DeltaShares S&P 400 Managed Risk ETF
Name
As of 04/07/2022Price
Aum/Mkt Cap
YIELD
Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.
Exp Ratio
Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.
Watchlist
Vitals
YTD Return
-6.4%
1 yr return
-1.3%
3 Yr Avg Return
4.0%
5 Yr Avg Return
N/A
Net Assets
$4.51 M
Holdings in Top 10
42.2%
52 WEEK LOW AND HIGH
$55.2
$55.22
$62.93
Expenses
OPERATING FEES
Expense Ratio 0.45%
SALES FEES
Front Load N/A
Deferred Load N/A
TRADING FEES
Turnover 292.00%
Redemption Fee N/A
Min Investment
Standard (Taxable)
N/A
IRA
N/A
Fund Classification
Fund Type
Exchange Traded Fund
Name
As of 04/07/2022Price
Aum/Mkt Cap
YIELD
Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.
Exp Ratio
Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.
Watchlist
DMRM - Profile
Distributions
- YTD Total Return -9.0%
- 3 Yr Annualized Total Return 4.0%
- 5 Yr Annualized Total Return N/A
- Capital Gain Distribution Frequency Annually
- Net Income Ratio 0.70%
- Dividend Yield 1.0%
- Dividend Distribution Frequency Quarterly
Fund Details
-
Legal NameDeltaShares S&P 400 Managed Risk ETF
-
Fund Family NameDeltaShares
-
Inception DateJul 31, 2017
-
Shares Outstanding80000
-
Share ClassN/A
-
CurrencyUSD
-
Domiciled CountryUnited States
-
ManagerLouis Ng
Fund Description
Under normal market conditions, the DeltaShares
®
S&P 400 Managed Risk ETF (the “fund”) invests a substantial portion, but at least 80%, of its assets, exclusive of collateral held from securities lending, in securities comprising the S&P 400 Managed Risk 2.0 Index (the “Underlying Index”). “To be announced” transactions representing component securities comprising the Underlying Index and depositary receipts based on component securities in the Underlying Index (or, in the case of depositary receipts which themselves are component securities, underlying stocks in respect of such depositary receipts) are included in the above-noted investment policy. The Underlying Index is designed to simulate, through a rules based methodology, a dynamic portfolio with the aim of both (i) managing the volatility of the Underlying Index and (ii) limiting losses from the Underlying Index’s equity exposure due to severe sustained market declines. The Underlying Index seeks to achieve these objectives by allocating weightings among the S&P MidCap 400 Index (the “Equity Index”), the S&P U.S. Treasury Bond Current
5-Year
Index (the “Treasury Bond Index”) and the S&P U.S. Treasury Bill 0-3
Month Index (the “T-Bill
Index”) (collectively, the “Constituent Indices”). | • | The Equity Index measures the performance of the mid-cap segment of the U.S. equity market. As of December 31, 2020, the market capitalizations of companies included in the Equity Index were between $1.2 billion and 22.2 billion. |
| • | The Treasury Bond Index measures the performance of the most recently issued 5-year U.S. Treasury note or bond. |
| • | The T-Bill Index measures the performance of U.S. Treasury bills maturing in 0 to 3 months. |
The weight of each Constituent Index may vary from 0% to 100% of the Underlying Index, and the sum of their weights will equal 100%. The Underlying Index rebalances on a daily basis. Depending on the allocation among the Constituent Indices, the Underlying Index expects to include between 1 and 415 securities.
The Underlying Index’s methodology seeks to address increases in market volatility by, when the annualized volatility of the Equity Index increases, reducing the Underlying Index’s allocation to the Equity Index and allocating the remainder to the Treasury Bond Index and/or
T-Bill
Index. Conversely, a decrease in the annualized volatility of the Equity Index may result in an increase in allocation to the Equity Index and a decreased allocation to the Treasury Bond Index and/or T-Bill
Index. In addition, the Underlying Index’s methodology seeks to reduce the effect of severe sustained market declines by determining allocations among the Constituent Indices based on the ratio of a moving average value of the Underlying Index compared to the current value of the Underlying Index. As this ratio increases, which tends to happen when the price of the Underlying Index is decreasing, the Underlying Index’s allocation to the Equity Index is reduced and the allocation to the Treasury Bond Index and/or
T-Bill
Index is increased. Conversely, when this ratio reduces, which tends to happen when the price of the Underlying Index is increasing, the methodology will increase the allocation to the Equity Index and decrease the allocation to the Treasury Bond Index and/or T-Bill
Index. The methodology determines allocation shifts between the Treasury Bond Index and
T-Bill
Index based on three factors: 1.
Yield-to
maturity on the Treasury Bond Index; 2. Volatility of the Treasury Bond Index; and
3. The correlation between the Treasury Bond Index and the Equity Index.
Specifically, the methodology allocates more of a shift from the Equity Index to the on the Treasury Bond Index is not sufficiently higher than the effective Federal Funds Rate for a sustained period of time, when the volatility of the Treasury Bond Index is high, and/or when the correlation between the Treasury Bond Index and the Equity Index is positive.
T-Bill
Index when the yield-to-maturity
Allocation changes among the Constituent Indices are calculated and may be implemented daily, subject to a 10% daily maximum change in the Equity Index allocation.
Under normal circumstances, in seeking to track the performance of the Underlying Index, the fund employs a replication strategy, which means the fund invests in substantially all of the securities represented in the Underlying Index in approximately the same proportions as the Underlying Index. The fund may also employ a sampling strategy when determined by the fund’s
sub-adviser,
Milliman Financial Risk Management LLC (the “Sub-Adviser”)
to be in the best interest of the fund in pursuing its objective. A sampling strategy means that the fund purchases a subset of the securities in the Underlying Index in an effort to hold a portfolio of securities with generally the same risk and return characteristics of the Underlying Index. The fund may use derivatives, including futures, forwards and swaps on the Constituent Indices or on similar indices, for a variety of purposes, such as in an effort to gain exposure to underlying securities and markets in a more efficient manner, to optimize the execution processes and costs for portfolio transitions or for tax management purposes. The quantity of holdings in the fund will be based on a number of factors, including asset size of the fund.
The Underlying Index is sponsored by S&P Dow Jones Indices LLC (the “Index Provider”), which is not affiliated with the fund, the Investment Manager or the
Sub-Adviser.
The Underlying Index was developed by the Index Provider in collaboration with the Sub-Adviser.
The Underlying Index is owned, calculated and controlled by the Index Provider in its sole discretion. The Index Provider determines the composition of the Underlying Index, relative weightings of the securities in the Index and publishes information regarding the market value of the Underlying Index. Neither the Sub-Adviser
nor its affiliates has any ability to select Underlying Index components or change the Underlying Index methodology. DMRM - Performance
Return Ranking - Trailing
| Period | DMRM Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| YTD | -6.4% | -26.4% | 108.5% | 20.91% |
| 1 Yr | -1.3% | -23.8% | 54.2% | 21.36% |
| 3 Yr | 4.0%* | -4.8% | 16.2% | 91.02% |
| 5 Yr | N/A* | -0.2% | 13.2% | N/A |
| 10 Yr | N/A* | 1.8% | 11.8% | N/A |
* Annualized
Return Ranking - Calendar
| Period | DMRM Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| 2023 | 14.7% | -39.0% | 18.1% | 2.22% |
| 2022 | -2.4% | -20.9% | 39.7% | 96.18% |
| 2021 | 12.3% | -21.9% | 25.7% | 67.77% |
| 2020 | -10.7% | -48.9% | 14.0% | 43.83% |
| 2019 | N/A | -7.3% | 37.8% | N/A |
Total Return Ranking - Trailing
| Period | DMRM Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| YTD | -9.0% | -26.4% | 108.5% | 28.15% |
| 1 Yr | -1.3% | -23.8% | 49.9% | 25.53% |
| 3 Yr | 4.0%* | -4.8% | 16.2% | 87.95% |
| 5 Yr | N/A* | -0.5% | 13.2% | N/A |
| 10 Yr | N/A* | 1.8% | 11.8% | N/A |
* Annualized
Total Return Ranking - Calendar
| Period | DMRM Return | Category Return Low | Category Return High | Rank in Category (%) |
|---|---|---|---|---|
| 2023 | 14.7% | -39.0% | 18.1% | 2.22% |
| 2022 | -2.4% | -20.9% | 39.7% | 96.18% |
| 2021 | 12.3% | -21.9% | 25.7% | 68.35% |
| 2020 | -10.7% | -48.9% | 14.0% | 74.15% |
| 2019 | N/A | -5.9% | 50.0% | N/A |
DMRM - Holdings
Concentration Analysis
| DMRM | Category Low | Category High | DMRM % Rank | |
|---|---|---|---|---|
| Net Assets | 4.51 M | 658 K | 204 B | 97.81% |
| Number of Holdings | 405 | 2 | 15345 | 27.75% |
| Net Assets in Top 10 | 34.2 M | 1.42 K | 48.5 B | 70.93% |
| Weighting of Top 10 | 42.16% | 8.0% | 100.0% | 49.71% |
Top 10 Holdings
- United States Treasury Notes 0.25% 64.52%
- US Treasury Note 0.25% 59.95%
- United States Treasury Notes 0.25% 53.39%
- United States Treasury Notes 0.38% 50.41%
- United States Treasury Notes 0.38% 32.27%
- United States Treasury Notes 1.25% 31.76%
- United States Treasury Bills 0.01% 30.27%
- United States Treasury Notes 1.5% 29.88%
- United States Treasury Notes 1.875% 29.64%
- United States Treasury Notes 0.38% 26.13%
Asset Allocation
| Weighting | Return Low | Return High | DMRM % Rank | |
|---|---|---|---|---|
| Stocks | 60.63% | 0.00% | 99.40% | 49.78% |
| Bonds | 39.11% | 0.00% | 119.58% | 22.03% |
| Cash | 0.26% | -19.59% | 81.41% | 89.65% |
| Preferred Stocks | 0.00% | 0.00% | 28.08% | 78.19% |
| Other | 0.00% | -6.69% | 47.23% | 71.81% |
| Convertible Bonds | 0.00% | 0.00% | 25.71% | 93.72% |
Stock Sector Breakdown
| Weighting | Return Low | Return High | DMRM % Rank | |
|---|---|---|---|---|
| Industrials | 18.09% | 0.00% | 33.21% | 4.54% |
| Consumer Cyclical | 15.22% | 0.00% | 19.23% | 3.32% |
| Financial Services | 15.05% | 0.00% | 100.00% | 45.74% |
| Technology | 14.37% | 0.00% | 70.06% | 78.63% |
| Real Estate | 10.14% | 0.00% | 67.69% | 12.29% |
| Healthcare | 9.94% | 0.00% | 99.59% | 84.39% |
| Basic Materials | 5.78% | 0.00% | 34.29% | 13.95% |
| Consumer Defense | 3.71% | 0.00% | 28.69% | 86.49% |
| Energy | 3.23% | 0.00% | 61.46% | 72.76% |
| Utilities | 2.90% | 0.00% | 99.51% | 48.50% |
| Communication Services | 1.57% | 0.00% | 23.77% | 94.24% |
Stock Geographic Breakdown
| Weighting | Return Low | Return High | DMRM % Rank | |
|---|---|---|---|---|
| US | 60.29% | 0.00% | 98.67% | 14.10% |
| Non US | 0.34% | -0.69% | 52.88% | 91.30% |
Bond Sector Breakdown
| Weighting | Return Low | Return High | DMRM % Rank | |
|---|---|---|---|---|
| Government | 99.34% | 0.00% | 99.34% | 0.11% |
| Cash & Equivalents | 0.66% | 0.14% | 100.00% | 98.90% |
| Derivative | 0.00% | 0.00% | 31.31% | 62.56% |
| Securitized | 0.00% | 0.00% | 85.69% | 93.39% |
| Corporate | 0.00% | 0.00% | 99.38% | 98.02% |
| Municipal | 0.00% | 0.00% | 98.19% | 78.41% |
Bond Geographic Breakdown
| Weighting | Return Low | Return High | DMRM % Rank | |
|---|---|---|---|---|
| US | 39.11% | 0.00% | 103.05% | 6.72% |
| Non US | 0.00% | 0.00% | 106.10% | 96.59% |
DMRM - Expenses
Operational Fees
| DMRM Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Expense Ratio | 0.45% | 0.06% | 7.62% | 88.37% |
| Management Fee | 0.45% | 0.00% | 2.00% | 50.51% |
| 12b-1 Fee | 0.00% | 0.00% | 1.00% | 5.15% |
| Administrative Fee | N/A | 0.01% | 0.83% | N/A |
Sales Fees
| DMRM Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Front Load | N/A | 0.00% | 5.75% | N/A |
| Deferred Load | N/A | 1.00% | 5.00% | N/A |
Trading Fees
| DMRM Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Max Redemption Fee | N/A | 0.00% | 2.00% | N/A |
Related Fees
Turnover provides investors a proxy for the trading fees incurred by mutual fund managers who frequently adjust position allocations. Higher turnover means higher trading fees.
| DMRM Fees (% of AUM) | Category Return Low | Category Return High | Rank in Category (%) | |
|---|---|---|---|---|
| Turnover | 292.00% | 0.00% | 494.00% | 98.87% |
DMRM - Distributions
Dividend Yield Analysis
| DMRM | Category Low | Category High | DMRM % Rank | |
|---|---|---|---|---|
| Dividend Yield | 0.98% | 0.00% | 11.36% | 30.17% |
Dividend Distribution Analysis
| DMRM | Category Low | Category High | Category Mod | |
|---|---|---|---|---|
| Dividend Distribution Frequency | Quarterly | Monthly | Monthly | Monthly |
Net Income Ratio Analysis
| DMRM | Category Low | Category High | DMRM % Rank | |
|---|---|---|---|---|
| Net Income Ratio | 0.70% | -2.34% | 19.41% | 73.36% |
Capital Gain Distribution Analysis
| DMRM | Category Low | Category High | Capital Mode | |
|---|---|---|---|---|
| Capital Gain Distribution Frequency | Annually |
Distributions History
| Date | Amount | Type |
|---|---|---|
| Mar 28, 2022 | $0.135 | OrdinaryDividend |
| Dec 29, 2021 | $0.025 | OrdinaryDividend |
| Sep 30, 2021 | $0.258 | OrdinaryDividend |
| Jun 30, 2021 | $0.088 | OrdinaryDividend |
| Mar 31, 2021 | $0.065 | OrdinaryDividend |
| Dec 29, 2020 | $0.059 | OrdinaryDividend |
| Sep 30, 2020 | $0.030 | OrdinaryDividend |
| Jun 30, 2020 | $0.020 | OrdinaryDividend |
| Mar 31, 2020 | $0.120 | OrdinaryDividend |
| Dec 27, 2019 | $0.210 | OrdinaryDividend |
| Oct 01, 2019 | $0.125 | OrdinaryDividend |
| Jul 02, 2019 | $0.151 | OrdinaryDividend |
| Mar 29, 2019 | $0.207 | OrdinaryDividend |
| Dec 24, 2018 | $0.218 | OrdinaryDividend |
| Oct 04, 2018 | $0.138 | OrdinaryDividend |
| Jun 29, 2018 | $0.145 | OrdinaryDividend |
| Mar 30, 2018 | $0.164 | OrdinaryDividend |
| Sep 29, 2017 | $0.085 | OrdinaryDividend |
DMRM - Fund Manager Analysis
Managers
Louis Ng
Start Date
Tenure
Tenure Rank
Jul 31, 2017
4.67
4.7%
Louis Ng, FRM is Director of ETF Capital Markets at Milliman Financial Risk Management LLC. Prior to joining Milliman, Louis worked as a portfolio manager at ProShares, and as an ETF market maker at Bluefin Trading and Ronin Capital. Louis has also been a member of the NYSE, BATS, and EDGE Exchanges. He received a Bachelor of Science degree in Finance from Georgetown University. Louis joined Milliman in 2015.
Charles Lowery
Start Date
Tenure
Tenure Rank
Jul 31, 2017
4.67
4.7%
Charles Lowery, CFA, is Director of ETF Portfolio Management at Milliman Financial Risk Management LLC. Prior to joining Milliman, Charles worked as a portfolio manager at ProShares. He received a Bachelor of Science in Business Administration degree from Georgetown University. Charles joined Milliman in 2017.
Emma Westwick
Start Date
Tenure
Tenure Rank
Feb 01, 2021
1.16
1.2%
Emma Westwick is an Associate Portfolio Manager and a member of ETF Portfolio Management at Milliman Financial Risk Management LLC. Prior to her current role, Emma worked in trade operations at Milliman. She received a Bachelor of Economics degree from Wheaton College. Emma joined Milliman in 2019.
Tenure Analysis
| Category Low | Category High | Category Average | Category Mode |
|---|---|---|---|
| 0.04 | 34.43 | 6.08 | 2.33 |