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 09/24/2020
TickerIVOL
Primary Exchange NYSE
CUSIP500767736
ISINUS5007677363
Net Assets$549,398,698
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 09/24/2020
Premium Discount Chart
NAV
Net Asset Value$27.27 
Daily Change -0.19%
Price
Closing Price $27.40 
Daily Change0.11%
Curve Spread DV01
Data as of 09/24/2020
$0.0306
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.

Performance History

Distributions
Cumulative %
Data as of: 08/31/2020
Fund NAV Closing Price Index
1 Month2.34% 2.93% 1.09%
3 Month4.47% 4.56% 4.57%
6 Month9.40% 10.03% 5.91%
Since Inception15.18% 15.96% 14.57%
Avg Annualized %
Data as of month end: 08/31/2020
Fund NAV Closing PriceIndex
1 Year10.98% 11.47% 8.99%
Since Inception11.50% 12.08% 10.99%
Avg Annualized %
Data as of quarter end: 06/30/2020
Fund NAV Closing Price Index
1 Year8.07% 8.56% 8.28%
Since Inception10.38% 11.20% 9.45%

*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.

IVOL Key Metrics

Data as of 08/31/2020
30-day SEC Yield0.00%
Unsubsidized 30-day SEC Yield 0.00%

Top 10 Holdings

Data as of 09/24/2020
Full Holdings .CSV
RankCompany Name% of Net AssetsTickerShares HeldMarket Value($)
1
SCHWAB U.S. TIPS ETF
87.7%SCHP7,914,552486,586,657
2
CASH
7.44%41,303,24041,303,240
3
USD CMS 2-10 03/16/22 46E
0.93%180,0005,155,303
4
USD CMS 2-10 12/14/21 53
0.73%185,0004,075,061
5
USD CMS 2-10 09/15/21 51
0.73%195,0004,033,924
6
USD CMS 2-10 08/03/21 31
0.72%125,0004,005,495
7
USD CMS 2-10 01/27/22 33
0.65%100,0003,608,388
8
USD CMS 2-10 11/01/21 43
0.58%120,0003,234,640
9
USD CMS 2-10 06/28/21 39
0.3%65,0001,636,925
10
USD CMS 2-10 05/13/21 30
0.22%40,0001,212,155

Holdings are subject to change.