cashflows
Over the 12 months to 2024-03, Lincoln S&P 500 Buffer Fund Feb had net inflows of $1.12M, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2024-03 | $62.51K |
| 2024-02 | −$2.49K |
| 2024-01 | −$2.76K |
| 2023-12 | −$203.97K |
| 2023-11 | $56.46K |
| 2023-10 | −$239 |
C000229111 Debt Constituents
No individual debt constituents are reported in Lincoln S&P 500 Buffer Fund Feb's latest SEC N-PORT filing.
C000229111 Prospectus and SEC Filings
Official Lincoln S&P 500 Buffer Fund Feb filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
- Prospectus (485BPOS) — filed 2024-04-29
- Prospectus (485BPOS) — filed 2024-02-20
- 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 Multi-Cap / All-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.