DeltaShares® S&P EM 100 & Managed Risk ETF

Data updated: 2022-05-27

C000186343 — DeltaShares® S&P EM 100 & Managed Risk ETF. Emerging Markets Blend / Core Equity · $6.97M AUM. Holdings, fees, performance and SEC filings.

C000186343 Fund Overview

DeltaShares® S&P EM 100 & Managed Risk ETF is a US ETF managed by Transamerica ETF Trust, categorised as Emerging Markets Blend / Core Equity. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

Type: US ETF
Manager: Transamerica ETF Trust
Category: Emerging Markets Blend / Core Equity
Assets under management: $6.97M
1-year return: -20.1%
SEC CIK: 0001673996
SEC series ID: S000057759
Share class ID: C000186343

C000186343 Investment Objective and Strategy

DeltaShares® S&P EM 100 & Managed Risk ETF describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Transamerica ETF Trust.

Investment objective

Seeks to track the investment results, before fees and expenses, of the S&P EM 100 Managed Risk 2.0 Index.

Principal investment strategy

Under normal market conditions, the DeltaShares S&P EM 100 & Managed Risk ETF (the fund) invests a substantial portion, but at least 80%, of its assets, exclusive of collateral held from securities lending, in securities comprising the S&P EM 100 Managed Risk 2.0 Index (the Underlying Index). To be announced transactions representing component securities comprising the Underlying Index and depositary receipts based on component securities in the Underlying Index (or, in the case of depositary receipts which themselves are component securities, underlying stocks in respect of such depositary receipts) are included in the above-noted investment policy. The fund may also invest in other exchange-traded funds and financial derivatives including futures, forwards and swaps when the funds sub-adviser, Milliman Financial Risk Management LLC (the Sub-Adviser), believes doing so will enhance the funds ability to track the Underlying Index.

Such investments are not included in the funds 80% investment policy noted above. The fund may use derivatives in an effort to gain exposure to underlying securities and markets in a more efficient manner or to optimize the execution processes and costs for portfolio transitions. The Underlying Index is designed to simulate, through a rules based methodology, a dynamic portfolio with the aim of both managing the volatility of the Underlying Index and limiting losses from the Underlying Indexs equity exposure due to severe sustained market declines. The Underlying Index seeks to achieve these objectives by allocating weightings among the S&P EM 100 Index (the Equity Index), the S&P U.S. Treasury Bond Current 5-Year Index (the Treasury Bond Index) and the S&P U.S. Treasury Bill 0-3 Month Index (the T-Bill Index) (collectively, the Constituent Indices).

The Equity Index measures the performance of approximately 100 of the largest and most liquid companies from the emerging markets plus Korea. As of June 29, 2018, the market capitalizations of companies included in the Equity Index were between $3.6 billion and $145.3 billion. The Treasury Bond Index measures the performance of the most recently issued 5-year U.S. Treasury note or bond. The T-Bill Index measures the performance of U.S. Treasury bills maturing in 0 to 3 months. The weight of each Constituent Index may vary from 0% to 100% of the Underlying Index, and the sum of their weights will equal 100%. To the extent the Underlying Index is allocated to the Equity Index, at least 80% of the Equity Index sleeve of the funds portfolio will be invested in emerging market securities. The Underlying Index rebalances on a daily basis.

Depending on the allocation among the Constituent Indices, the Underlying Index expects to include between 1 and 120 securities. The Underlying Indexs methodology seeks to address increases in annualized volatility and reduce the effect of severe sustained market declines by changing the allocations among the Constituent Indices. If the annualized volatility of the Equity Index increases, the Underlying Indexs 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. In seeking to further limit losses due to severe sustained market declines, the methodology also determines allocations among the Constituent Indices based on a moving average calculation of the Underlying Index compared to the current value of the Underlying Index, where the ratio of these two values is considered. As this ratio increases, which tends to happen when the price of the Underlying Index is decreasing, the Underlying Indexs allocation to the Equity Index is further reduced and the allocation to the Treasury Bond Index and/or T-Bill Index is increased.

Conversely, when this ratio reduces, which tends to happen when the price of the Underlying Index is increasing, the methodology will increase the allocation to the Equity Index and decrease the allocation to the Treasury Bond Index and/or T-Bill Index. Allocation changes among the Constituent Indices are calculated and may be implemented daily, subject to a 10% daily maximum change in the Equity Index allocation. Under normal circumstances, in seeking to track the performance of the Underlying Index, the fund employs a replication strategy, which means the fund invests in substantially all of the securities represented in the Underlying Index in approximately the same proportions as the Underlying Index. The fund may also employ a sampling strategy when determined by the Sub-Adviser to be in the best interest of the fund in pursuing its objective.

A sampling strategy means that the fund purchases a subset of the securities in the Underlying Index in an effort to hold a portfolio of securities with generally the same risk and return characteristics of the Underlying Index. The quantity of holdings in the fund will be based on a number of factors, including asset size of the fund. The Underlying Index is sponsored by S&P Dow Jones Indices LLC (the Index Provider), which is not affiliated with the fund, the Investment Manager or the Sub-Adviser. The Underlying Index was developed by the Index Provider in collaboration with Milliman Financial Risk Management LLC, the Sub-Adviser. The Underlying Index is owned, calculated and controlled by the Index Provider in its sole discretion. The Index Provider determines the composition of the Underlying Index, relative weightings of the securities in the Index and publishes information regarding the market value of the Underlying Index.

Neither the Sub-Adviser nor its affiliates has any discretion to select the Underlying Index components or change the Underlying Index methodology.

C000186343 Performance

Total returns for C000186343 (as of 2026-10-01), from SEC filings.

Period	Total return
1 year	-20.1%
3 years (annualised)	-0.9%

C000186343 Risk Information

Risk metrics for C000186343, derived from monthly returns in SEC filings.

1-year volatility (annualised): 11.8%

C000186343 Costs and Fees

C000186343 costs about $60 per $10,000 invested per year in fund expenses.

Net expense ratio: 0.60%
Gross expense ratio: 0.60%
Portfolio turnover: 647%
Brokerage commissions: 13.74 bps of average net assets (SEC N-CEN)

C000186343 Cashflows

Over the 12 months to 2022-03, DeltaShares® S&P EM 100 & Managed Risk ETF had net outflows of $34.95M, from monthly SEC N-PORT filings.

Month	Net flow
2022-03	−$32.53M
2022-02	−$2.42M
2022-01	$0
2021-12	$0
2021-11	$0
2021-10	$0

C000186343 Debt Constituents

No individual debt constituents are reported in DeltaShares® S&P EM 100 & Managed Risk ETF's latest SEC N-PORT filing.

C000186343 Prospectus and SEC Filings

Official DeltaShares® S&P EM 100 & Managed Risk ETF filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

Related Funds

Other Emerging Markets Blend / Core Equity funds tracked on ABC INVEST:

Data Sources

ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.