DMRIDeltaShares S&P International Managed Risk ETF
DMRI Fund Description
DMRI tracks an index primarily consisting of large- and midcap equity from developed markets outside the US. The fund limits volatility and downside risk with positions in US T-bills and 5-year Treasurys.
DMRI Factset Analytics Insight
When all is well in the equity markets, DMRI is indistinguishable from a cap-weighted international equity fund. However, the fund uses a complex algorithm to cap volatility at a pre-determined limit: 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 charges a low fee for an asset allocator, but looks pricey next to plain-vanilla international equity ETFs like SCHF. Still, the cost may be worth it if the fund can deliver on its mandate. DMRI is part of a suite of US and international ETFs using the same methodology.
DMRI MSCI ESG Analytics Insight
DeltaShares S&P International Managed Risk ETF has an MSCI ESG Fund Rating of A based on a score of 6.74 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 84th percentile within its peer group and in the 62nd percentile within the global universe of all funds covered by MSCI ESG Fund Ratings.
DMRI CHARTS AND PERFORMANCE
DMRI Portfolio Data
DMRI Index Data
DMRI Fund Structure
DMRI Tax Exposures
DMRI Factset Analytics Block Liquidity
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.