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 12/06/2021
TickerIVOL
Primary ExchangeNYSE
CUSIP500767736
ISINUS5007677363
Net Assets$3,213,842,194
Total Annual Fund Operating Expense 1.05%
Inception Date5/13/2019
Distribution FrequencyMonthly

Fund Documents

Daily Performance

Data as of 12/06/2021
Premium Discount Chart
NAV
Net Asset Value$27.03 
Daily Change -0.37%
Price
Market Price $27.01 
Daily Change-0.33%
30 Day Median Bid/Ask Spread
 
Value0.04%
Curve Spread DV01
Data as of 12/06/2021 		$0.0288
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: 11/30/2021		 Fund NAV Closing Price Index
1 Month-0.54% -0.65% 0.89%
3 Month-2.12% -2.27% 1.31%
6 Month-3.31% -3.59% 4.46%
Since Inception18.78% 18.49% 22.52%
Avg Annualized %
Data as of month end: 11/30/2021		 Fund NAV Closing PriceIndex
1 Year2.65% 2.79% 6.83%
Since Inception6.98% 6.88% 8.28%
Avg Annualized %
Data as of quarter end: 09/30/2021		 Fund NAV Closing Price Index
1 Year5.76% 5.36% 5.19%
Since Inception8.32% 8.38% 7.97%
Growth of $10,000
Data as of 12/06/2021

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 11/30/2021
30-day SEC Yield2.04%
Unsubsidized 30-day SEC Yield 2.04%

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 12/06/2021
Full Holdings .CSV
Rank Name % of Net Assets Ticker Identifier Type Shares Held Market Value($)
1 SCHWAB U.S. TIPS ETF 91.41% SCHP US8085248701 Mutual Fund 46,464,165 2,928,636,320
2 Cash 3.47% – – Cash 111,135,291 111,135,291
3 USD CMS 2-10 05/23/23 13 1.07% – – Option 1,050,000 34,125,000
4 USD CMS 2-10 06/19/24 48 0.89% – – Option 1,550,000 28,397,393
5 USD CMS 2-10 11/13/24 30 0.70% – – Option 825,000 22,430,080
6 USD CMS 2-10 11/28/23 000 0.58% – – Option 500,000 18,594,515
7 USD CMS 2-10 12/13/23 40 0.44% – – Option 775,000 14,184,400
8 USD CMS 2-10 10/03/23 45 0.25% – – Option 500,000 7,980,644
9 USD CMS 2-10 07/12/23 95 0.23% – – Option 1,500,000 7,485,567
10 USD CMS 2-10 03/01/23 63 0.19% – – Option 600,000 6,025,258

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 and summary prospectus, which may be obtained by visiting: KWEB, KBA, KURE, KFYP, KGRN, KALL, KBND, KHYB, OBOR, KARS, KEMQ, KMED, KEMX, KESG, KSTR, KFVG, KBUY, KRBN, KTEC, KEUA, KCCA, KGRO, KLCD, KSCD, IVOL, BNDD, KVLE, KMLM, KUASX, KUAIX. 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. Indices are unmanaged and do not include the effect of fees. One cannot invest directly in an index.

This information should not be relied upon as research, investment advice, or a recommendation regarding any products, strategies, or any security in particular. This material is strictly for illustrative, educational, or informational purposes and is subject to change. Certain content represents an assessment of the market environment at a specific time and is not intended to be a forecast of future events or a guarantee of future results; material is as of the dates noted and is subject to change without notice.

The derivatives used by the Fund 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 ca n 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. The Fund 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 Fund’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 the Fund’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, the Fund’s hedging strategy could result in disproportionately larger losses in the Fund’s options as compared to gains or losses in the U.S. government bond positions attributable to interest rate changes. The Fund 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 Fund’s exposure to derivatives tied to interest rates subjects the Fund 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.

ETF 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 KraneShares ETFs, KFA Funds ETFs, and KraneShares Mutual Funds 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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