IVOL

The Quadratic Interest Rate Volatility and Inflation Hedge ETF

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Investment Strategy:

IVOL is a first-of-its-kind ETF which is designed to hedge the risk of an increase in fixed income volatility and/or an increase in inflation expectations. It also seeks to profit from a steepening of the yield curve, whether that occurs via rising long-term interest rates or falling short term interest rates, which are historically associated with large equity market declines.

What makes IVOL unique is that it is long interest rate volatility via its access to the OTC fixed income options market. No other active or passive ETF has provided its investors access to this market before. This access is the key to IVOL’s many applications and allows it to potentially benefit from normalization of the yield curve while seeking to provide inflation-protection.

IVOL also provides inflation-protected income.

About the IVOL ETF:

  • Expertise in options and volatility markets: IVOL is managed by Quadratic Capital Management, an innovative alternative asset management firm founded in 2013 by Nancy Davis. The firm’s expertise in the options and volatility markets allow us to construct portfolios that seek to mitigate the downside risk of the strategy while maintaining upside potential.
  • Attractive risk/reward profile: IVOL seeks to protect purchasing power, mitigate inflation risk, profit from an increase in volatility and a steepening of the yield curve, and provide inflation-protected income. At the same time, the fund looks to provide investors with access to the OTC interest rate options market – a market largely not previously available to individual investors – to provide structured solutions that offer an attractive risk/reward profile.
  • Allows for innovative strategies: We believe the OTC Swap/Options market offers an attractive combination of inefficiency and liquidity which allows for the creation of innovative strategies previously only largely available to sophisticated institutional investors. The use of options can provide the opportunity for products to be constructed with known downside risk and strong upside return potential

Fund Details

Data as of 11/08/2019
TickerIVOL
Primary Exchange NYSE
CUSIP500767736
ISINUS5007677363
Net Assets$78,083,953
Total Annual Fund Operating Expense (Gross) 1.04%
Total Annual Fund Operating Expense (Net) 0.99%*
Inception Date5/13/2019
Distribution FrequencyMonthly

Fund Documents

Daily Performance

Data as of 11/08/2019
Premium Discount Chart
NAV
Net Asset Value$25.19 
Daily Change 0.05%
Price
Closing Price $25.33 
Daily Change-0.39%
Curve Spread DV01
Data as of 11/08/2019		 $0.0291
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.

Performance History

Distributions
Cumulative %
Data as of: 10/31/2019		 Fund NAV Closing Price Index
1 Month-0.01% -0.21% 0.26%
3 Month-0.36% -0.63% 1.24%
6 Month– – 4.17%
Since Inception2.10% 2.38% 3.95%
Cumulative %
Data as of quarter end: 09/30/2019		 Fund NAV Closing Price Index
Since Inception2.12% 2.60% 3.69%

*Fee waivers are contractual and in effect until August 2020

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.

IVOL Key Metrics

Data as of 10/31/2019
30-day SEC Yield0.48%
Unsubsidized 30-day SEC Yield0.48%

Top 10 Holdings

Data as of 11/08/2019
Full Holdings .CSV
RankCompany Name% of Net AssetsTickerShares HeldMarket Value($)
1
SCHWAB U.S. TIPS ETF
87.04%SCHP1,245,52170,160,198
2
CASH
10.07%–8,120,0828,120,082
3
USD CMS 2-10 12/21/20 21
1.33%–65,0001,071,580
4
USD CMS 2-10 8/11/20 14
0.53%–25,000427,242
5
USD CMS 2-10 07/17/20 37
0.3%–45,000243,101
6
USD CMS 2-10 07/06/20 32
0.3%–35,000237,605
7
USD CMS 2-10 07/27/20 27
0.29%–25,000235,292
8
USD CMS 2-10 06/03/20 50
0.13%–60,000107,689

Holdings are subject to change.

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©2019 Krane Funds Advisors, LLC
280 Park Avenue, 32nd Floor, New York, NY 10017

Carefully consider the Funds' investment objectives, risk factors, charges and expenses before investing. This and additional information can be found in the Funds' full & summary prospectus, which may be obtained here: KLCD, KSCD, IVOL. Read the prospectus carefully before investing. Please note these links also contain the fund's current top ten holdings.

Investing involves risk, including possible loss of principal. There can be no assurance that a Fund will achieve its stated objectives. ETF shares are not redeemable with the issuing fund other than in large Creation Unit aggregations. Instead, investors must buy or sell ETF Shares in the secondary market with the assistance of a stockbroker. In doing so, the investor may incur brokerage commissions and may pay more than net asset value when buying and receive less than net asset value when selling. The NAV of the Fund’s shares is calculated each day the national securities exchanges are open for trading as of the close of regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time (the “NAV Calculation Time”). Shares are bought and sold at market price (closing price) not NAV. Market price returns are based on the midpoint of the bid/ask spread at 4:00 pm Eastern Time (when NAV is normally determined).

The Funds may invest in derivatives, which are often more volatile than other investments and may magnify the Funds’ gains or losses.

KSCD invests in small-capitalization companies. In addition to the normal risks associated with investing, investments in smaller companies typically exhibit higher volatility. KSCD is subject to liquidity risk, meaning that certain investments may become difficult to purchase or sell at a reasonable time and price. If a transaction for these securities is large, it may not be possible to initiate which may cause the Fund to suffer losses. The Funds are non-diversified.

There is no guarantee that issuers of the stocks held by the Fund will declare dividends in the future or that, if declared, such dividends will remain at current levels or increase over time.

IVOL’s derivatives investments involve risks. The derivatives used by IVOL may give rise to a form of leverage. Leverage magnifies the potential for gain and the risk of loss. The prices of options can be highly volatile and the use of options can lower total returns. OTC options generally have more flexible terms negotiated between the buyer and the seller. As a result, such instruments generally are subject to greater credit risk and counterparty risk. OTC instruments also may be subject to greater liquidity risk. Investments in debt securities typically decrease in value when interest rates rise. This risk is usually greater for longer term debt securities. IVOL seeks to mitigate the risk associated with the potential impact of a steepening swap curve (“curve risk”) on the performance of U.S. government bonds by investing in products designed to appreciate in value when the swap curve steepens. IVOL’s use of such instruments is intended to mitigate the curve risk and is not intended to mitigate credit risk, or non-curve interest rate risk. There is no guarantee that IVOL’s investments will completely eliminate the curve or inflation risk of the long positions in U.S. government bonds. In addition, when the swap curve flattens, the Fund’s investments will generally underperform a portfolio comprised solely of the U.S. government bonds. In a flattening curve environment, IVOL’s hedging strategy could result in disproportionately larger losses in IVOL’s options as compared to gains or losses in the U.S. government bond positions attributable to interest rate changes. IVOL’s exposure to derivatives tied to interest rates subjects IVOL to greater volatility than investments in traditional securities, such as stocks and bonds. Investing in derivatives tied to interest rates, including through options tied to the shape of the swap curve, is speculative and can be extremely volatile. IVOL is non-diversified.

There are risks involved with investing in options including total loss of principal. Options investing is not suitable for all investors. This fund utilizes sophisticated options strategies which may not be suitable for all investors. For a more comprehensive discussion of the risks involved in options investing, please review Characterizations and Risks of Standardized Options available at www.theocc.com/about/publications/character-risks.jsp or contact the Options Clearing Corporation directly at 1 N. Wacker Dr., Suite 500, Chicago, IL 60606. (1-888-678-4667)

Based on Bloomberg reporting as of 5/8/2019, IVOL is the only US derivative based ETF to utilize OTC interest rate volatility options

The KFA ETFs are distributed by SEI Investments Distribution Company (SIDCO), 1 Freedom Valley Drive, Oaks, PA 19456, which is not affiliated with Krane Funds Advisors, LLC, the Investment Adviser for the Fund

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