Transamerica adds EM ETF to DeltaShares managed risk suite

Apr 3rd, 2019 | By | Category: Alternatives / Multi-Asset

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Transamerica Asset Management has added a new ETF to its ‘DeltaShares’ line-up of managed risk funds.

Tom Wald Transamerica CIO

Tom Wald, Chief Investment Officer for Transamerica Asset Management.

The DeltaShares S&P EM 100 & Managed Risk ETF (DMRE US) has listed on NYSE Arca and provides exposure to the S&P EM 100 Managed Risk 2.0 Index.

The index tracks the performance of the 100 largest emerging market companies, as represented by the S&P EM 100 Index, while seeking to reduce downside risk by utilizing the S&P Managed Risk 2.0 methodology.

“With the addition of the DeltaShares S&P EM 100 & Managed Risk ETF, we can meet investors’ demand for a risk-managed emerging markets ETF,” said Tom Wald, Chief Investment Officer for Transamerica Asset Management. “Like all of the DeltaShares ETFs, this new fund aims to allow investors to participate in rising markets while potentially limiting losses during sustained declining ones.”

The S&P Managed Risk 2.0 methodology dynamically adjusts allocations between a primary equity index, a US Treasury bond index, and cash based on the realized variance of the equity and Treasury bond indices as well as the covariance between the two indices.

The strategy uses an allocation model to solve for the asset class weights that result in the highest equity exposure while maintaining portfolio volatility within a target range. Furthermore, exposure to the equity and Treasury bond indices is hedged with a synthetic put position to further reduce downside risk. S&P Managed Risk 2.0 indices are rebalanced daily.

The ETF comes with an expense ratio of 0.60%.

Adam Schenck, Head of Portfolio Management for Milliman Financial Risk Management, which acts as sub-adviser to the DeltaShares suite, said “We are pleased to once again collaborate with Transamerica to launch a DeltaShares Managed Risk ETF. The success of the initial suite has shown us that investors appreciate DeltaShares’ unique management strategies which help them take advantage of upside market potential while seeking to mitigate their risks as they invest to achieve their long-term goals.”

There are now five funds within the DeltaShares managed risk suite. The other ETFs, outlined below, target the US large, mid, and small-cap equity markets as well as international developed stocks.

DeltaShares S&P 500 Managed Risk ETF (DMRL US); 0.35%
DeltaShares S&P 400 Managed Risk ETF (DMRM US); 0.45%
DeltaShares S&P 600 Managed Risk ETF (DMRS US); 0.45%
DeltaShares S&P International Managed Risk ETF (DMRI US); 0.50%

DMRL and DMRI are the largest funds in the range with $410 million and $190m in assets under management, respectively.

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