DMRI

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

DMRI Fund Description

DMRI tracks an index with three subcomponents: developed ex-US equity, fixed income, and cash. The fund uses an algorithm to limit volatility, allocating between the three subcomponents.

DMRI Factset Analytics Insight

DMRI is indistinguishable from a cap-weighted international equity fund during normal market conditions. However, the fund uses a complex algorithm to cap volatility at a pre-determined limit of 22%, annualized. If that threshold is exceeded, DMRI 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). On top of all this, the fund’s index holds a synthetic protective put on itself in practice, this means DMRI shifts more assets into notes and bills after a significant decline, potentially staving off an even larger crash. The fund is rebalanced daily, and its three components (equity, notes, and bills) can be weighted from 0 to 100% in any combination. DMRI’s exposure to Developed-Ex US exposure includes Europe and Asia excluding Korea.

DMRI MSCI ESG Analytics Insight

DeltaShares S&P International Managed Risk ETF has an MSCI ESG Fund Rating of AA based on a score of 7.60 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 International Managed Risk ETF ranks in the 85th percentile within its peer group and in the 51st percentile within the global universe of all funds covered by MSCI ESG Fund Ratings.

PERFORMANCE [as of 09/16/21] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS
DMRI 0.63% 1.25% 13.41% 22.39% 4.91% -- --
DMRI (NAV) 0.80% 0.25% 11.91% 20.91% 4.88% -- --
N/A -- -- -- -- -- -- --
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

DMRI Summary Data

Aegon
DeltaShares
07/31/17
Open-Ended Fund
0.50%
$188.20M
0.55%

DMRI Portfolio Data

1.50%
N/A

DMRI Index Data

Volatility
Fixed
N/A

DMRI Fund Structure

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

DMRI Tax Exposures

20.00% / 39.60%
0.01%
No

DMRI Factset Analytics Block Liquidity

As of 09/17/21
5
4
3
2
1

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

DMRI Tradability

290
$14.49K
17
0
0.55%
$0.29
-0.18%
0.78% / -1.64%
None
20.78%
50,000
0.00
0.16%
--
0
$54.42
N/A

DMRI MSCI ESG Ratings

7.60 / 10
50.65
84.57
11.75%
6.77%
129.48