DMRE

DeltaShares S&P EM 100 & Managed Risk ETF
*Unless otherwise stated, data provided by FactSet.

DMRE Fund Description

DMRE offers dynamic exposure to three sub-indices: emerging market equities, 5-year Treasuries, and T-bills, with the goal of maintaining a given volatility level.

DMRE Factset Analytics Insight

DMRE combines emerging market equity exposure (S&P EM 100), mid-term bonds (5-year Treasuries), and cash- equivalents (T-bills), with the aim of limiting volatility. DMRE utilizes an algorithm to cap volatility at a pre-determined limit of 22% annualized. If that threshold is exceeded, DMRE will move assets into US Treasurys, specifically, the most recent 5-year note to control risk. The fund can also take a position in 0-3 month T-bills should the 5-year note become too volatile, too correlated with equity, or too low-yielding (such as in a flat or inverted yield curve). The fund’s index also, holds a synthetic protective put on itself in practice, this means DMRE shifts more assets into notes and bills after a significant decline, potentially staving off an even larger declines. The fund is rebalanced daily, and its three components (equity, notes, and bills) can be weighted from 0 to 100% in any combination.

DMRE MSCI ESG Analytics Insight

DeltaShares S&P EM 100 & Managed Risk ETF has an MSCI ESG Fund Rating of BBB based on a score of 5.25 out of 10. The MSCI ESG Fund Rating measures the resiliency of portfolios to long-term risks and opportunities arising from environmental, social, and governance factors. ESG Fund Ratings range from best (AAA) to worst (CCC). Highly rated funds consist of companies that tend to show strong and/or improving management of financially relevant environmental, social and governance issues. These companies may be more resilient to disruptions arising from ESG events.

The fund’s Peer Rank reflects the ranking of a fund’s MSCI ESG Fund Quality Score against the scores of other funds within the same peer group, as defined by the Thomson Reuters Lipper Global Classification. DeltaShares S&P EM 100 & Managed Risk ETF ranks in the 31st percentile within its peer group and in the 41st percentile within the global universe of all funds covered by MSCI ESG Fund Ratings.

PERFORMANCE [as of 08/03/21] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS
DMRE -7.18% -5.03% -2.92% 16.54% -- -- --
DMRE (NAV) -6.63% -4.48% -3.03% 16.20% -- -- --
S&P EM 100 Managed Risk 2.0 Index -- -- -- -- -- -- --
N/A -- -- -- -- -- -- --
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

DMRE Summary Data

Aegon
DeltaShares
03/21/19
Open-Ended Fund
0.60%
$50.48M
0.07%

DMRE Portfolio Data

1.30%
N/A

DMRE Index Data

S&P EM 100 Managed Risk 2.0 Index
Volatility
Fixed
N/A

DMRE Fund Structure

No
Yes
-- / --
N/A
N/A
Low
N/A
N/A

DMRE Tax Exposures

20.00% / 39.60%
--
No

DMRE Factset Analytics Block Liquidity

As of 08/04/21
5
4
3
2
1

This measurement shows how easy it is to trade a $1 million USD block of DMRE. DMRE is rated a N/A out of 5.

DMRE Tradability

33
$1.76K
2
0
0.07%
$0.04
0.16%
1.52% / -1.12%
None
12.69%
50,000
0.00
0.04%
--
0
$56.06
N/A

DMRE MSCI ESG Ratings

5.25 / 10
41.35
30.58
0.91%
3.64%
161.65