DeltaShares S&P 400 Managed Risk ETF (DMRM)

53.68 +0.60  +1.12% NYSE Arca Dec 12, 20:00 Delayed 2m USD
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Key Stats

Net Asset Value 53.78
Discount or Premium to NAV -0.25%
Turnover Ratio 435.0%
1 Year Fund Level Flows -13.17M

Performance & Returns

  Total Return (Price) Total Return (NAV) Cat. Total Return (NAV) % Rank in Cat. (NAV)
1M 2.51% 2.48% 2.31% 37
3M 3.43% 3.83% 4.18% 71
6M 4.91% 5.00% 8.23% 92
YTD 12.23% 12.40% 24.46% 97
1Y 8.40% 9.30% 17.13% 93
3Y -- -- 8.14% --
5Y -- -- 7.58% --
10Y -- -- 11.17% --
15Y -- -- 7.81% --
20Y -- -- 8.15% --
As of Dec. 12, 2019. Returns for periods of 1 year and above are annualized.

Asset Allocation

Type % Net % Long % Short
Cash 3.17% 3.17% 0.00%
Stock 81.39% 81.39% 0.00%
Bond 15.44% 15.44% 0.00%
Convertible 0.00% 0.00% 0.00%
Preferred 0.00% 0.00% 0.00%
Other 0.00% 0.00% 0.00%
As of Oct. 31, 2019

Region Exposure

Americas 99.95%
North America 99.95%
Latin America 0.00%
Greater Europe 0.05%
United Kingdom 0.05%
Europe Developed 0.00%
Europe Emerging 0.00%
Africa/Middle East 0.00%
Greater Asia 0.00%
Japan 0.00%
Australasia 0.00%
Asia Developed 0.00%
Asia Emerging 0.00%
Market Classification
% Developed Markets 100.0%
% Emerging Markets 0.00%
As of Oct. 31, 2019. Region breakdown data is calculated by using the long position holdings of the portfolio.

Stock Sector Exposure

Basic Materials 4.66%
Communication Services 2.74%
Consumer Cyclical 12.48%
Consumer Defensive 3.28%
Energy 2.63%
Financial Services 16.64%
Healthcare 9.67%
Industrials 16.93%
Real Estate 11.57%
Technology 15.19%
Utilities 4.21%
As of Oct. 31, 2019

Stock Market Capitalization

Giant 0.00%
Large 0.00%
Medium 76.60%
Small 23.40%
Micro 0.00%
As of Oct. 31, 2019

Stock Style Exposure

Large Cap Value 0.00%
Large Cap Blend 0.00%
Large Cap Growth 0.00%
Mid Cap Value 22.96%
Mid Cap Blend 25.43%
Mid Cap Growth 28.45%
Small Cap Value 10.88%
Small Cap Blend 7.88%
Small Cap Growth 4.40%
As of Oct. 31, 2019

DMRM Bond Exposure

Government 82.97%
Corporate 0.00%
Securitized 0.00%
Municipal 0.00%
Cash 17.03%
Derivative 0.00%
As of Oct. 31, 2019

DMRM Bond Credit Quality Exposure

AAA 78.11%
AA 0.00%
A 0.00%
BBB 0.00%
BB 0.00%
B 0.00%
Below B 0.00%
As of Sept. 30, 2019

DMRM Bond Maturity Exposure

1 to 7 Days 0.00%
8 to 30 Days 0.00%
31 to 90 Days 0.00%
91 to 182 Days 0.00%
183 to 364 Days 0.00%
1 to 3 Years 0.00%
3 to 5 Years 0.00%
5 to 7 Years 100.0%
7 to 10 Years 0.00%
10 to 15 Years 0.00%
15 to 20 Years 0.00%
20 to 30 Years 0.00%
Over 30 Years 0.00%
As of Oct. 31, 2019
View More Holdings

Top 10 Holdings

Symbol Name % Weight Price % Chg
-- United States Treasury Notes 1.5% 15.44% -- --
-- E-mini S&P MidCap 400 Futures Dec19 1.63% -- --
ZBRA Zebra Technologies Corp 0.59% 257.81 -0.18%
STE Steris PLC 0.55% 151.93 -1.13%
TDY Teledyne Technologies Inc 0.55% 347.78 -0.15%
ODFL Old Dominion Freight Lines Inc 0.53% 186.42 -0.57%
Y Alleghany Corp 0.51% 792.03 -0.73%
DPZ Domino's Pizza Inc 0.51% 294.96 -0.57%
CPT Camden Property Trust 0.50% 105.28 -1.75%
WST West Pharmaceutical Services Inc 0.48% 146.31 -0.07%
As of Oct. 31, 2019
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Basic Info

Investment Strategy
The investment seeks to track the investment results, before fees and expenses, of the S&P 400 Managed Risk 2.0 Index. Under normal market conditions, 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 seeks to achieve these objectives by allocating weightings among the S&P MidCap 400 Index, the S&P U.S. Treasury Bond Current 5-Year Index and the S&P U.S. Treasury Bill 0-3 Month Index. The fund is non-diversified.
General
Security Type Exchange-Traded Fund
Equity Style Mid Cap/Blend
Fixed Income Style --
Broad Asset Class US Equity
Broad Category Equity
Category Name Mid-Cap Blend
Prospectus Objective Growth
Fund Owner Firm Name DeltaShares
Benchmark Index
S&P 400 Managed Risk 2.0 TR USD 100.0%
Reports
One Page Report Download

Manager Info

Name Tenure
Blake Graves 1.75 yrs
Charles Lowery 1.75 yrs
Louis Ng 1.75 yrs

Net Fund Flows

1M -1.007
3M -2.575M
6M -2.575M
YTD -17.98M
1Y -13.17M
3Y --
5Y --
10Y --
As of Nov. 30, 2019

Risk Info

Beta (5Y) --
Max Drawdown (All) 16.83%
Historical Sharpe Ratio (10Y) --
Historical Sortino (All) 0.2662
30-Day Rolling Volatility 9.25%
Daily Value at Risk (VaR) 1% (All) 2.41%
Monthly Value at Risk (VaR) 1% (All) 9.65%

Fundamentals

General
Dividend Yield TTM (12-12-19) 1.31%
30-Day SEC Yield (11-30-19) 1.20%
7-Day SEC Yield --
Forecasted Dividend Yield 1.82%
Number of Holdings 404
Stock
Weighted Average PE Ratio 18.92
Weighted Average Price to Sales Ratio 1.290
Weighted Average Price to Book Ratio 2.116
Weighted Median ROE 14.61%
Weighted Median ROA 6.00%
Forecasted PE Ratio 17.92
Forecasted PS Ratio 1.221
Forecasted Price to Book Value 2.009
Number of Stock Holdings 400
Bond
Current Yield 1.50%
Yield to Maturity 1.52%
Effective Duration --
Average Coupon 1.50%
Average Credit Score 12.00 (BB)
Average Price --
Number of Bond Holdings 1
As of Oct. 31, 2019

Comparables

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Attributes

Key Dates
Inception Date 7/31/2017
Termination Date
Last Annual Report Date 12/31/2018
Last Prospectus Date 5/1/2019
Attributes
Exchange Traded Share Yes
Exchange Traded Note No
Enhanced Index Fund No
Fixed Distribution Fund No
High-Net Worth Individual Fund No
Index Fund Yes
Inverse Fund No
Leveraged Fund No
Fund of Funds No
Currency Hedged Fund No
Synthetic Replication Fund No
Has Dividend Investment Plan No
Socially Responsible Fund No
General Availability
Available for Insurance Product No
Available for Retirement Plan No
Available for RRSP No
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