KraneShares Global Carbon Strategy ETF · AMEX:KRBN
KraneShares Global Carbon Strategy ETF — Quadratic Interest Rate Volatility and Inflation Hedge ETF (IVOL) — Investor Presentation (July 2021)
26 slides from KraneShares Global Carbon Strategy ETF's investor presentation, Jul 1, 2021
Slide 1: Quadratic Interest Rate Volatility and Inflation Hedge ETF (IVOL)
Quadratic Interest Rate Volatility and Inflation Hedge ETF (IVOL) Q3 2021 1
Slide 2: About Quadratic Capital Management and Krane Funds Advisors, LLC
About Quadratic Capital Management and Krane Funds Advisors, LLC Quadratic Capital Management Quadratic Capital Management is an innovative asset management firm founded in 2013 by Nancy Davis. The firm has utilized its significant expertise in the interest rate volatility and options markets to con
Slide 3: Dedicated to responsible investing with a strong focus on ESG
Dedicated to responsible investing with a strong focus on ESG Krane Funds is a UN PRI signatory and as such adheres to the following principles: • To be active owners and incorporate ESG issues into our ownership policies and practices • To seek appropriate disclosure on ESG issues by the entities i
Slide 4: Select IVOL Highlights, Milestones, and Awards
Select IVOL Highlights, Milestones, and Awards September 2019: March 2020: April 2020: May 2021: Forbes profiles Nancy Barron’s 100 Most Influential IVOL named “Best New US IVOL surpasses and IVOL strategy Women in Finance on Fixed Income Fund of $3 Billion AUM inaugural list 2019” by ETF.com* For B
Slide 5: The IVOL Philosophy
The IVOL Philosophy • IVOL is a fixed income ETF that is designed by combining US Treasuries with OTC fixed income options. • IVOL provides potential for differentiated diversification with many portfolio applications. Unique Access Rates + TIPS Portfolio Diversification • Is the first 1940 Act Fund
Slide 6: IVOL Portfolio Composition
IVOL Portfolio Composition • IVOL is approximately 85% US Treasuries • Balance of portfolio is dynamically managed fixed income options US Treasury Inflation- Dynamically managed Protected Securities (TIPS) fixed income options Why IVOL enhances TIPS • Like all bonds, TIPS are long duration and tend
Slide 7: Access: Exposure to the Rates Markets
Access: Exposure to the Rates Markets • IVOL provides access to OTC rates which is the largest asset class and also provides the potential for differentiated performance from stocks and bonds. • IVOL’s OTC rates options provide exposure to the shape of the yield curve, which is largely a result of i
Slide 8: IVOL: Low Correlations to Common Asset Classes
IVOL: Low Correlations to Common Asset Classes1 • IVOL may provide potentially attractive diversification during a time when many other holdings may have behaved very similarly. • It may act as a partial hedge, given how it has had very low correlations with the major indexes shown above. • Historic
Slide 9: IVOL Portfolio Applications – How can IVOL enhance other allocations?
IVOL Portfolio Applications – How can IVOL enhance other allocations? Investments Potential Risks How IVOL can potentially help mitigate these risks • Many investors use products benchmarked to the • IVOL holds TIPs and is long-volatility, which can act as a “Barclays Agg”, (the Bloomberg Barclays A
Slide 10: IVOL Portfolio Applications
IVOL Portfolio Applications Investments Potential Risks How IVOL can potentially manage these risks: • TIPS are set using the Consumer Price Index (CPI). • IVOL owns TIPS, but they are enhanced using TIPS with • About 1/3 of CPI is defined by “shelter,” and that is options. These options function as
Slide 11: IVOL Completion Portfolio Application Example 1: Passive Fixed Income
IVOL Completion Portfolio Application Example 1: Passive Fixed Income Many investors use products tied to The Bloomberg Barclays US Aggregate Bond Index (“the AGG”) for their passive fixed income exposure. There are several issues with the "AGG" that investors should keep in mind: • Roughly 29% of t
Slide 12: IVOL Hedge Portfolio Application Example 2: Risk Off for Equities
IVOL Hedge Portfolio Application Example 2: IVOL During Periods of “Risk Off” for Equities • The IVOL portfolio potentially has the ability to benefit from equity market shocks. How can IVOL’s options potentially benefit equity holders? As the chart below shows, equity market sell-offs have historic
Slide 13: IVOL Performance History
IVOL Performance History Date IVOL NAV S&P 500 TIPS (SCHP NAV) • IVOL has outperformed its TIPS Index Benchmark, especially from the start of the equity selloff Q2 2019** 3.48% 3.79% 2.29% on 2/20/2020 until the end of Q1 2021. Q3 2019 -1.32% 1.19% 1.34% • In Q1 2021, IVOL had a strong outperformanc
Slide 14: Potential Scenario Analysis
Potential Scenario Analysis Factors that Impact IVOL Rising Falling TIPS Bond Price ✓ Volatility ✓ Expectations for Rate Cuts ✓ Long Dated Yields ✓ ✓/ indicates the potential effect these scenarios may have on IVOL. With ✓ indicating a potential positive effect and indicating a potential
Slide 15: IVOL's Risk Profile
IVOL’s Risk Profile Investing involves risk, including possible loss of principal. There can be no assurance that the Fund will achieve its stated objectives, including its objective of eliminating the curve or inflation risk. Investors should take note of the following risks before investing in IVO
Slide 16: Guide to Trading ETFs
Guide to Trading ETFs ETF liquidity is determined by the asset class, not by the fund size • Exchange-traded funds (ETFs) are a wrapper, and although an investor may hold a large percentage of an ETF, one must look at the percentage owned of the underlying asset class. ETF investors are not impacted
Slide 17: Understanding ETF Liquidity
Understanding ETF Liquidity An ETF is not a stock • If an ETF does not trade a certain number of shares per day, is the fund illiquid? No. It’s a plausible assumption from a single-stock perspective, but with ETFs, there is more to consider. The key is to understand the difference between the primar
Slide 18: Flow chart of Creation Redemption Process for ETFs
Flow chart of Creation Redemption Process for ETFs • Small trades in ETFs flow normally are done in the secondary market, where all market participants can trade. It behaves like a stock, and everyone can buy (sell) from the best seller (buyer) • Large and institutional trades – which normally would
Slide 19: The IVOL Ecosystem
The IVOL Ecosystem Portfolio Manager: Advisor: Krane Quadratic Funds Capital Custodian: BBH Exchange: NYSE Auditor: KPMG Administrator SEI 19
Slide 20: Portfolio Management and Capital Markets Leadership
Portfolio Management and Capital Markets Leadership Nancy Davis, Chief Investment Officer, Quadratic Capital Management Nancy Davis is the founder and managing partner of Quadratic Capital Management in 2013 and is the portfolio manager for The Quadratic Interest Rate Volatility and Inflation Hedge
Slide 21: Quadratic Capital and Krane Funds Leadership
Quadratic Capital and Krane Funds Leadership Jonathan Krane, Chief Executive Officer, Krane Funds Advisors Jonathan Krane is the founder and Chief Executive Officer of Krane Funds Advisors, the premier platform for developing and delivering differentiated, high- conviction investment strategies to g
Slide 22: Quadratic Capital and Krane Funds Leadership
Quadratic Capital and Krane Funds Leadership Brendan Ahern, Chief Investment Officer, Krane Funds Advisors Brendan Ahern is the Chief Investment Officer at Krane Funds Advisors (KFA). Mr. Ahern joined KFA in 2012 and was an original member of the team that launched its first ETFs. He leads the firm’
Slide 23: Quadratic Capital and Krane Funds Leadership
Quadratic Capital and Krane Funds Leadership Joseph Dube, Head of Marketing, Krane Funds Advisors Joseph joined KraneShares in June 2012 as Head of Marketing. He is in charge of creating and maintaining all client-facing marketing materials including websites, advertisements, pitch books, and fact s
Slide 24: The Quadratic Interest Rate Volatility and Inflation Hedge ETF
The Quadratic Interest Rate Volatility and Inflation Hedge ETF Key Fund Information Ticker IVOL Fund Name Quadratic Interest Rate Volatility and Inflation Hedge ETF Primary Exchange NYSE Total Annual Fund Operating Expense 1.04% Total Annual Fund Operating Expenses After Fee 0.99% Waiver* Inception
Slide 25: Index Definitions
Index Definitions The Dow Jones Industrial Average (“Dow”) is an index that tracks 30 large, publicly-owned companies trading on the New York Stock Exchange and the NASDAQ. The S&P 500, (“S&P”), is a stock market index that measures the stock performance of 500 large companies listed on stock exchan
Slide 26: Past performance does not guarantee future results
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 p