DMRL

DeltaShares S&P 500 Managed Risk ETF
*Unless otherwise stated, data provided by FactSet.

DMRL Fund Description

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

DMRL Factset Analytics Insight

DMRL tracks an index that allocates between three subindices. The targeted equity component follows the S&P 500 index, the fixed income reserve component is made up of the most recent 5-year Treasury note, and the cash component tracks a 0-3 month T-bill index.DMRL aims to maximize its equity allocation, while limiting volatility and downside risk. To limit volatility within a pre-determined threshold, the fund can shift to fixed income and cash, favoring the fixed income component due to its greater negative correlation to equity and higher yields than cash. To limit downside risk, the index includes a synthetic put option on itself. The strategy is designed to contribute to higher performance and lower volatility over time. The final weights of the subindices are determined using a complex algorithm to combine the synthetic put option, volatility adjustment, and a turnover constraint. The fund is rebalanced daily.

DMRL MSCI ESG Analytics Insight

DeltaShares S&P 500 Managed Risk ETF has an MSCI ESG Fund Rating of BBB based on a score of 5.62 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 500 Managed Risk ETF ranks in the 55th percentile within its peer group and in the 63th percentile within the global universe of all funds covered by MSCI ESG Fund Ratings.

DMRL Charts And Performance

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PERFORMANCE [as of 11/11/19] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS
DMRL 3.51% 4.47% 16.28% 9.59% -- -- --
DMRL (NAV) 3.82% 4.79% 16.58% 2.14% -- -- --
S&P 500 Managed Risk 2.0 Index 3.86% 4.89% 16.94% 10.42% 12.70% 8.48% --
N/A -- -- -- -- -- -- --
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

DMRL Summary Data

Transamerica
07/31/17
Open-Ended Fund
0.35%
$425.30M
0.45%

DMRL Portfolio Data

1.70%
12/23/19

DMRL Index Data

Volatility
Fixed
N/A

DMRL Fund Structure

No
Yes
No Policy
N/A
N/A
Low
N/A
N/A

DMRL Tax Exposures

20.00% / 39.60%
0.01%
No
Cboe Book Viewer
Top Of Book
Last 10 Trades
Bats BZX Real-time Quote -

DMRL Factset Analytics Block Liquidity

As of 11/12/19
5
4
3
2
1

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

DMRL Tradability

2,027
$117.95K
1,132
$64.97K
0.45%
$0.26
-0.05%
0.74% / -0.82%
None
0.00%
50,000
0.02
0.04%
--
0
$58.96
N/A

DMRL MSCI ESG Ratings

BBB
5.62 / 10
63.36
54.58
7.79%
3.81%
183.95