DMRS

DeltaShares S&P 600 Managed Risk ETF
*Unless otherwise stated, data provided by FactSet.

DMRS Fund Description

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

DMRS Factset Analytics Insight

DMRS’s index allocates between three constituent indexes, S&P SmallCap 600, an index consisting solely of the most recent 5-year Treasury note, and 0-3 month T-bill index. The weight given to each constituent index may vary from 0-100% in any combination totaling to 100%. The methodology aims to achieve the optimal combination of these three asset classes in order to maximize equity exposure, limit volatility and hedge downside risk. Practically speaking, the fund will hold stocks when volatility is below a pre-determined threshold, then move into T-notes and T-bills when the threshold is exceeded. The fund is sub-advised by Milliman Financial Risk Management, LLC.

DMRS MSCI ESG Analytics Insight

DeltaShares S&P 600 Managed Risk ETF has an MSCI ESG Fund Rating of BBB based on a score of 5.33 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 600 Managed Risk ETF ranks in the 32nd percentile within its peer group and in the 44th percentile within the global universe of all funds covered by MSCI ESG Fund Ratings.

PERFORMANCE [as of 09/20/21] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS
DMRS 0.24% -1.62% 9.44% 19.98% -1.16% -- --
DMRS (NAV) -0.80% -1.10% 7.83% 18.39% -1.64% -- --
S&P 600 Managed Risk 2.0 Index -- -- -- -- -- -- --
N/A -- -- -- -- -- -- --
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

DMRS Summary Data

Aegon
DeltaShares
07/31/17
Open-Ended Fund
0.45%
$43.12M
0.45%

DMRS Portfolio Data

0.30%
N/A

DMRS Index Data

Volatility
Fixed
N/A

DMRS Fund Structure

No
Yes
-- / --
N/A
N/A
Medium
N/A
N/A

DMRS Tax Exposures

20.00% / 39.60%
0.02%
No

DMRS Factset Analytics Block Liquidity

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

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

DMRS Tradability

2,353
$132.17K
728
$41.19K
0.45%
$0.26
-0.40%
0.97% / -1.36%
None
100.00%
50,000
0.01
0.04%
--
0
$56.03
N/A

DMRS MSCI ESG Ratings

5.33 / 10
44.40
31.60
2.14%
3.65%
93.91