– DeltaShares S&P International Managed Risk ETF (NYSEAcra: DMRI), which tracks the S&P EPAC Ex. Korea LargeMidCap Managed Risk 2.0 Index, a benchmark that offers broad international developed markets equity exposure using a managed risk strategy seeking to limit losses and capture the upside in rising markets. DMRI has a 0.50% expense ratio.
“With the DeltaShares ETFs, we aim to help investors participate in rising equity markets in order to meet retirement goals and fund liabilities, while potentially reducing downside risk during falling markets,” Tom Wald, chief investment officer for Transamerica Asset Management, said in a note. “Through a combination of stocks, U.S. Treasury Bonds, and cash, these DeltaShares ETFs will seek to optimize the most appropriate combination of these investment choices through a rules-based methodology based on stock market volatility trends.”
Each of the four smart beta ETFs try to reflect their intended markets, except when volatility rises, the ETFs will increase their allocation to fixed income in the form of T-bills and Treasuries. On the other hand, when volatility falls, they will take on greater equity weights.
“The methodology determines allocation shifts to the Treasury Bond Index and T-Bill Index based on three factors,” according to a prospectus sheet. “The methodology allocates more of the shift from the Equity Index to the T-Bill Index when the yield-to-maturity on the Treasury Bond Index is not sufficiently higher than the effective Federal Funds Rate for a sustained period of time, when the volatility of the Treasury Bond Index is high, and/or when the correlation between the Treasury Bond Index and the Equity Index is positive.”
For more information on new fund products, visit our new ETFs category.