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Overview

Performance

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
Premium Discount Chart

Daily Performance

Data as of 12/05/2022
Daily Net Asset Value (NAV) and Market Price
NAV $23.08
NAV Daily Change -0.92%
Market Price $23.03
Market Price Daily Change -0.90%
30 Day Median Bid/Ask Spread
0.09%
Curve Spread DV01
Data as of 12/05/2022
$0.0354
Distributions

Performance History

Cumulative %
Data as of: 11/30/2022
Fund NAV Closing Price Index
1 Month 2.83% 0.97% 1.83%
3 Month -1.77% -3.02% -3.73%
6 Month -7.37% -9.83% -5.31%
Since Inception 5.39% 3.34% 9.46%
Avg Annualized %
Data as of month end: 11/30/2022
Fund NAV Closing Price Index
1 Year -11.27% -12.79% -10.66%
3 Year 1.12% 0.28% 1.68%
Since Inception 1.49% 0.93% 2.58%
Avg Annualized %
Data as of quarter end: 09/30/2022
Fund NAV Closing Price Index
1 Year -16.95% -17.44% -11.57%
3 Year -0.54% -0.85% 0.79%
Since Inception 0.14% 0.00% 1.79%

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.

Growth of $10,000

Data as of 12/05/2022

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 12/06/2022 Full Holdings .CSV
Rank Name % of Net Assets Ticker Identifier Type Shares Held Market Value($)
1 SCHWAB U.S. TIPS ETF 84.34% SCHP US8085248701 Mutual Fund 16,843,139 896,897,152
2 USD CMS 2-10 11/13/24 30 3.82% Option 1,075,000 40,612,205
3 USD CMS 2-10 06/19/24 48 3.65% Option 1,550,000 38,827,819
4 Cash 2.97% Cash 31,552,839 31,552,839
5 USD CMS 2-10 09/17/25 08 1.78% Option 350,000 18,931,813
6 USD CMS 2-10 03/13/25 27 1.61% Option 400,000 17,097,786
7 USD CMS 2-10 11/28/23 000 1.07% Option 500,000 11,352,973
8 USD CMS 2-10 10/03/23 45 0.37% Option 500,000 3,924,965
9 USD CMS 2-10 04/19/23 -25 0.27% Option 650,000 2,891,330
10 USD CMS 2-10 07/12/23 95 0.12% Option 1,100,000 1,262,716

Holdings are subject to change.