Tickers: TBD
Exchange: NYSE Arca
Expense ratio: TBD
Original filing date: February 12, 2021
Effective date: April 28, 2021
Listing Date: May 2021
CUSIP: TBD
Active: No
Morningstar® US Sustainability Dividend Yield Focus IndexSM
Morningstar® Developed Markets ex-US Sustainability Dividend Yield Focus Index
Morningstar® Emerging Markets Sustainability Dividend Yield Focus Index
Investment Objective:
Seeks to track the investment results, before fees and expenses, of their respective indices.
Investment Strategy:
Constituents:
Adviser: Transamerica Asset
Management, Inc.
Sub-Adviser: Geode Capital Management, LLC
Prospectus is here.
DeltaShares Morningstar ESG US Dividend ETF
THE FUND’S PRINCIPAL INVESTMENT STRATEGY
Under normal market conditions, the DeltaShares® Morningstar ESG US Dividend ETF (the “fund”) invests a substantial portion of its assets in securities comprising the Morningstar® US Sustainability Dividend Yield Focus IndexSM (the “Underlying Index”). Under normal circumstances, the fund will invest at least 80% of its net assets, plus any borrowings for investment purposes, in dividend-paying securities of US market companies (as defined by the Index Provider).
The Underlying Index is designed to provide exposure to high-yielding, qualified-dividend-paying US companies that exhibit superior quality and financial health and that score highly on sustainable-investing criteria. The Underlying Index is a subset of the Morningstar® US Market IndexSM (the “Parent Index”), an index designed to track the US equity market. The Underlying Index first screens the companies in the Parent Index for eligibility. To be eligible for inclusion in the Underlying Index:
| • | First, a company must pay qualified-dividends. A qualified dividend is generally taxable as long-term capital gains rates rather than ordinary income rates. |
| • | Second, a company must have a current environmental, social and governance (“ESG”) and controversy score (the “controversy score”), as determined by Sustainalytics, a Morningstar company and independent provider of ESG and corporate governance research and ratings. A company’s controversy score measures the degree to which newsworthy events involving the company may negatively impact the environment, society and the company’s business prospects, as well as the quality of the company’s efforts to manage and/or mitigate those negative impacts. Companies assigned the highest controversy score are not eligible for inclusion in the Underlying Index. |
| • | Third, a company must meet the following product involvement screens: (i) must not derive more than 50% of its revenue from involvement in tobacco products, and (ii) must not have involvement in the production of controversial weapons. |
| • | Fourth, a company must possess a sustainable competitive advantage in the market, as determined by the Index Provider (defined below). |
After meeting the eligibility screens, the remaining companies are then ranked based on trailing 12-month dividend yield. The Underlying Index next targets an overall Morningstar Five Globe Sustainability Rating, which indicates low portfolio-level risk from ESG factors compared to the Fund’s Morningstar category, as determined by Morningstar. If the remaining companies, as a group, do not meet this rating requirement, companies in the bottom 25% of controversy scores are removed. If the resulting group of companies continues to not meet the rating requirement, then the next bottom 5% of companies are removed. The process is repeated until either the remaining group of companies meets the Five Globe Sustainability Rating or the bottom 50% of eligible companies are removed. The top 50 remaining companies based on trailing 12-month dividend yield are then chosen for inclusion in the Underlying Index.
The Underlying Index constituents are weighted according to the total qualified dividends paid during the past 12 months, with a maximum individual constituent weight of 5%, and a maximum sector weight of the lesser of 40% or 5 times that of the sector’s weight in the Parent Index. As of December 31, 2020, the market capitalizations of companies included in the Underlying Index were between $ billion and $ billion. The Underlying Index is reconstituted semi-annually in June and December. In addition, in March and September the controversy score and product involvement screens are applied and existing constituents failing those screens are deleted from the Underlying Index.
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 fund’s sub-adviser, Geode Capital Management, LLC (the “Sub-Adviser”), to be in the best interest of the fund in pursuing its investment 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 was developed and is sponsored by Morningstar® Indexes (the “Index Provider”), which is not affiliated with the fund, the Investment Manager or 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. The Investment Manager, Sub-Adviser and their respective affiliates do not have the ability to select Underlying Index components or change the Underlying Index methodology.
DeltaShares Morningstar ESG International Dividend ETF
THE FUND’S PRINCIPAL INVESTMENT STRATEGY
Under normal market conditions, the DeltaShares® Morningstar ESG International Dividend ETF (the “fund”) invests a substantial portion of its assets in securities comprising the Morningstar® Developed Markets ex-US Sustainability Dividend Yield Focus IndexSM (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) Under normal circumstances, the fund will invest at least 80% of its net assets, plus any borrowings for investment purposes, in dividend-paying securities.
The Underlying Index is designed to provide exposure to high-yielding, qualified-dividend-paying companies in developed markets (excluding the United States) that exhibit superior quality and financial health and that score highly on sustainable-investing criteria. The Underlying Index is a subset of the Morningstar® Developed Markets ex-US IndexSM (the “Parent Index”), an index designed to track the developed market (excluding the United States) equity market. The Underlying Index first screens the companies in the Parent Index for eligibility. To be eligible for inclusion in the Underlying Index:
| • | First, a company must pay qualified-dividends. A qualified dividend is generally taxable at long-term capital gains rates rather than ordinary income rates. |
| • | Second, a company must have a current environmental, social and governance (“ESG”) and controversy score (the “controversy score”), as determined by Sustainalytics, a Morningstar company and independent provider of ESG and corporate governance research and ratings. A company’s controversy score measures the degree to which newsworthy events involving the company may negatively impact the environment, society and the company’s business prospects, as well as the quality of the company’s efforts to manage and/or mitigate those negative impacts. Companies assigned the highest controversy score are not eligible for inclusion in the Underlying Index. |
| • | Third, a company must meet the following product involvement screens: (i) must not derive more than 50% of its revenue from involvement in tobacco products, and (ii) must not have involvement in the production of controversial weapons. |
| • | Fourth, a company must possess a sustainable competitive advantage in the market, as determined by the Index Provider (defined below). |
After meeting the eligibility screens, the remaining companies are then ranked based on trailing 12-month dividend yield. The Underlying Index next targets an overall Morningstar Five Globe Sustainability Rating, which indicates low portfolio-level risk from ESG factors compared to the Fund’s Morningstar category, as determined by Morningstar. If the remaining companies, as a group, do not meet this rating requirement, companies in the bottom 25% of controversy scores are removed. If the resulting group of companies continues to not meet the rating requirement, then the next bottom 5% of companies are removed. The process is repeated until either the remaining group of companies meets the Five Globe Sustainability Rating or the bottom 50% of eligible companies are removed. The top 125 remaining companies based on trailing 12-month dividend yield are then chosen for inclusion in the Underlying Index.
The Underlying Index constituents are weighted according to the total qualified dividends paid during the past 12 months, with a maximum individual constituent weight of 5%, and a maximum sector weight of the lesser of 40% or 5 times that of the sector’s weight in the Parent Index. As of December 31, 2020, the market capitalizations of companies included in the Underlying Index were between $ billion and $ billion. The Underlying Index is reconstituted semi-annually in June and December. In addition, in March and September the controversy score and product involvement screens are applied and existing constituents failing those screens are deleted from the Underlying Index.
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 fund’s sub-adviser, Geode Capital Management, LLC (the “Sub-Adviser”), to be in the best interest of the fund in pursuing its investment 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 was developed and is sponsored by Morningstar® Indexes (the “Index Provider”), which is not affiliated with the fund, the Investment Manager or 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. The Investment Manager, Sub-Adviser and their respective affiliates do not have the ability to select Underlying Index components or change the Underlying Index methodology.
DeltaShares Morningstar ESG Emerging Markets Dividend ETF
THE FUND’S PRINCIPAL INVESTMENT STRATEGY
Under normal market conditions, the DeltaShares® Morningstar ESG Emerging Markets Dividend ETF (the “fund”) invests a substantial portion of its assets in securities comprising the Morningstar® Emerging Markets Sustainability Dividend Yield Focus IndexSM (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) Under normal circumstances, the fund will invest at least 80% of its net assets, plus any borrowings for investment purposes, in dividend-paying securities of emerging market companies (as defined by the Index Provider).
The Underlying Index is designed to provide exposure to high-yielding, qualified-dividend-paying companies in emerging markets that exhibit superior quality and financial health and that score highly on sustainable-investing criteria. The Underlying Index is a subset of the Morningstar® Emerging Markets IndexSM (the “Parent Index”), an index designed to track the emerging market equity market. The Underlying Index first screens the companies in the Parent Index for eligibility. To be eligible for inclusion in the Underlying Index:
| • | First, a company must pay qualified-dividends. A qualified dividend is generally taxable as long-term capital gains rates rather than ordinary income rates. |
| • | Second, a company must have a current environmental, social and governance (“ESG”) and controversy score (the “controversy score”), as determined by Sustainalytics, a Morningstar company and independent provider of ESG and corporate governance research and ratings. A company’s controversy score measures the degree to which newsworthy events involving the company may negatively impact the environment, society and the company’s business prospects, as well as the quality of the company’s efforts to manage and/or mitigate those negative impacts. Companies assigned the highest controversy score are not eligible for inclusion in the Underlying Index. |
| • | Third, a company must meet the following product involvement screens: (i) must not derive more than 50% of its revenue from involvement in tobacco products, and (ii) must not have involvement in the production of controversial weapons. |
| • | Fourth, a company must possess a sustainable competitive advantage in the market, as determined by the Index Provider (defined below). |
After meeting the eligibility screens, the remaining companies are then ranked based on trailing 12-month dividend yield. The Underlying Index next targets an overall Morningstar Five Globe Sustainability Rating, which indicates low portfolio-level risk from ESG factors compared to the Fund’s Morningstar category, as determined by Morningstar. If the remaining companies, as a group, do not meet this rating requirement, companies in the bottom 25% of controversy scores are removed. If the resulting group of companies continues to not meet the rating requirement, then the next bottom 5% of companies are removed. The process is repeated until either the remaining group of companies meets the Five Globe Sustainability Rating or the bottom 50% of eligible companies are removed. The top 75 remaining companies based on trailing 12-month dividend yield are then chosen for inclusion in the Underlying Index.
The Underlying Index constituents are weighted according to the total qualified dividends paid during the past 12 months, with a maximum individual constituent weight of 5%, and a maximum sector weight of the lesser of 40% or 5 times that of the sector’s weight in the Parent Index. As of December 31, 2020, the market capitalizations of companies included in the Underlying Index were between $ million to $ billion. The Underlying Index is reconstituted semi-annually in June and December. In addition, in March and September the controversy score and product involvement screens are applied and existing constituents failing those screens are deleted from the Underlying Index.
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 fund’s sub-adviser, Geode Capital Management, LLC (the “Sub-Adviser”), to be in the best interest of the fund in pursuing its investment 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 was developed and is sponsored by Morningstar® Indexes (the “Index Provider”), which is not affiliated with the fund, the Investment Manager or 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. The Investment Manager, Sub-Adviser and their respective affiliates do not have the ability to select Underlying Index components or change the Underlying Index methodology.
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