DMRL

Fund Description
DeltaShares S&P 500 Managed Risk ETF seeks to track the investment results, before fees and expenses, of the S&P 500 Managed Risk 2.0 Index. The S&P 500 Managed Risk 2.0 Index is designed to simulate a downside-protected portfolio that utilizes a framework that includes a targeted volatility and a synthetic option overlay to hedge the portfolio s downside risk. The framework allocates the index weights between the equity and reserve asset and then the volatility of the combined allocation is hedged using a synthetic put option. This framework provides for lower drawdowns and a stable volatility profile for the index while allowing for a higher participation in the upside of the components.
Fund Profile
Fund Name Deltashares S&P 500 Managed Risk ETF
Fund Exchange Ticker DMRL
Fund Sponsor DeltaShares
Fund ISIN US89349P1075
Net Expense Ratio 0.35 %
Fund Inception Date 31 July 2017
Fund Legal Structure ETF (Open end fund)
Exchange NYSE Arca
Listing Country Code US
Fund Investment Objective
ETF Type Specific US Equities - Factor & Thematic
Asset Class Equities (Stocks)
Index Linked Passive
Index Name S&P 500 Managed Risk 2.0 Index
Index Provider S&P DJ Indices
Currency Hedged No
Inverse / Leveraged Not Applicable
Developed / Emerging Developed Market Funds
Market Capitalization Range Large Cap
Growth Value Core / Blend
Continent North America
Key Statistics
Return As of Date 18 January 2019
Asset Under Management 400.40 Million (USD)
1 Month Total Return 1.80 %
Year To Date Return 3.21 %
1 Year Total Return -5.45 %
3 Year Annualized Total Return
NAV 52.6836
Share Outstanding 7,600,000
Top 10 Holdings (18 January 2019)
Constituent Name Constituent Ticker Constituent Type Weighting
US TREASURY N/B BOND 0.5021561364
US DOLLAR CASH 0.0233037886
MICROSOFT CORP MSFT EQUI 0.0179990646
APPLE INC AAPL EQUI 0.0154192675
AMAZON.COM INC AMZN EQUI 0.0152599379
S+P500 EMINI FUT MAR19 ESH9 FUTR 0.0115802397
BERKSHIRE HATHAWAY INC-CL B BRKB EQUI 0.0084861963
FACEBOOK INC-CLASS A FB EQUI 0.0078184912
JOHNSON & JOHNSON JNJ EQUI 0.0075976463
JPMORGAN CHASE & CO JPM EQUI 0.0075106280