It's a thin material, like Ollie said, that's the same as any of the knit beanies. Rather than folding down from a beanie to a balaclava, it's a balaclava that unsuccessfully tries to roll up into a beanie. There is a button on one side that tries to hold up the rolled up portion, but since it has to be rolled up exactly, and the button doesn't hold too well, it doesn't really work. Plus since the face hole is so close, you still end up with a gap. The reviews in the Review section pretty much repear my feelings.
http://www.o-review.com/apparelmodels.asp?ID=2560