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BNDD

The Quadratic Deflation ETF

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Investment Strategy:

The BNDD ETF is an ESG fixed income ETF that seeks to benefit from lower growth, deflation, lower or negative long-term interest rates, and/or a reduction in the spread between shorter and longer term interest rates by investing in US Treasuries and options.

The Debt Machine is Challenging Investors

  • Demographics: Declining birth rates & a shrinking population tend to cause the costs of government programs to be spread over fewer people.
  • Extreme-Indebtedness: While many believe stimulus spurs growth, it has ballooned the federal debt to well beyond 100% of GDP, reaching levels never seen outside of wartime.
  • Lower for Longer “Japan 2.0”: Global long term interest rates have plummeted over the past three decades amid a surge in sovereign debt issuance, which may incentivize central banks to keep interest rates “lower for longer.”

BNDD: Built to Help Investors Navigate the Debt Machine

Unique Access:

  • Provides access to OTC fixed income options market which is typically not available to investors directly.

Asymmetric Upside:

  • Has the potential for enhanced returns in periods of lower growth.
  • The portfolio’s option downside is limited to the market value of the options.

Portfolio Diversification:

  • A potential diversifier to a traditional 60/40 portfolio.
  • Bonds have historically increased during large equity sell-offs.
  • The options held by the fund could also serve as a market hedge when policy rates are close to zero.

Fund Details

Data as of 06/30/2022
Ticker BNDD
Primary Exchange NYSE
CUSIP 500767587
ISIN US5007675870
Net Assets $65,983,914
Total Annual Fund Operating Expense (Gross) 1.04%
Total Annual Fund Operating Expense (Net) 0.99%*
Inception Date 9/21/2021
Distribution Frequency Monthly

Daily Performance

Data as of 06/30/2022
Premium Discount Chart
NAV
Net Asset Value$22.56 
Daily Change -0.17%
Price
Market Price $22.56 
Daily Change 0.32%
30 Day Median Bid/Ask Spread
 
0.31%
Curve Spread DV01
Data as of 07/04/2022
$-0.0131
Curve Spread DV01 is the sensitivity of the fund’s OTC options to a 0.01% change in the steepness of the US interest rate curve.

The ETF’s 30 Day Median Bid-Ask Spread is calculated by identifying the ETF’s national best bid and national best offer ("NBBO") as of the end of each 10 second interval during each trading day of the last 30 calendar days and dividing the difference between each such bid and offer by the midpoint of the NBBO. The median of those values is identified and that value is expressed as a percentage rounded to the nearest hundredth.

Performance History

Distributions
Cumulative %
Data as of: 06/30/2022
Fund NAV Closing Price Index
1 Month -0.76% -0.36% -1.47%
3 Month -11.56% -11.14% -11.93%
6 Month -12.03% -11.96% -21.25%
Since Inception -7.16% -7.16% -22.22%
Cumulative %
Data as of quarter end: 06/30/2022
Fund NAV Closing Price Index
Since Inception -7.16% -7.16% -22.22%
Growth of $10,000
Data as of 06/30/2022

*Fee waivers are contractual and in effect until August 1, 2022

The performance data quoted represents past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when sold or redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance quoted.

The Growth of $10,000 chart reflects an initial investment of $10,000 on the day prior to the selected time period and assumes reinvestment of dividends and capital gains. For the growth of $10,000 chart since inception, the initial investment of $10,000 is instead made on the inception date of the Fund. Fund expenses, including management fees and other expenses were deducted. The growth of a $10,000 investment in the fund is hypothetical and for illustration purposes only.

BNDD Key Metrics

Data as of 06/30/2022
30-day SEC Yield 1.17%
Unsubsidized 30-day SEC Yield 1.12%

30-day SEC Yield (Subsidized/Unsubsidized) is a standard yield calculation developed by the U.S. Securities and Exchange Commission (SEC) that allows for fairer comparisons of bond funds. It is based on the most recent 30-day period covered by the fund's filings with the SEC. Unsubsidized yield does not adjust for any fee waivers and/or expense reimbursements in effect.

Top 10 Holdings

Data as of 07/01/2022
Full Holdings .CSV
Rank Name % of Net Assets Ticker Identifier Type Shares Held Market Value($)
1 VANGUARD LT TREA 82.32% VGLT US92206C8477 Mutual Fund 751,209 53,148,037
2 Cash 11.55% Cash 7,457,395 7,457,395
3 USD CMS 2-30 03/12/25 20 4.33% Option 55,000 2,798,519
4 USD CMS 2-30 05/07/24 1 1.80% Option 30,000 1,159,217

Holdings are subject to change.