Quadratic Deflation ETF
Name
As of 12/23/2024Price
Aum/Mkt Cap
YIELD
Exp Ratio
Watchlist
Vitals
YTD Return
-5.9%
1 yr return
-5.9%
3 Yr Avg Return
-7.0%
5 Yr Avg Return
N/A
Net Assets
$13.6 M
Holdings in Top 10
87.8%
52 WEEK LOW AND HIGH
Expenses
OPERATING FEES
Expense Ratio 1.03%
SALES FEES
Front Load N/A
Deferred Load N/A
TRADING FEES
Turnover N/A
Redemption Fee N/A
Min Investment
Standard (Taxable)
N/A
IRA
N/A
Fund Classification
Fund Type
Exchange Traded Fund
Name
As of 12/23/2024Price
Aum/Mkt Cap
YIELD
Exp Ratio
Watchlist
BNDD - Profile
Distributions
- YTD Total Return -5.9%
- 3 Yr Annualized Total Return -7.0%
- 5 Yr Annualized Total Return N/A
- Capital Gain Distribution Frequency N/A
- Net Income Ratio N/A
- Dividend Yield 3.8%
- Dividend Distribution Frequency Monthly
Fund Details
-
Legal NameQuadratic Deflation ETF
-
Fund Family NameKrane Funds Advisors, LLC
-
Inception DateSep 20, 2021
-
Shares OutstandingN/A
-
Share ClassN/A
-
CurrencyUSD
-
Domiciled CountryUS
-
ManagerNancy Davis
Fund Description
The Fund is actively managed by the Fund’s investment sub-adviser, Quadratic Capital Management LLC (“Quadratic” or the “Sub-Adviser”), and seeks to achieve its investment objective primarily by investing, directly or indirectly, in a mix of U.S. Treasury securities (“Treasuries”) and option strategies (as defined below) tied to the shape of the U.S. interest rate swap curve (described below). The Fund’s strategy is designed to hedge against deflation risk and generate positive returns from the Fund’s options during periods when the U.S. interest rate curve flattens (i.e., the spread between interest rates on U.S. long-term debt instruments and U.S. shorter-term debt instruments tightens) or inverts.
The Fund invests in Treasuries of various maturities directly or through other exchange-traded funds (“ETFs”) that invest in Treasuries. The “option strategies” used by the Fund are options strategies of various maturities that are tied to the shape of the U.S. interest rate swap curve and structured to limit the loss to the Fund and include long options, long spreads and butterflies. The U.S. interest rate swap curve is a type of interest rate curve that reflects the fixed interest rates used in interest rate swap agreements with different maturities. (“Swap rates” are a fixed interest rate exchanged for a floating interest rate in an interest rate swap). The Fund may buy options, long spreads and “butterflies”. Long spreads involve buying one call (put) option and selling another call (put) option to create a range consisting of a lower (higher) strike price and an upper (lower) strike price and the maximum loss should be limited to the premium paid. Butterflies involve buying a call (put) with a lower (higher) strike price, selling two call (put) options with an intermediate strike price, and buying one additional call (put) option with a higher (lower) strike price and the maximum loss should be limited to the premium paid.
The option strategies used by the Fund are expected to (i) appreciate in value as the curve flattens or inverts (i.e., lower or negative long-term interest rates and/or a reduction in the spread between shorter and longer term interest rates) and (ii) decrease in value or become worthless as the curve steepens. The U.S. interest rate swap curve “flattens” when the spread between swap rates on longer-term debt instruments and shorter-term debt instruments narrows, “steepens” when such spread widens, and “inverts” when swap rates on longer-term debt instruments become lower than those for shorter-term debt instruments (i.e., the spread is negative).
When the Fund purchases an option, the Fund pays a cost (premium) to purchase the option. The Fund’s investments in options will be traded in the over-the counter (“OTC”) market. OTC derivative instruments generally have more flexible terms negotiated between the buyer and the seller. These instruments would generally be subject to greater counterparty risk. Many of the protections afforded to exchange participants will not be available for OTC options and there is no daily price fluctuation limits. OTC instruments also may be subject to greater liquidity risk. Under the Fund’s option contracts, the Fund pays upfront for the option contracts (i.e., the premium), and counterparties are not required to post variation margin. There is no potential additional cash outflow or future liability for the Fund under the options; the Fund’s only potential loss on such options is the premium paid in advance. However, the Fund’s options contracts are subject to counterparty risk, which is the risk of non-performance by an options counterparty. Such non-performance could result in a material loss to the Fund. The Fund is also subject to significant counterparty risk as a result of holding cash at the Fund’s custodian because such cash deposits are unsecured liabilities of the custodian.
Options contracts, by their terms, have stated expirations; therefore, to maintain consistent exposure to options, the Fund will periodically migrate out of existing positions and into different positions with different strike prices and maturities — a process referred to as “rolling.” Quadratic will use its discretion to implement option strategies with a time-to-expiration of any maturity.
Under normal circumstances, the Sub-Adviser generally expects to invest less than 20% of the Fund’s assets in option premiums (as defined below) and to actively manage the Fund’s options investments to reduce the weight of such options in the Fund’s portfolio if their value increases above the desired amount. Similarly, the Sub-Adviser generally expects to sell portfolio investments and reinvest proceeds in options if the value of such options declines below the desired amount.
Investments in derivative instruments, such as the options used in the options strategies, have the economic effect of creating financial leverage in the Fund’s portfolio because such investments may give rise to gains or losses that are disproportionate to the amount the Fund has invested in those instruments. Because the Fund only invests option strategies structured to limit the potential loss to the Fund as part of its principal investment strategy, the maximum loss for the Fund’s options position is the “options premium,” which is defined as the net premium paid for the options and any post-purchase appreciation in value. Thus, any disproportionate returns are generally expected to exist only when the value of such options appreciates. However, following such appreciation, even small changes in the shape of the U.S. interest rate curve or interest rate volatility may result in a significant decline in the value of such options with a maximum loss equal to the options premium at risk. Even small changes in the shape of the U.S. interest rate curve or changes to interest rate volatility levels may result in a significant decline in the value of such options. While the options strategies used by the Fund are structured to limit the potential loss to the Fund, there is no guarantee that this will occur.
The Fund is non-diversified and therefore may invest a larger percentage of its assets in the securities of a single issuer or smaller number of issuers than diversified funds.
BNDD - Performance
Return Ranking - Trailing
Period | BNDD Return | Category Return Low | Category Return High | Rank in Category (%) |
---|---|---|---|---|
YTD | -5.9% | -39.1% | 4.9% | 72.55% |
1 Yr | -5.9% | -33.5% | 1.5% | N/A |
3 Yr | -7.0%* | -29.8% | 3.6% | N/A |
5 Yr | N/A* | -11.8% | 1.7% | N/A |
10 Yr | N/A* | -9.7% | 3.1% | N/A |
* Annualized
Return Ranking - Calendar
Period | BNDD Return | Category Return Low | Category Return High | Rank in Category (%) |
---|---|---|---|---|
2023 | -0.3% | -41.8% | 20.5% | 2.00% |
2022 | -42.3% | -13.8% | 2.6% | 95.92% |
2021 | N/A | -18.1% | 7.6% | N/A |
2020 | N/A | -21.2% | 4.9% | N/A |
2019 | N/A | -21.0% | 0.2% | N/A |
Total Return Ranking - Trailing
Period | BNDD Return | Category Return Low | Category Return High | Rank in Category (%) |
---|---|---|---|---|
YTD | -5.9% | -39.1% | 4.9% | 80.39% |
1 Yr | -5.9% | -33.5% | -3.5% | N/A |
3 Yr | -7.0%* | -29.8% | 1.9% | N/A |
5 Yr | N/A* | -11.8% | 1.2% | N/A |
10 Yr | N/A* | -9.7% | 3.3% | N/A |
* Annualized
Total Return Ranking - Calendar
Period | BNDD Return | Category Return Low | Category Return High | Rank in Category (%) |
---|---|---|---|---|
2023 | 4.0% | -41.8% | 20.5% | 2.00% |
2022 | -17.5% | -13.8% | 2.6% | 95.92% |
2021 | N/A | -18.1% | 7.6% | N/A |
2020 | N/A | -21.2% | 4.9% | N/A |
2019 | N/A | -21.0% | 0.2% | N/A |
BNDD - Holdings
Concentration Analysis
BNDD | Category Low | Category High | BNDD % Rank | |
---|---|---|---|---|
Net Assets | 13.6 M | 25.2 M | 20.6 B | 86.11% |
Number of Holdings | 4 | 4 | 315 | 94.44% |
Net Assets in Top 10 | 19.6 M | -85.5 M | 18.4 B | 75.00% |
Weighting of Top 10 | 87.76% | 17.0% | 99.8% | 23.08% |
Top 10 Holdings
- VANGUARD LONG-TERM TREASURY MUTUAL FUND 82.20%
- USD CMS 2-30 09/24/2025 33 FLOOR E CONSTANT MATURITY SWAP SPREAD OPTION 3.83%
- USD CMS 2-30 08/12/2026 25 FLOOR E CONSTANT MATURITY SWAP SPREAD OPTION 1.33%
- USD CMS 2-30 03/12/2025 -30 FLOOR E CONSTANT MATURITY SWAP SPREAD OPTION 0.40%
Asset Allocation
Weighting | Return Low | Return High | BNDD % Rank | |
---|---|---|---|---|
Stocks | 82.20% | 0.00% | 0.00% | 88.89% |
Cash | 12.24% | 0.02% | 37.96% | 30.56% |
Other | 5.56% | 0.00% | 3.06% | 88.89% |
Preferred Stocks | 0.00% | 0.00% | 0.00% | 88.89% |
Convertible Bonds | 0.00% | 0.00% | 0.00% | 88.89% |
Bonds | 0.00% | 62.04% | 99.98% | 72.22% |
Stock Sector Breakdown
Weighting | Return Low | Return High | BNDD % Rank | |
---|---|---|---|---|
Utilities | 0.00% | N/A | N/A | N/A |
Technology | 0.00% | N/A | N/A | N/A |
Real Estate | 0.00% | N/A | N/A | N/A |
Industrials | 0.00% | N/A | N/A | N/A |
Healthcare | 0.00% | N/A | N/A | N/A |
Financial Services | 0.00% | N/A | N/A | N/A |
Energy | 0.00% | N/A | N/A | N/A |
Communication Services | 0.00% | N/A | N/A | N/A |
Consumer Defense | 0.00% | N/A | N/A | N/A |
Consumer Cyclical | 0.00% | N/A | N/A | N/A |
Basic Materials | 0.00% | N/A | N/A | N/A |
Stock Geographic Breakdown
Weighting | Return Low | Return High | BNDD % Rank | |
---|---|---|---|---|
US | 82.20% | 0.00% | 0.00% | 88.89% |
Non US | 0.00% | 0.00% | 0.00% | 88.89% |
BNDD - Expenses
Operational Fees
BNDD Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
---|---|---|---|---|
Expense Ratio | 1.03% | 0.03% | 1.66% | 4.17% |
Management Fee | 0.99% | 0.00% | 0.99% | 100.00% |
12b-1 Fee | N/A | 0.00% | 1.00% | 57.14% |
Administrative Fee | N/A | 0.15% | 0.35% | N/A |
Sales Fees
BNDD Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
---|---|---|---|---|
Front Load | N/A | 1.01% | 3.75% | N/A |
Deferred Load | N/A | 1.00% | 3.34% | N/A |
Trading Fees
BNDD Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
---|---|---|---|---|
Max Redemption Fee | N/A | 2.00% | 2.00% | N/A |
Related Fees
Turnover provides investors a proxy for the trading fees incurred by mutual fund managers who frequently adjust position allocations. Higher turnover means higher trading fees.
BNDD Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
---|---|---|---|---|
Turnover | N/A | 6.00% | 116.00% | N/A |
BNDD - Distributions
Dividend Yield Analysis
BNDD | Category Low | Category High | BNDD % Rank | |
---|---|---|---|---|
Dividend Yield | 3.75% | 0.00% | 3.63% | 5.88% |
Dividend Distribution Analysis
BNDD | Category Low | Category High | Category Mod | |
---|---|---|---|---|
Dividend Distribution Frequency | Monthly | Quarterly | Monthly | Monthly |
Net Income Ratio Analysis
BNDD | Category Low | Category High | BNDD % Rank | |
---|---|---|---|---|
Net Income Ratio | N/A | 0.74% | 2.87% | N/A |
Capital Gain Distribution Analysis
BNDD | Category Low | Category High | Capital Mode | |
---|---|---|---|---|
Capital Gain Distribution Frequency | Annually | Monthly | Annually |
Distributions History
Date | Amount | Type |
---|---|---|
Nov 27, 2024 | $0.043 | OrdinaryDividend |
Oct 30, 2024 | $0.042 | OrdinaryDividend |
Sep 27, 2024 | $0.043 | OrdinaryDividend |
Aug 29, 2024 | $0.044 | OrdinaryDividend |
Jul 30, 2024 | $0.043 | OrdinaryDividend |
Jun 27, 2024 | $0.045 | OrdinaryDividend |
Apr 26, 2024 | $0.044 | OrdinaryDividend |
Mar 26, 2024 | $0.044 | OrdinaryDividend |
Feb 27, 2024 | $0.045 | OrdinaryDividend |
Jan 29, 2024 | $0.043 | OrdinaryDividend |
Dec 27, 2023 | $0.142 | OrdinaryDividend |
Nov 28, 2023 | $0.043 | OrdinaryDividend |
Oct 27, 2023 | $0.041 | OrdinaryDividend |
Sep 27, 2023 | $0.043 | OrdinaryDividend |
Aug 29, 2023 | $0.046 | OrdinaryDividend |
Jul 27, 2023 | $0.048 | OrdinaryDividend |
Jun 28, 2023 | $0.048 | OrdinaryDividend |
May 26, 2023 | $0.046 | OrdinaryDividend |
Apr 26, 2023 | $0.048 | OrdinaryDividend |
Mar 29, 2023 | $0.047 | OrdinaryDividend |
Feb 24, 2023 | $0.047 | OrdinaryDividend |
Jan 27, 2023 | $0.046 | OrdinaryDividend |
Dec 28, 2022 | $5.735 | OrdinaryDividend |
Nov 28, 2022 | $0.064 | OrdinaryDividend |
Oct 27, 2022 | $0.061 | OrdinaryDividend |
Sep 28, 2022 | $0.065 | OrdinaryDividend |
Aug 29, 2022 | $0.068 | OrdinaryDividend |
Jul 27, 2022 | $0.069 | OrdinaryDividend |
Jun 28, 2022 | $0.067 | OrdinaryDividend |
May 26, 2022 | $0.070 | OrdinaryDividend |
Apr 27, 2022 | $0.073 | OrdinaryDividend |
Mar 29, 2022 | $0.076 | OrdinaryDividend |
Feb 24, 2022 | $0.076 | OrdinaryDividend |
Jan 27, 2022 | $0.075 | OrdinaryDividend |
Dec 29, 2021 | $0.119 | OrdinaryDividend |
Nov 26, 2021 | $0.078 | OrdinaryDividend |
Oct 27, 2021 | $0.075 | OrdinaryDividend |
BNDD - Fund Manager Analysis
Managers
Nancy Davis
Start Date
Tenure
Tenure Rank
Sep 16, 2021
0.7
0.7%
Nancy Davis founded Quadratic Capital in 2013. She is the portfolio manager for The Quadratic Interest Rate Volatility and Inflation Hedge ETF (NYSE Ticker: IVOL), an inflation-protected bond fund and The Quadratic Deflation ETF (NYSE Ticker: BNDD), a government bond ETF. Ms. Davis began her career at Goldman Sachs where she spent nearly ten years, the last seven with the proprietary trading group where she rose to become the Head of Credit, Derivatives and OTC Trading. Prior to starting Quadratic, she served as a portfolio manager at Highbridge Capital Management and in a senior executive role at AllianceBernstein. Ms. Davis has been profiled by Forbes, and interviewed by Barron’s, The Economist, The Wall Street Journal, and The Financial Times among others. Ms. Davis is a frequent guest on television including CNBC, Bloomberg, CNN, Sina and ABC. Ms. Davis writes and speaks frequently about markets and investing.
Tenure Analysis
Category Low | Category High | Category Average | Category Mode |
---|---|---|---|
0.41 | 25.85 | 7.77 | 14.84 |