Are you afraid the high-flying stock market will tumble sooner or later, and you want a product being pitched as a bond alternative that offers sizable downside protection, a teeny, tiny bit of upside potential, but no yield? The folks at Innovator Capital Management LLC believe there will be demand for such a product, which is why today it launched the Innovator Defined Wealth Shield ETF (BALT).

But first, some background information: The company’s Innovator ETFs lineup has carved out a sizable $5.3 billion niche in the exchange-traded fund industry, fueled largely by its defined outcome funds designed to provide preset upside and downside return potential benchmarked to a specific index. They use an options-based strategy built around a defined outcome period (typically a year), and they hold a basket of FLEX Options with varying strike prices (the price where the option holder may buy or sell the security by a specified expiration date) and the same expiration date of roughly one year. FLEX Options are customizable exchange-traded option contracts guaranteed for settlement by the Options Clearing Corporation.

Regarding the new BALT fund, the product will use FLEX options to track the return of the SPDR S&P ETF Trust (SPY) to a capped upside amount, while simultaneously targeting a downside buffer against the first 20% of losses in that fund during a three-month outcome period. Any losses greater than 20% are an investor’s responsibility.

Unlike the capped upside participation level in some of Innovator’s other defined outcome ETFs, which can be as high as the mid-teens, the capped upside in the BALT fund is just 0.70% of any gains in the SPDR S&P ETF Trust.

As for downside protection, Innovator cautions that it could fall into a range of 15% to 20%.

Innovator says its research found that for the 761 three-month rolling periods between 1958 and May 2021, with a 20% buffer investors would have been positive or neutral in 98.8% of those periods. In the periods exceeding a 20% downturn, the average loss was roughly 4%.

At the end of the three-month outcome period, the BALT fund will roll into a new set of options contracts with the same exposure and term, and a new buffer and cap will be determined, according to Innovator.

As with all of Innovator’s defined outcome ETFs, investors who take a position in the new BALT fund at the start of the specified outcome period will likely see different results than those who jump in sometime during that outcome period. For investors who invest in defined outcome ETFs at midstream, Innovator has tools on its website showing how much buffer and upside caps remain on a particular fund on that particular day.

In a press release announcing the BALT fund, Innovator positions the product as a “compelling alternative to short-term treasuries, bond funds and cash on the sidelines for advisors looking to sidestep the negative portfolio impacts offered by the current low rate yield environment.”

But unlike a fixed-income product, this fund provides no yield—in this case, no dividend yield from the SPDR S&P ETF Trust, which offers a 30-day SEC yield of 1.23%. That’s because the BALT fund holds derivatives tied to the SPDR S&P ETF Trust, and not the actual fund.

In short, this fund is all about playing defense. And in a sense, it’s also about market timing because given the very small upside potential offered by this fund there might be an opportunity cost for investors holding this fund during a long stretch of strong market gains. A question that defensive-minded investors need to ask is what’s the appropriate holding period for a product like this.

The BALT fund has an expense ratio of 0.69%.

Innovator ETFs offers 75 funds. The vast majority are its bread-and-butter defined outcome ETFs, along with a handful of conventional ETFs. The latter group includes three funds based on the investment methodologies of financial research and media company Investor’s Business Daily.