DeltaShares S&P 400 Managed Risk ETF (DMRM)

48.43 -0.02  -0.05% NYSE Arca Aug 5, 20:00 USD
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Key Stats

Net Asset Value 48.66
Discount or Premium to NAV -0.47%
Turnover Ratio 511.0%
1 Year Fund Level Flows -2.575M

Performance & Returns

  Total Return (Price) Total Return (NAV) Cat. Total Return (NAV) % Rank in Cat. (NAV)
1M 2.40% 2.24% 6.38% 99
3M 4.51% 4.57% 18.42% 99
6M -10.66% -10.94% -7.01% 79
YTD -10.37% -10.14% -6.88% 76
1Y -2.85% -2.02% 1.03% 89
3Y 0.15% 0.47% 4.30% 86
5Y -- -- 5.23% --
10Y -- -- 9.79% --
15Y -- -- 6.89% --
20Y -- -- 7.16% --
As of Aug. 5, 2020. Returns for periods of 1 year and above are annualized.

Asset Allocation

Type % Net % Long % Short
Cash 0.35% 0.35% 0.00%
Stock 17.17% 17.17% 0.00%
Bond 82.48% 82.48% 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 June 30, 2020

Region Exposure

Americas 99.96%
North America 99.96%
Latin America 0.00%
Greater Europe 0.04%
United Kingdom 0.04%
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 June 30, 2020. Region breakdown data is calculated by using the long position holdings of the portfolio.

Stock Sector Exposure

Basic Materials 4.76%
Communication Services 2.32%
Consumer Cyclical 13.59%
Consumer Defensive 4.91%
Energy 1.90%
Financial Services 15.18%
Healthcare 11.27%
Industrials 16.76%
Real Estate 9.91%
Technology 15.76%
Utilities 3.64%
As of June 30, 2020

Stock Market Capitalization

Giant 0.00%
Large 0.00%
Medium 67.21%
Small 32.79%
Micro 0.00%
As of June 30, 2020

Stock Style Exposure

Large Cap Value 0.00%
Large Cap Blend 0.00%
Large Cap Growth 0.00%
Mid Cap Value 15.41%
Mid Cap Blend 23.53%
Mid Cap Growth 28.18%
Small Cap Value 15.79%
Small Cap Blend 12.25%
Small Cap Growth 4.85%
As of June 30, 2020

DMRM Bond Exposure

Government 99.58%
Corporate 0.00%
Securitized 0.00%
Municipal 0.00%
Cash 0.42%
Derivative 0.00%
As of June 30, 2020

DMRM Bond Credit Quality Exposure

AAA 99.24%
AA 0.00%
A 0.00%
BBB 0.00%
BB 0.00%
B 0.00%
Below B 0.00%
Not Rated 0.76%
As of March 31, 2020

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 June 30, 2020
View More Holdings

Top 10 Holdings

Symbol Name % Weight Price % Chg
-- United States Treasury Notes 0.25% 82.48% -- --
-- Future on S&P Mid 400 Sep20 0.41% -- --
TER Teradyne Inc 0.15% 90.00 -0.72%
ETSY Etsy Inc 0.13% 128.06 -5.50%
FDS FactSet Research Systems Inc 0.13% 347.69 -0.68%
FICO Fair Isaac Corp 0.13% 436.01 -0.33%
CTLT Catalent Inc 0.13% 88.30 -1.47%
MASI Masimo Corp 0.12% 216.00 -4.04%
POOL Pool Corp 0.12% 325.03 -0.90%
TRMB Trimble Inc 0.12% 49.37 +7.51%
As of June 30, 2020
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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 3.01 yrs
Charles Lowery 3.01 yrs
Louis Ng 3.01 yrs

Net Fund Flows

1M 0.024
3M -0.282
6M -0.972
YTD -1.00
1Y -2.575M
3Y 79.00M
5Y --
10Y --
As of July 31, 2020

Risk Info

Beta (5Y) --
Max Drawdown (All) 21.50%
Historical Sharpe Ratio (10Y) --
Historical Sortino (All) -0.0394
30-Day Rolling Volatility 8.67%
Daily Value at Risk (VaR) 1% (All) 2.48%
Monthly Value at Risk (VaR) 1% (All) 16.07%

Fundamentals

General
Dividend Yield TTM (8-5-20) 0.98%
30-Day SEC Yield (6-30-20) 0.17%
7-Day SEC Yield --
Forecasted Dividend Yield 2.17%
Number of Holdings 404
Stock
Weighted Average PE Ratio 18.85
Weighted Average Price to Sales Ratio 1.188
Weighted Average Price to Book Ratio 1.994
Weighted Median ROE 12.48%
Weighted Median ROA 4.99%
Forecasted PE Ratio 21.05
Forecasted PS Ratio 1.098
Forecasted Price to Book Value 1.701
Number of Stock Holdings 400
Bond
Current Yield 0.25%
Yield to Maturity --
Effective Duration --
Average Coupon 0.25%
Average Credit Score 3.00 (AA)
Average Price 99.81
Number of Bond Holdings 1
As of June 30, 2020

Comparables

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Attributes

Key Dates
Inception Date 7/31/2017
Termination Date
Last Annual Report Date 12/31/2019
Last Prospectus Date 5/1/2020
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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