Transamerica Asset Management Inc. on Thursday rolled out the DeltaShares S&P EM 100 & Managed Risk ETF (DMRE), the fifth product in a suite of funds designed to participate in rising markets while potentially limiting losses during sustained market declines.
The fund seeks to capture the ups and minimize the downs by tracking the S&P EM 100 Managed Risk 2.0 Index. As per the prospectus, this index dynamically adjusts its allocations across the S&P EM 100 Index (which measures the performance of roughly 100 of the largest and most liquid companies from the emerging markets, plus South Korea), the S&P U.S. Treasury Bond Current 5-Year Index and the S&P U.S. Treasury Bill 0-3 Month Index.
The weight of each constituent index can vary between 0 percent to 100 percent, depending on market conditions. The fund’s underlying index rebalances daily.
The DMRE fund’s expense ratio is 0.60 percent, making it the most expensive in Transamerica’s DeltaShares suite. The other four funds, which launched in August 2017, have expense ratios ranging from 0.35 percent to 0.50 percent. This group of funds has attracted $804 million in assets, led by the $426 million DeltaShares S&P 500 Managed Risk ETF (DMRL) which measures U.S. large-cap equities using a managed-risk strategy.
These funds have brief trading histories, but they went through the crucible of 2018 marked by market highs through September and the tumultuous fourth-quarter lows, followed by this year’s sharp rebound. On the whole, they seem to have done their job by capturing some of the upside while cushioning against some of the downside.
The DMRL fund, for example, is up 9 percent year to date. That trails the 13.9 percent gain in the S&P 500, but DMRL’s loss of 4.3 percent in 2018 was less painful than the 6.2 percent loss in the S&P 500.