DMRS

Fund Description
DeltaShares S&P SmallCap 600 Managed Risk ETF seeks to track the investment results, before fees and expenses, of the S&P 600 Managed Risk 2.0 Index. The S&P 600 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 600 Managed Risk ETF
Fund Exchange Ticker DMRS
Fund Sponsor DeltaShares
Fund ISIN US89349P3055
Net Expense Ratio 0.45 %
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 600 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 Small Cap
Growth Value Core / Blend
Continent North America
Key Statistics
Return As of Date 17 June 2019
Asset Under Management 39.13 Million (USD)
1 Month Total Return -1.18 %
Year To Date Return 3.67 %
1 Year Total Return -8.84 %
3 Year Annualized Total Return
NAV 52.1717
Share Outstanding 750,000
Top 10 Holdings (17 June 2019)
Constituent Name Constituent Ticker Constituent Type Weighting
US TREASURY N/B BOND 0.3371310756
US DOLLAR CASH 0.0202656391
E-MINI RUSS 2000 SEP19 RTYU9 FUTR 0.0097670119
SELECTIVE INSURANCE GROUP SIGI EQUI 0.0041128010
FIRSTCASH INC FCFS EQUI 0.0039235987
AXON ENTERPRISE INC AAXN EQUI 0.0037829000
STRATEGIC EDUCATION INC STRA EQUI 0.0035828163
TETRA TECH INC TTEK EQUI 0.0035793039
MERCURY SYSTEMS INC MRCY EQUI 0.0033075928
JOHN BEAN TECHNOLOGIES CORP JBT EQUI 0.0032814813