Overview

Performance

Distributions

Growth of $10,000

Holdings

Fund Documents

Overview

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 09/20/2023
Ticker IVOL
Primary Exchange NYSE
CUSIP 500767736
ISIN US5007677363
Net Assets $916,850,626
Total Annual Fund Operating Expense 1.03%
Inception Date 5/13/2019
Distribution Frequency Monthly
Monthly Historical Distribution (Minimum) 0.30%
IVOL has paid a steady monthly distribution of at least 30 bps for 3 years in a row. Some distributions include a partial return of capital. Past performance is no guarantee of future results.
Premium Discount Chart

Daily Performance

Data as of 09/20/2023
Daily Net Asset Value (NAV) and Market Price
NAV $19.93
NAV Daily Change -0.60%
Market Price $19.96
Market Price Daily Change -0.20%
30 Day Median Bid/Ask Spread
0.05%
Curve Spread DV01
Data as of 09/20/2023 		$0.0279
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

Cumulative %
Data as of: 08/31/2023
Fund NAV Closing Price Index
1 Month 0.35% 0.01% -0.89%
3 Month -7.43% -7.69% -1.10%
6 Month -0.40% -0.07% 0.65%
YTD -7.05% -7.02% 1.09%
Since Inception -4.12% -4.27% 9.52%
Avg Annualized %
Data as of month end: 08/31/2023
Fund NAV Closing Price Index
1 Year -10.64% -10.16% -3.68%
3 Year -5.93% -6.19% -1.49%
Since Inception -0.97% -1.01% 2.14%
Avg Annualized %
Data as of quarter end: 06/30/2023
Fund NAV Closing Price Index
1 Year -15.77% -15.80% -1.40%
3 Year -5.08% -5.41% -0.12%
Since Inception -1.07% -1.12% 2.42%

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.

Distribution History

2023 Distributions and Calendar
Ex-Date Record Date Payable Date Amount
01/27/2023 01/30/2023 01/31/2023 0.067006
02/24/2023 02/27/2023 02/28/2023 0.063678
03/29/2023 03/30/2023 03/31/2023 0.068946
04/26/2023 04/27/2023 04/28/2023 0.071330
05/26/2023 05/30/2023 05/31/2023 0.067176
06/28/2023 06/29/2023 06/30/2023 0.062450
07/27/2023 07/28/2023 07/31/2023 0.062034
08/29/2023 08/30/2023 08/31/2023 0.061252
09/27/2023 09/28/2023 09/29/2023
10/27/2023 10/30/2023 10/31/2023
11/28/2023 11/29/2023 11/30/2023

Future calendar dates are subject to change. There is no guarantee that dividends will be paid. Past distributions are not indicative of future trends. This material is provided for educational purposes only and does not constitute investment advice.

2022 Distributions
Ex-Date Record Date Payable Date Amount
01/27/2022 01/28/2022 01/31/2022 0.078293
02/24/2022 02/25/2022 02/28/2022 0.078043
03/29/2022 03/30/2022 03/31/2022 0.077769
04/27/2022 04/28/2022 04/29/2022 0.077355
05/26/2022 05/27/2022 05/31/2022 0.077099
06/28/2022 06/29/2022 06/30/2022 0.076566
07/27/2022 07/28/2022 07/29/2022 0.076400
08/29/2022 08/26/2022 08/31/2022 0.072270
09/28/2022 09/29/2022 09/30/2022 0.067379
10/27/2022 10/28/2022 10/31/2022 0.067992
11/28/2022 11/29/2022 11/30/2022 0.067840
12/28/2022 12/29/2022 12/30/2022 0.068175
2021 Distributions
Ex-Date Record Date Payable Date Amount
01/27/2021 01/28/2021 01/29/2021 0.085016
02/24/2021 02/25/2021 02/26/2021 0.086360
03/29/2021 03/30/2021 03/31/2021 0.086199
04/28/2021 04/29/2021 04/30/2021 0.085347
05/26/2021 05/27/2021 05/28/2021 0.086243
06/28/2021 06/29/2021 06/30/2021 0.083414
07/28/2021 07/29/2021 07/30/2021 0.084660
08/27/2021 08/30/2021 08/31/2021 0.083645
09/28/2021 09/29/2021 09/30/2021 0.083150
10/27/2021 10/28/2021 10/29/2021 0.083365
11/26/2021 11/29/2021 11/30/2021 0.081592
12/29/2021 12/30/2021 12/31/2021 0.126905
2020 Distributions
Ex-Date Record Date Payable Date Amount
01/29/2020 01/30/2020 01/31/2020 0.075724
02/26/2020 02/27/2020 02/28/2020 0.076128
03/27/2020 03/30/2020 03/31/2020 0.078542
04/28/2020 04/29/2020 04/30/2020 0.079430
05/27/2020 05/28/2020 05/29/2020 0.079475
06/26/2020 06/29/2020 06/30/2020 0.081006
07/29/2020 07/30/2020 07/31/2020 0.080821
08/27/2020 08/28/2020 08/31/2020 0.082363
09/28/2020 09/29/2020 09/30/2020 0.081847
10/28/2020 10/29/2020 10/30/2020 0.082285
11/25/2020 11/27/2020 11/30/2020 0.081926
12/29/2020 12/30/2020 12/31/2020 0.084020
2019 Distributions
Ex-Date Record Date Payable Date Amount
07/29/2019 07/30/2019 07/31/2019 0.077430
08/28/2019 08/29/2019 08/30/2019 0.077521
09/26/2019 09/27/2019 09/30/2019 0.076560
10/29/2019 10/30/2019 10/31/2019 0.075992
11/26/2019 11/27/2019 11/29/2019 0.075710
12/27/2019 12/30/2019 12/31/2019 0.128170

IVOL Key Metrics

Data as of 09/20/2023
30-day SEC Yield 2.10%
Unsubsidized 30-day SEC Yield 2.10%

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. It includes any TIPS principal adjustment from inflation as income. An exceptionally high 30-day SEC yield may be attributable to a rise in the inflation rate, which may not be repeated. Unsubsidized yield does not adjust for any fee waivers and/or expense reimbursements in effect.

Growth of $10,000

Data as of 09/20/2023

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.

Top 10 Holdings

Data as of 09/20/2023 Full Holdings .CSV
Rank Name % of Net Assets Ticker Identifier Type Shares Held Market Value($)
1 SCHWAB U.S. TIPS ETF 82.43% SCHP US8085248701 Mutual Fund 14,842,234 757,844,468
2 Cash 6.21% – – Cash 57,112,285 57,112,285
3 USD CMS 2-10 04/08/2026 5 2.64% – – Option 500,000 24,303,574
4 USD CMS 2-10 11/13/24 30 2.02% – – Option 1,075,000 18,570,694
5 USD CMS 2-10 07/15/26 10 1.55% – – Option 300,000 14,208,861
6 USD CMS 2-10 09/17/25 08 1.54% – – Option 350,000 14,135,749
7 USD CMS 2-10 04/14/27 20 1.47% – – Option 300,000 13,486,766
8 USD CMS 2-10 03/13/25 27 1.10% – – Option 400,000 10,142,124
9 USD CMS 2-10 06/19/24 48 0.94% – – Option 1,550,000 8,650,569
10 USD CMS 2-10 11/28/23 -40 0.10% – – Option 375,000 886,979

Holdings are subject to change.

Fund Documents

©2023 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: www.kfafunds.com. Read the prospectus carefully before investing.

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 Fund may invest in derivatives, which are often more volatile than other investments and may magnify the Fund’s 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 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. Counterparty risk is the risk of loss in the event that the counterparty to an agreement fails to make required payments or otherwise comply with the terms of the derivative.

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 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. 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’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. IVOL is non-diversified.

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 and 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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