DMRM

DeltaShares S&P 400 Managed Risk ETF
*Unless otherwise stated, data provided by FactSet.

DMRM Fund Description

DMRM tracks and index that offers dynamic exposure to three sub-indices: US midcap equity, 5-year Treasuries, and T-bills, with the goal of maintaining a given volatility level. The fund is rebalanced daily.

DMRM Factset Analytics Insight

DMRM combines US midcap exposure (S&P Midcap 400 Index), mid-term bonds (5-year Treasuries), and cash- equivalents (T-bills), with the aim of limiting volatility. The fund adjusts its allocations daily based upon equity and bond market volatility, correlation between the bond and equity indexes, and the yield-to-maturity of the bond index. As market volatility increases, the fund shifts assets from equities to bonds and cash. A synthetic put position hedges some of the remaining downside risk by moving more assets to bonds and/or cash when the fund’s value declines.

DMRM MSCI ESG Analytics Insight

DeltaShares S&P 400 Managed Risk ETF has an MSCI ESG Fund Rating of BBB based on a score of 6.06 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 400 Managed Risk ETF ranks in the 43th percentile within its peer group and in the 65th percentile within the global universe of all funds covered by MSCI ESG Fund Ratings.

PERFORMANCE [as of 10/27/21] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS
DMRM 3.15% 3.75% 14.73% 25.34% 7.29% -- --
DMRM (NAV) 0.75% 2.51% 12.69% 22.96% 6.74% -- --
S&P 400 Managed Risk 2.0 Index -- -- -- -- -- -- --
N/A -- -- -- -- -- -- --
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

DMRM Summary Data

Aegon
DeltaShares
07/31/17
Open-Ended Fund
0.45%
$100.80M
0.48%

DMRM Portfolio Data

0.79%
N/A

DMRM Index Data

Volatility
Fixed
N/A

DMRM Fund Structure

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

DMRM Tax Exposures

20.00% / 39.60%
--
No

DMRM Factset Analytics Block Liquidity

As of 10/28/21
5
4
3
2
1

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

DMRM Tradability

221
$11.62K
3
0
0.48%
$0.28
-0.23%
0.63% / -1.33%
None
100.00%
50,000
0.00
0.04%
--
0
$59.42
N/A

DMRM MSCI ESG Ratings

6.06 / 10
64.96
42.78
2.56%
--
169.29