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 03/04/2021
TickerIVOL
Primary Exchange NYSE
CUSIP500767736
ISINUS5007677363
Net Assets$2,242,621,391
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 03/04/2021
Premium Discount Chart
NAV
Net Asset Value$28.35 
Daily Change 0.04%
Price
Market Price $28.29 
Daily Change-0.60%
30 Day Median Bid/Ask Spread
 
Value0.03%
Curve Spread DV01
Data as of 03/04/2021		 $0.0287
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: 02/28/2021		 Fund NAV Closing Price Index
1 Month0.02% 0.76% -1.61%
3 Month4.03% 5.52% -0.15%
6 Month4.52% 4.90% -0.06%
Since Inception20.38% 21.64% 14.50%
Avg Annualized %
Data as of month end: 02/28/2021		 Fund NAV Closing PriceIndex
1 Year14.35% 15.42% 5.85%
Since Inception10.86% 11.51% 7.81%
Avg Annualized %
Data as of quarter end: 12/31/2020		 Fund NAV Closing Price Index
1 Year14.75% 14.70% 10.99%
Since Inception10.87% 10.86% 9.48%
Growth of $10,000
Data as of 03/04/2021

*Fee waivers are contractual and in effect until August 2021

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.

IVOL Key Metrics

Data as of 02/28/2021
30-day SEC Yield0.00%
Unsubsidized 30-day SEC Yield 0.00%

Top 10 Holdings

Data as of 03/05/2021
Full Holdings .CSV
Rank Company Name % of Net Assets Ticker Identifier Type Shares Held Market Value($)
1 SCHWAB U.S. TIPS ETF 84.06% SCHP US8085248701 Mutual Fund 31,705,294 1,933,705,881
2 Cash 9.98% – – Cash 229,589,394 229,589,394
3 USD CMS 2-10 06/15/22 75 1.10% – – Option 440,000 25,269,702
4 USD CMS 2-10 12/14/21 53 0.92% – – Option 250,000 21,158,647
5 USD CMS 2-10 07/12/23 95 0.88% – – Option 750,000 20,143,118
6 USD CMS 2-10 10/12/22 80 0.82% – – Option 400,000 18,892,826
7 USD CMS 2-10 04/11/23 110 0.78% – – Option 800,000 17,992,474
8 USD CMS 2-10 01/25/23 83 0.78% – – Option 450,000 17,894,712
9 USD CMS 2-10 02/13/24 113 0.47% – – Option 700,000 10,704,882
10 USD CMS 2-10 03/02/22 160 0.21% – – Option 450,000 4,932,810

Holdings are subject to change.

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©2021 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, KDFI, KRBN, KVLE, KMLM. Read the prospectus carefully before investing. Please note these links also contain the Funds' top ten holdings, performance, and other important information.

Risk Disclosures:

Investing involves risk, including possible loss of principal. There can be no assurance that a Fund will achieve its stated objectives.

The Funds may invest in derivatives, which are often more volatile than other investments and may magnify the Funds’ gains or losses. A derivative (i.e., futures/forward contracts, swaps, and options) is a contract that derives its value from the performance of an underlying asset. The primary risk of derivatives is that changes in the asset's market value and the derivative may not be proportionate, and some derivatives can have the potential for unlimited losses. Derivatives are also subject to liquidity and counterparty risk. The Funds are non-diversified.

KSCD and KVLE invest in small-capitalization companies. In addition to the normal risks associated with investing, investments in smaller companies typically exhibit higher volatility.

KSCD, KRBN, KVLE, and KMLM are 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.

There is no guarantee that issuers of the stocks held by KSCD, KLCD, and KVLE 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

KRBN relies on the existence of cap and trade regimes. There is no assurance that cap and trade regimes will continue to exist, or that they will prove to be an effective method of reduction in GHG emissions. Changes in U.S. law and related regulations may impact how the way the Fund operates, increase Fund costs and/or change the competitive landscape. Funds may underperform other similar funds that do not consider conscious company/ESG guidelines when making investment decisions.

KRBN and KMLM invest through a subsidiary and are indirectly exposed to the risks associated with the respective Subsidiary’s investments. Since the Subsidiary is organized under the law of the Cayman Islands and is not registered with the SEC under the Investment Company Act of 1940, as such the Fund will not receive all of the protections offered to shareholders of registered investment companies.

The value of a commodity-linked derivative investment typically is based upon the price movements of a physical commodity and may be affected by changes in overall market movements, volatility of the Index, changes in interest rates, or factors affecting a particular industry or commodity.

KRBN, KMLM, and each Funds' subsidiary will be considered commodity pools upon commencement of operations, and each will be subject to regulation under the Commodity Exchange Act and CFTC rules. Commodity pools are subject to additional laws, regulations and enforcement policies, which may increase compliance costs and may affect the operations and performance of the Fund and the Subsidiary. Futures and other contracts may have to be liquidated at disadvantageous times or prices to prevent the Fund from exceeding any applicable position limits established by the CFTC.

Investments in non-U.S. instruments may involve risk of loss due to foreign currency fluctuations and political or economic instability. The Fund’s assets are expected to be concentrated in an industry or group of industries to the extent that the Index concentrates in a particular industry or group of industries. KRBN is non-diversified.

KDFI can invest in bonds generally and high-yield bonds specifically. Bonds and bond funds are subject to interest rate risk and will decline in value as interest rates rise. High yield bonds involve greater risks of default or downgrade and are more volatile than investment grade securities, due to the speculative nature of their investments.

Value Line®, the Value Line® Logo, Timeliness™ and Safety™ are trademarks or registered trademarks of Value Line, Inc. and/or its affiliates in the United States and other countries. Used by permission. This Fund is not sponsored, endorsed, sold or promoted by Value Line Publishing LLC (“VLP”), Value Line, Inc. (“VLI”) or any of their affiliates (collectively, “VL”). VL makes no representation or warranty, express or implied, to the owners and advisors of the KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF or any member of the public regarding the advisability of investing in securities generally or in the KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF particularly. VL’s only relationship to Krane Funds Advisors LLC and 3D/L CAPITAL MANAGEMENT, LLC (“Licensees”) in connection with this KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF is Licensees right to license certain VL service marks and trade names and to use authorized advisory and sub-advisory service providers that license the Value Line® Safety™ Ranking System and the Value Line® Timeliness™ Ranking System (the “Ranks”), which are composed by VL without regard to Licensees, this KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF or any investor. VL has no obligation to take the needs of Licensees or any investor in the KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF into consideration in composing the Ranks. The KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF results may differ from the hypothetical or published results of the Ranks. VL is not responsible for and has not participated in the determination of the prices and composition of the KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF or the timing of the issuance for sale of the KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF or in the calculation of the equations by which the KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF is to be converted into cash. VL MAKES NO WARRANTY AND EXPRESSLY DISCLAIMS ALL WARRANTIES CONCERNING THE RANKS, EXPRESS OR IMPLIED, INCLUDING, BUT NOT LIMITED TO, ANY IMPLIED WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR ANY IMPLIED WARRANTIES ARISING FROM USAGE OF TRADE, COURSE OF DEALING OR COURSE OF PERFORMANCE, AND VL MAKES NO WARRANTY AS TO THE POTENTIAL PROFITS OR ANY OTHER BENEFITS THAT MAY BE ACHIEVED BY USING THE RANKS OR ANY INFORMATION OR MATERIALS GENERATED THEREFROM. VL DOES NOT WARRANT THAT THE RANKS WILL MEET ANY REQUIREMENTS OR THAT IT WILL BE ACCURATE OR ERROR-FREE. VL ALSO DOES NOT GUARANTEE ANY USES, INFORMATION, DATA OR OTHER RESULTS GENERATED FROM THE RANKS. VLP HAS NO OBLIGATION OR LIABILITY (I) IN CONNECTION WITH THE ADMINISTRATION, MARKETING OR TRADING OF THIS KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF; OR (II) FOR ANY LOSS, DAMAGE, COST OR EXPENSE SUFFERED OR INCURRED BY ANY INVESTOR OR OTHER PERSON OR ENTITY IN CONNECTION WITH THIS KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF, AND IN NO EVENT SHALL VL BE LIABLE FOR ANY LOST PROFITS OR OTHER CONSEQUENTIAL, SPECIAL, PUNITIVE, INCIDENTAL, INDIRECT OR EXEMPLARY DAMAGES IN CONNECTION WITH THIS KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF, EVEN IF IT HAS BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY OR OTHERWISE. THE LICENSING AGREEMENT TO WHICH KRANE FUNDS ADVISORS, LLC AND 3D/L CAPITAL MANAGEMENT, LLC ARE PARTIES (COLLECTIVELY THE “LICENSEES”) IS SOLELY FOR THEIR BENEFIT AND THE BENEFIT OF VL AND EAM, AND NOT FOR THE BENEFIT OF ANY OTHER OWNERS OF THE KFA 3D/L VALUE LINE® DYNAMIC CORE EQUITY INDEX ETF OR ANY OTHER THIRD PARTIES.

Fund shares are bought and sold on an exchange at market price (not NAV) and are not individually redeemed from the Fund. However, shares may be redeemed at NAV directly by certain authorized broker-dealers (Authorized Participants) in very large creation/redemption units. The returns shown do not represent the returns you would receive if you traded shares at other times. Shares may trade at a premium or discount to their NAV in the secondary market. Brokerage commissions will reduce returns. Beginning 12/23/2020, market price returns are based on the official closing price of an ETF share or, if the official closing price isn't available, the midpoint between the national best bid and national best offer ("NBBO") as of the time the ETF calculates the current NAV per share. Prior to that date, market price returns were based on the midpoint between the Bid and Ask price. NAVs are calculated using prices as of 4:00 PM Eastern Time.

The KFA Funds 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 Funds, or any sub-advisers for the Funds.

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