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 06/18/2021
TickerIVOL
Primary ExchangeNYSE
CUSIP500767736
ISINUS5007677363
Net Assets$3,365,337,269
Total Annual Fund Operating Expense (Gross) 1.04%
Total Annual Fund Operating Expense (Net) 0.99%*
Inception Date5/13/2019
Distribution FrequencyMonthly

Daily Performance

Data as of 06/18/2021
Premium Discount Chart
NAV
Net Asset Value$27.66 
Daily Change -0.74%
Price
Market Price $0.00 
Daily Change0.00%
30 Day Median Bid/Ask Spread
 
Value0%
Curve Spread DV01
Data as of 06/18/2021
$0.0215
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: 05/31/2021
Fund NAV Closing Price Index
1 Month0.48% 0.48% 1.21%
3 Month2.05% 1.05% 2.43%
6 Month6.16% 6.62% 2.28%
Since Inception22.84% 22.91% 17.29%
Avg Annualized %
Data as of month end: 05/31/2021
Fund NAV Closing PriceIndex
1 Year11.42% 10.83% 7.05%
Since Inception10.57% 10.59% 8.08%
Avg Annualized %
Data as of quarter end: 03/31/2021
Fund NAV Closing Price Index
1 Year13.65% 14.74% 7.54%
Since Inception10.93% 11.15% 7.34%
Growth of $10,000
Data as of 06/18/2021

*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 05/31/2021
30-day SEC Yield0.00%
Unsubsidized 30-day SEC Yield 0.00%

Top 10 Holdings

Data as of 06/18/2021
Full Holdings .CSV
Rank Company Name % of Net Assets Ticker Identifier Type Shares Held Market Value($)
1 SCHWAB U.S. TIPS ETF 88.02% SCHP US8085248701 Mutual Fund 47,258,208 2,934,734,717
2 Cash 8.63% Cash 287,589,670 287,589,670
3 USD CMS 2-10 07/12/23 95 0.60% Option 1,500,000 20,073,714
4 USD CMS 2-10 01/25/23 83 0.53% Option 900,000 17,786,418
5 USD CMS 2-10 12/14/21 53 0.38% Option 250,000 12,702,473
6 USD CMS 2-10 06/15/22 75 0.37% Option 440,000 12,371,529
7 USDCMS2-10 12/01/2022 115 0.36% Option 1,200,000 11,958,164
8 USD CMS 2-10 10/12/22 80 0.28% Option 400,000 9,203,475
9 USD CMS 2-10 02/13/24 113 0.27% Option 1,100,000 8,876,365
10 USD CMS 2-10 04/11/23 110 0.24% Option 800,000 8,150,850

Holdings are subject to change.