ETF Watch: Transamerica Plans Funds

March 14, 2017

A recent filing from Transamerica, one of America’s largest insurance and investment holding companies, details the firm’s plans for launching five multi-asset ETFs. Each of the DeltaShares ETFs will allocate its assets among an S&P equity index, the S&P U.S. Treasury Bond Current 5-Year Index and the  S&P U.S. Treasury Bill 0-3 Month Index based on volatility levels.

The five proposed funds include the following:

  • DeltaShares S&P 500 Managed Risk ETF
  • DeltaShares S&P MidCap 400 Managed Risk ETF
  • DeltaShares S&P SmallCap 600 Managed Risk ETF
  • DeltaShares S&P International Managed Risk ETF
  • DeltaShares S&P Emerging Markets Managed Risk ETF

The first three funds’ equity allocations are tied to popular domestic equity indexes, while the international and emerging market ETFs’ equity portions will track the S&P EPAC Ex-Korea LargeMidCap Index and S&P Emerging Plus LargeMidcap Index, respectively.

Each fund’s benchmark index has a designated volatility level, and when that level is exceeded, the benchmark index allocates more weight from its component equity index to either or both of its fixed-income subindexes. The split between the two fixed-income indexes is determined by the yield spread between them. Each of the component indexes can be weighted at as little as 0% and as much as 100%, if necessary. When the main benchmark index’s volatility is low, more weight is allocated to the equity index.

Each fund’s underlying index rebalances on a daily basis.

The filing did not include expense ratios, tickers or a listing exchange.

Last US-Listed RBC Product Closed
Monday was the last day of trading for Royal Bank of Canada’s (RBC) only U.S.-listed ETN. The RBC S&P 500 Trend Allocator Index ETN (TALL) launched less than a year ago—June 28—and failed to gather meaningful assets.

The product used the S&P 500 Index’s 200-day moving average as a risk-on/risk-off toggle to signal whether it should maintain its exposure to the S&P 500 or switch into cash.

The strategy is similar to the Trendpilot strategies used by some of Pacer Financial’s ETFs, but it came with a heftier expense ratio—0.85%. That may have held it back; although none offer an S&P 500 strategy, the Pacer Financial Trendpilot ETFs all have expense ratios of 0.66% or lower.

The ETN’s shutdown brings the total of realized and scheduled ETF closures for the month of March to 17, matching the prior year’s level. Last year was a record year for fund closures, and 2017 has been off to a slow start by comparison—March’s results suggest that could be changing. 

Contact Heather Bell at [email protected].

 

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