Here’s a list of the four ETFs, along with their expense ratios:
- DeltaShares S&P 500 Managed Risk ETF (DMRL), 0.35%
- DeltaShares S&P 400 Managed Risk ETF (DMRM), 0.45%
- DeltaShares S&P 600 Managed Risk ETF (DMRS), 0.45%
- DeltaShares S&P International Managed Risk ETF (DMRI), 0.50%
The SEC filing notes that the manager can at their discretion move in and out of the underlying equity indexes and buy Treasury bonds instead during times of market turmoil:
If the annualized volatility of the Equity Index increases, the Underlying Index’s allocation to the Equity Index may be reduced and the remainder allocated to the Treasury Bond Index and/or T-Bill Index. Conversely, a subsequent decrease in the annualized volatility of the Equity Index may result in an increase in allocation to the Equity Index and a decreased allocation to the Treasury Bond Index and/or T-Bill Index. The methodology determines allocation shifts to the Treasury Bond Index and T-Bill Index based on three factors. 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.
The index for each of the funds is rebalanced daily, which allows for a great deal of nimbleness. All four of the ETFs will be listed on the NYSE Arca exchange.
The funds will indirectly compete with other S&P-focused ETFs like the iShares S&P 500 Index ETF (NYSE:IVV), which was trading at $248.46 per share on Wednesday afternoon, down $0.53 (-0.21%). Year-to-date, IVV has gained 11.42%.