PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Quadratic Interest Rate Volatility & Inflation Hed...
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

ETF Info

ISIN

US5007677363

CUSIP

500767736

Issuer

CICC

Inception Date

May 13, 2019

Region

North America (U.S.)

Leveraged

1x

Index Tracked

No Index (Active)

Asset Class

Bond

Expense Ratio

IVOL has a high expense ratio of 0.99%, indicating higher-than-average management fees.


Expense ratio chart for IVOL: current value at 0.99% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.99%

Share Price Chart


Loading data...

Compare to other instruments

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Popular comparisons:
IVOL vs. SVOL IVOL vs. GOGL IVOL vs. SH IVOL vs. PULS IVOL vs. SPYG IVOL vs. SCHD IVOL vs. SPY IVOL vs. SVXY IVOL vs. VOO IVOL vs. LQD
Popular comparisons:
IVOL vs. SVOL IVOL vs. GOGL IVOL vs. SH IVOL vs. PULS IVOL vs. SPYG IVOL vs. SCHD IVOL vs. SPY IVOL vs. SVXY IVOL vs. VOO IVOL vs. LQD

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Quadratic Interest Rate Volatility & Inflation Hedge ETF, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


-20.00%0.00%20.00%40.00%60.00%80.00%100.00%120.00%JulyAugustSeptemberOctoberNovemberDecember
-14.93%
107.17%
IVOL (Quadratic Interest Rate Volatility & Inflation Hedge ETF)
Benchmark (^GSPC)

Returns By Period

Quadratic Interest Rate Volatility & Inflation Hedge ETF had a return of -12.83% year-to-date (YTD) and -11.02% in the last 12 months.


IVOL

YTD

-12.83%

1M

-2.93%

6M

-4.04%

1Y

-11.02%

5Y*

-3.77%

10Y*

N/A

^GSPC (Benchmark)

YTD

23.11%

1M

-0.36%

6M

7.02%

1Y

23.15%

5Y*

12.80%

10Y*

11.01%

Monthly Returns

The table below presents the monthly returns of IVOL, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.35%-3.94%-2.52%-2.62%0.57%0.73%3.31%1.64%-0.06%-4.54%-1.89%-12.83%
2023-2.27%-4.80%8.98%1.36%-2.01%-7.97%0.30%0.01%0.49%2.35%-1.27%0.45%-5.18%
2022-1.42%0.49%-2.81%0.71%0.20%-1.10%1.25%-7.15%-6.14%2.34%0.97%-0.36%-12.70%
20212.02%0.76%0.30%0.26%0.48%-3.21%2.52%-0.59%-0.09%-1.54%-0.65%-0.45%-0.31%
20200.72%1.40%0.80%2.90%1.24%1.80%-0.11%3.19%-1.11%0.37%-0.07%2.61%14.56%
20192.64%1.18%-0.83%0.97%-1.39%-0.17%0.06%0.79%3.23%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of IVOL is 1, meaning it’s performing worse than 99% of other ETFs on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of IVOL is 11
Overall Rank
The Sharpe Ratio Rank of IVOL is 00
Sharpe Ratio Rank
The Sortino Ratio Rank of IVOL is 11
Sortino Ratio Rank
The Omega Ratio Rank of IVOL is 11
Omega Ratio Rank
The Calmar Ratio Rank of IVOL is 33
Calmar Ratio Rank
The Martin Ratio Rank of IVOL is 22
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for Quadratic Interest Rate Volatility & Inflation Hedge ETF (IVOL) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


Sharpe ratio
The chart of Sharpe ratio for IVOL, currently valued at -1.26, compared to the broader market0.002.004.00-1.261.90
The chart of Sortino ratio for IVOL, currently valued at -1.63, compared to the broader market-2.000.002.004.006.008.0010.00-1.632.54
The chart of Omega ratio for IVOL, currently valued at 0.80, compared to the broader market0.501.001.502.002.503.000.801.35
The chart of Calmar ratio for IVOL, currently valued at -0.36, compared to the broader market0.005.0010.0015.00-0.362.81
The chart of Martin ratio for IVOL, currently valued at -1.37, compared to the broader market0.0020.0040.0060.0080.00100.00-1.3712.39
IVOL
^GSPC

The current Quadratic Interest Rate Volatility & Inflation Hedge ETF Sharpe ratio is -1.26. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of Quadratic Interest Rate Volatility & Inflation Hedge ETF with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-1.26
1.90
IVOL (Quadratic Interest Rate Volatility & Inflation Hedge ETF)
Benchmark (^GSPC)

Dividends

Dividend History

Quadratic Interest Rate Volatility & Inflation Hedge ETF provided a 3.94% dividend yield over the last twelve months, with an annual payout of $0.69 per share.


2.00%2.50%3.00%3.50%4.00%$0.00$0.20$0.40$0.60$0.80$1.0020192020202120222023
Dividends
Dividend Yield
PeriodTTM20232022202120202019
Dividend$0.69$0.77$0.88$1.06$0.96$0.51

Dividend yield

3.94%3.73%3.91%3.93%3.44%2.02%

Monthly Dividends

The table displays the monthly dividend distributions for Quadratic Interest Rate Volatility & Inflation Hedge ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024$0.06$0.06$0.06$0.06$0.06$0.06$0.06$0.06$0.06$0.06$0.05$0.00$0.63
2023$0.07$0.06$0.07$0.07$0.07$0.06$0.06$0.06$0.06$0.06$0.06$0.06$0.77
2022$0.08$0.08$0.08$0.08$0.08$0.08$0.08$0.07$0.07$0.07$0.07$0.07$0.88
2021$0.09$0.09$0.09$0.09$0.09$0.08$0.09$0.08$0.08$0.08$0.08$0.13$1.06
2020$0.08$0.08$0.08$0.08$0.08$0.08$0.08$0.08$0.08$0.08$0.08$0.08$0.96
2019$0.08$0.08$0.08$0.08$0.08$0.13$0.51

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-31.16%
-3.58%
IVOL (Quadratic Interest Rate Volatility & Inflation Hedge ETF)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the Quadratic Interest Rate Volatility & Inflation Hedge ETF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Quadratic Interest Rate Volatility & Inflation Hedge ETF was 31.16%, occurring on Dec 18, 2024. The portfolio has not yet recovered.

The current Quadratic Interest Rate Volatility & Inflation Hedge ETF drawdown is 31.16%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-31.16%May 12, 2021908Dec 18, 2024
-8.02%Mar 9, 202010Mar 20, 20204Mar 26, 202014
-3.94%Mar 27, 20201Mar 27, 20208Apr 8, 20209
-3.23%Jun 7, 2019124Dec 2, 201960Feb 28, 2020184
-2.52%Apr 15, 20203Apr 17, 202015May 8, 202018

Volatility

Volatility Chart

The current Quadratic Interest Rate Volatility & Inflation Hedge ETF volatility is 1.86%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
1.86%
3.64%
IVOL (Quadratic Interest Rate Volatility & Inflation Hedge ETF)
Benchmark (^GSPC)
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab