IVOL
Quadratic Intrst Rt Vol & Infl H ETF
Bloomberg US Treasury US TIPS TR USD
NAV as of
4 Week: 20.60 - 23.83
52 Week: 20.60 - 26.42
Latest Closing Price
23.69
Premium / Discount
-0.48
Expense Ratio
1.03%
Investment Objective
The investment seeks to hedge relative interest rate movements, whether these movements arise from falling short-term interest rates or rising long-term interest rates, and to benefit from market stress when fixed income volatility increases, while providing the potential for enhanced inflation-protected income. The fund is actively managed and seeks to achieve its investment objective primarily by investing, directly or indirectly, in a mix of U.S. Treasury Inflation-Protected Securities ("TIPS") and long options tied to the shape of the U.S. interest rate curve. It is non-diversified.
Main Fund Characteristics
Performance
| Period | Performance Returns(%) | Volatility(%) | Risk Adjusted Performance |
|---|---|---|---|
| YTD | 4.78 | 1.62 | 2.94 |
| 1 Day | -0.59 | 0.00 | 0.00 |
| 1 Week | 1.67 | 5.06 | 0.33 |
| 1 Month | 14.06 | 10.89 | 1.29 |
| 3 Months | 4.59 | 12.46 | 0.37 |
| 6 Months | 6.62 | 14.74 | 0.45 |
| 1 Year | -9.16 | 18.52 | -0.49 |
| 2 Years | -17.28 | 20.10 | -0.86 |
| 3 Years | -8.85 | 21.65 | -0.41 |
| 5 Years | 0.00 | 0.00 | 0.00 |
| 10 Years | 0.00 | 0.00 | 0.00 |
Price History
Annual Performance Return
| 2013 | 2014 | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | |
| Price (%) | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 14.7466 | -0.0907 | -12.7549 |
| Nav (%) | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| Rank | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 8.0000 | 100.0000 | 83.0000 |
Dividend Frequency
Lastest Dividend
| Ex Date | Payment Date | Dividend Payout per unit |
|---|---|---|
| N.A | ||
Portfolio Data
Total Number of Holdings: 12
Number of Bond Holdings: 9
Number of Equity Holdings: 0
Total Market Value: 824,045,273
Portfolio Composition
Top 10 Holdings
| % Portfolio Weight | Shares Owned | Shares Changed | Market Value | ||
|---|---|---|---|---|---|
| 1 | Schwab US TIPS ETF™ | 86.1707 | 1,866,802 | 0 | 110,533,346 |
| 2 | Cash | 7.9447 | 10,190,860 | 0 | 10,190,860 |
| 3 | Usd Cms 2-10 06/28/21 39 | 1.2551 | 65,000 | 0 | 1,609,919 |
| 4 | Usd Cms 2-10 08/03/21 31 | 1.0920 | 46,000 | 0 | 1,400,702 |
| 5 | Usd Cms 2-10 05/13/21 30 | 0.9391 | 40,000 | 0 | 1,204,556 |
| 6 | Usd Cms 2-10 01/27/22 33 | 0.7379 | 30,000 | 0 | 946,474 |
| 7 | USD CMS 2-10 11/01/21 43 | 0.6817 | 35,000 | 0 | 874,406 |
| 8 | USD CMS 2-10 09/15/21 51 | 0.6192 | 40,000 | 0 | 794,230 |
Country Exposure
Regional Exposure
America
Greater Europe
Greater Asia
Market Classification
Market Capitalization
| Size | % of portfolio |
|---|---|
| N.A | |
Equity Style Box Breakdown
| 0 | 0 | 0 | Large |
| 0 | 0 | 0 | Mid |
| 0 | 0 | 0 | Small |
| Value | Blend | Growth |
Value Measures
Price/Prospective Earnings*
0.0000
Price/Book*
0.0000
Price/Sales*
0.0000
Price/Cash Flow*
0.0000
Dividend Yield*
0.0000
Growth Measures
Long-Term Earnings
0.0000
Historical Earnings
0.0000
Sales Growth
0.0000
Cash-Flow Growth
0.0000
Book-Value Growth
0.0000
*Forward-looking based on historical data.
Equity Sector
Number of Bond Holdings
9
Bond Statitics
| Detail | Value |
|---|---|
| Average Effective Duration | 6.59 |
| Average Effective Maturity (Years)* | 7.10 |
| Average Credit Quality | 1.00 |
| Average Weighted Coupon* | 0.72 |
| Average Weighted Price* | 96.12 |
Bond Style Box Breakdown
| 0 | 0 | 0 | High | Quality |
| 0 | 0 | 0 | Med | |
| 0 | 0 | 0 | Low | |
| Ltd | Mod | Ext | ||
| Interest-Rate Sensitivity | ||||
Credit Quality
| Type | % Bonds |
|---|---|
| AAA | 100.00 |
| AA | 0.00 |
| A | 0.00 |
| BBB | 0.00 |
| BB | 0.00 |
| B | 0.00 |
| Below B | 0.00 |
| Not Rated | 0.00 |
Bond Sector
Bond Maturity
| % Bonds | |
|---|---|
| 1 to 3 Years | 35.30 |
| 3 to 5 Years | 19.49 |
| 5 to 7 Years | 10.98 |
| 7 to 10 Years | 14.30 |
| 10 to 15 Years | 0.00 |
| 15 to 20 Years | 3.34 |
| 20 to 30 Years | 7.97 |
| Over 30 Years | 0.00 |
| 1 to 7 Days | 0.00 |
| 8 to 30 Days | 0.34 |
| 31 to 90 Days | 0.00 |
| 91 to 182 Days | 0.25 |
| 183 to 364 Days | 2.68 |
Data Source: Morningstar
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