Transamerica Asset Management Inc. has launched the DeltaShares suite of four strategic beta exchange-traded funds, the company announced Wednesday.
These new funds, which began trading today on the NYSE Arca exchange, are designed to provide core equity strategies with an embedded risk-management feature to enable investors to participate in up markets while offering protection in volatile markets.
DeltaShares by Transamerica are the first suite of ETFs that track the S&P Managed Risk 2.0 Index Series, which employs a rules-based methodology that allocates weightings among the underlying equity 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 new fund lineup is composed of the following:
• DeltaShares S&P 500 Managed Risk ETF (DMRL) -- tracks the S&P 500 Managed Risk 2.0 Index, which is designed to measure U.S. large-cap equities using a managed risk strategy. The expense ratio is 0.35 percent.
• DeltaShares S&P 400 Managed Risk ETF (DMRM) -- tracks the S&P 400 Managed Risk 2.0 Index that measures U.S. mid-cap equities. The expense ratio is 0.45 percent.
• DeltaShares S&P 600 Managed Risk ETF (DMRS) -- tracks the S&P 600 Managed Risk 2.0 Index focused on U.S. small-cap equities. The expense ratio is 0.45 percent.
• DeltaShares S&P International Managed Risk ETF (DMRI) -- tracks the S&P EPAC Ex. Korea LargeMidCap Managed Risk 2.0 Index, which offers broad international developed markets equity exposure. The expense ratio is 0.50 percent.
Depending on the market cycle, these funds can be up to 100 percent invested in the underlying equity index. During periods of market volatility, these funds will be programmed to derisk by investing portions of the ETFs in 5-year Treasury bonds.
“We chose 5-year Treasury bonds because historically—for a good portion of the time—5-year Treasuries have had an inverse correlation to equities,” says Tom Wald, chief investment officer at Transamerica Asset Management, the mutual fund business of insurance giant Transamerica, which is an indirect wholly owned subsidiary of Aegon N.V. “Historically, cash has had a zero correlation to equities. So you can achieve more efficient derisking diversification through the use of equities and 5-year Treasuries.”