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 18 January 2019
Asset Under Management 41.65 Million (USD)
1 Month Total Return 3.27 %
Year To Date Return 3.42 %
1 Year Total Return -5.44 %
3 Year Annualized Total Return
NAV 52.0616
Share Outstanding 800,000
Top 10 Holdings (18 January 2019)
Constituent Name Constituent Ticker Constituent Type Weighting
US TREASURY N/B BOND 0.5593335290
US DOLLAR CASH 0.0252334391
E-MINI RUSS 2000 MAR19 RTYH9 FUTR 0.0141458471
FIRST FINL BANKSHARES INC FFIN EQUI 0.0025170279
TREX COMPANY INC TREX EQUI 0.0023821067
SPIRE INC SR EQUI 0.0023063964
INGEVITY CORP NGVT EQUI 0.0022305131
AMEDISYS INC AMED EQUI 0.0021821258
GLACIER BANCORP INC GBCI EQUI 0.0021707731
SELECTIVE INSURANCE GROUP SIGI EQUI 0.0021352445