As filed with the Securities and Exchange Commission on March 3, 2022
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-23237
TRANSAMERICA ETF TRUST
(Exact Name of Registrant as Specified in Charter)
1801 California St., Suite 5200, Denver, CO 80202
(Address of Principal Executive Offices) (Zip Code)
Registrant’s Telephone Number, including Area Code: 1-888-316-8077
Timothy Bresnahan, Esq., 1801 California St., Suite 5200, Denver, CO 80202
(Name and Address of Agent for Service)
Date of fiscal year end: December 31
Date of reporting period: December 31, 2021
Item 1: | Report(s) to Shareholders. |
(a) | The Annual Report is attached. |
TRANSAMERICA ETF TRUST
ANNUAL REPORT
DECEMBER 31, 2021
Customer Service: 1-888-316-8077
1801 California St., Suite 5200 Denver, CO 80202
Distributor: Foreside Fund Services, LLC
www.deltashares.com
Table of Contents
1 | ||||
2 | ||||
Manager Commentary and Schedules of Investments | ||||
3 | ||||
12 | ||||
22 | ||||
33 | ||||
40 | ||||
56 | ||||
57 | ||||
58 | ||||
60 | ||||
63 | ||||
75 | ||||
76 | ||||
77 | ||||
Proxy Voting Policies and Procedures and Quarterly Portfolio Holdings | 81 | |||
82 |
Authorized for distribution only when accompanied or preceded by a prospectus. Investors should carefully consider a Fund’s investment goals, risks, charges and expenses before investing. A prospectus contains this and other information; please read it carefully before investing.
Transamerica ETF Trust | Annual Report 2021 |
On behalf of Transamerica DeltaShares®, we would like to thank you for your continued support and confidence in our products as we look forward to continuing to serve you and your financial professional in the future. We value the trust you have placed in us.
This annual report provides you with information about the investments of your Exchange Traded Fund(s) during the fiscal year. The Securities and Exchange Commission requires that annual and semi-annual reports be made available to all shareholders invested in the Funds, and we believe it to be an important part of the investment process. This report provides detailed information about your Exchange Traded Fund(s) for the 12-month period ending December 31, 2021.
We believe it is important to understand market conditions over the last fiscal year of the Funds to provide a context for reading this report. The period began with equity prices near all-time highs following the immense levels of economic and market volatility created during the first year of the COVID-19 global pandemic. As the year progressed vaccines displayed strong effectiveness in helping to reduce virus cases and the market benefitted from a combination of strong corporate earnings growth and continuing accommodative monetary policy from the Federal Reserve (“Fed”). This enabled major stock indexes to reach new highs throughout the year, and with the Fed providing large amounts of liquidity to the bond markets on a monthly basis, short term rates remained close to zero and the 10-year U.S. Treasury yield peaked at 1.74% at the end of March 2021 before declining to finish the year at 1.52%.
The U.S. economy exhibited strong economic growth in the first two quarters of 2021, and by mid-year aggregate real gross domestic product (“GDP”) had fully recovered to pre-pandemic levels. However, inflation began to emerge and by late spring the change in the Consumer Price Index (“CPI”) reached rates not seen in decades. In the summer months global supply chain constraints emerged, driven in part by worker shortages, further exacerbating inflation. By November, the CPI increase had risen to 6.9% on an annualized basis for its highest reading in 39 years.
Credit markets showed strong and continued improvement throughout the year, and by the fourth quarter high yield default rates had fallen to record low levels. This was reflected in narrowing credit spreads throughout the year, with differentials in yield between both high yield and investment grade credit to comparable maturity Treasury bonds declining to multi-year lows.
The year ended with the onset of the Omicron variant driving COVID-19 case trends dramatically higher and to record levels. This increase in virus cases was perceived to be inflationary due to its impact on worker shortages. At its December meeting the Fed changed perspective, admitting that inflation was not “transitory” and warranted tighter monetary policy, in terms of both interest rates and the removal of open market purchases in the year ahead. As a result, investors began to look forward to the New Year with expectations of continuing inflation and higher interest rates.
For the one-year period ended December 31, 2021, the S&P 500® Index returned 28.71% while the MSCI EAFE Index, representing international developed market equities, returned 11.78%. During the same period, the Bloomberg US Aggregate Bond Index returned -1.54%. Please keep in mind that it is important to maintain a diversified portfolio as investment returns have historically been difficult to predict.
In addition to your active involvement in the investment process, we firmly believe that a financial professional is a key resource to help you build a complete picture of your current and future financial needs. Financial professionals are familiar with the market’s history, including long-term returns and volatility of various asset classes. With your financial professional, you can develop an investment program that incorporates factors such as your goals, your investment timeline and your risk tolerance.
Please contact your financial professional if you have any questions about the contents of this report, and thanks again for the confidence you have placed in us.
Sincerely,
Marijn Smit
President & Chief Executive Officer
Transamerica ETF Trust
Tom Wald, CFA
Chief Investment Officer
Transamerica ETF Trust
Bloomberg US Aggregate Bond Index: Measures investment grade, U.S. dollar denominated, fixed-rate taxable bonds, including Treasuries, government-related and corporate securities, as well as both mortgage- and asset-backed securities.
MSCI EAFE Index: A free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada.
S&P 500® Index: A market-capitalization weighted index of 500 large U.S. companies with common stock listed on the New York Stock Exchange or NASDAQ Stock Market.
The views expressed in this report reflect those of the portfolio managers only and may not necessarily represent the views of Transamerica ETF Trust. These views are as of the date of this report and subject to change based upon market conditions. These views should not be relied upon as investment advice and are not indicative of trading intent on behalf of Transamerica ETF Trust. Investing involves risk, including potential loss of principal. The performance data presented represents past performance and does not guarantee future results. Indexes are unmanaged and it is not possible to invest directly in an index.
(unaudited)
SHAREHOLDER EXPENSES
Fund shareholders may incur two types of costs: (i) transaction costs, including brokerage commissions on purchases and sales of fund shares; and (ii) ongoing costs, including management fees.
The following examples are intended to help you understand your ongoing costs (in dollars and cents) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds.
The examples are based on an investment of $1,000 invested at July 1, 2021, and held for the entire six-month period until December 31, 2021.
ACTUAL EXPENSES
The information in the table below provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = $8.60), then multiply the result by the number in the appropriate column for your Fund titled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The information in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and assumed rates of return of 5% per year before expenses, which are not the Funds’ actual returns. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund versus other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other fund(s).
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the information under the heading “Hypothetical Expenses” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds .. If any of these transaction costs were included, your costs would be higher. The expenses shown in the table do not reflect any fees that may be charged to you by brokers, financial intermediaries, or other financial institutions.
Actual Expenses | Hypothetical Expenses (A) | |||||||||||||||||||||||
Fund | Beginning Account Value July 1, 2021 | Ending Account Value December 31, 2021 | Expenses Paid During Period (B) | Ending Account Value December 31, 2021 | Expenses Paid During Period (B) | Net Annualized Expense Ratio (C) (D) | ||||||||||||||||||
DeltaShares® S&P 400 Managed Risk ETF | $ | 1,000.00 | $ | 1,035.50 | $ | 2.31 | $ | 1,022.90 | $ | 2.29 | 0.45 | % | ||||||||||||
DeltaShares® S&P 500 Managed Risk ETF | 1,000.00 | 1,114.20 | 1.87 | 1,023.40 | 1.79 | 0.35 | ||||||||||||||||||
DeltaShares® S&P 600 Managed Risk ETF | 1,000.00 | 1,011.80 | 2.28 | 1,022.90 | 2.29 | 0.45 | ||||||||||||||||||
DeltaShares® S&P EM 100 & Managed Risk ETF | 1,000.00 | 855.50 | 2.81 | 1,022.20 | 3.06 | 0.60 | ||||||||||||||||||
DeltaShares® S&P International Managed Risk ETF | 1,000.00 | 1,018.40 | 2.54 | 1,022.70 | 2.55 | 0.50 |
(A) | 5% return per year before expenses. | |
(B) | Expenses are calculated using each Fund’s net annualized expense ratios, as disclosed in the table, multiplied by the average account value for the period, multiplied by the number of days in the period (184 days), and divided by the number of days in the year (365 days). | |
(C) | Net annualized expense ratios, as disclosed in the table, do not include the expenses of the underlying investments in which the Funds invest. The total annual fund operating expenses, as stated in the fee table of the Prospectus, may differ from the expense ratios disclosed in this report. | |
(D) | Net annualized expense ratios are reflective of applicable fee waivers and/or reimbursements and recapture, if any, are based on the most recent six-months which may differ from the net expense ratio displayed in the Financial Highlights that covers a twelve-month period. |
Transamerica ETF Trust | Annual Report 2021 |
Page 2
DeltaShares® S&P 400 Managed Risk ETF
(unaudited)
MARKET ENVIRONMENT
2021 was a strong year for global developed markets and a stellar one for U.S. stocks, bolstered by robust corporate earnings, strong economic activity, and historic fiscal and monetary stimuli. The rebound off the 2020 pandemic lows continued in 2021 despite headwinds from COVID-19 variants and supply chain disruptions (both hammering emerging markets), as well as increasing inflation and the need for accelerated Central Bank tapering (which especially affected domestic growth stocks). On a total return basis, the S&P 500® Index led the pack with a gain of 28.71% and reached new record highs 70 times in 2021. Moreover, it has now finished higher in 12 of the last 13 years and has doubled in value over the last three. The MSCI EAFE Index also performed well in 2021, closing the year with a gain of 11.78%, while the MSCI Emerging Markets Index proved to be more sensitive to the inflationary and supply chain pressures. Coupled with China’s economic slowdown, the Index had its weakest return since 2018, at -2.22%. Fixed income investments were also negatively impacted by the environment, with the Bloomberg US Aggregate Bond Index realizing a loss of 1.54% for the year.
The first quarter of 2021 saw a couple of whipsaw events as investors shifted focus from optimism (due to increasing anticipated fiscal stimulus) to the reality of looming inflation concerns, rising yields, and potential vaccine deployment delays. This uncertainty caused elevated volatility repeatedly through the quarter. However, equities rallied starting at the end of March 2021 and through the summer, as investors deemed these economic pressures largely transitory. The equity rally retreated in September (due to the same familiar concerns – supply chains, labor shortages, and persisting inflation), leaving most equity indices with net losses for the third quarter.
Nonetheless, investor sentiment recovered as markets hiked to new highs through most of November 2021. Starting after the Thanksgiving holiday however, the confluence of the new COVID-19 Omicron variant and the needed hawkish pivot from the Federal Reserve resulted in heightened volatility that continued into the third week of December. Equities rebounded to end the year with strong December returns, as data suggested Omicron was a less severe strain of COVID-19, and yearly rebalancing activity buoyed stocks.
PERFORMANCE OVERVIEW
For the year ended December 31, 2021, DeltaShares® S&P 400 Managed Risk ETF (NAV) returned 15.19%. By comparison, the S&P 400® Managed Risk 2.0 Index (the “Underlying Index”) returned 15.73% and the S&P MidCap 400® Index returned 24.76%.
The Fund’s performance reflects annual operating expenses of the Fund, including management fees, brokerage expenses, and other fees and expenses. Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
STRATEGY REVIEW
The DeltaShares® S&P 400 Managed Risk ETF (the “Fund”) seeks to track the investment results, before fees and expenses, of the S&P 400® Managed Risk 2.0 Index (the “Underlying Index”).
The Fund seeks to achieve this investment objective by holding a portfolio of securities that are included in the Underlying Index, including common stocks and/or U.S. Treasury bills and bonds. 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 Index’s equity exposure due to severe sustained market declines. The Underlying Index seeks to achieve these objectives by allocating weightings among the S&P Midcap 400® Index, the S&P U.S. Treasury Bond Current 5-Year Index, and the S&P U.S. Treasury Bill 0-3 Month Index. Under normal circumstances, the Fund uses a replication strategy and generally expects to invest in substantially all the securities in the Underlying Index in approximately the same proportions as the Underlying Index. The Fund may also use derivatives for a variety of purposes, such as to gain exposure to underlying securities and markets in a more efficient manner, to optimize the execution processes and costs for portfolio transitions, or for tax management purposes.
The Fund entered 2021 with a 67% allocation to equities, its lowest level during the year, and ended the year at 68%. The Fund’s risk management strategy resulted in an average allocation to the S&P Midcap 400® Index of 83% and the Fund returned 15.19% in 2021.
During 2021, the largest contributors to the Fund’s absolute total return were equities within the industrials, financials, and consumer discretionary sectors. The largest sector detractor to the Fund during 2021 was consumer services.
During the year, the fund utilized derivatives. These positions added to performance.
Charles Lowery, CFA
Louis Ng
Emma Westwick
Co-Portfolio Managers
Milliman Financial Risk Management LLC
Transamerica ETF Trust | Annual Report 2021 |
Page 3
DeltaShares® S&P 400 Managed Risk ETF
(unaudited)
Asset Allocation | Percentage of Net Assets | |||
Common Stocks | 67.9 | % | ||
U.S. Government Obligation | 31.8 | |||
Other Investment Company | 0.5 | |||
Short-Term Investment Company | 0.3 | |||
Net Other Assets (Liabilities) ^ | (0.5 | ) | ||
Total | 100.0 | % | ||
|
|
Current and future portfolio holdings are subject to change and risk.
^ | The Net Other Assets (Liabilities) category may include, but is not limited to, reverse repurchase agreements, forward foreign currency contracts, futures contracts, swap agreements, written options and swaptions, and cash collateral. |
Transamerica ETF Trust | Annual Report 2021 |
Page 4
DeltaShares® S&P 400 Managed Risk ETF
(unaudited)
Performance as of December 31, 2021 | ||||||||||||||||||||||||||||
Average Annual Total Returns | Cumulative Total Returns | Inception Date | ||||||||||||||||||||||||||
1 Year | 10 Year or Since Inception | 1 Year | 10 Year or Since Inception | |||||||||||||||||||||||||
Fund NAV | 15.19 | % | 5.54 | % | 15.19 | % | 26.95 | % | 07/31/2017 | |||||||||||||||||||
Fund Market | 15.44 | % | 5.54 | % | 15.44 | % | 26.93 | % | 07/31/2017 | |||||||||||||||||||
S&P MidCap 400® Index (A) | 24.76 | % | 13.17 | % | 24.76 | % | 72.83 | % | ||||||||||||||||||||
S&P 400® Managed Risk 2.0 Index (A)(B)(C)(D) | 15.73 | % | 6.05 | % | 15.73 | % | 29.65 | % |
(A) The S&P MidCap 400® Index is a market-capitalization weighted index of 400 mid-size U.S. companies with common stock listed on the NYSE or NASDAQ.
(B) The S&P MidCap 400® Managed Risk 2.0 Index is comprised of weightings amongst the S&P MidCap 400® 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 S&P MidCap 400® Managed Risk 2.0 Index rebalances on a daily basis.
(C) The S&P U.S. Treasury Bond Current 5-Year Index is a one-security index comprising the most recently issued 5-year U.S. Treasury note or bond.
(D) The S&P U.S. Treasury Bill 0-3 Month Index is designed to measure the performance of U.S. Treasury bills maturing in 0 to 3 months.
The Fund’s benchmarks are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or the Since Inception calculation is based on the previous 10 years or since the inception date, whichever is more recent. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, a Fund’s performance is negatively impacted by these deductions. You cannot invest directly in an index.
The performance data presented represents past performance and does not guarantee future results. Performance data does not reflect the deduction of taxes that would be paid on Fund distributions or the redemption of Fund shares. The Fund’s investment return and net asset value will fluctuate. Investors’ shares when sold may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please see www.deltashares.com for performance data current to the most recent month end. Fund performance is net of investment fees and Fund expenses.
Performance results do not include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles and may differ from amounts reported in the Financial Highlights.
Fund shares are bought and sold at Market Price, not Net Asset Value (“NAV”), and are not individually redeemed from the Fund. Net Asset Value is an exchange-traded fund’s per-share value. The per-share dollar amount of the Fund is derived by dividing the total value of all the securities in the portfolio, less any liabilities, by the number of Fund shares outstanding. Market Price is the price at which a share can currently be traded in the market. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated.
Exchange-Traded Funds (ETFs) are subject to market risk, including the loss of principal. Because Fund Shares trade at market prices rather than at NAV, Fund Shares may trade at a price greater than NAV (premium) or less than NAV (discount). Shares of DeltaShares® ETFs may be bought and sold throughout the day on the exchange through any brokerage account. Buying and selling shares of ETFs will result in brokerage commissions. Diversification and asset allocation may not protect against market risk or loss of principal. Investing involves risk, including the possible loss of principal. There is no guarantee the investment objective will be achieved. Investing in medium capitalization companies involves greater risk than is customarily associated with more established companies. The prices of securities of medium capitalization companies generally are more volatile and are more likely to be adversely affected by changes in earnings results and investor expectations or poor economic or market conditions. The market prices of fixed-income securities may go up or down, sometimes rapidly and unpredictably, due to general market conditions, such as real or perceived adverse economic or political conditions, inflation, changes in interest rates, lack of liquidity in the bond markets or adverse investor sentiment. The principal risks include risks related to: Equity securities, index tracking, leveraging, derivatives such as futures, forwards, swaps, options, and investing in underlying exchange-traded funds. The use of derivatives may produce disproportionate gains or losses, may increase costs, and amplify risks.
Transamerica ETF Trust | Annual Report 2021 |
Page 5
DeltaShares® S&P 400 Managed Risk ETF
SCHEDULE OF INVESTMENTS
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS - 67.9% | ||||||||
Aerospace & Defense - 0.6% | ||||||||
Axon Enterprise, Inc. (A) | 1,812 | $284,484 | ||||||
Curtiss-Wright Corp. | 1,083 | 150,179 | ||||||
Hexcel Corp. (A) | 2,315 | 119,917 | ||||||
Mercury Systems, Inc. (A) | 1,563 | 86,059 | ||||||
|
| |||||||
640,639 | ||||||||
|
| |||||||
Air Freight & Logistics - 0.2% | ||||||||
GXO Logistics, Inc. (A) | 2,720 | 247,058 | ||||||
|
| |||||||
Airlines - 0.1% | ||||||||
JetBlue Airways Corp. (A) | 8,774 | 124,942 | ||||||
|
| |||||||
Auto Components - 1.2% | ||||||||
Adient PLC (A) | 2,599 | 124,440 | ||||||
Dana, Inc. | 3,979 | 90,801 | ||||||
Fox Factory Holding Corp. (A) | 1,162 | 197,656 | ||||||
Gentex Corp. | 6,526 | 227,431 | ||||||
Goodyear Tire & Rubber Co. (A) | 7,752 | 165,273 | ||||||
Lear Corp. | 1,645 | 300,953 | ||||||
Visteon Corp. (A) | 772 | 85,800 | ||||||
|
| |||||||
1,192,354 | ||||||||
|
| |||||||
Automobiles - 0.3% | ||||||||
Harley-Davidson, Inc. | 4,245 | 159,994 | ||||||
Thor Industries, Inc. | 1,532 | 158,976 | ||||||
|
| |||||||
318,970 | ||||||||
|
| |||||||
Banks - 4.3% | ||||||||
Associated Banc-Corp. | 4,141 | 93,545 | ||||||
Bank of Hawaii Corp. | 1,117 | 93,560 | ||||||
Bank OZK | 3,335 | 155,178 | ||||||
Cadence Bank | 5,406 | 161,045 | ||||||
Cathay General Bancorp | 2,131 | 91,612 | ||||||
CIT Group, Inc. | 2,736 | 140,466 | ||||||
Commerce Bancshares, Inc. | 3,063 | 210,551 | ||||||
Cullen / Frost Bankers, Inc. | 1,565 | 197,299 | ||||||
East West Bancorp, Inc. | 3,915 | 308,032 | ||||||
First Financial Bankshares, Inc. | 3,538 | 179,872 | ||||||
First Horizon Corp. | 14,919 | 243,627 | ||||||
FNB Corp. | 8,799 | 106,732 | ||||||
Fulton Financial Corp. | 4,450 | 75,650 | ||||||
Glacier Bancorp, Inc. | 2,993 | 169,703 | ||||||
Hancock Whitney Corp. | 2,396 | 119,848 | ||||||
Home BancShares, Inc. | 4,159 | 101,272 | ||||||
International Bancshares Corp. | 1,469 | 62,271 | ||||||
PacWest Bancorp | 3,235 | 146,125 | ||||||
Pinnacle Financial Partners, Inc. | 2,101 | 200,645 | ||||||
Prosperity Bancshares, Inc. | 2,543 | 183,859 | ||||||
Sterling Bancorp | 5,317 | 137,125 | ||||||
Synovus Financial Corp. | 4,015 | 192,198 | ||||||
Texas Capital Bancshares, Inc. (A) | 1,396 | 84,109 | ||||||
UMB Financial Corp. | 1,187 | 125,953 | ||||||
Umpqua Holdings Corp. | 5,977 | 114,997 | ||||||
United Bankshares, Inc. | 3,761 | 136,449 | ||||||
Valley National Bancorp | 11,228 | 154,385 | ||||||
Webster Financial Corp. | 2,499 | 139,544 | ||||||
Wintrust Financial Corp. | 1,573 | 142,860 | ||||||
|
| |||||||
4,268,512 | ||||||||
|
| |||||||
Beverages - 0.1% | ||||||||
Boston Beer Co., Inc., Class A (A) | 259 | 130,821 | ||||||
|
|
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Biotechnology - 1.0% | ||||||||
Arrowhead Pharmaceuticals, Inc. (A) | 2,877 | $ 190,745 | ||||||
Exelixis, Inc. (A) | 8,729 | 159,566 | ||||||
Halozyme Therapeutics, Inc. (A) (B) | 3,884 | 156,176 | ||||||
Neurocrine Biosciences, Inc. (A) | 2,617 | 222,890 | ||||||
United Therapeutics Corp. (A) | 1,243 | 268,587 | ||||||
|
| |||||||
997,964 | ||||||||
|
| |||||||
Building Products - 2.0% | ||||||||
Builders FirstSource, Inc. (A) | 5,284 | 452,892 | ||||||
Carlisle Cos., Inc. | 1,443 | 358,037 | ||||||
Lennox International, Inc. | 929 | 301,330 | ||||||
Owens Corning | 2,772 | 250,866 | ||||||
Simpson Manufacturing Co., Inc. | 1,199 | 166,745 | ||||||
Trex Co., Inc. (A) | 3,176 | 428,855 | ||||||
|
| |||||||
1,958,725 | ||||||||
|
| |||||||
Capital Markets - 1.4% | ||||||||
Affiliated Managers Group, Inc. | 1,122 | 184,580 | ||||||
Evercore, Inc., Class A | 1,077 | 146,310 | ||||||
Federated Hermes, Inc. | 2,672 | 100,414 | ||||||
Interactive Brokers Group, Inc., Class A | 2,411 | 191,482 | ||||||
Janus Henderson Group PLC | 4,706 | 197,370 | ||||||
Jefferies Financial Group, Inc. | 5,420 | 210,296 | ||||||
SEI Investments Co. | 2,924 | 178,188 | ||||||
Stifel Financial Corp. | 2,872 | 202,246 | ||||||
|
| |||||||
1,410,886 | ||||||||
|
| |||||||
Chemicals - 1.8% | ||||||||
Ashland Global Holdings, Inc. | 1,558 | 167,734 | ||||||
Avient Corp. | 2,524 | 141,218 | ||||||
Cabot Corp. | 1,565 | 87,953 | ||||||
Chemours Co. | 4,496 | 150,886 | ||||||
Ingevity Corp. (A) | 1,084 | 77,723 | ||||||
Minerals Technologies, Inc. | 919 | 67,225 | ||||||
NewMarket Corp. | 191 | 65,459 | ||||||
Olin Corp. | 3,957 | 227,607 | ||||||
RPM International, Inc. | 3,579 | 361,479 | ||||||
Scotts Miracle-Gro Co. | 1,124 | 180,964 | ||||||
Sensient Technologies Corp. | 1,159 | 115,969 | ||||||
Valvoline, Inc. | 4,987 | 185,965 | ||||||
|
| |||||||
1,830,182 | ||||||||
|
| |||||||
Commercial Services & Supplies - 1.0% | ||||||||
Brink’s Co. | 1,356 | 88,913 | ||||||
Clean Harbors, Inc. (A) | 1,381 | 137,782 | ||||||
IAA, Inc. (A) | 3,720 | 188,306 | ||||||
MillerKnoll, Inc. | 2,091 | 81,946 | ||||||
MSA Safety, Inc. | 1,006 | 151,866 | ||||||
Stericycle, Inc. (A) | 2,534 | 151,128 | ||||||
Tetra Tech, Inc. | 1,492 | 253,342 | ||||||
|
| |||||||
1,053,283 | ||||||||
|
| |||||||
Communications Equipment - 0.6% | ||||||||
Ciena Corp. (A) | 4,274 | 328,970 | ||||||
Lumentum Holdings, Inc. (A) | 1,995 | 211,011 | ||||||
ViaSat, Inc. (A) | 2,026 | 90,238 | ||||||
|
| |||||||
630,219 | ||||||||
|
| |||||||
Construction & Engineering - 1.0% | ||||||||
AECOM (A) | 3,975 | 307,466 | ||||||
Dycom Industries, Inc. (A) | 832 | 78,008 | ||||||
EMCOR Group, Inc. | 1,473 | 187,646 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 6
DeltaShares® S&P 400 Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Construction & Engineering (continued) | ||||||||
Fluor Corp. (A) (B) | 3,902 | $ 96,653 | ||||||
MasTec, Inc. (A) | 1,579 | 145,710 | ||||||
Valmont Industries, Inc. | 586 | 146,793 | ||||||
|
| |||||||
962,276 | ||||||||
|
| |||||||
Construction Materials - 0.2% | ||||||||
Eagle Materials, Inc. | 1,122 | 186,768 | ||||||
|
| |||||||
Consumer Finance - 0.4% | ||||||||
FirstCash Holdings, Inc. | 1,116 | 83,488 | ||||||
Navient Corp. | 4,447 | 94,365 | ||||||
PROG Holdings, Inc. | 1,565 | 70,597 | ||||||
SLM Corp. | 8,089 | 159,111 | ||||||
|
| |||||||
407,561 | ||||||||
|
| |||||||
Containers & Packaging - 0.5% | ||||||||
AptarGroup, Inc. | 1,816 | 222,424 | ||||||
Greif, Inc., Class A | 733 | 44,251 | ||||||
Silgan Holdings, Inc. | 2,315 | 99,175 | ||||||
Sonoco Products Co. | 2,713 | 157,055 | ||||||
|
| |||||||
522,905 | ||||||||
|
| |||||||
Diversified Consumer Services - 0.6% | ||||||||
Graham Holdings Co., Class B | 110 | 69,281 | ||||||
Grand Canyon Education, Inc. (A) | 1,106 | 94,795 | ||||||
H&R Block, Inc. | 4,846 | 114,172 | ||||||
Service Corp. International | 4,550 | 323,005 | ||||||
|
| |||||||
601,253 | ||||||||
|
| |||||||
Diversified Financial Services - 0.2% | ||||||||
Voya Financial, Inc. | 3,063 | 203,108 | ||||||
|
| |||||||
Diversified Telecommunication Services - 0.1% | ||||||||
Iridium Communications, Inc. (A) | 3,647 | 150,585 | ||||||
|
| |||||||
Electric Utilities - 0.7% | ||||||||
ALLETE, Inc. | 1,450 | 96,208 | ||||||
Hawaiian Electric Industries, Inc. | 3,016 | 125,164 | ||||||
IDACORP, Inc. | 1,394 | 157,954 | ||||||
OGE Energy Corp. | 5,523 | 211,973 | ||||||
PNM Resources, Inc. | 2,368 | 108,004 | ||||||
|
| |||||||
699,303 | ||||||||
|
| |||||||
Electrical Equipment - 1.4% | ||||||||
Acuity Brands, Inc. | 964 | 204,098 | ||||||
EnerSys | 1,156 | 91,394 | ||||||
Hubbell, Inc. | 1,501 | 312,613 | ||||||
nVent Electric PLC | 4,642 | 176,396 | ||||||
Regal Rexnord Corp. | 1,869 | 318,067 | ||||||
Sunrun, Inc. (A) | 5,711 | 195,887 | ||||||
Vicor Corp. (A) | 592 | 75,172 | ||||||
|
| |||||||
1,373,627 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components - 2.2% | ||||||||
Arrow Electronics, Inc. (A) | 1,921 | 257,933 | ||||||
Avnet, Inc. | 2,738 | 112,888 | ||||||
Belden, Inc. | 1,239 | 81,440 | ||||||
Cognex Corp. | 4,878 | 379,313 | ||||||
Coherent, Inc. (A) | 677 | 180,448 | ||||||
II-VI, Inc. (A) (B) | 2,928 | 200,070 | ||||||
Jabil, Inc. | 3,955 | 278,234 | ||||||
Littelfuse, Inc. | 680 | 213,982 | ||||||
National Instruments Corp. | 3,639 | 158,915 | ||||||
TD SYNNEX Corp. | 1,139 | 130,256 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Electronic Equipment, Instruments & Components (continued) | ||||||||
Vishay Intertechnology, Inc. | 3,661 | $ 80,066 | ||||||
Vontier Corp. | 4,664 | 143,325 | ||||||
|
| |||||||
2,216,870 | ||||||||
|
| |||||||
Energy Equipment & Services - 0.3% | ||||||||
ChampionX Corp. (A) | 5,575 | 112,671 | ||||||
NOV, Inc. | 10,779 | 146,055 | ||||||
|
| |||||||
258,726 | ||||||||
|
| |||||||
Entertainment - 0.1% | ||||||||
World Wrestling Entertainment, Inc., Class A (B) | 1,234 | 60,886 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts - 6.7% | ||||||||
American Campus Communities, Inc. | 3,839 | 219,936 | ||||||
Apartment Income Corp. | 4,331 | 236,776 | ||||||
Brixmor Property Group, Inc. | 8,194 | 208,210 | ||||||
Camden Property Trust | 2,820 | 503,878 | ||||||
Corporate Office Properties Trust | 3,099 | 86,679 | ||||||
Cousins Properties, Inc. | 4,102 | 165,229 | ||||||
CyrusOne, Inc. | 3,501 | 314,110 | ||||||
Douglas Emmett, Inc. | 4,842 | 162,207 | ||||||
EastGroup Properties, Inc. | 1,122 | 255,648 | ||||||
EPR Properties | 2,064 | 98,019 | ||||||
First Industrial Realty Trust, Inc. | 3,595 | 237,989 | ||||||
Healthcare Realty Trust, Inc. | 4,071 | 128,806 | ||||||
Highwoods Properties, Inc. | 2,880 | 128,419 | ||||||
Hudson Pacific Properties, Inc. | 4,207 | 103,955 | ||||||
JBG SMITH Properties | 3,150 | 90,437 | ||||||
Kilroy Realty Corp. | 2,892 | 192,202 | ||||||
Kite Realty Group Trust | 6,043 | 131,617 | ||||||
Lamar Advertising Co., Class A | 2,395 | 290,513 | ||||||
Life Storage, Inc. | 2,263 | 346,646 | ||||||
Macerich Co. | 5,878 | 101,572 | ||||||
Medical Properties Trust, Inc. | 16,452 | 388,761 | ||||||
National Retail Properties, Inc. | 4,845 | 232,899 | ||||||
National Storage Affiliates Trust | 2,261 | 156,461 | ||||||
Omega Healthcare Investors, Inc. | 6,593 | 195,087 | ||||||
Park Hotels & Resorts, Inc. (A) | 6,524 | 123,173 | ||||||
Pebblebrook Hotel Trust | 3,625 | 81,091 | ||||||
Physicians Realty Trust | 6,078 | 114,449 | ||||||
PotlatchDeltic Corp. | 1,851 | 111,467 | ||||||
PS Business Parks, Inc. | 555 | 102,214 | ||||||
Rayonier, Inc. | 3,950 | 159,422 | ||||||
Rexford Industrial Realty, Inc. | 4,180 | 339,040 | ||||||
Sabra Health Care, Inc. | 6,309 | 85,424 | ||||||
SL Green Realty Corp. | 1,841 | 132,000 | ||||||
Spirit Realty Capital, Inc. | 3,402 | 163,942 | ||||||
STORE Capital Corp. | 6,771 | 232,922 | ||||||
Urban Edge Properties | 3,038 | 57,722 | ||||||
|
| |||||||
6,678,922 | ||||||||
|
| |||||||
Food & Staples Retailing - 0.8% | ||||||||
BJ’s Wholesale Club Holdings, Inc. (A) | 3,767 | 252,276 | ||||||
Casey’s General Stores, Inc. | 1,024 | 202,086 | ||||||
Grocery Outlet Holding Corp. (A) (B) | 2,411 | 68,183 | ||||||
Performance Food Group Co. (A) | 4,258 | 195,400 | ||||||
Sprouts Farmers Market, Inc. (A) | 3,097 | 91,919 | ||||||
|
| |||||||
809,864 | ||||||||
|
| |||||||
Food Products - 1.2% | ||||||||
Darling Ingredients, Inc. (A) | 4,464 | 309,311 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 7
DeltaShares® S&P 400 Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Food Products (continued) | ||||||||
Flowers Foods, Inc. | 5,482 | $ 150,590 | ||||||
Hain Celestial Group, Inc. (A) | 2,563 | 109,209 | ||||||
Ingredion, Inc. | 1,836 | 177,431 | ||||||
Lancaster Colony Corp. | 547 | 90,583 | ||||||
Pilgrim’s Pride Corp. (A) | 1,345 | 37,929 | ||||||
Post Holdings, Inc. (A) | 1,615 | 182,059 | ||||||
Sanderson Farms, Inc. | 585 | 111,782 | ||||||
|
| |||||||
1,168,894 | ||||||||
|
| |||||||
Gas Utilities - 0.9% | ||||||||
National Fuel Gas Co. | 2,516 | 160,873 | ||||||
New Jersey Resources Corp. | 2,661 | 109,261 | ||||||
ONE Gas, Inc. | 1,478 | 114,678 | ||||||
Southwest Gas Holdings, Inc. | 1,666 | 116,703 | ||||||
Spire, Inc. | 1,426 | 93,004 | ||||||
UGI Corp. | 5,769 | 264,855 | ||||||
|
| |||||||
859,374 | ||||||||
|
| |||||||
Health Care Equipment & Supplies - 2.2% | ||||||||
Envista Holdings Corp. (A) | 4,452 | 200,607 | ||||||
Globus Medical, Inc., Class A (A) | 2,181 | 157,468 | ||||||
Haemonetics Corp. (A) | 1,410 | 74,786 | ||||||
ICU Medical, Inc. (A) | 551 | 130,774 | ||||||
Integra LifeSciences Holdings Corp. (A) | 2,010 | 134,650 | ||||||
LivaNova PLC (A) | 1,468 | 128,347 | ||||||
Masimo Corp. (A) | 1,402 | 410,478 | ||||||
Neogen Corp. (A) | 2,966 | 134,686 | ||||||
NuVasive, Inc. (A) | 1,427 | 74,889 | ||||||
Penumbra, Inc. (A) | 969 | 278,413 | ||||||
Quidel Corp. (A) | 1,046 | 141,200 | ||||||
STAAR Surgical Co. (A) | 1,313 | 119,877 | ||||||
Tandem Diabetes Care, Inc. (A) | 1,753 | 263,862 | ||||||
|
| |||||||
2,250,037 | ||||||||
|
| |||||||
Health Care Providers & Services - 2.0% | ||||||||
Acadia Healthcare Co., Inc. (A) | 2,481 | 150,597 | ||||||
Amedisys, Inc. (A) | 899 | 145,530 | ||||||
Chemed Corp. | 425 | 224,842 | ||||||
Encompass Health Corp. | 2,745 | 179,139 | ||||||
HealthEquity, Inc. (A) | 2,304 | 101,929 | ||||||
LHC Group, Inc. (A) | 874 | 119,939 | ||||||
Molina Healthcare, Inc. (A) | 1,611 | 512,427 | ||||||
Option Care Health, Inc. (A) | 3,821 | 108,669 | ||||||
Patterson Cos., Inc. | 2,390 | 70,146 | ||||||
Progyny, Inc. (A) | 1,921 | 96,722 | ||||||
R1 RCM, Inc. (A) | 3,676 | 93,701 | ||||||
Tenet Healthcare Corp. (A) | 2,956 | 241,476 | ||||||
|
| |||||||
2,045,117 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure - 2.0% | ||||||||
Boyd Gaming Corp. (A) | 2,263 | 148,385 | ||||||
Choice Hotels International, Inc. | 906 | 141,327 | ||||||
Churchill Downs, Inc. | 950 | 228,855 | ||||||
Cracker Barrel Old Country Store, Inc. | 649 | 83,487 | ||||||
Jack in the Box, Inc. | 598 | 52,313 | ||||||
Marriott Vacations Worldwide Corp. | 1,175 | 198,552 | ||||||
Papa John’s International, Inc. | 893 | 119,189 | ||||||
Scientific Games Corp., Class A (A) | 2,663 | 177,968 | ||||||
Six Flags Entertainment Corp. (A) | 2,135 | 90,908 | ||||||
Texas Roadhouse, Inc. | 1,922 | 171,596 | ||||||
Travel & Leisure Co. | 2,381 | 131,598 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||
Wendy’s Co. | 4,870 | $ 116,150 | ||||||
Wingstop, Inc. | 823 | 142,214 | ||||||
Wyndham Hotels & Resorts, Inc. | 2,571 | 230,490 | ||||||
|
| |||||||
2,033,032 | ||||||||
|
| |||||||
Household Durables - 1.3% | ||||||||
Helen of Troy Ltd. (A) | 666 | 162,817 | ||||||
KB Home | 2,365 | 105,787 | ||||||
Leggett & Platt, Inc. | 3,680 | 151,469 | ||||||
Taylor Morrison Home Corp. (A) | 3,391 | 118,549 | ||||||
Tempur Sealy International, Inc. | 5,311 | 249,776 | ||||||
Toll Brothers, Inc. | 3,157 | 228,535 | ||||||
TopBuild Corp. (A) | 908 | 250,526 | ||||||
Tri Pointe Homes, Inc. (A) | 3,066 | 85,511 | ||||||
|
| |||||||
1,352,970 | ||||||||
|
| |||||||
Household Products - 0.1% | ||||||||
Energizer Holdings, Inc. | 1,735 | 69,573 | ||||||
|
| |||||||
Insurance - 2.5% | ||||||||
Alleghany Corp. (A) | 378 | 252,349 | ||||||
American Financial Group, Inc. | 1,825 | 250,609 | ||||||
Brighthouse Financial, Inc. (A) | 2,202 | 114,064 | ||||||
CNO Financial Group, Inc. | 3,402 | 81,104 | ||||||
First American Financial Corp. | 3,028 | 236,880 | ||||||
Hanover Insurance Group, Inc. | 982 | 128,701 | ||||||
Kemper Corp. | 1,651 | 97,062 | ||||||
Kinsale Capital Group, Inc. | 592 | 140,831 | ||||||
Mercury General Corp. | 733 | 38,893 | ||||||
Old Republic International Corp. | 7,877 | 193,617 | ||||||
Primerica, Inc. | 1,090 | 167,064 | ||||||
Reinsurance Group of America, Inc. | 1,865 | 204,199 | ||||||
RenaissanceRe Holdings Ltd. | 1,270 | 215,049 | ||||||
RLI Corp. | 1,099 | 123,198 | ||||||
Selective Insurance Group, Inc. | 1,659 | 135,938 | ||||||
Unum Group | 5,641 | 138,599 | ||||||
|
| |||||||
2,518,157 | ||||||||
|
| |||||||
Interactive Media & Services - 0.3% | ||||||||
TripAdvisor, Inc. (A) | 2,733 | 74,502 | ||||||
Yelp, Inc. (A) | 1,894 | 68,638 | ||||||
Ziff Davis, Inc. (A) | 1,330 | 147,444 | ||||||
|
| |||||||
290,584 | ||||||||
|
| |||||||
IT Services - 1.3% | ||||||||
Alliance Data Systems Corp. | 1,374 | 91,467 | ||||||
Concentrix Corp. | 1,184 | 211,486 | ||||||
Genpact Ltd. | 4,773 | 253,351 | ||||||
Kyndryl Holdings, Inc. (A) | 4,942 | 89,450 | ||||||
LiveRamp Holdings, Inc. (A) | 1,879 | 90,098 | ||||||
MAXIMUS, Inc. | 1,696 | 135,120 | ||||||
Sabre Corp. (A) | 8,924 | 76,657 | ||||||
Western Union Co. | 11,091 | 197,864 | ||||||
WEX, Inc. (A) | 1,237 | 173,663 | ||||||
|
| |||||||
1,319,156 | ||||||||
|
| |||||||
Leisure Products - 0.9% | ||||||||
Brunswick Corp. | 2,127 | 214,253 | ||||||
Callaway Golf Co. (A) | 3,233 | 88,713 | ||||||
Mattel, Inc. (A) | 9,666 | 208,399 | ||||||
Polaris, Inc. | 1,574 | 172,998 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 8
DeltaShares® S&P 400 Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Leisure Products (continued) | ||||||||
YETI Holdings, Inc. (A) | 2,418 | $ 200,283 | ||||||
|
| |||||||
884,646 | ||||||||
|
| |||||||
Life Sciences Tools & Services - 1.1% | ||||||||
Bruker Corp. | 2,803 | 235,200 | ||||||
Medpace Holdings, Inc. (A) | 793 | 172,589 | ||||||
Repligen Corp. (A) | 1,419 | 375,808 | ||||||
Syneos Health, Inc. (A) | 2,861 | 293,767 | ||||||
|
| |||||||
1,077,364 | ||||||||
|
| |||||||
Machinery - 3.4% | ||||||||
AGCO Corp. | 1,693 | 196,422 | ||||||
Colfax Corp. (A) | 3,715 | 170,778 | ||||||
Crane Co. | 1,377 | 140,082 | ||||||
Donaldson Co., Inc. | 3,410 | 202,077 | ||||||
Flowserve Corp. | 3,594 | 109,976 | ||||||
Graco, Inc. | 4,689 | 378,027 | ||||||
ITT, Inc. | 2,362 | 241,373 | ||||||
Kennametal, Inc. | 2,308 | 82,880 | ||||||
Lincoln Electric Holdings, Inc. | 1,629 | 227,197 | ||||||
Middleby Corp. (A) | 1,535 | 302,027 | ||||||
Nordson Corp. | 1,491 | 380,608 | ||||||
Oshkosh Corp. | 1,894 | 213,473 | ||||||
Terex Corp. | 1,926 | 84,648 | ||||||
Timken Co. | 1,905 | 131,997 | ||||||
Toro Co. | 2,937 | 293,436 | ||||||
Trinity Industries, Inc. | 2,257 | 68,161 | ||||||
Woodward, Inc. | 1,739 | 190,351 | ||||||
|
| |||||||
3,413,513 | ||||||||
|
| |||||||
Marine - 0.1% | ||||||||
Kirby Corp. (A) | 1,658 | 98,518 | ||||||
|
| |||||||
Media - 0.6% | ||||||||
Cable One, Inc. | 137 | 241,593 | ||||||
John Wiley & Sons, Inc., Class A | 1,202 | 68,838 | ||||||
New York Times Co., Class A | 4,610 | 222,663 | ||||||
TEGNA, Inc. | 6,105 | 113,309 | ||||||
|
| |||||||
646,403 | ||||||||
|
| |||||||
Metals & Mining - 1.8% | ||||||||
Alcoa Corp. | 5,162 | 307,552 | ||||||
Cleveland-Cliffs, Inc. (A) | 12,556 | 273,344 | ||||||
Commercial Metals Co. | 3,327 | 120,737 | ||||||
Compass Minerals International, Inc. | 939 | 47,964 | ||||||
Reliance Steel & Aluminum Co. | 1,729 | 280,479 | ||||||
Royal Gold, Inc. | 1,811 | 190,535 | ||||||
Steel Dynamics, Inc. | 5,201 | 322,826 | ||||||
U.S. Steel Corp. (B) | 7,456 | 177,527 | ||||||
Worthington Industries, Inc. | 893 | 48,811 | ||||||
|
| |||||||
1,769,775 | ||||||||
|
| |||||||
Multi-Utilities - 0.4% | ||||||||
Black Hills Corp. | 1,761 | 124,274 | ||||||
MDU Resources Group, Inc. | 5,610 | 173,012 | ||||||
NorthWestern Corp. (B) | 1,453 | 83,054 | ||||||
|
| |||||||
380,340 | ||||||||
|
| |||||||
Multiline Retail - 0.6% | ||||||||
Kohl’s Corp. | 4,153 | 205,117 | ||||||
Macy’s, Inc. | 8,545 | 223,708 | ||||||
Nordstrom, Inc. (A) (B) | 3,069 | 69,421 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Multiline Retail (continued) | ||||||||
Ollie’s Bargain Outlet Holdings, Inc. (A) (B) | 1,670 | $ 85,487 | ||||||
|
| |||||||
583,733 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels - 1.2% | ||||||||
Antero Midstream Corp. | 8,959 | 86,723 | ||||||
CNX Resources Corp. (A) | 5,827 | 80,121 | ||||||
DTE Midstream LLC (A) | 2,669 | 128,059 | ||||||
EQT Corp. (A) | 8,342 | 181,939 | ||||||
Equitrans Midstream Corp. | 11,217 | 115,984 | ||||||
HollyFrontier Corp. | 4,125 | 135,217 | ||||||
Murphy Oil Corp. | 4,006 | 104,597 | ||||||
Targa Resources Corp. | 6,317 | 330,000 | ||||||
|
| |||||||
1,162,640 | ||||||||
|
| |||||||
Paper & Forest Products - 0.2% | ||||||||
Louisiana-Pacific Corp. | 2,428 | 190,234 | ||||||
|
| |||||||
Personal Products - 0.2% | ||||||||
Coty, Inc., Class A (A) | 9,259 | 97,220 | ||||||
Nu Skin Enterprises, Inc., Class A | 1,375 | 69,781 | ||||||
|
| |||||||
167,001 | ||||||||
|
| |||||||
Pharmaceuticals - 0.4% | ||||||||
Jazz Pharmaceuticals PLC (A) | 1,696 | 216,070 | ||||||
Perrigo Co. PLC | 3,691 | 143,580 | ||||||
|
| |||||||
359,650 | ||||||||
|
| |||||||
Professional Services - 1.1% | ||||||||
ASGN, Inc. (A) | 1,437 | 177,326 | ||||||
CACI International, Inc., Class A (A) | 644 | 173,371 | ||||||
FTI Consulting, Inc. (A) | 946 | 145,135 | ||||||
Insperity, Inc. | 988 | 116,693 | ||||||
KBR, Inc. | 3,870 | 184,289 | ||||||
ManpowerGroup, Inc. | 1,496 | 145,606 | ||||||
Science Applications International Corp. | 1,588 | 132,741 | ||||||
|
| |||||||
1,075,161 | ||||||||
|
| |||||||
Real Estate Management & Development - 0.4% | ||||||||
Jones Lang LaSalle, Inc. (A) | 1,392 | 374,921 | ||||||
|
| |||||||
Road & Rail - 1.3% | ||||||||
Avis Budget Group, Inc. (A) | 1,106 | 229,351 | ||||||
Knight-Swift Transportation Holdings, Inc. | 4,579 | 279,044 | ||||||
Landstar System, Inc. | 1,051 | 188,150 | ||||||
Ryder System, Inc. | 1,481 | 122,079 | ||||||
Saia, Inc. (A) | 727 | 245,021 | ||||||
Werner Enterprises, Inc. | 1,679 | 80,021 | ||||||
XPO Logistics, Inc. (A) | 2,722 | 210,765 | ||||||
|
| |||||||
1,354,431 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment - 2.9% | ||||||||
Amkor Technology, Inc. | 2,766 | 68,569 | ||||||
Azenta, Inc. | 2,051 | 211,479 | ||||||
Cirrus Logic, Inc. (A) | 1,576 | 145,023 | ||||||
CMC Materials, Inc. | 784 | 150,285 | ||||||
First Solar, Inc. (A) | 2,728 | 237,772 | ||||||
Lattice Semiconductor Corp. (A) | 3,778 | 291,133 | ||||||
MKS Instruments, Inc. | 1,530 | 266,480 | ||||||
Power Integrations, Inc. | 1,665 | 154,662 | ||||||
Semtech Corp. (A) | 1,777 | 158,029 | ||||||
Silicon Laboratories, Inc. (A) | 1,109 | 228,920 | ||||||
SiTime Corp. (A) | 414 | 121,111 | ||||||
SunPower Corp. (A) (B) | 2,291 | 47,813 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 9
DeltaShares® S&P 400 Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Semiconductors & Semiconductor Equipment (continued) | ||||||||
Synaptics, Inc. (A) | 1,083 | $ 313,539 | ||||||
Universal Display Corp. | 1,196 | 197,376 | ||||||
Wolfspeed, Inc. (A) (B) | 3,197 | 357,329 | ||||||
|
| |||||||
2,949,520 | ||||||||
|
| |||||||
Software - 2.6% | ||||||||
ACI Worldwide, Inc. (A) | 3,244 | 112,567 | ||||||
Aspen Technology, Inc. (A) | 1,846 | 280,961 | ||||||
Blackbaud, Inc. (A) | 1,143 | 90,274 | ||||||
CDK Global, Inc. | 3,265 | 136,281 | ||||||
Cerence, Inc. (A) (B) | 1,049 | 80,395 | ||||||
CommVault Systems, Inc. (A) | 1,256 | 86,563 | ||||||
Digital Turbine, Inc. (A) (B) | 2,426 | 147,962 | ||||||
Envestnet, Inc. (A) | 1,508 | 119,645 | ||||||
Fair Isaac Corp. (A) | 755 | 327,421 | ||||||
Manhattan Associates, Inc. (A) | 1,746 | 271,486 | ||||||
Mimecast Ltd. (A) | 1,704 | 135,587 | ||||||
NCR Corp. (A) | 3,642 | 146,408 | ||||||
Paylocity Holding Corp. (A) | 1,093 | 258,123 | ||||||
Qualys, Inc. (A) | 921 | 126,380 | ||||||
SailPoint Technologies Holdings, Inc. (A) (B) | 2,573 | 124,379 | ||||||
Teradata Corp. (A) | 2,994 | 127,155 | ||||||
|
| |||||||
2,571,587 | ||||||||
|
| |||||||
Specialty Retail - 2.3% | ||||||||
American Eagle Outfitters, Inc. (B) | 4,233 | 107,180 | ||||||
AutoNation, Inc. (A) | 1,103 | 128,886 | ||||||
Dick’s Sporting Goods, Inc. (B) | 1,790 | 205,832 | ||||||
Five Below, Inc. (A) | 1,546 | 319,852 | ||||||
Foot Locker, Inc. | 2,492 | 108,726 | ||||||
GameStop Corp., Class A (A) (B) | 1,709 | 253,599 | ||||||
Lithia Motors, Inc. | 835 | 247,953 | ||||||
Murphy USA, Inc. | 651 | 129,705 | ||||||
RH (A) | 479 | 256,715 | ||||||
Urban Outfitters, Inc. (A) | 1,818 | 53,376 | ||||||
Victoria’s Secret & Co. (A) | 1,999 | 111,024 | ||||||
Williams-Sonoma, Inc. | 2,052 | 347,055 | ||||||
|
| |||||||
2,269,903 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 0.1% | ||||||||
Xerox Holdings Corp. | 3,792 | 85,851 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods - 1.3% | ||||||||
Capri Holdings Ltd. (A) | 4,151 | 269,441 | ||||||
Carter’s, Inc. | 1,166 | 118,023 | ||||||
Columbia Sportswear Co. | 954 | 92,958 | ||||||
Crocs, Inc. (A) | 1,624 | 208,229 | ||||||
Deckers Outdoor Corp. (A) | 757 | 277,297 | ||||||
Hanesbrands, Inc. | 9,635 | 161,097 | ||||||
Skechers USA, Inc., Class A (A) | 3,722 | 161,535 | ||||||
|
| |||||||
1,288,580 | ||||||||
|
|
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Thrifts & Mortgage Finance - 0.5% | ||||||||
Essent Group Ltd. | 3,047 | $ 138,730 | ||||||
MGIC Investment Corp. | 8,983 | 129,535 | ||||||
New York Community Bancorp, Inc. | 12,830 | 156,654 | ||||||
Washington Federal, Inc. | 1,797 | 59,984 | ||||||
|
| |||||||
484,903 | ||||||||
|
| |||||||
Trading Companies & Distributors - 0.6% | ||||||||
GATX Corp. | 979 | 102,002 | ||||||
MSC Industrial Direct Co., Inc., Class A | 1,292 | 108,605 | ||||||
Univar Solutions, Inc. (A) | 4,717 | 133,727 | ||||||
Watsco, Inc. | 911 | 285,034 | ||||||
|
| |||||||
629,368 | ||||||||
|
| |||||||
Water Utilities - 0.3% | ||||||||
Essential Utilities, Inc. | 6,346 | 340,717 | ||||||
|
| |||||||
Total Common Stocks |
| 68,002,862 | ||||||
|
| |||||||
Principal | Value | |||||||
U.S. GOVERNMENT OBLIGATION - 31.8% | ||||||||
U.S. Treasury - 31.8% | ||||||||
U.S. Treasury Note | $ 31,905,000 | 31,897,598 | ||||||
|
| |||||||
Total U.S. Government Obligation |
| 31,897,598 | ||||||
|
| |||||||
Shares | Value | |||||||
SHORT-TERM INVESTMENT COMPANY - 0.3% | ||||||||
Money Market Fund - 0.3% | ||||||||
State Street Institutional Treasury Money Market Fund, 0.01% (C) | 243,623 | 243,623 | ||||||
|
| |||||||
Total Short-Term Investment Company |
| 243,623 | ||||||
|
| |||||||
OTHER INVESTMENT COMPANY - 0.5% | ||||||||
Securities Lending Collateral - 0.5% | ||||||||
State Street Navigator Securities Lending Trust - Government Money Market Portfolio, 0.03% (C) | 505,563 | 505,563 | ||||||
|
| |||||||
Total Other Investment Company |
| 505,563 | ||||||
|
| |||||||
Total Investments |
| 100,649,646 | ||||||
Net Other Assets (Liabilities) - (0.5)% | (454,815 | ) | ||||||
|
| |||||||
Net Assets - 100.0% | $ 100,194,831 | |||||||
|
|
FUTURES CONTRACTS:
Long Futures Contracts | ||||||||||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
S&P Midcap 400® E-Mini Index | 1 | 03/18/2022 | $ | 277,161 | $ | 283,770 | $ | 6,609 | $ | — |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 10
DeltaShares® S&P 400 Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
INVESTMENT VALUATION:
Valuation Inputs (D)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Value | |||||||||||||
ASSETS |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks | $ | 68,002,862 | $ | — | $ | — | $ | 68,002,862 | ||||||||
U.S. Government Obligation | — | 31,897,598 | — | 31,897,598 | ||||||||||||
Short-Term Investment Company | 243,623 | — | — | 243,623 | ||||||||||||
Other Investment Company | 505,563 | — | — | 505,563 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 68,752,048 | $ | 31,897,598 | $ | — | $ | 100,649,646 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments |
| |||||||||||||||
Futures Contracts (E) | $ | 6,609 | $ | — | $ | — | $ | 6,609 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 6,609 | $ | — | $ | — | $ | 6,609 | ||||||||
|
|
|
|
|
|
|
|
FOOTNOTES TO SCHEDULE OF INVESTMENTS:
(A) | Non-income producing securities. | |
(B) | All or a portion of the securities are on loan. The total value of all securities on loan is $2,108,124, collateralized by cash collateral of $505,563 and non-cash collateral, such as U.S. government securities and irrevocable letters of credit, of $1,651,752. The amount of securities on loan indicated may not correspond with the securities on loan identified because securities with pending sales are in the process of recall from the brokers. | |
(C) | Rates disclosed reflect the yields at December 31, 2021. | |
(D) | There were no transfers in or out of Level 3 during the year ended December 31, 2021. Please reference the Investment Valuation section of the Notes to Financial Statements for more information regarding investment valuation and pricing inputs. | |
(E) | Derivative instruments are valued at unrealized appreciation (depreciation). |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 11
DeltaShares® S&P 500 Managed Risk ETF
(unaudited)
MARKET ENVIRONMENT
2021 was a strong year for global developed markets and a stellar one for U.S. stocks, bolstered by robust corporate earnings, strong economic activity, and historic fiscal and monetary stimuli. The rebound off the 2020 pandemic lows continued in 2021 despite headwinds from COVID-19 variants and supply chain disruptions (both hammering emerging markets), as well as increasing inflation and the need for accelerated Central Bank tapering (which especially affected domestic growth stocks). On a total return basis, the S&P 500® Index led the pack with a gain of 28.71% and reached new record highs 70 times in 2021. Moreover, it has now finished higher in 12 of the last 13 years and has doubled in value over the last three. The MSCI EAFE Index also performed well in 2021, closing the year with a gain of 11.78%, while the MSCI Emerging Markets Index proved to be more sensitive to the inflationary and supply chain pressures. Coupled with China’s economic slowdown, the Index had its weakest return since 2018, at -2.22%. Fixed income investments were also negatively impacted by the environment, with the Bloomberg US Aggregate Bond Index realizing a loss of 1.54% for the year.
The first quarter of 2021 saw a couple of whipsaw events as investors shifted focus from optimism (due to increasing anticipated fiscal stimulus) to the reality of looming inflation concerns, rising yields, and potential vaccine deployment delays. This uncertainty caused elevated volatility repeatedly through the quarter. However, equities rallied starting at the end of March 2021 and through the summer, as investors deemed these economic pressures largely transitory. The equity rally retreated in September (due to the same familiar concerns – supply chains, labor shortages, and persisting inflation), leaving most equity indices with net losses for the third quarter.
Nonetheless, investor sentiment recovered as markets hiked to new highs through most of November 2021. Starting after the Thanksgiving holiday however, the confluence of the new COVID-19 Omicron variant and the needed hawkish pivot from the Federal Reserve resulted in heightened volatility that continued into the third week of December. Equities rebounded to end the year with strong December returns, as data suggested Omicron was a less severe strain of COVID-19, and yearly rebalancing activity buoyed stocks.
PERFORMANCE OVERVIEW
For the year ended December 31, 2021, DeltaShares® S&P 500 Managed Risk ETF (NAV) returned 27.26%. By comparison, the S&P 500®Managed Risk 2.0 Index (the “Underlying Index”) returned 27.72% and the S&P 500® Index returned 28.71%.
The Fund’s performance reflects annual operating expenses of the Fund, including management fees, brokerage expenses, and other fees and expenses. Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
STRATEGY REVIEW
The DeltaShares® S&P 500 Managed Risk ETF (the “Fund”) seeks to track the investment results, before fees and expenses, of the S&P 500® Managed Risk 2.0 Index (the “Underlying Index”).
The Fund seeks to achieve this investment objective by holding a portfolio of securities that are included in the Underlying Index, including common stocks and/or U.S. Treasury bills and bonds. 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 Index’s equity exposure due to severe sustained market declines. The Underlying Index seeks to achieve these objectives by allocating weightings among the S&P 500® Index, the S&P U.S. Treasury Bond Current 5-Year Index, and the S&P U.S. Treasury Bill 0-3 Month Index. Under normal circumstances, the Fund uses a replication strategy and generally expects to invest in substantially all the securities in the Underlying Index in approximately the same proportions as the Underlying Index. The Fund may also use derivatives for a variety of purposes, such as to gain exposure to underlying securities and markets in a more efficient manner, to optimize the execution processes and costs for portfolio transitions, or for tax management purposes.
The Fund entered 2021 with a 90% allocation to equities, reached a low equity allocation of 88% on March 9, 2021, and ended the year at 95%. The Fund’s risk management strategy resulted in an average equity allocation to the S&P 500® index of 99% and the Fund returned 27.26% in 2021.
During 2021, the largest contributors to the Fund’s absolute total return were equities within the information technology, financials, and health care sectors.
During the year, the fund utilized derivatives. These positions added to performance.
Charles Lowery, CFA
Louis Ng
Emma Westwick
Co-Portfolio Managers
Milliman Financial Risk Management LLC
Transamerica ETF Trust | Annual Report 2021 |
Page 12
DeltaShares® S&P 500 Managed Risk ETF
(unaudited)
Asset Allocation | Percentage of Net Assets | |||
Common Stocks | 94.7 | % | ||
U.S. Government Obligation | 5.1 | |||
Short-Term Investment Company | 0.2 | |||
Other Investment Company | 0.0 | * | ||
Net Other Assets (Liabilities) ^ | 0.0 | * | ||
Total | 100.0 | % | ||
|
|
Current and future portfolio holdings are subject to change and risk.
* | Percentage rounds to less than 0.1% or (0.1)%. |
^ | The Net Other Assets (Liabilities) category may include, but is not limited to, reverse repurchase agreements, forward foreign currency contracts, futures contracts, swap agreements, written options and swaptions, and cash collateral. |
Transamerica ETF Trust | Annual Report 2021 |
Page 13
DeltaShares® S&P 500 Managed Risk ETF
(unaudited)
Performance as of December 31, 2021 | ||||||||||||||||||||||||||||
Average Annual Total Returns | Cumulative Total Returns | Inception Date | ||||||||||||||||||||||||||
1 Year | 10 Year or Since Inception | 1 Year | 10 Year or Since Inception | |||||||||||||||||||||||||
Fund NAV | 27.26 | % | 12.94 | % | 27.26 | % | 71.30 | % | 07/31/2017 | |||||||||||||||||||
Fund Market | 27.30 | % | 12.95 | % | 27.30 | % | 71.35 | % | 07/31/2017 | |||||||||||||||||||
S&P 500® Index (A) | 28.71 | % | 18.14 | % | 28.71 | % | 109.01 | % | ||||||||||||||||||||
S&P 500® Managed Risk 2.0 Index (A)(B)(C)(D) | 27.72 | % | 13.36 | % | 27.72 | % | 74.12 | % |
(A) The S&P 500® Index is a market-capitalization weighted index of 500 large U.S. companies with common stock listed on the NYSE or NASDAQ.
(B) The S&P 500® Managed Risk 2.0 Index is comprised of weightings amongst the S&P 500® 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 S&P 500® Managed Risk 2.0 Index rebalances on a daily basis.
(C) The S&P U.S. Treasury Bond Current 5-Year Index is a one-security index comprising the most recently issued 5-year U.S. Treasury note or bond.
(D) The S&P U.S. Treasury Bill 0-3 Month Index is designed to measure the performance of U.S. Treasury bills maturing in 0 to 3 months.
The Fund’s benchmarks are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or the Since Inception calculation is based on the previous 10 years or since the inception date, whichever is more recent. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, a Fund’s performance is negatively impacted by these deductions. You cannot invest directly in an index.
The performance data presented represents past performance and does not guarantee future results. Performance data does not reflect the deduction of taxes that would be paid on Fund distributions or the redemption of Fund shares. The Fund’s investment return and net asset value will fluctuate. Investors’ shares when sold may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please see www.deltashares.com for performance data current to the most recent month end. Fund performance is net of investment fees and Fund expenses.
Performance results do not include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles and may differ from amounts reported in the Financial Highlights.
Fund shares are bought and sold at Market Price, not Net Asset Value (“NAV”), and are not individually redeemed from the Fund. Net Asset Value is an exchange-traded fund’s per-share value. The per-share dollar amount of the Fund is derived by dividing the total value of all the securities in the portfolio, less any liabilities, by the number of Fund shares outstanding. Market Price is the price at which a share can currently be traded in the market. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated.
Exchange-Traded Funds (ETFs) are subject to market risk, including the loss of principal. Because Fund Shares trade at market prices rather than at NAV, Fund Shares may trade at a price greater than NAV (premium) or less than NAV (discount). Shares of DeltaShares® ETFs may be bought and sold throughout the day on the exchange through any brokerage account. Buying and selling shares of ETFs will result in brokerage commissions. Diversification and asset allocation may not protect against market risk or loss of principal. Investing involves risk, including the possible loss of principal. There is no guarantee the investment objective will be achieved. Equity securities represent an ownership interest in an issuer, rank junior in a company’s capital structure and consequently may entail greater risk of loss than debt securities. The market prices of fixed-income securities may go up or down, sometimes rapidly and unpredictably, due to general market conditions, such as real or perceived adverse economic or political conditions, inflation, changes in interest rates, lack of liquidity in the bond markets or adverse investor sentiment. The principal risks include risks related to: Equity securities, index tracking, leveraging, derivatives such as futures, forwards, swaps, options, and investing in underlying exchange-traded funds. The use of derivatives may produce disproportionate gains or losses, may increase costs, and amplify risks.
Transamerica ETF Trust | Annual Report 2021 |
Page 14
DeltaShares® S&P 500 Managed Risk ETF
SCHEDULE OF INVESTMENTS
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS - 94.7% | ||||||||
Aerospace & Defense - 1.3% | ||||||||
Boeing Co. (A) | 5,863 | $1,180,339 | ||||||
General Dynamics Corp. | 2,460 | 512,836 | ||||||
Howmet Aerospace, Inc. | 4,081 | 129,898 | ||||||
Huntington Ingalls Industries, Inc. | 425 | 79,364 | ||||||
L3 Harris Technologies, Inc. | 2,083 | 444,179 | ||||||
Lockheed Martin Corp. | 2,605 | 925,843 | ||||||
Northrop Grumman Corp. | 1,582 | 612,345 | ||||||
Raytheon Technologies Corp. | 15,886 | 1,367,149 | ||||||
Textron, Inc. | 2,339 | 180,571 | ||||||
TransDigm Group, Inc. (A) | 556 | 353,772 | ||||||
|
| |||||||
5,786,296 | ||||||||
|
| |||||||
Air Freight & Logistics - 0.6% | ||||||||
CH Robinson Worldwide, Inc. | 1,380 | 148,529 | ||||||
Expeditors International of Washington, Inc. | 1,798 | 241,454 | ||||||
FedEx Corp. | 2,594 | 670,912 | ||||||
United Parcel Service, Inc., Class B | 7,739 | 1,658,777 | ||||||
|
| |||||||
2,719,672 | ||||||||
|
| |||||||
Airlines - 0.2% | ||||||||
Alaska Air Group, Inc. (A) | 1,330 | 69,293 | ||||||
American Airlines Group, Inc. (A) (B) | 6,872 | 123,421 | ||||||
Delta Air Lines, Inc. (A) | 6,793 | 265,470 | ||||||
Southwest Airlines Co. (A) | 6,282 | 269,121 | ||||||
United Airlines Holdings, Inc. (A) | 3,437 | 150,472 | ||||||
|
| |||||||
877,777 | ||||||||
|
| |||||||
Auto Components - 0.1% | ||||||||
Aptiv PLC (A) | 2,871 | 473,572 | ||||||
BorgWarner, Inc. | 2,545 | 114,703 | ||||||
|
| |||||||
588,275 | ||||||||
|
| |||||||
Automobiles - 2.4% | ||||||||
Ford Motor Co. | 41,662 | 865,320 | ||||||
General Motors Co. (A) | 15,409 | 903,430 | ||||||
Tesla, Inc. (A) | 8,634 | 9,124,238 | ||||||
|
| |||||||
10,892,988 | ||||||||
|
| |||||||
Banks - 3.8% | ||||||||
Bank of America Corp. | 76,439 | 3,400,771 | ||||||
Citigroup, Inc. | 21,060 | 1,271,813 | ||||||
Citizens Financial Group, Inc. | 4,523 | 213,712 | ||||||
Comerica, Inc. | 1,392 | 121,104 | ||||||
Fifth Third Bancorp | 7,257 | 316,042 | ||||||
First Republic Bank | 1,903 | 392,989 | ||||||
Huntington Bancshares, Inc. | 15,352 | 236,728 | ||||||
JPMorgan Chase & Co. | 31,366 | 4,966,806 | ||||||
KeyCorp | 9,882 | 228,571 | ||||||
M&T Bank Corp. | 1,366 | 209,790 | ||||||
People’s United Financial, Inc. | 4,543 | 80,956 | ||||||
PNC Financial Services Group, Inc. | 4,486 | 899,533 | ||||||
Regions Financial Corp. | 10,118 | 220,572 | ||||||
Signature Bank | 644 | 208,315 | ||||||
SVB Financial Group (A) | 623 | 422,543 | ||||||
Truist Financial Corp. | 14,168 | 829,536 | ||||||
US Bancorp | 14,321 | 804,411 | ||||||
Wells Fargo & Co. | 42,319 | 2,030,466 | ||||||
Zions Bancorp NA | 1,661 | 104,909 | ||||||
|
| |||||||
16,959,567 | ||||||||
|
| |||||||
Beverages - 1.3% | ||||||||
Brown-Forman Corp., Class B | 1,939 | 141,276 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Beverages (continued) | ||||||||
Coca-Cola Co. | 41,260 | $ 2,443,005 | ||||||
Constellation Brands, Inc., Class A | 1,743 | 437,441 | ||||||
Molson Coors Beverage Co., Class B | 2,000 | 92,700 | ||||||
Monster Beverage Corp. (A) | 3,987 | 382,911 | ||||||
PepsiCo, Inc. | 14,675 | 2,549,194 | ||||||
|
| |||||||
6,046,527 | ||||||||
|
| |||||||
Biotechnology - 1.7% | ||||||||
AbbVie, Inc. | 18,763 | 2,540,510 | ||||||
Amgen, Inc. | 5,978 | 1,344,871 | ||||||
Biogen, Inc. (A) | 1,559 | 374,035 | ||||||
Gilead Sciences, Inc. | 13,313 | 966,657 | ||||||
Incyte Corp. (A) | 1,993 | 146,286 | ||||||
Moderna, Inc. (A) | 3,744 | 950,901 | ||||||
Regeneron Pharmaceuticals, Inc. (A) | 1,122 | 708,566 | ||||||
Vertex Pharmaceuticals, Inc. (A) | 2,699 | 592,700 | ||||||
|
| |||||||
7,624,526 | ||||||||
|
| |||||||
Building Products - 0.5% | ||||||||
A.O. Smith Corp. | 1,414 | 121,392 | ||||||
Allegion PLC | 952 | 126,083 | ||||||
Carrier Global Corp. | 9,198 | 498,899 | ||||||
Fortune Brands Home & Security, Inc. | 1,441 | 154,043 | ||||||
Johnson Controls International PLC | 7,522 | 611,614 | ||||||
Masco Corp. | 2,591 | 181,940 | ||||||
Trane Technologies PLC | 2,521 | 509,318 | ||||||
|
| |||||||
2,203,289 | ||||||||
|
| |||||||
Capital Markets - 2.8% | ||||||||
Ameriprise Financial, Inc. | 1,188 | 358,372 | ||||||
Bank of New York Mellon Corp. | 8,064 | 468,357 | ||||||
BlackRock, Inc. | 1,516 | 1,387,989 | ||||||
Cboe Global Markets, Inc. | 1,132 | 147,613 | ||||||
Charles Schwab Corp. | 15,956 | 1,341,900 | ||||||
CME Group, Inc. | 3,814 | 871,347 | ||||||
FactSet Research Systems, Inc. | 400 | 194,404 | ||||||
Franklin Resources, Inc. | 2,982 | 99,867 | ||||||
Goldman Sachs Group, Inc. | 3,603 | 1,378,328 | ||||||
Intercontinental Exchange, Inc. | 5,980 | 817,885 | ||||||
Invesco Ltd. | 3,622 | 83,378 | ||||||
MarketAxess Holdings, Inc. | 404 | 166,153 | ||||||
Moody’s Corp. | 1,717 | 670,626 | ||||||
Morgan Stanley | 15,236 | 1,495,566 | ||||||
MSCI, Inc. | 875 | 536,104 | ||||||
Nasdaq, Inc. | 1,242 | 260,832 | ||||||
Northern Trust Corp. | 2,204 | 263,620 | ||||||
Raymond James Financial, Inc. | 1,966 | 197,386 | ||||||
S&P Global, Inc. | 2,558 | 1,207,197 | ||||||
State Street Corp. | 3,881 | 360,933 | ||||||
T. Rowe Price Group, Inc. | 2,385 | 468,986 | ||||||
|
| |||||||
12,776,843 | ||||||||
|
| |||||||
Chemicals - 1.7% | ||||||||
Air Products & Chemicals, Inc. | 2,349 | 714,707 | ||||||
Albemarle Corp. | 1,242 | 290,342 | ||||||
Celanese Corp. | 1,156 | 194,277 | ||||||
CF Industries Holdings, Inc. | 2,276 | 161,095 | ||||||
Corteva, Inc. | 7,736 | 365,758 | ||||||
Dow, Inc. | 7,850 | 445,252 | ||||||
DuPont de Nemours, Inc. | 5,499 | 444,209 | ||||||
Eastman Chemical Co. | 1,427 | 172,539 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 15
DeltaShares® S&P 500 Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Chemicals (continued) | ||||||||
Ecolab, Inc. | 2,646 | $ 620,725 | ||||||
FMC Corp. | 1,345 | 147,802 | ||||||
International Flavors & Fragrances, Inc. | 2,701 | 406,906 | ||||||
Linde PLC | 5,440 | 1,884,579 | ||||||
LyondellBasell Industries NV, Class A | 2,790 | 257,322 | ||||||
Mosaic Co. | 3,931 | 154,449 | ||||||
PPG Industries, Inc. | 2,520 | 434,549 | ||||||
Sherwin-Williams Co. | 2,560 | 901,530 | ||||||
|
| |||||||
7,596,041 | ||||||||
|
| |||||||
Commercial Services & Supplies - 0.4% | ||||||||
Cintas Corp. | 933 | 413,478 | ||||||
Copart, Inc. (A) | 2,265 | 343,419 | ||||||
Republic Services, Inc. | 2,221 | 309,718 | ||||||
Rollins, Inc. | 2,402 | 82,172 | ||||||
Waste Management, Inc. | 4,085 | 681,787 | ||||||
|
| |||||||
1,830,574 | ||||||||
|
| |||||||
Communications Equipment - 0.9% | ||||||||
Arista Networks, Inc. (A) | 2,381 | 342,269 | ||||||
Cisco Systems, Inc. | 44,764 | 2,836,695 | ||||||
F5, Inc. (A) | 640 | 156,614 | ||||||
Juniper Networks, Inc. | 3,451 | 123,235 | ||||||
Motorola Solutions, Inc. | 1,793 | 487,158 | ||||||
|
| |||||||
3,945,971 | ||||||||
|
| |||||||
Construction & Engineering - 0.0% (C) | ||||||||
Quanta Services, Inc. | 1,512 | 173,366 | ||||||
|
| |||||||
Construction Materials - 0.1% | ||||||||
Martin Marietta Materials, Inc. | 662 | 291,624 | ||||||
Vulcan Materials Co. | 1,408 | 292,273 | ||||||
|
| |||||||
583,897 | ||||||||
|
| |||||||
Consumer Finance - 0.5% | ||||||||
American Express Co. | 6,659 | 1,089,412 | ||||||
Capital One Financial Corp. | 4,517 | 655,372 | ||||||
Discover Financial Services | 3,111 | 359,507 | ||||||
Synchrony Financial | 5,808 | 269,433 | ||||||
|
| |||||||
2,373,724 | ||||||||
|
| |||||||
Containers & Packaging - 0.3% | ||||||||
Amcor PLC | 16,272 | 195,427 | ||||||
Avery Dennison Corp. | 879 | 190,365 | ||||||
Ball Corp. | 3,438 | 330,976 | ||||||
International Paper Co. | 4,110 | 193,088 | ||||||
Packaging Corp. of America | 1,008 | 137,239 | ||||||
Sealed Air Corp. | 1,572 | 106,063 | ||||||
WestRock Co. | 2,834 | 125,716 | ||||||
|
| |||||||
1,278,874 | ||||||||
|
| |||||||
Distributors - 0.1% | ||||||||
Genuine Parts Co. | 1,512 | 211,983 | ||||||
LKQ Corp. | 2,846 | 170,845 | ||||||
Pool Corp. | 425 | 240,550 | ||||||
|
| |||||||
623,378 | ||||||||
|
| |||||||
Diversified Financial Services - 1.3% | ||||||||
Berkshire Hathaway, Inc., Class B (A) | 19,437 | 5,811,663 | ||||||
|
| |||||||
Diversified Telecommunication Services - 1.0% | ||||||||
AT&T, Inc. | 75,791 | 1,864,459 | ||||||
Lumen Technologies, Inc. | 9,780 | 122,739 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Diversified Telecommunication Services (continued) | ||||||||
Verizon Communications, Inc. | 43,942 | $ 2,283,226 | ||||||
|
| |||||||
4,270,424 | ||||||||
|
| |||||||
Electric Utilities - 1.5% | ||||||||
Alliant Energy Corp. | 2,657 | 163,326 | ||||||
American Electric Power Co., Inc. | 5,346 | 475,634 | ||||||
Duke Energy Corp. | 8,164 | 856,403 | ||||||
Edison International | 4,032 | 275,184 | ||||||
Entergy Corp. | 2,133 | 240,282 | ||||||
Evergy, Inc. | 2,434 | 166,997 | ||||||
Eversource Energy | 3,649 | 331,986 | ||||||
Exelon Corp. | 10,383 | 599,722 | ||||||
FirstEnergy Corp. | 5,778 | 240,307 | ||||||
NextEra Energy, Inc. | 20,825 | 1,944,222 | ||||||
NRG Energy, Inc. | 2,599 | 111,965 | ||||||
Pinnacle West Capital Corp. | 1,197 | 84,496 | ||||||
PPL Corp. | 7,968 | 239,518 | ||||||
Southern Co. | 11,248 | 771,388 | ||||||
Xcel Energy, Inc. | 5,717 | 387,041 | ||||||
|
| |||||||
6,888,471 | ||||||||
|
| |||||||
Electrical Equipment - 0.5% | ||||||||
AMETEK, Inc. | 2,455 | 360,983 | ||||||
Eaton Corp. PLC | 4,231 | 731,202 | ||||||
Emerson Electric Co. | 6,345 | 589,895 | ||||||
Generac Holdings, Inc. (A) | 670 | 235,786 | ||||||
Rockwell Automation, Inc. | 1,231 | 429,434 | ||||||
|
| |||||||
2,347,300 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components - 0.7% | ||||||||
Amphenol Corp., Class A | 6,347 | 555,109 | ||||||
CDW Corp. | 1,441 | 295,088 | ||||||
Corning, Inc. | 8,152 | 303,499 | ||||||
IPG Photonics Corp. (A) | 379 | 65,241 | ||||||
Keysight Technologies, Inc. (A) | 1,955 | 403,727 | ||||||
TE Connectivity Ltd. | 3,463 | 558,720 | ||||||
Teledyne Technologies, Inc. (A) | 495 | 216,261 | ||||||
Trimble, Inc. (A) | 2,664 | 232,274 | ||||||
Zebra Technologies Corp., Class A (A) | 567 | 337,478 | ||||||
|
| |||||||
2,967,397 | ||||||||
|
| |||||||
Energy Equipment & Services - 0.2% | ||||||||
Baker Hughes Co. | 9,277 | 223,204 | ||||||
Halliburton Co. | 9,500 | 217,265 | ||||||
Schlumberger NV | 14,887 | 445,866 | ||||||
|
| |||||||
886,335 | ||||||||
|
| |||||||
Entertainment - 1.6% | ||||||||
Activision Blizzard, Inc. | 8,267 | 550,004 | ||||||
Electronic Arts, Inc. | 3,002 | 395,964 | ||||||
Live Nation Entertainment, Inc. (A) | 1,434 | 171,635 | ||||||
Netflix, Inc. (A) | 4,701 | 2,832,070 | ||||||
Take-Two Interactive Software, Inc. (A) | 1,224 | 217,529 | ||||||
Walt Disney Co. (A) | 19,286 | 2,987,209 | ||||||
|
| |||||||
7,154,411 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts - 2.5% | ||||||||
Alexandria Real Estate Equities, Inc. | 1,497 | 333,771 | ||||||
American Tower Corp. | 4,834 | 1,413,945 | ||||||
AvalonBay Communities, Inc. | 1,483 | 374,591 | ||||||
Boston Properties, Inc. | 1,509 | 173,807 | ||||||
Crown Castle International Corp. | 4,587 | 957,490 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 16
DeltaShares® S&P 500 Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Equity Real Estate Investment Trusts (continued) | ||||||||
Digital Realty Trust, Inc. | 3,012 | $ 532,733 | ||||||
Duke Realty Corp. | 4,042 | 265,317 | ||||||
Equinix, Inc. | 956 | 808,623 | ||||||
Equity Residential | 3,622 | 327,791 | ||||||
Essex Property Trust, Inc. | 691 | 243,391 | ||||||
Extra Space Storage, Inc. | 1,421 | 322,183 | ||||||
Federal Realty Investment Trust | 743 | 101,286 | ||||||
Healthpeak Properties, Inc. | 5,721 | 206,471 | ||||||
Host Hotels & Resorts, Inc. (A) | 7,578 | 131,781 | ||||||
Iron Mountain, Inc. | 3,073 | 160,810 | ||||||
Kimco Realty Corp. | 6,542 | 161,260 | ||||||
Mid-America Apartment Communities, Inc. | 1,222 | 280,376 | ||||||
Prologis, Inc. | 7,847 | 1,321,121 | ||||||
Public Storage | 1,619 | 606,413 | ||||||
Realty Income Corp. | 6,005 | 429,898 | ||||||
Regency Centers Corp. | 1,635 | 123,197 | ||||||
SBA Communications Corp. | 1,155 | 449,318 | ||||||
Simon Property Group, Inc. | 3,488 | 557,278 | ||||||
UDR, Inc. | 3,085 | 185,069 | ||||||
Ventas, Inc. | 4,237 | 216,595 | ||||||
Vornado Realty Trust | 1,688 | 70,660 | ||||||
Welltower, Inc. | 4,620 | 396,257 | ||||||
Weyerhaeuser Co. | 7,950 | 327,381 | ||||||
|
| |||||||
11,478,813 | ||||||||
|
| |||||||
Food & Staples Retailing - 1.3% | ||||||||
Costco Wholesale Corp. | 4,689 | 2,661,945 | ||||||
Kroger Co. | 7,182 | 325,057 | ||||||
Sysco Corp. | 5,441 | 427,391 | ||||||
Walgreens Boots Alliance, Inc. | 7,625 | 397,720 | ||||||
Walmart, Inc. | 15,094 | 2,183,951 | ||||||
|
| |||||||
5,996,064 | ||||||||
|
| |||||||
Food Products - 0.8% | ||||||||
Archer-Daniels-Midland Co. | 5,938 | 401,349 | ||||||
Campbell Soup Co. | 2,148 | 93,352 | ||||||
Conagra Brands, Inc. | 5,091 | 173,858 | ||||||
General Mills, Inc. | 6,429 | 433,186 | ||||||
Hershey Co. | 1,543 | 298,524 | ||||||
Hormel Foods Corp. | 2,994 | 146,137 | ||||||
J.M. Smucker Co. | 1,150 | 156,193 | ||||||
Kellogg Co. | 2,715 | 174,900 | ||||||
Kraft Heinz Co. | 7,535 | 270,506 | ||||||
Lamb Weston Holdings, Inc. | 1,550 | 98,239 | ||||||
McCormick & Co., Inc. | 2,647 | 255,727 | ||||||
Mondelez International, Inc., Class A | 14,806 | 981,786 | ||||||
Tyson Foods, Inc., Class A | 3,129 | 272,724 | ||||||
|
| |||||||
3,756,481 | ||||||||
|
| |||||||
Gas Utilities - 0.0% (C) | ||||||||
Atmos Energy Corp. | 1,406 | 147,307 | ||||||
|
| |||||||
Health Care Equipment & Supplies - 2.8% | ||||||||
Abbott Laboratories | 18,768 | 2,641,408 | ||||||
ABIOMED, Inc. (A) | 483 | 173,479 | ||||||
Align Technology, Inc. (A) | 778 | 511,286 | ||||||
Baxter International, Inc. | 5,314 | 456,154 | ||||||
Becton Dickinson & Co. | 3,048 | 766,511 | ||||||
Boston Scientific Corp. (A) | 15,124 | 642,467 | ||||||
Cooper Cos., Inc. | 523 | 219,106 | ||||||
DENTSPLY SIRONA, Inc. | 2,320 | 129,433 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Health Care Equipment & Supplies (continued) | ||||||||
DexCom, Inc. (A) | 1,029 | $ 552,522 | ||||||
Edwards Lifesciences Corp. (A) | 6,626 | 858,398 | ||||||
Hologic, Inc. (A) | 2,690 | 205,946 | ||||||
IDEXX Laboratories, Inc. (A) | 900 | 592,614 | ||||||
Intuitive Surgical, Inc. (A) | 3,789 | 1,361,388 | ||||||
Medtronic PLC | 14,284 | 1,477,680 | ||||||
ResMed, Inc. | 1,547 | 402,963 | ||||||
STERIS PLC | 1,062 | 258,501 | ||||||
Stryker Corp. | 3,563 | 952,817 | ||||||
Teleflex, Inc. | 497 | 163,255 | ||||||
Zimmer Biomet Holdings, Inc. | 2,217 | 281,648 | ||||||
|
| |||||||
12,647,576 | ||||||||
|
| |||||||
Health Care Providers & Services - 2.6% | ||||||||
AmerisourceBergen Corp. | 1,588 | 211,029 | ||||||
Anthem, Inc. | 2,576 | 1,194,079 | ||||||
Cardinal Health, Inc. | 2,991 | 154,007 | ||||||
Centene Corp. (A) | 6,193 | 510,303 | ||||||
Cigna Corp. | 3,518 | 807,838 | ||||||
CVS Health Corp. | 14,011 | 1,445,375 | ||||||
DaVita, Inc. (A) | 692 | 78,722 | ||||||
HCA Healthcare, Inc. | 2,542 | 653,091 | ||||||
Henry Schein, Inc. (A) | 1,472 | 114,124 | ||||||
Humana, Inc. | 1,364 | 632,705 | ||||||
Laboratory Corp. of America Holdings (A) | 1,016 | 319,237 | ||||||
McKesson Corp. | 1,620 | 402,683 | ||||||
Quest Diagnostics, Inc. | 1,302 | 225,259 | ||||||
UnitedHealth Group, Inc. | 9,996 | 5,019,392 | ||||||
Universal Health Services, Inc., Class B | 776 | 100,616 | ||||||
|
| |||||||
11,868,460 | ||||||||
|
| |||||||
Health Care Technology - 0.1% | ||||||||
Cerner Corp. | 3,123 | 290,033 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure - 1.9% | ||||||||
Booking Holdings, Inc. (A) | 436 | 1,046,064 | ||||||
Caesars Entertainment, Inc. (A) | 2,269 | 212,220 | ||||||
Carnival Corp. (A) (B) | 8,538 | 171,785 | ||||||
Chipotle Mexican Grill, Inc. (A) | 299 | 522,727 | ||||||
Darden Restaurants, Inc. | 1,377 | 207,431 | ||||||
Domino’s Pizza, Inc. | 386 | 217,831 | ||||||
Expedia Group, Inc. (A) | 1,550 | 280,116 | ||||||
Hilton Worldwide Holdings, Inc. (A) | 2,958 | 461,418 | ||||||
Las Vegas Sands Corp. (A) | 3,649 | 137,348 | ||||||
Marriott International, Inc., Class A (A) | 2,904 | 479,857 | ||||||
McDonald’s Corp. | 7,931 | 2,126,063 | ||||||
MGM Resorts International | 4,131 | 185,399 | ||||||
Norwegian Cruise Line Holdings Ltd. (A) (B) | 3,927 | 81,446 | ||||||
Penn National Gaming, Inc. (A) (B) | 1,763 | 91,412 | ||||||
Royal Caribbean Cruises Ltd. (A) | 2,380 | 183,022 | ||||||
Starbucks Corp. | 12,524 | 1,464,932 | ||||||
Wynn Resorts Ltd. (A) | 1,117 | 94,990 | ||||||
Yum! Brands, Inc. | 3,111 | 431,994 | ||||||
|
| |||||||
8,396,055 | ||||||||
|
| |||||||
Household Durables - 0.4% | ||||||||
D.R. Horton, Inc. | 3,459 | 375,128 | ||||||
Garmin Ltd. | 1,613 | 219,642 | ||||||
Lennar Corp., Class A | 2,885 | 335,122 | ||||||
Mohawk Industries, Inc. (A) | 582 | 106,029 | ||||||
Newell Brands, Inc. | 4,018 | 87,753 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 17
DeltaShares® S&P 500 Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Household Durables (continued) | ||||||||
NVR, Inc. (A) | 35 | $ 206,810 | ||||||
PulteGroup, Inc. | 2,687 | 153,589 | ||||||
Whirlpool Corp. | 645 | 151,356 | ||||||
|
| |||||||
1,635,429 | ||||||||
|
| |||||||
Household Products - 1.3% | ||||||||
Church & Dwight Co., Inc. | 2,591 | 265,577 | ||||||
Clorox Co. | 1,304 | 227,365 | ||||||
Colgate-Palmolive Co. | 8,946 | 763,452 | ||||||
Kimberly-Clark Corp. | 3,574 | 510,796 | ||||||
Procter & Gamble Co. | 25,684 | 4,201,389 | ||||||
|
| |||||||
5,968,579 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers - 0.0% (C) | ||||||||
AES Corp. | 7,076 | 171,947 | ||||||
|
| |||||||
Industrial Conglomerates - 0.9% | ||||||||
3M Co. | 6,116 | 1,086,385 | ||||||
General Electric Co. | 11,655 | 1,101,048 | ||||||
Honeywell International, Inc. | 7,307 | 1,523,583 | ||||||
Roper Technologies, Inc. | 1,120 | 550,883 | ||||||
|
| |||||||
4,261,899 | ||||||||
|
| |||||||
Insurance - 1.7% | ||||||||
Aflac, Inc. | 6,459 | 377,141 | ||||||
Allstate Corp. | 3,043 | 358,009 | ||||||
American International Group, Inc. | 8,812 | 501,050 | ||||||
Aon PLC, Class A | 2,339 | 703,010 | ||||||
Arthur J Gallagher & Co. | 2,200 | 373,274 | ||||||
Assurant, Inc. | 605 | 94,295 | ||||||
Brown & Brown, Inc. | 2,488 | 174,857 | ||||||
Chubb Ltd. | 4,572 | 883,813 | ||||||
Cincinnati Financial Corp. | 1,591 | 181,263 | ||||||
Everest Re Group Ltd. | 418 | 114,499 | ||||||
Globe Life, Inc. | 986 | 92,408 | ||||||
Hartford Financial Services Group, Inc. | 3,612 | 249,372 | ||||||
Lincoln National Corp. | 1,803 | 123,073 | ||||||
Loews Corp. | 2,127 | 122,856 | ||||||
Marsh & McLennan Cos., Inc. | 5,359 | 931,501 | ||||||
MetLife, Inc. | 7,589 | 474,237 | ||||||
Principal Financial Group, Inc. | 2,616 | 189,215 | ||||||
Progressive Corp. | 6,210 | 637,456 | ||||||
Prudential Financial, Inc. | 4,012 | 434,259 | ||||||
Travelers Cos., Inc. | 2,611 | 408,439 | ||||||
W.R. Berkley Corp. | 1,481 | 122,020 | ||||||
Willis Towers Watson PLC | 1,323 | 314,199 | ||||||
|
| |||||||
7,860,246 | ||||||||
|
| |||||||
Interactive Media & Services - 6.0% | ||||||||
Alphabet, Inc., Class A (A) | 3,193 | 9,250,249 | ||||||
Alphabet, Inc., Class C (A) | 2,968 | 8,588,175 | ||||||
Match Group, Inc. (A) | 3,005 | 397,411 | ||||||
Meta Platforms, Inc., Class A (A) | 25,115 | 8,447,430 | ||||||
Twitter, Inc. (A) | 8,487 | 366,808 | ||||||
|
| |||||||
27,050,073 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 3.6% | ||||||||
Amazon.com, Inc. (A) | 4,629 | 15,434,660 | ||||||
eBay, Inc. | 6,644 | 441,826 | ||||||
Etsy, Inc. (A) | 1,346 | 294,693 | ||||||
|
| |||||||
16,171,179 | ||||||||
|
|
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
IT Services - 4.3% | ||||||||
Accenture PLC, Class A | 6,704 | $ 2,779,143 | ||||||
Akamai Technologies, Inc. (A) | 1,724 | 201,777 | ||||||
Automatic Data Processing, Inc. | 4,472 | 1,102,706 | ||||||
Broadridge Financial Solutions, Inc. | 1,237 | 226,148 | ||||||
Cognizant Technology Solutions Corp., Class A | 5,575 | 494,614 | ||||||
DXC Technology Co. (A) | 2,677 | 86,173 | ||||||
EPAM Systems, Inc. (A) | 602 | 402,407 | ||||||
Fidelity National Information Services, Inc. | 6,463 | 705,437 | ||||||
Fiserv, Inc. (A) | 6,307 | 654,604 | ||||||
FleetCor Technologies, Inc. (A) | 862 | 192,950 | ||||||
Gartner, Inc. (A) | 873 | 291,861 | ||||||
Global Payments, Inc. | 3,080 | 416,354 | ||||||
International Business Machines Corp. | 9,518 | 1,272,176 | ||||||
Jack Henry & Associates, Inc. | 786 | 131,254 | ||||||
Mastercard, Inc., Class A | 9,207 | 3,308,259 | ||||||
Paychex, Inc. | 3,406 | 464,919 | ||||||
PayPal Holdings, Inc. (A) | 12,470 | 2,351,593 | ||||||
VeriSign, Inc. (A) | 1,026 | 260,419 | ||||||
Visa, Inc., Class A | 17,799 | 3,857,221 | ||||||
|
| |||||||
19,200,015 | ||||||||
|
| |||||||
Leisure Products - 0.0% (C) | ||||||||
Hasbro, Inc. | 1,376 | 140,049 | ||||||
|
| |||||||
Life Sciences Tools & Services - 1.9% | ||||||||
Agilent Technologies, Inc. | 3,213 | 512,955 | ||||||
Bio-Rad Laboratories, Inc., Class A (A) | 229 | 173,026 | ||||||
Bio-Techne Corp. | 417 | 215,731 | ||||||
Charles River Laboratories International, Inc. (A) | 536 | 201,954 | ||||||
Danaher Corp. | 6,750 | 2,220,817 | ||||||
Illumina, Inc. (A) | 1,659 | 631,150 | ||||||
IQVIA Holdings, Inc. (A) | 2,028 | 572,180 | ||||||
Mettler-Toledo International, Inc. (A) | 244 | 414,119 | ||||||
PerkinElmer, Inc. | 1,339 | 269,219 | ||||||
Thermo Fisher Scientific, Inc. | 4,182 | 2,790,398 | ||||||
Waters Corp. (A) | 648 | 241,445 | ||||||
West Pharmaceutical Services, Inc. | 786 | 368,642 | ||||||
|
| |||||||
8,611,636 | ||||||||
|
| |||||||
Machinery - 1.4% | ||||||||
Caterpillar, Inc. | 5,741 | 1,186,894 | ||||||
Cummins, Inc. | 1,518 | 331,136 | ||||||
Deere & Co. | 2,995 | 1,026,955 | ||||||
Dover Corp. | 1,528 | 277,485 | ||||||
Fortive Corp. | 3,806 | 290,360 | ||||||
IDEX Corp. | 807 | 190,710 | ||||||
Illinois Tool Works, Inc. | 3,032 | 748,298 | ||||||
Ingersoll Rand, Inc. | 4,326 | 267,650 | ||||||
Otis Worldwide Corp. | 4,508 | 392,511 | ||||||
PACCAR, Inc. | 3,685 | 325,238 | ||||||
Parker-Hannifin Corp. | 1,370 | 435,824 | ||||||
Pentair PLC | 1,756 | 128,241 | ||||||
Snap-on, Inc. | 570 | 122,767 | ||||||
Stanley Black & Decker, Inc. | 1,730 | 326,313 | ||||||
Westinghouse Air Brake Technologies Corp. | 1,983 | 182,654 | ||||||
Xylem, Inc. | 1,914 | 229,527 | ||||||
|
| |||||||
6,462,563 | ||||||||
|
| |||||||
Media - 1.0% | ||||||||
Charter Communications, Inc., Class A (A) | 1,313 | 856,037 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 18
DeltaShares® S&P 500 Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Media (continued) | ||||||||
Comcast Corp., Class A | 48,392 | $ 2,435,569 | ||||||
Discovery, Inc., Class A (A) | 1,796 | 42,278 | ||||||
Discovery, Inc., Class C (A) | 3,224 | 73,830 | ||||||
DISH Network Corp., Class A (A) | 2,650 | 85,966 | ||||||
Fox Corp., Class A | 3,400 | 125,460 | ||||||
Fox Corp., Class B | 1,561 | 53,495 | ||||||
Interpublic Group of Cos., Inc. | 4,179 | 156,504 | ||||||
News Corp., Class A | 4,172 | 93,077 | ||||||
News Corp., Class B | 1,292 | 29,070 | ||||||
Omnicom Group, Inc. | 2,256 | 165,297 | ||||||
ViacomCBS, Inc., Class B | 6,439 | 194,329 | ||||||
|
| |||||||
4,310,912 | ||||||||
|
| |||||||
Metals & Mining - 0.3% | ||||||||
Freeport-McMoRan, Inc. | 15,586 | 650,404 | ||||||
Newmont Corp. | 8,464 | 524,937 | ||||||
Nucor Corp. | 3,033 | 346,217 | ||||||
|
| |||||||
1,521,558 | ||||||||
|
| |||||||
Multi-Utilities - 0.7% | ||||||||
Ameren Corp. | 2,734 | 243,353 | ||||||
CenterPoint Energy, Inc. | 6,675 | 186,299 | ||||||
CMS Energy Corp. | 3,075 | 200,029 | ||||||
Consolidated Edison, Inc. | 3,755 | 320,377 | ||||||
Dominion Energy, Inc. | 8,596 | 675,302 | ||||||
DTE Energy Co. | 2,056 | 245,774 | ||||||
NiSource, Inc. | 4,168 | 115,079 | ||||||
Public Service Enterprise Group, Inc. | 5,367 | 358,140 | ||||||
Sempra Energy | 3,389 | 448,297 | ||||||
WEC Energy Group, Inc. | 3,348 | 324,990 | ||||||
|
| |||||||
3,117,640 | ||||||||
|
| |||||||
Multiline Retail - 0.5% | ||||||||
Dollar General Corp. | 2,476 | 583,915 | ||||||
Dollar Tree, Inc. (A) | 2,387 | 335,422 | ||||||
Target Corp. | 5,180 | 1,198,859 | ||||||
|
| |||||||
2,118,196 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels - 2.3% | ||||||||
APA Corp. | 3,856 | 103,688 | ||||||
Chevron Corp. | 20,460 | 2,400,981 | ||||||
ConocoPhillips | 13,999 | 1,010,448 | ||||||
Coterra Energy, Inc. | 8,635 | 164,065 | ||||||
Devon Energy Corp. | 6,682 | 294,342 | ||||||
Diamondback Energy, Inc. | 1,808 | 194,993 | ||||||
EOG Resources, Inc. | 6,210 | 551,634 | ||||||
Exxon Mobil Corp. | 44,933 | 2,749,450 | ||||||
Hess Corp. | 2,926 | 216,612 | ||||||
Kinder Morgan, Inc. | 20,696 | 328,239 | ||||||
Marathon Oil Corp. | 8,263 | 135,678 | ||||||
Marathon Petroleum Corp. | 6,534 | 418,111 | ||||||
Occidental Petroleum Corp. | 9,417 | 272,999 | ||||||
ONEOK, Inc. | 4,733 | 278,111 | ||||||
Phillips 66 | 4,651 | 337,011 | ||||||
Pioneer Natural Resources Co. | 2,410 | 438,331 | ||||||
Valero Energy Corp. | 4,339 | 325,902 | ||||||
Williams Cos., Inc. | 12,896 | 335,812 | ||||||
|
| |||||||
10,556,407 | ||||||||
|
| |||||||
Personal Products - 0.2% | ||||||||
Estee Lauder Cos., Inc., Class A | 2,459 | 910,322 | ||||||
|
|
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Pharmaceuticals - 3.5% | ||||||||
Bristol-Myers Squibb Co. | 23,558 | $ 1,468,841 | ||||||
Catalent, Inc. (A) | 1,817 | 232,630 | ||||||
Eli Lilly & Co. | 8,427 | 2,327,706 | ||||||
Johnson & Johnson | 27,941 | 4,779,867 | ||||||
Merck & Co., Inc. | 26,809 | 2,054,642 | ||||||
Organon & Co. | 2,691 | 81,941 | ||||||
Pfizer, Inc. | 59,572 | 3,517,727 | ||||||
Viatris, Inc. | 12,836 | 173,671 | ||||||
Zoetis, Inc. | 5,022 | 1,225,519 | ||||||
|
| |||||||
15,862,544 | ||||||||
|
| |||||||
Professional Services - 0.4% | ||||||||
Equifax, Inc. | 1,295 | 379,163 | ||||||
IHS Markit Ltd. | 4,233 | 562,651 | ||||||
Jacobs Engineering Group, Inc. | 1,383 | 192,555 | ||||||
Leidos Holdings, Inc. | 1,489 | 132,372 | ||||||
Nielsen Holdings PLC | 3,808 | 78,102 | ||||||
Robert Half International, Inc. | 1,182 | 131,817 | ||||||
Verisk Analytics, Inc. | 1,710 | 391,128 | ||||||
|
| |||||||
1,867,788 | ||||||||
|
| |||||||
Real Estate Management & Development - 0.1% | ||||||||
CBRE Group, Inc., Class A (A) | 3,552 | 385,428 | ||||||
|
| |||||||
Road & Rail - 0.9% | ||||||||
CSX Corp. | 23,541 | 885,142 | ||||||
JB Hunt Transport Services, Inc. | 892 | 182,325 | ||||||
Norfolk Southern Corp. | 2,583 | 768,985 | ||||||
Old Dominion Freight Line, Inc. | 989 | 354,438 | ||||||
Union Pacific Corp. | 6,823 | 1,718,918 | ||||||
|
| |||||||
3,909,808 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment - 6.0% | ||||||||
Advanced Micro Devices, Inc. (A) | 12,817 | 1,844,366 | ||||||
Analog Devices, Inc. | 5,704 | 1,002,592 | ||||||
Applied Materials, Inc. | 9,583 | 1,507,981 | ||||||
Broadcom, Inc. | 4,369 | 2,907,176 | ||||||
Enphase Energy, Inc. (A) | 1,432 | 261,970 | ||||||
Intel Corp. | 43,165 | 2,222,998 | ||||||
KLA Corp. | 1,609 | 692,047 | ||||||
Lam Research Corp. | 1,494 | 1,074,410 | ||||||
Microchip Technology, Inc. | 5,889 | 512,696 | ||||||
Micron Technology, Inc. | 11,873 | 1,105,970 | ||||||
Monolithic Power Systems, Inc. | 460 | 226,932 | ||||||
NVIDIA Corp. | 26,534 | 7,803,915 | ||||||
NXP Semiconductors NV | 2,822 | 642,795 | ||||||
Qorvo, Inc. (A) | 1,170 | 182,976 | ||||||
QUALCOMM, Inc. | 11,887 | 2,173,776 | ||||||
Skyworks Solutions, Inc. | 1,753 | 271,960 | ||||||
SolarEdge Technologies, Inc. (A) | 557 | 156,278 | ||||||
Teradyne, Inc. | 1,730 | 282,907 | ||||||
Texas Instruments, Inc. | 9,802 | 1,847,383 | ||||||
Xilinx, Inc. | 2,631 | 557,851 | ||||||
|
| |||||||
27,278,979 | ||||||||
|
| |||||||
Software - 9.0% | ||||||||
Adobe, Inc. (A) | 5,050 | 2,863,653 | ||||||
ANSYS, Inc. (A) | 926 | 371,437 | ||||||
Autodesk, Inc. (A) | 2,333 | 656,016 | ||||||
Cadence Design Systems, Inc. (A) | 2,941 | 548,055 | ||||||
Ceridian HCM Holding, Inc. (A) | 1,446 | 151,049 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 19
DeltaShares® S&P 500 Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Software (continued) | ||||||||
Citrix Systems, Inc. | 1,324 | $ 125,237 | ||||||
Fortinet, Inc. (A) | 1,440 | 517,536 | ||||||
Intuit, Inc. | 3,005 | 1,932,876 | ||||||
Microsoft Corp. | 79,686 | 26,799,996 | ||||||
NortonLifeLock, Inc. | 6,174 | 160,401 | ||||||
Oracle Corp. | 17,118 | 1,492,861 | ||||||
Paycom Software, Inc. (A) | 511 | 212,162 | ||||||
PTC, Inc. (A) | 1,121 | 135,809 | ||||||
salesforce.com, Inc. (A) | 10,391 | 2,640,665 | ||||||
ServiceNow, Inc. (A) | 2,112 | 1,370,920 | ||||||
Synopsys, Inc. (A) | 1,619 | 596,602 | ||||||
Tyler Technologies, Inc. (A) | 435 | 234,008 | ||||||
|
| |||||||
40,809,283 | ||||||||
|
| |||||||
Specialty Retail - 2.3% | ||||||||
Advance Auto Parts, Inc. | 669 | 160,480 | ||||||
AutoZone, Inc. (A) | 223 | 467,495 | ||||||
Bath & Body Works, Inc. | 2,806 | 195,831 | ||||||
Best Buy Co., Inc. | 2,349 | 238,658 | ||||||
CarMax, Inc. (A) | 1,721 | 224,126 | ||||||
Gap, Inc. | 2,275 | 40,154 | ||||||
Home Depot, Inc. | 11,201 | 4,648,527 | ||||||
Lowe’s Cos., Inc. | 7,349 | 1,899,570 | ||||||
O’Reilly Automotive, Inc. (A) | 715 | 504,954 | ||||||
Ross Stores, Inc. | 3,772 | 431,064 | ||||||
TJX Cos., Inc. | 12,763 | 968,967 | ||||||
Tractor Supply Co. | 1,208 | 288,229 | ||||||
Ulta Beauty, Inc. (A) | 577 | 237,920 | ||||||
|
| |||||||
10,305,975 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 6.8% | ||||||||
Apple, Inc. | 165,424 | 29,374,340 | ||||||
Hewlett Packard Enterprise Co. | 13,883 | 218,935 | ||||||
HP, Inc. | 12,232 | 460,779 | ||||||
NetApp, Inc. | 2,373 | 218,292 | ||||||
Seagate Technology Holdings PLC | 2,174 | 245,619 | ||||||
Western Digital Corp. (A) | 3,307 | 215,649 | ||||||
|
| |||||||
30,733,614 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods - 0.6% | ||||||||
NIKE, Inc., Class B | 13,562 | 2,260,379 | ||||||
PVH Corp. | 754 | 80,414 | ||||||
Ralph Lauren Corp. | 517 | 61,451 | ||||||
Tapestry, Inc. | 2,920 | 118,552 | ||||||
Under Armour, Inc., Class A (A) | 2,002 | 42,422 | ||||||
Under Armour, Inc., Class C (A) | 2,283 | 41,185 | ||||||
VF Corp. | 3,460 | 253,341 | ||||||
|
| |||||||
2,857,744 | ||||||||
|
|
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Tobacco - 0.6% | ||||||||
Altria Group, Inc. | 19,497 | $ 923,963 | ||||||
Philip Morris International, Inc. | 16,523 | 1,569,685 | ||||||
|
| |||||||
2,493,648 | ||||||||
|
| |||||||
Trading Companies & Distributors - 0.2% | ||||||||
Fastenal Co. | 6,105 | 391,086 | ||||||
United Rentals, Inc. (A) | 768 | 255,199 | ||||||
WW Grainger, Inc. | 459 | 237,872 | ||||||
|
| |||||||
884,157 | ||||||||
|
| |||||||
Water Utilities - 0.1% | ||||||||
American Water Works Co., Inc. | 1,927 | 363,933 | ||||||
|
| |||||||
Wireless Telecommunication Services - 0.2% | ||||||||
T-Mobile US, Inc. (A) | 6,231 | 722,671 | ||||||
|
| |||||||
Total Common Stocks | 428,332,597 | |||||||
|
| |||||||
Principal | Value | |||||||
U.S. GOVERNMENT OBLIGATION - 5.1% | ||||||||
U.S. Treasury - 5.1% | ||||||||
U.S. Treasury Note | $ 22,964,000 | 22,958,672 | ||||||
|
| |||||||
Total U.S. Government Obligation |
| 22,958,672 | ||||||
|
| |||||||
Shares | Value | |||||||
SHORT-TERM INVESTMENT COMPANY - 0.2% | ||||||||
Money Market Fund - 0.2% | ||||||||
State Street Institutional Treasury Money Market Fund, 0.01% (D) | 856,088 | 856,088 | ||||||
|
| |||||||
Total Short-Term Investment Company |
| 856,088 | ||||||
|
| |||||||
OTHER INVESTMENT COMPANY - 0.0% (C) | ||||||||
Securities Lending Collateral - 0.0% (C) | ||||||||
State Street Navigator Securities Lending Trust - Government Money Market Portfolio, 0.03% (D) | 127,132 | 127,132 | ||||||
|
| |||||||
Total Other Investment Company |
| 127,132 | ||||||
|
| |||||||
Total Investments |
| 452,274,489 | ||||||
Net Other Assets (Liabilities) - 0.0% (C) |
| 216,624 | ||||||
|
| |||||||
Net Assets - 100.0% |
| $ 452,491,113 | ||||||
|
|
FUTURES CONTRACTS:
Long Futures Contracts | ||||||||||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
S&P 500® E-Mini Index | 5 | 03/18/2022 | $ | 1,164,907 | $ | 1,189,625 | $ | 24,718 | $ | — |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 20
DeltaShares® S&P 500 Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
INVESTMENT VALUATION:
Valuation Inputs (E)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Value | |||||||||||||
ASSETS |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks | $ | 428,332,597 | $ | — | $ | — | $ | 428,332,597 | ||||||||
U.S. Government Obligation | — | 22,958,672 | — | 22,958,672 | ||||||||||||
Short-Term Investment Company | 856,088 | — | — | 856,088 | ||||||||||||
Other Investment Company | 127,132 | — | — | 127,132 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 429,315,817 | $ | 22,958,672 | $ | — | $ | 452,274,489 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments |
| |||||||||||||||
Futures Contracts (F) | $ | 24,718 | $ | — | $ | — | $ | 24,718 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 24,718 | $ | — | $ | — | $ | 24,718 | ||||||||
|
|
|
|
|
|
|
|
FOOTNOTES TO SCHEDULE OF INVESTMENTS:
(A) | Non-income producing securities. | |
(B) | All or a portion of the securities are on loan. The total value of all securities on loan is $386,845, collateralized by cash collateral of $127,132 and non-cash collateral, such as U.S. government securities and irrevocable letters of credit, of $270,836. The amount of securities on loan indicated may not correspond with the securities on loan identified because securities with pending sales are in the process of recall from the brokers. | |
(C) | Percentage rounds to less than 0.1% or (0.1)%. | |
(D) | Rates disclosed reflect the yields at December 31, 2021. | |
(E) | There were no transfers in or out of Level 3 during the year ended December 31, 2021. Please reference the Investment Valuation section of the Notes to Financial Statements for more information regarding investment valuation and pricing inputs. | |
(F) | Derivative instruments are valued at unrealized appreciation (depreciation). |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 21
DeltaShares® S&P 600 Managed Risk ETF
(unaudited)
MARKET ENVIRONMENT
2021 was a strong year for global developed markets and a stellar one for U.S. stocks, bolstered by robust corporate earnings, strong economic activity, and historic fiscal and monetary stimuli. The rebound off the 2020 pandemic lows continued in 2021 despite headwinds from COVID-19 variants and supply chain disruptions (both hammering emerging markets), as well as increasing inflation and the need for accelerated Central Bank tapering (which especially affected domestic growth stocks). On a total return basis, the S&P 500® Index led the pack with a gain of 28.71% and reached new record highs 70 times in 2021. Moreover, it has now finished higher in 12 of the last 13 years and has doubled in value over the last three. The MSCI EAFE Index also performed well in 2021, closing the year with a gain of 11.78%, while the MSCI Emerging Markets Index proved to be more sensitive to the inflationary and supply chain pressures. Coupled with China’s economic slowdown, the Index had its weakest return since 2018, at -2.22%. Fixed income investments were also negatively impacted by the environment, with the Bloomberg US Aggregate Bond Index realizing a loss of 1.54% for the year.
The first quarter of 2021 saw a couple of whipsaw events as investors shifted focus from optimism (due to increasing anticipated fiscal stimulus) to the reality of looming inflation concerns, rising yields, and potential vaccine deployment delays. This uncertainty caused elevated volatility repeatedly through the quarter. However, equities rallied starting at the end of March 2021 and through the summer, as investors deemed these economic pressures largely transitory. The equity rally retreated in September (due to the same familiar concerns – supply chains, labor shortages, and persisting inflation), leaving most equity indices with net losses for the third quarter.
Nonetheless, investor sentiment recovered as markets hiked to new highs through most of November 2021. Starting after the Thanksgiving holiday however, the confluence of the new COVID-19 Omicron variant and the needed hawkish pivot from the Federal Reserve resulted in heightened volatility that continued into the third week of December. Equities rebounded to end the year with strong December returns, as data suggested Omicron was a less severe strain of COVID-19, and yearly rebalancing activity buoyed stocks.
PERFORMANCE OVERVIEW
For the year ended December 31, 2021, DeltaShares® S&P 600 Managed Risk ETF (NAV) returned 12.87%. By comparison, the S&P 600® Managed Risk 2.0 Index (the “Underlying Index”) returned 13.42% and the S&P SmallCap 600® Index returned 26.82%.
The Fund’s performance reflects annual operating expenses of the Fund, including management fees, brokerage expenses, and other fees and expenses. Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
STRATEGY REVIEW
The DeltaShares® S&P 600 Managed Risk ETF (the “Fund”) seeks to track the investment results, before fees and expenses, of the S&P 600® Managed Risk 2.0 Index (the “Underlying Index”).
The Fund seeks to achieve this investment objective by holding a portfolio of securities that are included in the Underlying Index, including common stocks and/or U.S. Treasury bill and bonds. 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 Index’s equity exposure due to severe sustained market declines. The Underlying Index seeks to achieve these objectives by allocating weightings among the S&P SmallCap 600® Index, the S&P U.S. Treasury Bond Current 5-Year Index, and the S&P U.S. Treasury Bill 0-3 Month Index. Under normal circumstances, the Fund uses a replication strategy and generally expects to invest in substantially all the securities in the Underlying Index in approximately the same proportions as the Underlying Index. The Fund may also use derivatives for a variety of purposes, such as to gain exposure to underlying securities and markets in a more efficient manner, to optimize the execution processes and costs for portfolio transitions, or for tax management purposes.
The Fund entered 2021 with a 52% allocation to equities, reached a high equity allocation of 82%, and ended the year at 60%. The Fund’s risk management strategy resulted in an average equity allocation to the S&P SmallCap 600® Index of 66% and the Fund returned 12.87% in 2021.
During 2021, the largest contributors to the Fund’s absolute total return were equities within the consumer discretionary, financials, and industrials sectors.
During the year, the fund utilized derivatives. These positions added to performance.
Charles Lowery, CFA
Louis Ng
Emma Westwick
Co-Portfolio Managers
Milliman Financial Risk Management LLC
Transamerica ETF Trust | Annual Report 2021 |
Page 22
DeltaShares® S&P 600 Managed Risk ETF
(unaudited)
Asset Allocation | Percentage of Net Assets | |||
Common Stocks | 59.9 | % | ||
U.S. Government Obligation | 39.7 | |||
Other Investment Company | 0.5 | |||
Short-Term Investment Company | 0.4 | |||
Net Other Assets (Liabilities) ^ | (0.5 | ) | ||
Total | 100.0 | % | ||
|
|
Current and future portfolio holdings are subject to change and risk.
^ | The Net Other Assets (Liabilities) category may include, but is not limited to, reverse repurchase agreements, forward foreign currency contracts, futures contracts, swap agreements, written options and swaptions, and cash collateral. |
Transamerica ETF Trust | Annual Report 2021 |
Page 23
DeltaShares® S&P 600 Managed Risk ETF
(unaudited)
Performance as of December 31, 2021 | ||||||||||||||||||||||||||||
Average Annual Total Returns | Cumulative Total Returns | Inception Date | ||||||||||||||||||||||||||
1 Year | 10 Year or Since Inception | 1 Year | 10 Year or Since Inception | |||||||||||||||||||||||||
Fund NAV | 12.87 | % | 4.57 | % | 12.87 | % | 21.85 | % | 07/31/2017 | |||||||||||||||||||
Fund Market | 12.46 | % | 4.43 | % | 12.46 | % | 21.13 | % | 07/31/2017 | |||||||||||||||||||
S&P SmallCap 600® Index (A) | 26.82 | % | 13.16 | % | 26.82 | % | 72.75 | % | ||||||||||||||||||||
S&P 600® Managed Risk 2.0 Index (A)(B)(C)(D) | 13.42 | % | 5.09 | % | 13.42 | % | 24.52 | % |
(A) The S&P SmallCap 600® Index is a market-capitalization weighted index of 600 small-size U.S. companies with common stock listed on the NYSE or NASDAQ.
(B) The S&P 600® Managed Risk 2.0 Index is comprised of weightings amongst the S&P SmallCap 600® 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 S&P SmallCap 600® Managed Risk 2.0 Index rebalances on a daily basis.
(C) The S&P U.S. Treasury Bond Current 5-Year Index is a one-security index comprising the most recently issued 5-year U.S. Treasury note or bond.
(D) The S&P U.S. Treasury Bill 0-3 Month Index is designed to measure the performance of U.S. Treasury bills maturing in 0 to 3 months.
The Fund’s benchmarks are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or the Since Inception calculation is based on the previous 10 years or since the inception date, whichever is more recent. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, a Fund’s performance is negatively impacted by these deductions. You cannot invest directly in an index.
The performance data presented represents past performance and does not guarantee future results. Performance data does not reflect the deduction of taxes that would be paid on Fund distributions or the redemption of Fund shares. The Fund’s investment return and net asset value will fluctuate. Investors’ shares when sold may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please see www.deltashares.com for performance data current to the most recent month end. Fund performance is net of investment fees and Fund expenses.
Performance results do not include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles and may differ from amounts reported in the Financial Highlights.
Fund shares are bought and sold at Market Price, not Net Asset Value (“NAV”), and are not individually redeemed from the Fund. Net Asset Value is an exchange-traded fund’s per-share value. The per-share dollar amount of the Fund is derived by dividing the total value of all the securities in the portfolio, less any liabilities, by the number of Fund shares outstanding. Market Price is the price at which a share can currently be traded in the market. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated.
Exchange-Traded Funds (ETFs) are subject to market risk, including the loss of principal. Because Fund Shares trade at market prices rather than at NAV, Fund Shares may trade at a price greater than NAV (premium) or less than NAV (discount). Shares of DeltaShares® ETFs may be bought and sold throughout the day on the exchange through any brokerage account. Buying and selling shares of ETFs will result in brokerage commissions. Diversification and asset allocation may not protect against market risk or loss of principal. Investing involves risk, including the possible loss of principal. There is no guarantee the investment objective will be achieved. Small capitalization companies may be more at risk than larger capitalization companies because, among other things, they may have limited product lines, operating history, market or financial resources, or because they may depend on limited management groups. The market prices of fixed-income securities may go up or down, sometimes rapidly and unpredictably, due to general market conditions, such as real or perceived adverse economic or political conditions, inflation, changes in interest rates, lack of liquidity in the bond markets or adverse investor sentiment. The principal risks include risks related to: Equity securities, index tracking, leveraging, derivatives such as futures, forwards, swaps, options, and investing in underlying exchange-traded funds. The use of derivatives may produce disproportionate gains or losses, may increase costs, and amplify risks.
Transamerica ETF Trust | Annual Report 2021 |
Page 24
DeltaShares® S&P 600 Managed Risk ETF
SCHEDULE OF INVESTMENTS
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS - 59.9% | ||||||||
Aerospace & Defense - 0.7% | ||||||||
AAR Corp. (A) | 802 | $31,302 | ||||||
Aerojet Rocketdyne Holdings, Inc. | 1,801 | 84,215 | ||||||
AeroVironment, Inc. (A) | 554 | 34,365 | ||||||
Kaman Corp. | 670 | 28,910 | ||||||
Moog, Inc., Class A | 703 | 56,922 | ||||||
National Presto Industries, Inc. | 121 | 9,926 | ||||||
Park Aerospace Corp. | 468 | 6,177 | ||||||
Triumph Group, Inc. (A) | 1,554 | 28,796 | ||||||
|
| |||||||
280,613 | ||||||||
|
| |||||||
Air Freight & Logistics - 0.5% | ||||||||
Atlas Air Worldwide Holdings, Inc. (A) | 649 | 61,084 | ||||||
Forward Air Corp. | 648 | 78,466 | ||||||
Hub Group, Inc., Class A (A) | 817 | 68,824 | ||||||
|
| |||||||
208,374 | ||||||||
|
| |||||||
Airlines - 0.3% | ||||||||
Allegiant Travel Co. (A) | 365 | 68,270 | ||||||
Hawaiian Holdings, Inc. (A) | 1,231 | 22,613 | ||||||
SkyWest, Inc. (A) | 1,213 | 47,671 | ||||||
|
| |||||||
138,554 | ||||||||
|
| |||||||
Auto Components - 0.8% | ||||||||
American Axle & Manufacturing Holdings, Inc. (A) | 2,744 | 25,602 | ||||||
Cooper-Standard Holdings, Inc. (A) | 408 | 9,143 | ||||||
Dorman Products, Inc. (A) | 685 | 77,412 | ||||||
Gentherm, Inc. (A) | 799 | 69,433 | ||||||
LCI Industries | 608 | 94,769 | ||||||
Motorcar Parts of America, Inc. (A) | 462 | 7,886 | ||||||
Patrick Industries, Inc. | 541 | 43,653 | ||||||
Standard Motor Products, Inc. | 461 | 24,152 | ||||||
|
| |||||||
352,050 | ||||||||
|
| |||||||
Automobiles - 0.1% | ||||||||
Winnebago Industries, Inc. | 805 | 60,311 | ||||||
|
| |||||||
Banks - 6.2% | ||||||||
Allegiance Bancshares, Inc. | 453 | 19,121 | ||||||
Ameris Bancorp | 1,590 | 78,991 | ||||||
Banc of California, Inc. | 1,300 | 25,506 | ||||||
BancFirst Corp. | 455 | 32,105 | ||||||
Bancorp, Inc. (A) | 1,370 | 34,675 | ||||||
BankUnited, Inc. | 2,143 | 90,670 | ||||||
Banner Corp. | 824 | 49,992 | ||||||
Berkshire Hills Bancorp, Inc. | 1,170 | 33,263 | ||||||
Brookline Bancorp, Inc. | 1,868 | 30,243 | ||||||
Central Pacific Financial Corp. | 673 | 18,958 | ||||||
City Holding Co. | 363 | 29,690 | ||||||
Columbia Banking System, Inc. | 1,870 | 61,186 | ||||||
Community Bank System, Inc. | 1,296 | 96,526 | ||||||
Customers Bancorp, Inc. (A) | 717 | 46,870 | ||||||
CVB Financial Corp. | 3,063 | 65,579 | ||||||
Dime Community Bancshares, Inc. | 797 | 28,023 | ||||||
Eagle Bancorp, Inc. | 769 | 44,863 | ||||||
FB Financial Corp. | 860 | 37,685 | ||||||
First Bancorp | 5,777 | 106,149 | ||||||
First Commonwealth Financial Corp. | 2,283 | 36,734 | ||||||
First Financial Bancorp | 2,254 | 54,953 | ||||||
First Hawaiian, Inc. | 3,098 | 84,668 | ||||||
First Midwest Bancorp, Inc. | 2,746 | 56,238 | ||||||
Great Western Bancorp, Inc. | 1,326 | 45,031 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Banks (continued) | ||||||||
Hanmi Financial Corp. | 731 | $ 17,310 | ||||||
Heritage Financial Corp. | 847 | 20,701 | ||||||
Hilltop Holdings, Inc. | 1,462 | 51,375 | ||||||
HomeStreet, Inc. | 491 | 25,532 | ||||||
Hope Bancorp, Inc. | 2,891 | 42,527 | ||||||
Independent Bank Corp. | 1,144 | 93,270 | ||||||
Independent Bank Group, Inc. | 888 | 64,069 | ||||||
Investors Bancorp, Inc. | 5,421 | 82,128 | ||||||
Lakeland Financial Corp. | 609 | 48,805 | ||||||
Meta Financial Group, Inc. | 762 | 45,461 | ||||||
National Bank Holdings Corp., Class A | 728 | 31,988 | ||||||
NBT Bancorp, Inc. | 1,043 | 40,176 | ||||||
OFG Bancorp | 1,199 | 31,845 | ||||||
Old National Bancorp | 3,988 | 72,263 | ||||||
Pacific Premier Bancorp, Inc. | 2,269 | 90,828 | ||||||
Park National Corp. | 347 | 47,647 | ||||||
Preferred Bank | 331 | 23,763 | ||||||
Renasant Corp. | 1,341 | 50,891 | ||||||
S&T Bancorp, Inc. | 946 | 29,818 | ||||||
Seacoast Banking Corp. of Florida | 1,403 | 49,652 | ||||||
ServisFirst Bancshares, Inc. | 1,173 | 99,635 | ||||||
Simmons First National Corp., Class A | 2,763 | 81,730 | ||||||
Southside Bancshares, Inc. | 775 | 32,411 | ||||||
Tompkins Financial Corp. | 285 | 23,820 | ||||||
Triumph Bancorp, Inc. (A) | 567 | 67,518 | ||||||
Trustmark Corp. | 1,503 | 48,787 | ||||||
United Community Banks, Inc. | 2,513 | 90,317 | ||||||
Veritex Holdings, Inc. | 1,186 | 47,179 | ||||||
Westamerica Bancorp | 646 | 37,294 | ||||||
|
| |||||||
2,696,459 | ||||||||
|
| |||||||
Beverages - 0.4% | ||||||||
Celsius Holdings, Inc. (A) | 919 | 68,530 | ||||||
Coca-Cola Consolidated, Inc. | 111 | 68,730 | ||||||
MGP Ingredients, Inc. | 301 | 25,582 | ||||||
National Beverage Corp. | 560 | 25,385 | ||||||
|
| |||||||
188,227 | ||||||||
|
| |||||||
Biotechnology - 1.3% | ||||||||
Anika Therapeutics, Inc. (A) | 347 | 12,433 | ||||||
Avid Bioservices, Inc. (A) | 1,475 | 43,040 | ||||||
Coherus Biosciences, Inc. (A) (B) | 1,532 | 24,451 | ||||||
Cytokinetics, Inc. (A) | 2,018 | 91,980 | ||||||
Eagle Pharmaceuticals, Inc. (A) | 273 | 13,901 | ||||||
Emergent BioSolutions, Inc. (A) | 1,151 | 50,034 | ||||||
Enanta Pharmaceuticals, Inc. (A) | 432 | 32,305 | ||||||
Ligand Pharmaceuticals, Inc. (A) | 403 | 62,247 | ||||||
Myriad Genetics, Inc. (A) | 1,921 | 53,019 | ||||||
Organogenesis Holdings, Inc. (A) (B) | 1,515 | 13,999 | ||||||
REGENXBIO, Inc. (A) | 906 | 29,626 | ||||||
Spectrum Pharmaceuticals, Inc. (A) | 3,944 | 5,009 | ||||||
uniQure NV (A) | 866 | 17,961 | ||||||
Vanda Pharmaceuticals, Inc. (A) | 1,340 | 21,025 | ||||||
Vericel Corp. (A) (B) | 1,126 | 44,252 | ||||||
Xencor, Inc. (A) | 1,407 | 56,449 | ||||||
|
| |||||||
571,731 | ||||||||
|
| |||||||
Building Products - 1.2% | ||||||||
AAON, Inc. | 995 | 79,033 | ||||||
American Woodmark Corp. (A) | 399 | 26,015 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 25
DeltaShares® S&P 600 Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Building Products (continued) | ||||||||
Apogee Enterprises, Inc. | 610 | $ 29,371 | ||||||
Gibraltar Industries, Inc. (A) | 785 | 52,344 | ||||||
Griffon Corp. | 1,144 | 32,581 | ||||||
Insteel Industries, Inc. | 467 | 18,591 | ||||||
PGT Innovations, Inc. (A) | 1,435 | 32,273 | ||||||
Quanex Building Products Corp. | 806 | 19,973 | ||||||
Resideo Technologies, Inc. (A) | 3,473 | 90,402 | ||||||
UFP Industries, Inc. | 1,489 | 137,003 | ||||||
|
| |||||||
517,586 | ||||||||
|
| |||||||
Capital Markets - 0.6% | ||||||||
B Riley Financial, Inc. | 385 | 34,211 | ||||||
Blucora, Inc. (A) | 1,171 | 20,282 | ||||||
Brightsphere Investment Group, Inc. | 862 | 22,067 | ||||||
Donnelley Financial Solutions, Inc. (A) | 700 | 32,998 | ||||||
Greenhill & Co., Inc. | 333 | 5,971 | ||||||
Piper Sandler Cos. | 339 | 60,515 | ||||||
StoneX Group, Inc. (A) | 406 | 24,868 | ||||||
Virtus Investment Partners, Inc. | 172 | 51,101 | ||||||
WisdomTree Investments, Inc. | 2,619 | 16,028 | ||||||
|
| |||||||
268,041 | ||||||||
|
| |||||||
Chemicals - 1.8% | ||||||||
AdvanSix, Inc. | 677 | 31,988 | ||||||
American Vanguard Corp. | 647 | 10,604 | ||||||
Balchem Corp. | 778 | 131,171 | ||||||
Ferro Corp. (A) | 1,990 | 43,442 | ||||||
FutureFuel Corp. | 622 | 4,752 | ||||||
GCP Applied Technologies, Inc. (A) | 1,292 | 40,905 | ||||||
Hawkins, Inc. | 452 | 17,831 | ||||||
HB Fuller Co. | 1,264 | 102,384 | ||||||
Innospec, Inc. | 593 | 53,572 | ||||||
Koppers Holdings, Inc. (A) | 512 | 16,025 | ||||||
Kraton Corp. (A) | 774 | 35,852 | ||||||
Livent Corp. (A) (B) | 3,885 | 94,716 | ||||||
Quaker Chemical Corp. (B) | 324 | 74,773 | ||||||
Rayonier Advanced Materials, Inc. (A) | 1,532 | 8,748 | ||||||
Stepan Co. | 512 | 63,636 | ||||||
Tredegar Corp. | 617 | 7,293 | ||||||
Trinseo PLC | 933 | 48,945 | ||||||
|
| |||||||
786,637 | ||||||||
|
| |||||||
Commercial Services & Supplies - 1.3% | ||||||||
ABM Industries, Inc. | 1,617 | 66,054 | ||||||
Brady Corp., Class A | 1,167 | 62,901 | ||||||
CoreCivic, Inc. (A) | 2,893 | 28,843 | ||||||
Deluxe Corp. | 1,024 | 32,881 | ||||||
Harsco Corp. (A) | 1,905 | 31,833 | ||||||
Healthcare Services Group, Inc. | 1,793 | 31,898 | ||||||
HNI Corp. | 1,048 | 44,068 | ||||||
Interface, Inc. | 1,421 | 22,665 | ||||||
KAR Auction Services, Inc. (A) | 2,913 | 45,501 | ||||||
Matthews International Corp., Class A | 761 | 27,906 | ||||||
Pitney Bowes, Inc. | 3,980 | 26,387 | ||||||
UniFirst Corp. | 366 | 77,006 | ||||||
US Ecology, Inc. (A) | 758 | 24,211 | ||||||
Viad Corp. (A) | 493 | 21,096 | ||||||
|
| |||||||
543,250 | ||||||||
|
| |||||||
Communications Equipment - 0.8% | ||||||||
ADTRAN, Inc. | 1,171 | 26,734 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Communications Equipment (continued) | ||||||||
CalAmp Corp. (A) | 862 | $ 6,086 | ||||||
Comtech Telecommunications Corp. | 633 | 14,996 | ||||||
Digi International, Inc. (A) | 821 | 20,172 | ||||||
Extreme Networks, Inc. (A) | 3,124 | 49,047 | ||||||
Harmonic, Inc. (A) | 2,468 | 29,024 | ||||||
NETGEAR, Inc. (A) | 703 | 20,534 | ||||||
NetScout Systems, Inc. (A) | 1,777 | 58,783 | ||||||
Plantronics, Inc. (A) | 1,028 | 30,161 | ||||||
Viavi Solutions, Inc. (A) | 5,715 | 100,698 | ||||||
|
| |||||||
356,235 | ||||||||
|
| |||||||
Construction & Engineering - 0.6% | ||||||||
Arcosa, Inc. | 1,162 | 61,238 | ||||||
Comfort Systems USA, Inc. | 866 | 85,682 | ||||||
Granite Construction, Inc. | 1,102 | 42,647 | ||||||
MYR Group, Inc. (A) | 405 | 44,773 | ||||||
NV5 Global, Inc. (A) | 285 | 39,364 | ||||||
|
| |||||||
273,704 | ||||||||
|
| |||||||
Consumer Finance - 0.6% | ||||||||
Encore Capital Group, Inc. (A) (B) | 597 | 37,080 | ||||||
Enova International, Inc. (A) | 876 | 35,881 | ||||||
EZCORP, Inc., Class A (A) | 1,277 | 9,411 | ||||||
Green Dot Corp., Class A (A) | 1,315 | 47,656 | ||||||
LendingTree, Inc. (A) | 275 | 33,715 | ||||||
PRA Group, Inc. (A) | 1,049 | 52,670 | ||||||
World Acceptance Corp. (A) (B) | 102 | 25,034 | ||||||
|
| |||||||
241,447 | ||||||||
|
| |||||||
Containers & Packaging - 0.2% | ||||||||
Myers Industries, Inc. | 871 | 17,429 | ||||||
O-I Glass, Inc. (A) | 3,772 | 45,377 | ||||||
|
| |||||||
62,806 | ||||||||
|
| |||||||
Diversified Consumer Services - 0.3% | ||||||||
Adtalem Global Education, Inc. (A) | 1,197 | 35,383 | ||||||
American Public Education, Inc. (A) | 450 | 10,012 | ||||||
Perdoceo Education Corp. (A) | 1,686 | 19,827 | ||||||
Strategic Education, Inc. | 545 | 31,523 | ||||||
WW International, Inc. (A) | 1,281 | 20,663 | ||||||
|
| |||||||
117,408 | ||||||||
|
| |||||||
Diversified Telecommunication Services - 0.2% | ||||||||
ATN International, Inc. | 262 | 10,467 | ||||||
Cogent Communications Holdings, Inc. | 1,020 | 74,643 | ||||||
Consolidated Communications Holdings, Inc. (A) | 1,733 | 12,963 | ||||||
|
| |||||||
98,073 | ||||||||
|
| |||||||
Electrical Equipment - 0.3% | ||||||||
AZZ, Inc. | 598 | 33,063 | ||||||
Encore Wire Corp. | 486 | 69,547 | ||||||
Powell Industries, Inc. | 216 | 6,370 | ||||||
|
| |||||||
108,980 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components - 2.4% | ||||||||
Advanced Energy Industries, Inc. | 907 | 82,592 | ||||||
Arlo Technologies, Inc. (A) | 2,028 | 21,274 | ||||||
Badger Meter, Inc. | 703 | 74,912 | ||||||
Benchmark Electronics, Inc. | 848 | 22,981 | ||||||
CTS Corp. | 774 | 28,421 | ||||||
ePlus, Inc. (A) | 649 | 34,968 | ||||||
Fabrinet (A) | 890 | 105,438 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 26
DeltaShares® S&P 600 Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Electronic Equipment, Instruments & Components (continued) | ||||||||
FARO Technologies, Inc. (A) | 438 | $ 30,669 | ||||||
Insight Enterprises, Inc. (A) | 840 | 89,544 | ||||||
Itron, Inc. (A) | 1,088 | 74,550 | ||||||
Knowles Corp. (A) | 2,221 | 51,860 | ||||||
Methode Electronics, Inc. | 919 | 45,187 | ||||||
OSI Systems, Inc. (A) | 402 | 37,467 | ||||||
PC Connection, Inc. | 264 | 11,386 | ||||||
Plexus Corp. (A) | 680 | 65,205 | ||||||
Rogers Corp. (A) | 451 | 123,123 | ||||||
Sanmina Corp. (A) | 1,548 | 64,180 | ||||||
ScanSource, Inc. (A) | 615 | 21,574 | ||||||
TTM Technologies, Inc. (A) | 2,510 | 37,399 | ||||||
|
| |||||||
1,022,730 | ||||||||
|
| |||||||
Energy Equipment & Services - 0.7% | ||||||||
Archrock, Inc. | 3,223 | 24,108 | ||||||
Bristow Group, Inc. (A) | 557 | 17,640 | ||||||
Core Laboratories NV | 1,113 | 24,831 | ||||||
DMC Global, Inc. (A) | 451 | 17,864 | ||||||
Dril-Quip, Inc. (A) | 850 | 16,728 | ||||||
Helix Energy Solutions Group, Inc. (A) | 3,412 | 10,645 | ||||||
Helmerich & Payne, Inc. | 2,595 | 61,501 | ||||||
Nabors Industries Ltd. (A) | 185 | 15,002 | ||||||
Oceaneering International, Inc. (A) | 2,399 | 27,133 | ||||||
Oil States International, Inc. (A) | 1,476 | 7,336 | ||||||
Patterson-UTI Energy, Inc. | 5,174 | 43,720 | ||||||
ProPetro Holding Corp. (A) | 2,038 | 16,508 | ||||||
RPC, Inc. (A) | 1,713 | 7,777 | ||||||
US Silica Holdings, Inc. (A) | 1,794 | 16,864 | ||||||
|
| |||||||
307,657 | ||||||||
|
| |||||||
Entertainment - 0.1% | ||||||||
Cinemark Holdings, Inc. (A) (B) | 2,560 | 41,267 | ||||||
Marcus Corp. (A) (B) | 526 | 9,395 | ||||||
|
| |||||||
50,662 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts - 4.5% | ||||||||
Acadia Realty Trust | 2,127 | 46,433 | ||||||
Agree Realty Corp. | 1,678 | 119,742 | ||||||
Alexander & Baldwin, Inc. | 1,744 | 43,757 | ||||||
American Assets Trust, Inc. | 1,266 | 47,513 | ||||||
Armada Hoffler Properties, Inc. | 1,479 | 22,510 | ||||||
Brandywine Realty Trust | 4,115 | 55,223 | ||||||
CareTrust, Inc., REIT | 2,333 | 53,262 | ||||||
Centerspace | 343 | 38,039 | ||||||
Chatham Lodging Trust (A) | 1,173 | 16,094 | ||||||
Community Healthcare Trust, Inc. | 564 | 26,660 | ||||||
DiamondRock Hospitality Co. (A) | 5,065 | 48,675 | ||||||
Diversified Healthcare Trust | 5,748 | 17,761 | ||||||
Douglas Elliman, Inc. (A) | 1,574 | 18,095 | ||||||
Easterly Government Properties, Inc. | 2,072 | 47,490 | ||||||
Essential Properties Realty Trust, Inc. | 2,923 | 84,270 | ||||||
Four Corners Property Trust, Inc. | 1,861 | 54,732 | ||||||
Franklin Street Properties Corp. | 2,286 | 13,602 | ||||||
GEO Group, Inc. (B) | 2,947 | 22,839 | ||||||
Getty Realty Corp. | 948 | 30,421 | ||||||
Global Net Lease, Inc. | 2,491 | 38,063 | ||||||
Hersha Hospitality Trust (A) | 794 | 7,281 | ||||||
Independence Realty Trust, Inc. | 2,515 | 64,963 | ||||||
Industrial Logistics Properties Trust | 1,574 | 39,429 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Equity Real Estate Investment Trusts (continued) | ||||||||
Innovative Industrial Properties, Inc. (B) | 575 | $ 151,173 | ||||||
iStar, Inc. (B) | 1,670 | 43,136 | ||||||
LTC Properties, Inc. (B) | 947 | 32,331 | ||||||
LXP Industrial Trust | 6,802 | 106,247 | ||||||
NexPoint Residential Trust, Inc. | 547 | 45,855 | ||||||
Office Properties Income Trust | 1,164 | 28,914 | ||||||
Orion Office, Inc., REIT (A) | 1,302 | 24,308 | ||||||
Retail Opportunity Investments Corp. | 2,919 | 57,212 | ||||||
RPT Realty | 2,028 | 27,135 | ||||||
Safehold, Inc. | 339 | 27,069 | ||||||
Saul Centers, Inc. | 314 | 16,648 | ||||||
Service Properties Trust | 3,970 | 34,896 | ||||||
SITE Centers Corp. | 4,317 | 68,338 | ||||||
Summit Hotel Properties, Inc. (A) | 2,560 | 24,986 | ||||||
Tanger Factory Outlet Centers, Inc. | 2,501 | 48,219 | ||||||
Uniti Group, Inc. (B) | 5,678 | 79,549 | ||||||
Universal Health Realty Income Trust | 309 | 18,376 | ||||||
Urstadt Biddle Properties, Inc., Class A | 723 | 15,400 | ||||||
Veris Residential, Inc. (A) | 1,925 | 35,382 | ||||||
Washington, REIT (B) | 2,035 | 52,605 | ||||||
Whitestone, REIT | 1,110 | 11,244 | ||||||
Xenia Hotels & Resorts, Inc. (A) | 2,747 | 49,748 | ||||||
|
| |||||||
1,955,625 | ||||||||
|
| |||||||
Food & Staples Retailing - 0.4% | ||||||||
Andersons, Inc. | 745 | 28,839 | ||||||
Chefs’ Warehouse, Inc. (A) | 783 | 26,074 | ||||||
PriceSmart, Inc. | 578 | 42,292 | ||||||
SpartanNash Co. | 864 | 22,257 | ||||||
United Natural Foods, Inc. (A) | 1,356 | 66,552 | ||||||
|
| |||||||
186,014 | ||||||||
|
| |||||||
Food Products - 0.8% | ||||||||
B&G Foods, Inc. | 1,561 | 47,970 | ||||||
Cal-Maine Foods, Inc. | 901 | 33,328 | ||||||
Calavo Growers, Inc. | 425 | 18,020 | ||||||
Fresh Del Monte Produce, Inc. | 800 | 22,080 | ||||||
J&J Snack Foods Corp. | 357 | 56,392 | ||||||
John B Sanfilippo & Son, Inc. | 213 | 19,204 | ||||||
Seneca Foods Corp., Class A (A) | 151 | 7,240 | ||||||
Simply Good Foods Co. (A) | 2,027 | 84,262 | ||||||
Tootsie Roll Industries, Inc. | 416 | 15,072 | ||||||
TreeHouse Foods, Inc. (A) | 1,342 | 54,391 | ||||||
|
| |||||||
357,959 | ||||||||
|
| |||||||
Gas Utilities - 0.4% | ||||||||
Chesapeake Utilities Corp. | 423 | 61,678 | ||||||
NorthWest Natural Holding Co. | 739 | 36,048 | ||||||
South Jersey Industries, Inc. | 2,704 | 70,629 | ||||||
|
| |||||||
168,355 | ||||||||
|
| |||||||
Health Care Equipment & Supplies - 1.7% | ||||||||
AngioDynamics, Inc. (A) | 929 | 25,622 | ||||||
Avanos Medical, Inc. (A) | 1,158 | 40,148 | ||||||
BioLife Solutions, Inc. (A) | 704 | 26,238 | ||||||
Cardiovascular Systems, Inc. (A) | 976 | 18,329 | ||||||
CONMED Corp. | 702 | 99,516 | ||||||
CryoLife, Inc. (A) | 946 | 19,251 | ||||||
Cutera, Inc. (A) (B) | 394 | 16,280 | ||||||
Glaukos Corp. (A) | 1,128 | 50,128 | ||||||
Heska Corp. (A) | 259 | 47,265 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 27
DeltaShares® S&P 600 Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Health Care Equipment & Supplies (continued) | ||||||||
Inogen, Inc. (A) | 491 | $ 16,694 | ||||||
Integer Holdings Corp. (A) | 794 | 67,959 | ||||||
Lantheus Holdings, Inc. (A) | 1,628 | 47,033 | ||||||
LeMaitre Vascular, Inc. | 463 | 23,257 | ||||||
Meridian Bioscience, Inc. (A) | 1,043 | 21,277 | ||||||
Merit Medical Systems, Inc. (A) | 1,221 | 76,068 | ||||||
Mesa Laboratories, Inc. | 125 | 41,011 | ||||||
Natus Medical, Inc. (A) | 822 | 19,506 | ||||||
OraSure Technologies, Inc. (A) | 1,734 | 15,068 | ||||||
Orthofix Medical, Inc. (A) | 476 | 14,799 | ||||||
Surmodics, Inc. (A) | 333 | 16,034 | ||||||
Tactile Systems Technology, Inc. (A) | 478 | 9,096 | ||||||
Varex Imaging Corp. (A) (B) | 947 | 29,878 | ||||||
Zynex, Inc. (A) (B) | 478 | 4,766 | ||||||
|
| |||||||
745,223 | ||||||||
|
| |||||||
Health Care Providers & Services - 2.3% | ||||||||
Addus HomeCare Corp. (A) | 383 | 35,814 | ||||||
AMN Healthcare Services, Inc. (A) | 1,138 | 139,212 | ||||||
Apollo Medical Holdings, Inc. (A) (B) | 909 | 66,793 | ||||||
Community Health Systems, Inc. (A) | 2,988 | 39,770 | ||||||
CorVel Corp. (A) | 226 | 47,008 | ||||||
Covetrus, Inc. (A) | 2,485 | 49,625 | ||||||
Cross Country Healthcare, Inc. (A) | 849 | 23,568 | ||||||
Ensign Group, Inc. | 1,263 | 106,042 | ||||||
Fulgent Genetics, Inc. (A) (B) | 467 | 46,976 | ||||||
Hanger, Inc. (A) | 884 | 16,027 | ||||||
Joint Corp. (A) | 346 | 22,729 | ||||||
Magellan Health, Inc. (A) | 559 | 53,099 | ||||||
MEDNAX, Inc. (A) | 2,080 | 56,597 | ||||||
ModivCare, Inc. (A) | 296 | 43,894 | ||||||
Owens & Minor, Inc. | 1,814 | 78,909 | ||||||
Pennant Group, Inc. (A) | 650 | 15,002 | ||||||
RadNet, Inc. (A) | 1,068 | 32,158 | ||||||
Select Medical Holdings Corp. | 2,548 | 74,911 | ||||||
Tivity Health, Inc. (A) | 1,066 | 28,185 | ||||||
US Physical Therapy, Inc. | 311 | 29,716 | ||||||
|
| |||||||
1,006,035 | ||||||||
|
| |||||||
Health Care Technology - 0.8% | ||||||||
Allscripts Healthcare Solutions, Inc. (A) | 2,948 | 54,391 | ||||||
Computer Programs & Systems, Inc. (A) | 352 | 10,314 | ||||||
HealthStream, Inc. (A) | 608 | 16,027 | ||||||
NextGen Healthcare, Inc. (A) | 1,381 | 24,568 | ||||||
Omnicell, Inc. (A) | 1,058 | 190,905 | ||||||
OptimizeRx Corp. (A) | 427 | 26,521 | ||||||
Simulations Plus, Inc. (B) | 378 | 17,879 | ||||||
Tabula Rasa HealthCare, Inc. (A) | 568 | 8,520 | ||||||
|
| |||||||
349,125 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure - 0.8% | ||||||||
BJ’s Restaurants, Inc. (A) | 560 | 19,348 | ||||||
Bloomin’ Brands, Inc. (A) | 1,954 | 40,995 | ||||||
Brinker International, Inc. (A) | 1,092 | 39,956 | ||||||
Cheesecake Factory, Inc. (A) | 1,166 | 45,649 | ||||||
Chuy’s Holdings, Inc. (A) | 477 | 14,367 | ||||||
Dave & Buster’s Entertainment, Inc. (A) | 928 | 35,635 | ||||||
Dine Brands Global, Inc. | 413 | 31,310 | ||||||
El Pollo Loco Holdings, Inc. (A) | 467 | 6,627 | ||||||
Fiesta Restaurant Group, Inc. (A) | 411 | 4,525 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||
Monarch Casino & Resort, Inc. (A) | 316 | $ 23,368 | ||||||
Red Robin Gourmet Burgers, Inc. (A) | 378 | 6,248 | ||||||
Ruth’s Hospitality Group, Inc. (A) | 764 | 15,204 | ||||||
Shake Shack, Inc., Class A (A) | 941 | 67,903 | ||||||
|
| |||||||
351,135 | ||||||||
|
| |||||||
Household Durables - 1.5% | ||||||||
Cavco Industries, Inc. (A) | 205 | 65,118 | ||||||
Century Communities, Inc. | 714 | 58,398 | ||||||
Ethan Allen Interiors, Inc. | 529 | 13,907 | ||||||
Installed Building Products, Inc. | 564 | 78,802 | ||||||
iRobot Corp. (A) | 648 | 42,690 | ||||||
La-Z-Boy, Inc. | 1,067 | 38,743 | ||||||
LGI Homes, Inc. (A) | 514 | 79,403 | ||||||
M/I Homes, Inc. (A) | 701 | 43,588 | ||||||
MDC Holdings, Inc. | 1,361 | 75,985 | ||||||
Meritage Homes Corp. (A) | 898 | 109,610 | ||||||
Tupperware Brands Corp. (A) | 1,175 | 17,966 | ||||||
Universal Electronics, Inc. (A) | 316 | 12,877 | ||||||
|
| |||||||
637,087 | ||||||||
|
| |||||||
Household Products - 0.3% | ||||||||
Central Garden & Pet Co. (A) | 235 | 12,368 | ||||||
Central Garden & Pet Co., Class A (A) | 966 | 46,223 | ||||||
WD-40 Co. (B) | 331 | 80,976 | ||||||
|
| |||||||
139,567 | ||||||||
|
| |||||||
Insurance - 1.6% | ||||||||
Ambac Financial Group, Inc. (A) | 1,114 | 17,880 | ||||||
American Equity Investment Life Holding Co. | 1,980 | 77,062 | ||||||
AMERISAFE, Inc. | 466 | 25,085 | ||||||
Assured Guaranty Ltd. | 1,678 | 84,235 | ||||||
eHealth, Inc. (A) | 571 | 14,560 | ||||||
Employers Holdings, Inc. | 673 | 27,849 | ||||||
Genworth Financial, Inc., Class A (A) | 12,204 | 49,426 | ||||||
HCI Group, Inc. | 192 | 16,040 | ||||||
Horace Mann Educators Corp. | 997 | 38,584 | ||||||
James River Group Holdings Ltd. | 897 | 25,842 | ||||||
Palomar Holdings, Inc. (A) | 580 | 37,567 | ||||||
ProAssurance Corp. | 1,298 | 32,839 | ||||||
Safety Insurance Group, Inc. | 342 | 29,080 | ||||||
Selectquote, Inc. (A) | 2,996 | 27,144 | ||||||
SiriusPoint Ltd. (A) | 2,102 | 17,089 | ||||||
Stewart Information Services Corp. | 646 | 51,505 | ||||||
Trupanion, Inc. (A) (B) | 826 | 109,057 | ||||||
United Fire Group, Inc. | 519 | 12,036 | ||||||
Universal Insurance Holdings, Inc. | 675 | 11,475 | ||||||
|
| |||||||
704,355 | ||||||||
|
| |||||||
Interactive Media & Services - 0.1% | ||||||||
Cars.com, Inc. (A) | 1,563 | 25,149 | ||||||
QuinStreet, Inc. (A) | 1,201 | 21,846 | ||||||
|
| |||||||
46,995 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 0.2% | ||||||||
Liquidity Services, Inc. (A) | 639 | 14,109 | ||||||
PetMed Express, Inc. (B) | 503 | 12,706 | ||||||
Shutterstock, Inc. | 562 | 62,314 | ||||||
|
| |||||||
89,129 | ||||||||
|
| |||||||
IT Services - 1.0% | ||||||||
BM Technologies, Inc. (A) | 83 | 764 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page �� 28
DeltaShares® S&P 600 Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
IT Services (continued) | ||||||||
CSG Systems International, Inc. | 784 | $ 45,174 | ||||||
EVERTEC, Inc. | 1,438 | 71,871 | ||||||
ExlService Holdings, Inc. (A) | 801 | 115,961 | ||||||
Perficient, Inc. (A) | 792 | 102,398 | ||||||
TTEC Holdings, Inc. | 441 | 39,932 | ||||||
Unisys Corp. (A) | 1,615 | 33,221 | ||||||
|
| |||||||
409,321 | ||||||||
|
| |||||||
Leisure Products - 0.2% | ||||||||
Sturm Ruger & Co., Inc. | 423 | 28,773 | ||||||
Vista Outdoor, Inc. (A) | 1,377 | 63,438 | ||||||
|
| |||||||
92,211 | ||||||||
|
| |||||||
Life Sciences Tools & Services - 0.2% | ||||||||
NeoGenomics, Inc. (A) | 2,961 | 101,029 | ||||||
|
| |||||||
Machinery - 3.4% | ||||||||
Alamo Group, Inc. | 238 | 35,029 | ||||||
Albany International Corp., Class A | 778 | 68,814 | ||||||
Astec Industries, Inc. | 548 | 37,960 | ||||||
Barnes Group, Inc. | 1,121 | 52,227 | ||||||
Chart Industries, Inc. (A) | 856 | 136,523 | ||||||
CIRCOR International, Inc. (A) | 486 | 13,210 | ||||||
Enerpac Tool Group Corp. | 1,449 | 29,386 | ||||||
EnPro Industries, Inc. | 495 | 54,485 | ||||||
ESCO Technologies, Inc. | 628 | 56,514 | ||||||
Federal Signal Corp. | 1,469 | 63,666 | ||||||
Franklin Electric Co., Inc. | 937 | 88,603 | ||||||
Greenbrier Cos., Inc. | 782 | 35,886 | ||||||
Hillenbrand, Inc. | 1,756 | 91,294 | ||||||
John Bean Technologies Corp. | 765 | 117,473 | ||||||
Lindsay Corp. | 261 | 39,672 | ||||||
Meritor, Inc. (A) | 1,687 | 41,804 | ||||||
Mueller Industries, Inc. | 1,379 | 81,857 | ||||||
Proto Labs, Inc. (A) | 664 | 34,096 | ||||||
SPX Corp. (A) | 1,092 | 65,171 | ||||||
SPX Flow, Inc. | 1,009 | 87,258 | ||||||
Standex International Corp. | 294 | 32,534 | ||||||
Tennant Co. | 446 | 36,144 | ||||||
Titan International, Inc. (A) | 1,230 | 13,481 | ||||||
Wabash National Corp. | 1,190 | 23,229 | ||||||
Watts Water Technologies, Inc., Class A | 663 | 128,735 | ||||||
|
| |||||||
1,465,051 | ||||||||
|
| |||||||
Marine - 0.2% | ||||||||
Matson, Inc. | 1,010 | 90,930 | ||||||
|
| |||||||
Media - 0.4% | ||||||||
AMC Networks, Inc., Class A (A) | 702 | 24,177 | ||||||
EW Scripps Co., Class A | 1,374 | 26,587 | ||||||
Gannett Co., Inc. (A) | 3,424 | 18,250 | ||||||
Loyalty Ventures, Inc. (A) | 480 | 14,434 | ||||||
Scholastic Corp. | 732 | 29,251 | ||||||
TechTarget, Inc. (A) | 625 | 59,787 | ||||||
Thryv Holdings, Inc. (A) | 408 | 16,781 | ||||||
|
| |||||||
189,267 | ||||||||
|
| |||||||
Metals & Mining - 0.8% | ||||||||
Allegheny Technologies, Inc. (A) | 3,061 | 48,762 | ||||||
Arconic Corp. (A) | 2,561 | 84,539 | ||||||
Carpenter Technology Corp. | 1,158 | 33,802 | ||||||
Century Aluminum Co. (A) | 1,215 | 20,120 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Metals & Mining (continued) | ||||||||
Haynes International, Inc. | 305 | $ 12,301 | ||||||
Kaiser Aluminum Corp. | 382 | 35,885 | ||||||
Materion Corp. | 491 | 45,142 | ||||||
Olympic Steel, Inc. | 224 | 5,264 | ||||||
SunCoke Energy, Inc. | 1,998 | 13,167 | ||||||
TimkenSteel Corp. (A) | 990 | 16,335 | ||||||
Warrior Met Coal, Inc. | 1,236 | 31,777 | ||||||
|
| |||||||
347,094 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts - 0.8% | ||||||||
Apollo Commercial Real Estate Finance, Inc. | 3,162 | 41,612 | ||||||
ARMOUR Residential, Inc., REIT (B) | 2,158 | 21,170 | ||||||
Ellington Financial, Inc. | 1,312 | 22,422 | ||||||
Franklin BSP Realty Trust, Inc. | 1,058 | 15,806 | ||||||
Granite Point Mortgage Trust, Inc. | 1,293 | 15,141 | ||||||
Invesco Mortgage Capital, Inc. | 7,497 | 20,842 | ||||||
KKR Real Estate Finance Trust, Inc. | 1,069 | 22,267 | ||||||
New York Mortgage Trust, Inc. | 9,121 | 33,930 | ||||||
PennyMac Mortgage Investment Trust (B) | 2,332 | 40,414 | ||||||
Ready Capital Corp. | 1,416 | 22,132 | ||||||
Redwood Trust, Inc. | 2,759 | 36,391 | ||||||
Two Harbors Investment Corp. | 8,271 | 47,724 | ||||||
|
| |||||||
339,851 | ||||||||
|
| |||||||
Multi-Utilities - 0.2% | ||||||||
Avista Corp. | 1,702 | 72,318 | ||||||
Unitil Corp. | 385 | 17,706 | ||||||
|
| |||||||
90,024 | ||||||||
|
| |||||||
Multiline Retail - 0.1% | ||||||||
Big Lots, Inc. | 782 | 35,229 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels - 2.1% | ||||||||
Callon Petroleum Co. (A) (B) | 1,143 | 54,007 | ||||||
Civitas Resources, Inc. | 1,732 | 84,816 | ||||||
Consol Energy, Inc. (A) | 764 | 17,350 | ||||||
Dorian LPG Ltd. | 666 | 8,452 | ||||||
Green Plains, Inc. (A) | 1,290 | 44,840 | ||||||
Laredo Petroleum, Inc. (A) | 344 | 20,685 | ||||||
Matador Resources Co. | 2,653 | 97,949 | ||||||
Par Pacific Holdings, Inc. (A) | 1,100 | 18,139 | ||||||
PBF Energy, Inc., Class A (A) | 2,285 | 29,636 | ||||||
PDC Energy, Inc. | 2,342 | 114,243 | ||||||
Range Resources Corp. (A) | 6,009 | 107,141 | ||||||
Ranger Oil Corp., Class A (A) | 507 | 13,648 | ||||||
Renewable Energy Group, Inc. (A) | 1,210 | 51,352 | ||||||
REX American Resources Corp. (A) | 126 | 12,096 | ||||||
SM Energy Co. | 2,921 | 86,111 | ||||||
Southwestern Energy Co. (A) | 24,411 | 113,755 | ||||||
Talos Energy, Inc. (A) | 985 | 9,653 | ||||||
World Fuel Services Corp. | 1,518 | 40,182 | ||||||
|
| |||||||
924,055 | ||||||||
|
| |||||||
Paper & Forest Products - 0.3% | ||||||||
Clearwater Paper Corp. (A) | 402 | 14,742 | ||||||
Glatfelter Corp. | 1,070 | 18,404 | ||||||
Mercer International, Inc. | 969 | 11,618 | ||||||
Neenah, Inc. | 404 | 18,697 | ||||||
Schweitzer-Mauduit International, Inc. | 757 | 22,634 | ||||||
Sylvamo Corp. (A) | 848 | 23,651 | ||||||
|
| |||||||
109,746 | ||||||||
|
|
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 29
DeltaShares® S&P 600 Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Personal Products - 0.5% | ||||||||
Edgewell Personal Care Co. | 1,307 | $ 59,743 | ||||||
elf Beauty, Inc. (A) | 1,151 | 38,225 | ||||||
Inter Parfums, Inc. | 427 | 45,646 | ||||||
Medifast, Inc. | 279 | 58,431 | ||||||
USANA Health Sciences, Inc. (A) | 280 | 28,336 | ||||||
|
| |||||||
230,381 | ||||||||
|
| |||||||
Pharmaceuticals - 1.0% | ||||||||
Amphastar Pharmaceuticals, Inc. (A) | 886 | 20,635 | ||||||
ANI Pharmaceuticals, Inc. (A) | 259 | 11,935 | ||||||
Cara Therapeutics, Inc. (A) | 1,015 | 12,363 | ||||||
Collegium Pharmaceutical, Inc. (A) | 832 | 15,542 | ||||||
Corcept Therapeutics, Inc. (A) | 2,284 | 45,223 | ||||||
Endo International PLC (A) | 5,620 | 21,131 | ||||||
Harmony Biosciences Holdings, Inc. (A) | 549 | 23,409 | ||||||
Innoviva, Inc. (A) | 1,505 | 25,961 | ||||||
Nektar Therapeutics (A) | 4,439 | 59,971 | ||||||
Pacira BioSciences, Inc. (A) | 1,070 | 64,382 | ||||||
Phibro Animal Health Corp., Class A | 488 | 9,965 | ||||||
Prestige Consumer Healthcare, Inc. (A) | 1,206 | 73,144 | ||||||
Supernus Pharmaceuticals, Inc. (A) | 1,280 | 37,325 | ||||||
|
| |||||||
420,986 | ||||||||
|
| |||||||
Professional Services - 0.9% | ||||||||
Exponent, Inc. | 1,253 | 146,263 | ||||||
Forrester Research, Inc. (A) | 267 | 15,681 | ||||||
Heidrick & Struggles International, Inc. | 472 | 20,640 | ||||||
Kelly Services, Inc., Class A | 866 | 14,523 | ||||||
Korn Ferry | 1,310 | 99,206 | ||||||
ManTech International Corp., Class A | 663 | 48,353 | ||||||
Resources Connection, Inc. | 751 | 13,398 | ||||||
TrueBlue, Inc. (A) | 852 | 23,575 | ||||||
|
| |||||||
381,639 | ||||||||
|
| |||||||
Real Estate Management & Development - 0.3% | ||||||||
Marcus & Millichap, Inc. (A) | 601 | 30,927 | ||||||
RE/MAX Holdings, Inc., Class A | 455 | 13,873 | ||||||
Realogy Holdings Corp. (A) | 2,804 | 47,135 | ||||||
St. Joe Co. | 793 | 41,276 | ||||||
|
| |||||||
133,211 | ||||||||
|
| |||||||
Road & Rail - 0.3% | ||||||||
ArcBest Corp. | 616 | 73,828 | ||||||
Heartland Express, Inc. | 1,120 | 18,838 | ||||||
Marten Transport Ltd. | 1,437 | 24,659 | ||||||
|
| |||||||
117,325 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment - 2.2% | ||||||||
Axcelis Technologies, Inc. (A) | 801 | 59,723 | ||||||
CEVA, Inc. (A) | 554 | 23,955 | ||||||
Cohu, Inc. (A) | 1,171 | 44,603 | ||||||
Diodes, Inc. (A) | 1,082 | 118,814 | ||||||
FormFactor, Inc. (A) | 1,880 | 85,954 | ||||||
Ichor Holdings Ltd. (A) | 684 | 31,485 | ||||||
Kulicke & Soffa Industries, Inc. | 1,491 | 90,265 | ||||||
MaxLinear, Inc. (A) | 1,698 | 128,012 | ||||||
Onto Innovation, Inc. (A) | 1,185 | 119,958 | ||||||
PDF Solutions, Inc. (A) | 718 | 22,825 | ||||||
Photronics, Inc. (A) | 1,471 | 27,728 | ||||||
Rambus, Inc. (A) | 2,630 | 77,296 | ||||||
SMART Global Holdings, Inc. (A) (B) | 556 | 39,470 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Semiconductors & Semiconductor Equipment (continued) | ||||||||
Ultra Clean Holdings, Inc. (A) | 1,079 | $ 61,891 | ||||||
Veeco Instruments, Inc. (A) (B) | 1,216 | 34,620 | ||||||
|
| |||||||
966,599 | ||||||||
|
| |||||||
Software - 1.7% | ||||||||
8x8, Inc. (A) | 2,741 | 45,939 | ||||||
Agilysys, Inc. (A) | 468 | 20,807 | ||||||
Alarm.com Holdings, Inc. (A) | 1,108 | 93,970 | ||||||
Bottomline Technologies de, Inc. (A) | 929 | 52,461 | ||||||
Consensus Cloud Solutions, Inc. (A) | 386 | 22,338 | ||||||
Ebix, Inc. | 573 | 17,419 | ||||||
InterDigital, Inc. | 738 | 52,863 | ||||||
LivePerson, Inc. (A) | 1,584 | 56,580 | ||||||
Onespan, Inc. (A) | 827 | 14,001 | ||||||
Progress Software Corp. | 1,055 | 50,925 | ||||||
SPS Commerce, Inc. (A) | 864 | 122,990 | ||||||
Vonage Holdings Corp. (A) | 6,073 | 126,258 | ||||||
Xperi Holding Corp. | 2,514 | 47,540 | ||||||
|
| |||||||
724,091 | ||||||||
|
| |||||||
Specialty Retail - 2.5% | ||||||||
Aaron’s Co., Inc. | 758 | 18,685 | ||||||
Abercrombie & Fitch Co., Class A (A) | 1,421 | 49,493 | ||||||
America’s Car-Mart, Inc. (A) | 146 | 14,950 | ||||||
Asbury Automotive Group, Inc. (A) | 556 | 96,038 | ||||||
Barnes & Noble Education, Inc. (A) | 868 | 5,911 | ||||||
Bed Bath & Beyond, Inc. (A) | 2,430 | 35,429 | ||||||
Boot Barn Holdings, Inc. (A) | 711 | 87,489 | ||||||
Buckle, Inc. | 706 | 29,871 | ||||||
Caleres, Inc. | 921 | 20,888 | ||||||
Cato Corp., Class A | 470 | 8,065 | ||||||
Chico’s FAS, Inc. (A) | 2,945 | 15,844 | ||||||
Children’s Place, Inc. (A) | 335 | 26,562 | ||||||
Conn’s, Inc. (A) | 461 | 10,843 | ||||||
Designer Brands, Inc., Class A (A) | 1,476 | 20,974 | ||||||
Genesco, Inc. (A) | 341 | 21,882 | ||||||
Group 1 Automotive, Inc. | 435 | 84,921 | ||||||
Guess?, Inc. | 937 | 22,188 | ||||||
Haverty Furniture Cos., Inc. | 358 | 10,944 | ||||||
Hibbett, Inc. | 362 | 26,039 | ||||||
Lumber Liquidators Holdings, Inc. (A) | 701 | 11,966 | ||||||
MarineMax, Inc. (A) | 523 | 30,878 | ||||||
Monro, Inc. | 807 | 47,024 | ||||||
ODP Corp. (A) | 1,104 | 43,365 | ||||||
Rent-A-Center, Inc. | 1,454 | 69,850 | ||||||
Sally Beauty Holdings, Inc. (A) | 2,718 | 50,174 | ||||||
Shoe Carnival, Inc. | 420 | 16,414 | ||||||
Signet Jewelers Ltd. | 1,277 | 111,137 | ||||||
Sleep Number Corp. (A) | 545 | 41,747 | ||||||
Sonic Automotive, Inc., Class A | 499 | 24,676 | ||||||
Zumiez, Inc. (A) | 514 | 24,667 | ||||||
|
| |||||||
1,078,914 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 0.2% | ||||||||
3D Systems Corp. (A) | 3,071 | 66,149 | ||||||
Diebold Nixdorf, Inc. (A) | 1,752 | 15,856 | ||||||
|
| |||||||
82,005 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods - 0.7% | ||||||||
Fossil Group, Inc. (A) | 1,142 | 11,751 | ||||||
G-III Apparel Group Ltd. (A) | 1,052 | 29,077 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 30
DeltaShares® S&P 600 Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Textiles, Apparel & Luxury Goods (continued) | ||||||||
Kontoor Brands, Inc. (B) | 1,143 | $ 58,579 | ||||||
Movado Group, Inc. | 398 | 16,648 | ||||||
Oxford Industries, Inc. | 382 | 38,781 | ||||||
Steven Madden Ltd. | 1,840 | 85,505 | ||||||
Unifi, Inc. (A) | 333 | 7,709 | ||||||
Vera Bradley, Inc. (A) | 614 | 5,225 | ||||||
Wolverine World Wide, Inc. | 1,981 | 57,073 | ||||||
|
| |||||||
310,348 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance - 1.4% | ||||||||
Axos Financial, Inc. (A) | 1,289 | 72,068 | ||||||
Capitol Federal Financial, Inc. | 3,105 | 35,179 | ||||||
Flagstar Bancorp, Inc. | 1,272 | 60,980 | ||||||
Mr. Cooper Group, Inc. (A) | 1,808 | 75,231 | ||||||
NMI Holdings, Inc., Class A (A) | 2,062 | 45,055 | ||||||
Northfield Bancorp, Inc. | 1,049 | 16,952 | ||||||
Northwest Bancshares, Inc. | 3,044 | 43,103 | ||||||
Provident Financial Services, Inc. | 1,858 | 45,001 | ||||||
TrustCo Bank Corp. | 463 | 15,422 | ||||||
Walker & Dunlop, Inc. | 708 | 106,823 | ||||||
WSFS Financial Corp. | 1,573 | 78,839 | ||||||
|
| |||||||
594,653 | ||||||||
|
| |||||||
Tobacco - 0.2% | ||||||||
Universal Corp. | 592 | 32,513 | ||||||
Vector Group Ltd. | 3,147 | 36,127 | ||||||
|
| |||||||
68,640 | ||||||||
|
| |||||||
Trading Companies & Distributors - 0.7% | ||||||||
Applied Industrial Technologies, Inc. | 924 | 94,895 | ||||||
Boise Cascade Co. | 946 | 67,355 | ||||||
DXP Enterprises, Inc. (A) | 410 | 10,525 | ||||||
GMS, Inc. (A) | 1,038 | 62,394 | ||||||
NOW, Inc. (A) | 2,659 | 22,708 | ||||||
Veritiv Corp. (A) | 332 | 40,693 | ||||||
|
| |||||||
298,570 | ||||||||
|
| |||||||
Water Utilities - 0.6% | ||||||||
American States Water Co. | 888 | 91,854 | ||||||
California Water Service Group | 1,266 | 90,975 | ||||||
Middlesex Water Co. | 420 | 50,526 | ||||||
|
| |||||||
233,355 | ||||||||
|
|
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Wireless Telecommunication Services - 0.2% | ||||||||
Shenandoah Telecommunications Co. | 1,202 | $ 30,651 | ||||||
Telephone & Data Systems, Inc. | 2,376 | 47,876 | ||||||
|
| |||||||
78,527 | ||||||||
|
| |||||||
Total Common Stocks |
| 25,901,191 | ||||||
|
| |||||||
Principal | Value | |||||||
U.S. GOVERNMENT OBLIGATION - 39.7% | ||||||||
U.S. Treasury - 39.7% | ||||||||
U.S. Treasury Note | $ 17,194,000 | 17,190,011 | ||||||
|
| |||||||
Total U.S. Government Obligation |
| 17,190,011 | ||||||
|
| |||||||
Shares | Value | |||||||
SHORT-TERM INVESTMENT COMPANY - 0.4% | ||||||||
Money Market Fund - 0.4% | ||||||||
State Street Institutional Treasury Money Market Fund, 0.01% (C) | 163,188 | 163,188 | ||||||
|
| |||||||
Total Short-Term Investment Company |
| 163,188 | ||||||
|
| |||||||
OTHER INVESTMENT COMPANY - 0.5% | ||||||||
Securities Lending Collateral - 0.5% | ||||||||
State Street Navigator Securities Lending Trust - Government Money Market Portfolio, 0.03% (C) | 218,144 | 218,144 | ||||||
|
| |||||||
Total Other Investment Company |
| 218,144 | ||||||
|
| |||||||
Total Investments |
| 43,472,534 | ||||||
Net Other Assets (Liabilities) - (0.5)% | (208,753 | ) | ||||||
|
| |||||||
Net Assets - 100.0% | $ 43,263,781 | |||||||
|
|
FUTURES CONTRACTS:
Long Futures Contracts | ||||||||||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
E-Mini Russell 2000® Index | 2 | 03/18/2022 | $ | 221,533 | $ | 224,280 | $ | 2,747 | $ | — |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 31
DeltaShares® S&P 600 Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
INVESTMENT VALUATION:
Valuation Inputs (D)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Value | |||||||||||||
ASSETS |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks | $ | 25,901,191 | $ | — | $ | — | $ | 25,901,191 | ||||||||
U.S. Government Obligation | — | 17,190,011 | — | 17,190,011 | ||||||||||||
Short-Term Investment Company | 163,188 | — | — | 163,188 | ||||||||||||
Other Investment Company | 218,144 | — | — | 218,144 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 26,282,523 | $ | 17,190,011 | $ | — | $ | 43,472,534 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments |
| |||||||||||||||
Futures Contracts (E) | $ | 2,747 | $ | — | $ | — | $ | 2,747 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 2,747 | $ | — | $ | — | $ | 2,747 | ||||||||
|
|
|
|
|
|
|
|
FOOTNOTES TO SCHEDULE OF INVESTMENTS:
(A) | Non-income producing securities. | |
(B) | All or a portion of the securities are on loan. The total value of all securities on loan is $1,220,687, collateralized by cash collateral of $218,144 and non-cash collateral, such as U.S. government securities and irrevocable letters of credit, of $1,031,936. The amount of securities on loan indicated may not correspond with the securities on loan identified because securities with pending sales are in the process of recall from the brokers. | |
(C) | Rates disclosed reflect the yields at December 31, 2021. | |
(D) | There were no transfers in or out of Level 3 during the year ended December 31, 2021. Please reference the Investment Valuation section of the Notes to Financial Statements for more information regarding investment valuation and pricing inputs. | |
(E) | Derivative instruments are valued at unrealized appreciation (depreciation). |
PORTFOLIO ABBREVIATION:
REIT | Real Estate Investment Trust |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 32
DeltaShares® S&P EM 100 & Managed Risk ETF
(unaudited)
MARKET ENVIRONMENT
2021 was a strong year for global developed markets and a stellar one for U.S. stocks, bolstered by robust corporate earnings, strong economic activity, and historic fiscal and monetary stimuli. The rebound off the 2020 pandemic lows continued in 2021 despite headwinds from COVID-19 variants and supply chain disruptions (both hammering emerging markets), as well as increasing inflation and the need for accelerated Central Bank tapering (which especially affected domestic growth stocks). On a total return basis, the S&P 500® Index led the pack with a gain of 28.71% and reached new record highs 70 times in 2021. Moreover, it has now finished higher in 12 of the last 13 years and has doubled in value over the last three. The MSCI EAFE Index also performed well in 2021, closing the year with a gain of 11.78%, while the MSCI Emerging Markets Index proved to be more sensitive to the inflationary and supply chain pressures. Coupled with China’s economic slowdown, the Index had its weakest return since 2018, at -2.22%. Fixed income investments were also negatively impacted by the environment, with the Bloomberg US Aggregate Bond Index realizing a loss of 1.54% for the year.
The first quarter of 2021 saw a couple of whipsaw events as investors shifted focus from optimism (due to increasing anticipated fiscal stimulus) to the reality of looming inflation concerns, rising yields, and potential vaccine deployment delays. This uncertainty caused elevated volatility repeatedly through the quarter. However, equities rallied starting at the end of March 2021 and through the summer, as investors deemed these economic pressures largely transitory. The equity rally retreated in September (due to the same familiar concerns – supply chains, labor shortages, and persisting inflation), leaving most equity indices with net losses for the third quarter.
Nonetheless, investor sentiment recovered as markets hiked to new highs through most of November 2021. Starting after the Thanksgiving holiday however, the confluence of the new COVID-19 Omicron variant and the needed hawkish pivot from the Federal Reserve resulted in heightened volatility that continued into the third week of December. Equities rebounded to end the year with strong December returns, as data suggested Omicron was a less severe strain of COVID-19, and yearly rebalancing activity buoyed stocks.
PERFORMANCE OVERVIEW
For the year ended December 31, 2021, DeltaShares® S&P EM 100 & Managed Risk ETF (NAV) returned -9.58%. By comparison, the S&P EM 100 (USD) Managed Risk 2.0 Index (the “Underlying Index”) returned -8.66% and the S&P EM 100 (USD) Index returned -8.11%.
The Fund’s performance reflects annual operating expenses of the Fund, including management fees, brokerage expenses, and other fees and expenses. Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
STRATEGY REVIEW
The DeltaShares® S&P EM 100 & Managed Risk ETF (the “Fund”) seeks to track the investment results, before fees and expenses, of the S&P EM 100 (USD) Managed Risk 2.0 Index (the “Underlying Index”).
The Fund seeks to achieve this investment objective by holding a portfolio of securities that are included in the Underlying Index, including common stocks and/or U.S. Treasury bill and bonds. 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 Index’s 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 S&P U.S. Treasury Bond Current 5-Year Index, and the S&P U.S. Treasury Bill 0-3 Month Index. Under normal circumstances, the Fund uses a replication strategy and generally expects to invest in substantially all the securities in the Underlying Index in approximately the same proportions as the Underlying Index. The Fund may also use derivatives for a variety of purposes, such as to gain exposure to underlying securities and markets in a more efficient manner, to optimize the execution processes and costs for portfolio transitions, or for tax management purposes.
The Fund entered 2021 with a 100% allocation to equities, reached a low equity allocation of 59%, and ended the year at 63%. The Fund’s risk management strategy resulted in an average equity allocation to the S&P EM 100 Index of 80% and the Fund returned -9.58% in 2021.
During 2021, the largest contributors to the Fund’s absolute total return were equities within the energy, financials, and information technology sectors. The largest sector detractors to the Fund in 2021 were consumer discretionary, communication services, and health care.
During the year, the fund utilized derivatives. These positions detracted from performance.
Charles Lowery, CFA
Louis Ng
Emma Westwick
Co-Portfolio Managers
Milliman Financial Risk Management LLC
Transamerica ETF Trust | Annual Report 2021 |
Page 33
DeltaShares® S&P EM 100 & Managed Risk ETF
(unaudited)
Asset Allocation | Percentage of Net Assets | |||
Common Stocks | 61.2 | % | ||
U.S. Government Obligation | 37.4 | |||
Short-Term Investment Company | 3.3 | |||
Preferred Stocks | 1.1 | |||
Other Investment Company | 0.0 | * | ||
Net Other Assets (Liabilities) ^ | (3.0 | ) | ||
Total | 100.0 | % | ||
|
|
Current and future portfolio holdings are subject to change and risk.
* | Percentage rounds to less than 0.1% or (0.1)%. |
^ | The Net Other Assets (Liabilities) category may include, but is not limited to, reverse repurchase agreements, forward foreign currency contracts, futures contracts, swap agreements, written options and swaptions, and cash collateral. |
Transamerica ETF Trust | Annual Report 2021 |
Page 34
DeltaShares® S&P EM 100 & Managed Risk ETF
(unaudited)
Performance as of December 31, 2021 | ||||||||||||||||||||||||||||
Average Annual Total Returns | Cumulative Total Returns | Inception Date | ||||||||||||||||||||||||||
1 Year | 10 Year or Since Inception | 1 Year | 10 Year or Since Inception | |||||||||||||||||||||||||
Fund NAV | (9.58 | )% | 2.92 | % | (9.58 | )% | 8.35 | % | 03/20/2019 | |||||||||||||||||||
Fund Market | (9.61 | )% | 2.81 | % | (9.61 | )% | 8.02 | % | 03/20/2019 | |||||||||||||||||||
S&P EM 100 (USD) Index (A) | (8.11 | )% | 7.82 | % | (8.11 | )% | 23.33 | % | ||||||||||||||||||||
S&P EM 100 (USD) Managed Risk 2.0 Index (A)(B)(C)(D) | (8.66 | )% | 4.11 | % | (8.66 | )% | 11.88 | % |
(A) The S&P EM 100 (USD) Index seeks to measure the performance of 100 of the largest companies from emerging markets plus Korea.
(B) The S&P EM 100 (USD) Managed Risk 2.0 Index is comprised of weightings amongst the S&P EM 100 (USD) 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 S&P EM 100 (USD) Managed Risk 2.0 Index rebalances on a daily basis.
(C) The S&P U.S. Treasury Bond Current 5-Year Index is a one-security index comprising the most recently issued 5-year U.S. Treasury note or bond.
(D) The S&P U.S. Treasury Bill 0-3 Month Index is designed to measure the performance of U.S. Treasury bills maturing in 0 to 3 months.
The Fund’s benchmarks are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or the Since Inception calculation is based on the previous 10 years or since the inception date, whichever is more recent. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, a Fund’s performance is negatively impacted by these deductions. You cannot invest directly in an index.
The performance data presented represents past performance and does not guarantee future results. Performance data does not reflect the deduction of taxes that would be paid on Fund distributions or the redemption of Fund shares. The Fund’s investment return and net asset value will fluctuate. Investors’ shares when sold may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please see www.deltashares.com for performance data current to the most recent month end. Fund performance is net of investment fees and Fund expenses.
Performance results do not include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles and may differ from amounts reported in the Financial Highlights.
Fund shares are bought and sold at Market Price, not Net Asset Value (“NAV”), and are not individually redeemed from the Fund. Net Asset Value is an exchange-traded fund’s per-share value. The per-share dollar amount of the Fund is derived by dividing the total value of all the securities in the portfolio, less any liabilities, by the number of Fund shares outstanding. Market Price is the price at which a share can currently be traded in the market. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated.
Exchange-Traded Funds (ETFs) are subject to market risk, including the loss of principal. Because Fund Shares trade at market prices rather than at net asset value (NAV), Fund Shares may trade at a price greater than NAV (premium) or less than NAV (discount). Shares of DeltaShares® ETFs may be bought and sold throughout the day on the exchange through any brokerage account. Buying and selling shares of ETFs will result in brokerage commissions. Diversification and asset allocation may not protect against market risk or loss of principal. Investing involves risk, including the possible loss of principal. There is no guarantee the Fund’s investment objective will be achieved. Investing in securities of foreign issuers or issuers with significant exposure to foreign markets involves additional risk. Foreign countries in which the Fund may invest may have markets that are less liquid, less regulated and more volatile than U.S. markets. The value of investments in securities denominated in foreign currencies increases or decreases as the rates of exchange between those currencies and the U.S. dollar change. The market prices of fixed income securities may go up or down, sometimes rapidly and unpredictably, due to general market conditions, such as real or perceived adverse economic or political conditions, inflation, changes in interest rates, lack of liquidity in the bond markets or adverse investor sentiment. As the prices of bonds in the Fund adjust to a rise in interest rates, the Fund’s share price may decline. The use of hedging and derivatives may produce disproportionate gains or losses, may increase costs, and amplify risks.
Transamerica ETF Trust | Annual Report 2021 |
Page 35
DeltaShares® S&P EM 100 & Managed Risk ETF
SCHEDULE OF INVESTMENTS
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS - 61.2% | ||||||||
Brazil - 3.0% | ||||||||
Ambev SA, ADR | 40,981 | $114,747 | ||||||
Banco Bradesco SA, ADR | 45,081 | 154,177 | ||||||
Itau Unibanco Holding SA, ADR | 45,056 | 168,960 | ||||||
Petroleo Brasileiro SA, ADR | 38,656 | 405,863 | ||||||
StoneCo Ltd., A Shares (A) | 2,155 | 36,333 | ||||||
Vale SA, ADR | 37,342 | 523,535 | ||||||
|
| |||||||
1,403,615 | ||||||||
|
| |||||||
China - 22.5% | ||||||||
Agricultural Bank of China Ltd., H Shares | 286,000 | 98,313 | ||||||
Alibaba Group Holding Ltd., ADR (A) | 9,289 | 1,103,440 | ||||||
ANTA Sports Products Ltd. | 10,600 | 158,940 | ||||||
Baidu, Inc., ADR (A) | 2,535 | 377,183 | ||||||
Bank of China Ltd., H Shares | 716,000 | 258,066 | ||||||
Bank of Communications Co. Ltd., H Shares | 199,000 | 120,222 | ||||||
BeiGene Ltd., ADR (A) | 483 | 130,859 | ||||||
Bilibili, Inc., ADR (A) (B) | 2,020 | 93,728 | ||||||
BYD Co. Ltd., H Shares | 7,000 | 239,370 | ||||||
China Construction Bank Corp., H Shares | 960,000 | 664,931 | ||||||
China Life Insurance Co. Ltd., H Shares | 69,000 | 114,347 | ||||||
China Merchants Bank Co. Ltd., H Shares | 35,000 | 271,828 | ||||||
China Petroleum & Chemical Corp., H Shares | 238,000 | 110,814 | ||||||
Country Garden Services Holdings Co. Ltd. | 17,000 | 101,830 | ||||||
Great Wall Motor Co. Ltd., H Shares | 29,000 | 99,688 | ||||||
Industrial & Commercial Bank of China Ltd., H Shares | 614,000 | 346,523 | ||||||
JD.com, Inc., ADR (A) | 8,344 | 584,664 | ||||||
LI Ning Co. Ltd. | 20,000 | 218,950 | ||||||
Meituan, Class B (A) (C) | 37,500 | 1,084,168 | ||||||
NetEase, Inc., ADR | 3,369 | 342,897 | ||||||
NIO, Inc., ADR (A) | 12,661 | 401,100 | ||||||
Pinduoduo, Inc., ADR (A) | 4,079 | 237,806 | ||||||
Ping An Insurance Group Co. of China Ltd., H Shares | 55,500 | 399,718 | ||||||
Shenzhou International Group Holdings Ltd. | 7,400 | 142,280 | ||||||
Smoore International Holdings Ltd. (C) | 16,000 | 81,577 | ||||||
Sunny Optical Technology Group Co. Ltd. | 6,600 | 208,761 | ||||||
Tencent Holdings Ltd. | 23,500 | 1,376,910 | ||||||
Trip.Com Group Ltd., ADR (A) | 4,293 | 105,694 | ||||||
Wuxi Biologics Cayman, Inc. (A) (C) | 30,500 | 362,066 | ||||||
Xiaomi Corp., Class B (A) (C) | 154,000 | 373,331 | ||||||
Yum China Holdings, Inc. | 3,913 | 195,024 | ||||||
ZTO Express Cayman, Inc., ADR | 3,926 | 110,792 | ||||||
|
| |||||||
10,515,820 | ||||||||
|
| |||||||
Hong Kong - 1.0% | ||||||||
China Mengniu Dairy Co. Ltd. (A) | 25,000 | 141,734 | ||||||
China Resources Land Ltd. | 26,000 | 109,385 | ||||||
Geely Automobile Holdings Ltd. | 47,000 | 128,407 | ||||||
Sino Biopharmaceutical Ltd. | 93,500 | 65,481 | ||||||
|
| |||||||
445,007 | ||||||||
|
| |||||||
Hungary - 0.2% | ||||||||
OTP Bank Nyrt (A) | 2,057 | 105,357 | ||||||
|
| |||||||
India - 4.9% | ||||||||
ICICI Bank Ltd., ADR | 23,841 | 471,813 | ||||||
Infosys Ltd., ADR | 34,313 | 868,462 | ||||||
Reliance Industries Ltd., GDR (C) | 15,031 | 961,233 | ||||||
|
| |||||||
2,301,508 | ||||||||
|
|
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Indonesia - 1.2% | ||||||||
Bank Central Asia Tbk PT | 516,000 | $ 264,290 | ||||||
Bank Rakyat Indonesia Persero Tbk PT | 606,900 | 175,012 | ||||||
Telkom Indonesia Persero Tbk PT | 442,300 | 125,374 | ||||||
|
| |||||||
564,676 | ||||||||
|
| |||||||
Kuwait - 0.7% | ||||||||
Kuwait Finance House KSCP | 45,523 | 125,311 | ||||||
National Bank of Kuwait SAKP | 66,877 | 220,600 | ||||||
|
| |||||||
345,911 | ||||||||
|
| |||||||
Malaysia - 0.6% | ||||||||
Malayan Banking Bhd. | 63,100 | 125,715 | ||||||
Public Bank Bhd. | 140,800 | 140,597 | ||||||
|
| |||||||
266,312 | ||||||||
|
| |||||||
Mexico - 1.7% | ||||||||
America Movil SAB de CV, Series L | 215,967 | 228,894 | ||||||
Fomento Economico Mexicano SAB de CV | 17,080 | 132,968 | ||||||
Grupo Financiero Banorte SAB de CV, Class O | 22,789 | 148,126 | ||||||
Grupo Mexico SAB de CV, Series B | 28,954 | 126,328 | ||||||
Wal-Mart de Mexico SAB de CV | 47,083 | 175,057 | ||||||
|
| |||||||
811,373 | ||||||||
|
| |||||||
Qatar - 0.5% | ||||||||
Qatar National Bank QPSC | 41,222 | 228,583 | ||||||
|
| |||||||
Republic of Korea - 11.1% | ||||||||
Celltrion, Inc. | 955 | 159,066 | ||||||
Hyundai Mobis Co. Ltd. | 617 | 132,094 | ||||||
Hyundai Motor Co. | 1,332 | 234,185 | ||||||
Kakao Corp. (A) | 2,896 | 274,069 | ||||||
KB Financial Group, Inc. | 3,636 | 168,227 | ||||||
Kia Corp. | 2,489 | 172,110 | ||||||
LG Chem Ltd. | 440 | 227,634 | ||||||
LG Corp. | 1,112 | 75,677 | ||||||
LG Electronics, Inc. (A) | 1,005 | 116,669 | ||||||
LG Household & Health Care Ltd. | 78 | 71,980 | ||||||
NAVER Corp. | 1,375 | 437,802 | ||||||
NCSoft Corp. | 149 | 80,595 | ||||||
POSCO | 706 | 163,026 | ||||||
Samsung Biologics Co. Ltd. (A) (C) | 154 | 116,982 | ||||||
Samsung C&T Corp. | 834 | 83,488 | ||||||
Samsung Electronics Co. Ltd. | 24,254 | 1,597,551 | ||||||
Samsung SDI Co. Ltd. (A) | 512 | 282,111 | ||||||
Shinhan Financial Group Co. Ltd. | 4,805 | 148,748 | ||||||
SK Hynix, Inc. (A) | 5,011 | 552,211 | ||||||
SK Innovation Co. Ltd. (A) | 482 | 96,704 | ||||||
|
| |||||||
5,190,929 | ||||||||
|
| |||||||
Republic of South Africa - 1.5% | ||||||||
FirstRand Ltd. | 52,156 | 198,689 | ||||||
MTN Group Ltd. (A) | 15,943 | 170,528 | ||||||
Naspers Ltd., N Shares | 2,025 | 313,647 | ||||||
|
| |||||||
682,864 | ||||||||
|
| |||||||
Russian Federation - 4.4% | ||||||||
Gazprom PJSC, ADR | 56,129 | 518,632 | ||||||
Lukoil PJSC, ADR | 3,350 | 299,825 | ||||||
MMC Norilsk Nickel PJSC, ADR | 5,591 | 172,930 | ||||||
Novatek PJSC, GDR | 903 | 211,483 | ||||||
Rosneft Oil Co. PJSC, GDR | 20,694 | 166,421 | ||||||
Sberbank of Russia PJSC, ADR | 25,089 | 402,678 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 36
DeltaShares® S&P EM 100 & Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Russian Federation (continued) | ||||||||
Tatneft PJSC, ADR | 2,431 | $ 100,911 | ||||||
Yandex NV, Class A (A) | 2,986 | 180,653 | ||||||
|
| |||||||
2,053,533 | ||||||||
|
| |||||||
Saudi Arabia - 3.0% | ||||||||
Al Rajhi Bank | 11,390 | 430,189 | ||||||
Saudi Arabian Oil Co. (C) | 18,596 | 177,322 | ||||||
Saudi Basic Industries Corp. | 8,368 | 258,547 | ||||||
Saudi National Bank | 20,402 | 349,960 | ||||||
Saudi Telecom Co. | 5,579 | 167,025 | ||||||
|
| |||||||
1,383,043 | ||||||||
|
| |||||||
Taiwan - 4.2% | ||||||||
ASE Technology Holding Co. Ltd., ADR | 15,893 | 124,124 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 13,009 | 1,565,113 | ||||||
United Microelectronics Corp., ADR (B) | 21,485 | 251,375 | ||||||
|
| |||||||
1,940,612 | ||||||||
|
| |||||||
Thailand - 0.2% | ||||||||
PTT PCL, NVDR | 79,700 | 90,663 | ||||||
|
| |||||||
United Arab Emirates - 0.5% | ||||||||
First Abu Dhabi Bank PJSC | 40,530 | 207,889 | ||||||
|
| |||||||
Total Common Stocks |
| 28,537,695 | ||||||
|
| |||||||
PREFERRED STOCKS - 1.1% | ||||||||
Republic of Korea - 1.1% | ||||||||
Hyundai Motor Co. | ||||||||
0.99% (D) | 339 | 28,803 | ||||||
1.02% (D) | 227 | 18,809 | ||||||
LG Chem Ltd., | 72 | 17,383 | ||||||
Samsung Electronics Co. Ltd., | 7,654 | 458,435 | ||||||
|
| |||||||
Total Preferred Stocks |
| 523,430 | ||||||
|
|
Principal | Value | |||||||
U.S. GOVERNMENT OBLIGATION - 37.4% | ||||||||
U.S. Treasury - 37.4% | ||||||||
U.S. Treasury Note | $17,478,000 | $ 17,473,945 | ||||||
|
| |||||||
Total U.S. Government Obligation |
| 17,473,945 | ||||||
|
| |||||||
Shares | Value | |||||||
SHORT-TERM INVESTMENT COMPANY - 3.3% | ||||||||
Money Market Fund - 3.3% | ||||||||
State Street Institutional Treasury Money Market Fund, 0.01% (D) | 1,515,521 | 1,515,521 | ||||||
|
| |||||||
Total Short-Term Investment Company |
| 1,515,521 | ||||||
|
| |||||||
OTHER INVESTMENT COMPANY - 0.0% (E) | ||||||||
Securities Lending Collateral - 0.0% (E) | ||||||||
State Street Navigator Securities Lending Trust - Government Money Market Portfolio, 0.03% (D) | 8,265 | 8,265 | ||||||
|
| |||||||
Total Other Investment Company |
| 8,265 | ||||||
|
| |||||||
Total Investments |
| 48,058,856 | ||||||
Net Other Assets (Liabilities) - (3.0)% | (1,388,883 | ) | ||||||
|
| |||||||
Net Assets - 100.0% | $46,669,973 | |||||||
|
|
FUTURES CONTRACTS:
Long Futures Contracts | ||||||||||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
MSCI Emerging Markets Index | 2 | 03/18/2022 | $ | 121,063 | $ | 122,630 | $ | 1,567 | $ | — |
INVESTMENTS BY INDUSTRY (unaudited):
Industry | Percentage of Total Investments | Value | ||||||
U.S. Government Obligation | 36.4 | % | $ | 17,473,945 | ||||
Banks | 12.1 | 5,796,115 | ||||||
Internet & Direct Marketing Retail | 6.9 | 3,323,725 | ||||||
Oil, Gas & Consumable Fuels | 6.5 | 3,139,871 | ||||||
Interactive Media & Services | 5.5 | 2,646,617 | ||||||
Semiconductors & Semiconductor Equipment | 5.2 | 2,492,823 | ||||||
Technology Hardware, Storage & Peripherals | 5.1 | 2,429,317 | ||||||
Money Market Fund | 3.2 | 1,515,521 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 37
DeltaShares® S&P EM 100 & Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
INVESTMENTS BY INDUSTRY (unaudited) (continued):
Industry | Percentage of Total Investments | Value | ||||||
Automobiles | 2.8 | % | $ | 1,322,472 | ||||
Metals & Mining | 2.1 | 985,819 | ||||||
IT Services | 1.9 | 904,795 | ||||||
Textiles, Apparel & Luxury Goods | 1.1 | 520,170 | ||||||
Entertainment | 1.1 | 517,220 | ||||||
Insurance | 1.1 | 514,065 | ||||||
Chemicals | 1.0 | 503,564 | ||||||
Electronic Equipment, Instruments & Components | 1.0 | 490,872 | ||||||
Life Sciences Tools & Services | 1.0 | 479,048 | ||||||
Wireless Telecommunication Services | 0.8 | 399,422 | ||||||
Hotels, Restaurants & Leisure | 0.6 | 300,718 | ||||||
Diversified Telecommunication Services | 0.6 | 292,399 | ||||||
Biotechnology | 0.6 | 289,925 | ||||||
Beverages | 0.5 | 247,715 | ||||||
Real Estate Management & Development | 0.4 | 211,215 | ||||||
Diversified Financial Services | 0.4 | 198,689 | ||||||
Food & Staples Retailing | 0.4 | 175,057 | ||||||
Industrial Conglomerates | 0.3 | 159,165 | ||||||
Food Products | 0.3 | 141,734 | ||||||
Auto Components | 0.3 | 132,094 | ||||||
Household Durables | 0.2 | 116,669 | ||||||
Air Freight & Logistics | 0.2 | 110,792 | ||||||
Tobacco | 0.2 | 81,577 | ||||||
Personal Products | 0.1 | 71,980 | ||||||
Pharmaceuticals | 0.1 | 65,481 | ||||||
|
|
|
| |||||
Investments | 100.0 | 48,050,591 | ||||||
Short-Term Investments | 0.0 | (E) | 8,265 | |||||
|
|
|
| |||||
Total Investments | 100.0 | % | $ | 48,058,856 | ||||
|
|
|
|
INVESTMENT VALUATION:
Valuation Inputs (F)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | Value | |||||||||||||
ASSETS |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks | $ | 12,027,407 | $ | 16,510,288 | $ | — | $ | 28,537,695 | ||||||||
Preferred Stocks | — | 523,430 | — | 523,430 | ||||||||||||
U.S. Government Obligation | — | 17,473,945 | — | 17,473,945 | ||||||||||||
Short-Term Investment Company | 1,515,521 | — | — | 1,515,521 | ||||||||||||
Other Investment Company | 8,265 | — | — | 8,265 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 13,551,193 | $ | 34,507,663 | $ | — | $ | 48,058,856 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments |
| |||||||||||||||
Futures Contracts (G) | $ | 1,567 | $ | — | $ | — | $ | 1,567 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 1,567 | $ | — | $ | — | $ | 1,567 | ||||||||
|
|
|
|
|
|
|
|
FOOTNOTES TO SCHEDULE OF INVESTMENTS:
(A) | Non-income producing securities. | |
(B) | All or a portion of the securities are on loan. The total value of all securities on loan is $246,145, collateralized by cash collateral of $8,265 and non-cash collateral, such as U.S. government securities and irrevocable letters of credit, of $244,176. The amount of securities on loan indicated may not correspond with the securities on loan identified because securities with pending sales are in the process of recall from the brokers. |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 38
DeltaShares® S&P EM 100 & Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
FOOTNOTES TO SCHEDULE OF INVESTMENTS (continued):
(C) | Securities are exempt from registration pursuant to Rule 144A of the Securities Act of 1933. Securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2021, the total value of 144A securities is $3,156,679, representing 6.8% of the Fund’s net assets. | |
(D) | Rates disclosed reflect the yields at December 31, 2021. | |
(E) | Percentage rounds to less than 0.1% or (0.1)%. | |
(F) | There were no transfers in or out of Level 3 during the year ended December 31, 2021. Please reference the Investment Valuation section of the Notes to Financial Statements for more information regarding investment valuation and pricing inputs. | |
(G) | Derivative instruments are valued at unrealized appreciation (depreciation). |
PORTFOLIO ABBREVIATIONS:
ADR | American Depositary Receipt | |
GDR | Global Depositary Receipt | |
NVDR | Non-Voting Depository Receipt |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 39
DeltaShares® S&P International Managed Risk ETF
(unaudited)
MARKET ENVIRONMENT
2021 was a strong year for global developed markets and a stellar one for U.S. stocks, bolstered by robust corporate earnings, strong economic activity, and historic fiscal and monetary stimuli. The rebound off the 2020 pandemic lows continued in 2021 despite headwinds from COVID-19 variants and supply chain disruptions (both hammering emerging markets), as well as increasing inflation and the need for accelerated Central Bank tapering (which especially affected domestic growth stocks). On a total return basis, the S&P 500® Index led the pack with a gain of 28.71% and reached new record highs 70 times in 2021. Moreover, it has now finished higher in 12 of the last 13 years and has doubled in value over the last three. The MSCI EAFE Index also performed well in 2021, closing the year with a gain of 11.78%, while the MSCI Emerging Markets Index proved to be more sensitive to the inflationary and supply chain pressures. Coupled with China’s economic slowdown, the Index had its weakest return since 2018, at -2.22%. Fixed income investments were also negatively impacted by the environment, with the Bloomberg US Aggregate Bond Index realizing a loss of 1.54% for the year.
The first quarter of 2021 saw a couple of whipsaw events as investors shifted focus from optimism (due to increasing anticipated fiscal stimulus) to the reality of looming inflation concerns, rising yields, and potential vaccine deployment delays. This uncertainty caused elevated volatility repeatedly through the quarter. However, equities rallied starting at the end of March 2021 and through the summer, as investors deemed these economic pressures largely transitory. The equity rally retreated in September (due to the same familiar concerns – supply chains, labor shortages, and persisting inflation), leaving most equity indices with net losses for the third quarter.
Nonetheless, investor sentiment recovered as markets hiked to new highs through most of November 2021. Starting after the Thanksgiving holiday however, the confluence of the new COVID-19 Omicron variant and the needed hawkish pivot from the Federal Reserve resulted in heightened volatility that continued into the third week of December. Equities rebounded to end the year with strong December returns, as data suggested Omicron was a less severe strain of COVID-19 and yearly rebalancing activity buoyed stocks.
PERFORMANCE OVERVIEW
For the year ended December 31, 2021, DeltaShares® S&P International Managed Risk ETF (NAV) returned 10.15%. By comparison, the S&P EPAC Ex. Korea LargeMidCap Managed Risk 2.0 Index (the “Underlying Index”) returned 11.00% and the S&P EPAC Ex. Korea LargeMidCap Index returned 11.49%.
The Fund’s performance reflects annual operating expenses of the Fund, including management fees, brokerage expenses, and other fees and expenses. Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
STRATEGY REVIEW
The DeltaShares® S&P International Managed Risk ETF (the “Fund”) seeks to track the investment results, before fees and expenses, of the S&P EPAC Ex. Korea LargeMidCap Managed Risk 2.0 Index (the “Underlying Index”).
The Fund seeks to achieve this investment objective by holding a portfolio of securities that are included in the Underlying Index, including common stocks and/or U.S. Treasury bill and bonds. The Underlying Index is designed to simulate, through a rules-based methodology, a dynamic portfolio with the aim of managing the volatility of the Underlying Index and of limiting losses from the Underlying Index’s equity exposure due to severe sustained market declines. The Underlying Index seeks to achieve these objectives by allocating weightings among the S&P EPAC Ex. Korea LargeMidCap Index, the S&P U.S. Treasury Bond Current 5-Year Index, and the S&P U.S. Treasury Bill 0-3 Month Index. Under normal circumstances, the Fund uses a replication strategy and generally expects to invest in substantially all the securities in the Underlying Index in approximately the same proportions as the Underlying Index. The Fund may also use derivatives for a variety of purposes, such as to gain exposure to underlying securities and markets in a more efficient manner, to optimize the execution processes and costs for portfolio transitions, or for tax management purposes.
The Fund entered 2021 with a 96% allocation to equities, reached a low equity allocation of 91%, and ended the year at 100%. The Fund’s risk management strategy resulted in an average equity allocation to the S&P EPAC Ex. Korea LargeMidCap Index of 99% and the Fund returned 10.15% in 2021.
During 2021, the largest contributors to the Fund’s absolute total return were equities within financials, industrials, and information technology sectors. The largest sector detractors to the Fund in 2021 were communication services and utilities.
During the year, the fund utilized derivatives. These positions added to performance.
Charles Lowery, CFA
Louis Ng
Emma Westwick
Co-Portfolio Managers
Milliman Financial Risk Management LLC
Transamerica ETF Trust | Annual Report 2021 |
Page 40
DeltaShares® S&P International Managed Risk ETF
(unaudited)
Asset Allocation | Percentage of Net Assets | |||
Common Stocks | 98.9 | % | ||
Other Investment Company | 1.3 | |||
Preferred Stocks | 0.4 | |||
Short-Term Investment Company | 0.0 | * | ||
Right | 0.0 | * | ||
Net Other Assets (Liabilities) ^ | (0.6 | ) | ||
Total | 100.0 | % | ||
|
|
Current and future portfolio holdings are subject to change and risk.
* | Percentage rounds to less than 0.1% or (0.1)%. |
^ | The Net Other Assets (Liabilities) category may include, but is not limited to, reverse repurchase agreements, forward foreign currency contracts, futures contracts, swap agreements, written options and swaptions, and cash collateral. |
Transamerica ETF Trust | Annual Report 2021 |
Page 41
DeltaShares® S&P International Managed Risk ETF
(unaudited)
Performance as of December 31, 2021 | ||||||||||||||||||||||||||||
Average Annual Total Returns | Cumulative Total Returns | Inception Date | ||||||||||||||||||||||||||
1 Year | 10 Year or Since Inception | 1 Year | 10 Year or Since Inception | |||||||||||||||||||||||||
Fund NAV | 10.15 | % | 3.57 | % | 10.15 | % | 16.79 | % | 07/31/2017 | |||||||||||||||||||
Fund Market | 11.58 | % | 3.58 | % | 11.58 | % | 16.82 | % | 07/31/2017 | |||||||||||||||||||
S&P EPAC Ex. Korea LargeMidCap Index (A) | 11.49 | % | 7.70 | % | 11.49 | % | 38.84 | % | ||||||||||||||||||||
S&P EPAC Ex. Korea LargeMidCap Managed Risk 2.0 Index (A)(B)(C)(D) | 11.00 | % | 4.26 | % | 11.00 | % | 20.23 | % |
(A) The S&P EPAC Ex. Korea LargeMidCap Index is designed to measure the performance of developed markets within the Europe and Asia Pacific regions, excluding Korea.
(B) The S&P EPAC Ex. Korea LargeMidCap Managed Risk 2.0 Index is comprised of weightings amongst the S&P EPAC Ex. Korea LargeMidCap 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 S&P EPAC Ex. Korea LargeMidCap Managed Risk 2.0 Index rebalances on a daily basis.
(C) The S&P U.S. Treasury Bond Current 5-Year Index is a one-security index comprising the most recently issued 5-year U.S. Treasury note or bond.
(D) The S&P U.S. Treasury Bill 0-3 Month Index is designed to measure the performance of U.S. Treasury bills maturing in 0 to 3 months.
The Fund’s benchmarks are unmanaged indices used as a general measure of market performance. Calculations assume dividends and capital gains are reinvested and do not include any managerial expenses. The 10 Years or the Since Inception calculation is based on the previous 10 years or since the inception date, whichever is more recent. An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, a Fund’s performance is negatively impacted by these deductions. You cannot invest directly in an index.
The performance data presented represents past performance and does not guarantee future results. Performance data does not reflect the deduction of taxes that would be paid on Fund distributions or the redemption of Fund shares. The Fund’s investment return and net asset value will fluctuate. Investors’ shares when sold may be worth more or less than their original cost. Current performance may be lower or higher than performance quoted. Please see www.deltashares.com for performance data current to the most recent month end. Fund performance is net of investment fees and Fund expenses.
Performance results do not include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles and may differ from amounts reported in the Financial Highlights.
Fund shares are bought and sold at Market Price, not Net Asset Value (“NAV”), and are not individually redeemed from the Fund. Net Asset Value is an exchange-traded fund’s per-share value. The per-share dollar amount of the Fund is derived by dividing the total value of all the securities in the portfolio, less any liabilities, by the number of Fund shares outstanding. Market Price is the price at which a share can currently be traded in the market. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Fund are listed for trading, as of the time that the Fund’s NAV is calculated.
Exchange-Traded Funds (ETFs) are subject to market risk, including the loss of principal. Because Fund Shares trade at market prices rather than at NAV, Fund Shares may trade at a price greater than NAV (premium) or less than NAV (discount). Shares of DeltaShares® ETFs may be bought and sold throughout the day on the exchange through any brokerage account. Buying and selling shares of ETFs will result in brokerage commissions. Diversification and asset allocation may not protect against market risk or loss of principal. Investing involves risk, including the possible loss of principal. There is no guarantee the investment objective will be achieved. Investing in securities of foreign issuers or issuers with significant exposure to foreign markets involves additional risk. Foreign countries in which the Fund may invest may have markets that are less liquid, less regulated and more volatile than U.S. markets. The value of investments in securities denominated in foreign currencies increases or decreases as the rates of exchange between those currencies and the U.S. dollar change. The principal risks include risks related to: Equity securities, geographic focus, index tracking, leveraging, derivatives such as futures, forwards, swaps, options, and investing in underlying exchange traded funds. The use of derivatives may produce disproportionate gains or losses, may increase costs, and amplify risks.
Transamerica ETF Trust | Annual Report 2021 |
Page 42
DeltaShares® S&P International Managed Risk ETF
SCHEDULE OF INVESTMENTS
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS - 98.9% | ||||||||
Australia - 7.4% | ||||||||
Afterpay Ltd. (A) | 2,471 | $149,131 | ||||||
AGL Energy Ltd. | 6,442 | 28,758 | ||||||
Allkem Ltd. (A) | 5,801 | 43,863 | ||||||
ALS Ltd. | 4,720 | 44,886 | ||||||
Alumina Ltd. | 22,997 | 31,183 | ||||||
Ampol Ltd. | 2,332 | 50,288 | ||||||
APA Group (B) | 11,545 | 84,442 | ||||||
Aristocrat Leisure Ltd. | 6,552 | 207,551 | ||||||
ASX Ltd. (B) | 1,894 | 127,926 | ||||||
Atlas Arteria Ltd. | 9,384 | 47,213 | ||||||
Atlassian Corp. PLC, Class A (A) | 1,374 | 523,892 | ||||||
Aurizon Holdings Ltd. | 18,010 | 45,699 | ||||||
AusNet Services Ltd. (B) | 18,737 | 35,010 | ||||||
Australia & New Zealand Banking Group Ltd. | 27,608 | 552,192 | ||||||
Bank of Queensland Ltd. (B) | 6,271 | 36,885 | ||||||
Bendigo & Adelaide Bank Ltd. (B) | 5,487 | 36,303 | ||||||
BHP Group Ltd. (B) | 28,867 | 870,992 | ||||||
BHP Group PLC | 20,663 | 615,574 | ||||||
BlueScope Steel Ltd. | 4,876 | 74,092 | ||||||
Boral Ltd. (A) | 3,238 | 14,361 | ||||||
Brambles Ltd. | 14,035 | 108,470 | ||||||
carsales.com Ltd. | 2,765 | 50,438 | ||||||
Charter Hall Group, REIT | 4,557 | 68,185 | ||||||
CIMIC Group Ltd. | 640 | 7,864 | ||||||
Cochlear Ltd. (B) | 644 | 101,192 | ||||||
Coles Group Ltd. | 13,052 | 170,241 | ||||||
Commonwealth Bank of Australia | 16,696 | 1,226,022 | ||||||
Computershare Ltd. | 5,612 | 81,604 | ||||||
Crown Resorts Ltd. (A) (B) | 3,512 | 30,539 | ||||||
CSL Ltd. | 4,684 | 990,048 | ||||||
Dexus, REIT | 10,524 | 85,084 | ||||||
Domino’s Pizza Enterprises Ltd. (B) | 618 | 53,033 | ||||||
Endeavour Group Ltd. (B) | 12,442 | 60,970 | ||||||
Evolution Mining Ltd. | 17,934 | 52,938 | ||||||
Fortescue Metals Group Ltd. | 16,569 | 231,413 | ||||||
Goodman Group, REIT | 16,635 | 320,504 | ||||||
GPT Group, REIT | 18,743 | 73,859 | ||||||
Harvey Norman Holdings Ltd. (B) | 6,340 | 22,771 | ||||||
IDP Education Ltd. | 2,043 | 51,468 | ||||||
IGO Ltd. | 6,594 | 54,989 | ||||||
Incitec Pivot Ltd. | 19,004 | 44,767 | ||||||
Insurance Australia Group Ltd. (B) | 24,120 | 74,705 | ||||||
JB Hi-Fi Ltd. | 1,124 | 39,487 | ||||||
Lendlease Corp. Ltd. (B) | 6,740 | 52,384 | ||||||
Macquarie Group Ltd. | 3,463 | 517,151 | ||||||
Magellan Financial Group Ltd. (B) | 1,413 | 21,820 | ||||||
Medibank Pvt Ltd. | 26,947 | 65,633 | ||||||
Mineral Resources Ltd. | 1,626 | 66,202 | ||||||
Mirvac Group, REIT | 38,577 | 81,618 | ||||||
National Australia Bank Ltd. | 32,113 | 673,349 | ||||||
Newcrest Mining Ltd. | 8,003 | 142,439 | ||||||
NEXTDC Ltd. (A) | 4,477 | 41,631 | ||||||
Northern Star Resources Ltd. | 11,395 | 77,959 | ||||||
Orica Ltd. (B) | 3,987 | 39,684 | ||||||
Origin Energy Ltd. (B) | 17,233 | 65,653 | ||||||
OZ Minerals Ltd. | 3,265 | 66,989 | ||||||
Pilbara Minerals Ltd. (A) | 25,278 | 58,811 | ||||||
Pro Medicus Ltd. (B) | 470 | 21,337 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Australia (continued) | ||||||||
Qantas Airways Ltd. (A) | 9,042 | $ 32,936 | ||||||
QBE Insurance Group Ltd. | 14,447 | 119,217 | ||||||
Qube Holdings Ltd. | 18,788 | 43,302 | ||||||
Ramsay Health Care Ltd. | 1,814 | 94,299 | ||||||
REA Group Ltd. (B) | 504 | 61,429 | ||||||
Reece Ltd. | 2,781 | 54,653 | ||||||
Rio Tinto Ltd. | 3,632 | 264,355 | ||||||
Santos Ltd. (B) | 29,825 | 136,828 | ||||||
Scentre Group, REIT | 50,785 | 116,677 | ||||||
SEEK Ltd. | 3,463 | 82,533 | ||||||
Seven Group Holdings Ltd. (B) | 1,528 | 23,996 | ||||||
Sonic Healthcare Ltd. | 4,693 | 159,104 | ||||||
South32 Ltd. | 45,632 | 133,039 | ||||||
Stockland, REIT | 23,357 | 72,002 | ||||||
Suncorp Group Ltd. | 12,553 | 101,032 | ||||||
Sydney Airport (A) (B) | 12,939 | 81,655 | ||||||
Tabcorp Holdings Ltd. (B) | 21,778 | 79,485 | ||||||
Telstra Corp. Ltd. | 40,730 | 123,781 | ||||||
TPG Telecom Ltd. | 3,639 | 15,583 | ||||||
Transurban Group | 30,036 | 301,797 | ||||||
Treasury Wine Estates Ltd. | 7,063 | 63,573 | ||||||
Vicinity Centres, REIT (B) | 37,861 | 46,520 | ||||||
Washington H Soul Pattinson & Co. Ltd. (B) | 2,401 | 51,689 | ||||||
Wesfarmers Ltd. | 11,094 | 478,307 | ||||||
Westpac Banking Corp. | 35,895 | 557,181 | ||||||
WiseTech Global Ltd. | 1,590 | 67,719 | ||||||
Woodside Petroleum Ltd. (B) | 9,487 | 151,263 | ||||||
Woolworths Group Ltd. | 11,859 | 327,726 | ||||||
Worley Ltd. | 3,638 | 28,116 | ||||||
|
| |||||||
13,483,289 | ||||||||
|
| |||||||
Austria - 0.4% | ||||||||
ams AG (A) | 2,683 | 48,866 | ||||||
ANDRITZ AG | 702 | 36,227 | ||||||
BAWAG Group AG (C) | 680 | 41,913 | ||||||
CA Immobilien Anlagen AG | 458 | 17,188 | ||||||
Erste Group Bank AG | 3,321 | 156,164 | ||||||
EVN AG | 370 | 11,192 | ||||||
Mayr Melnhof Karton AG | 84 | 16,870 | ||||||
Oesterreichische Post AG | 311 | 13,369 | ||||||
OMV AG | 1,409 | 80,035 | ||||||
Raiffeisen Bank International AG | 1,319 | 38,819 | ||||||
Strabag SE | 141 | 5,877 | ||||||
Telekom Austria AG (A) | 1,365 | 11,828 | ||||||
Verbund AG | 666 | 74,904 | ||||||
Vienna Insurance Group AG Wiener Versicherung Gruppe | 351 | 9,939 | ||||||
voestalpine AG | 1,083 | 39,411 | ||||||
Wienerberger AG | 1,127 | 41,448 | ||||||
|
| |||||||
644,050 | ||||||||
|
| |||||||
Belgium - 0.9% | ||||||||
Ackermans & van Haaren NV | 220 | 42,206 | ||||||
Ageas SA | 1,775 | 91,944 | ||||||
Anheuser-Busch InBev SA | 8,493 | 513,528 | ||||||
D’ieteren Group | 233 | 45,468 | ||||||
Elia Group SA (B) | 329 | 43,288 | ||||||
Etablissements Franz Colruyt NV | 562 | 23,813 | ||||||
Groupe Bruxelles Lambert SA | 1,010 | 112,744 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 43
DeltaShares® S&P International Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Belgium (continued) | ||||||||
KBC Group NV | 3,302 | $ 283,355 | ||||||
Proximus SADP | 1,521 | 29,647 | ||||||
Sofina SA | 154 | 75,656 | ||||||
Solvay SA (B) | 715 | 83,098 | ||||||
UCB SA | 1,237 | 141,164 | ||||||
Umicore SA (B) | 1,953 | 79,399 | ||||||
Warehouses de Pauw CVA, REIT | 1,374 | 65,907 | ||||||
|
| |||||||
1,631,217 | ||||||||
|
| |||||||
Chile - 0.0% (D) | ||||||||
Antofagasta PLC | 3,376 | 61,205 | ||||||
|
| |||||||
China - 0.1% | ||||||||
China Evergrande New Energy Vehicle Group Ltd. (A) (B) | 32,500 | 14,674 | ||||||
ENN Energy Holdings Ltd. | 7,400 | 139,338 | ||||||
Fosun International Ltd. | 23,000 | 24,810 | ||||||
|
| |||||||
178,822 | ||||||||
|
| |||||||
Czech Republic - 0.0% (D) | ||||||||
Avast PLC (C) | 6,381 | 52,479 | ||||||
|
| |||||||
Denmark - 2.5% | ||||||||
AP Moller - Maersk A/S, Class A | 30 | 99,904 | ||||||
AP Moller - Maersk A/S, Class B | 58 | 207,958 | ||||||
Carlsberg AS, Class B | 982 | 169,591 | ||||||
Chr Hansen Holding A/S | 1,006 | 79,277 | ||||||
Coloplast A/S, Class B | 1,162 | 204,497 | ||||||
Danske Bank A/S | 6,663 | 115,070 | ||||||
Demant A/S (A) | 987 | 50,571 | ||||||
DSV A/S | 2,089 | 487,894 | ||||||
Genmab A/S (A) | 643 | 258,567 | ||||||
GN Store Nord A/S | 1,352 | 85,024 | ||||||
Novo Nordisk A/S, Class B | 16,126 | 1,812,256 | ||||||
Novozymes A/S, B Shares | 2,054 | 168,710 | ||||||
Orsted AS (C) | 1,850 | 236,248 | ||||||
Pandora A/S | 978 | 121,931 | ||||||
ROCKWOOL International A/S, B Shares | 69 | 30,173 | ||||||
Tryg A/S | 3,522 | 86,970 | ||||||
Vestas Wind Systems A/S | 9,879 | 302,099 | ||||||
|
| |||||||
4,516,740 | ||||||||
|
| |||||||
Finland - 1.3% | ||||||||
Elisa OYJ | 1,473 | 90,656 | ||||||
Fortum OYJ | 4,258 | 130,691 | ||||||
Huhtamaki OYJ | 938 | 41,484 | ||||||
Kesko OYJ, B Shares | 2,672 | 89,153 | ||||||
Kojamo OYJ | 1,475 | 35,627 | ||||||
Kone OYJ, Class B | 3,945 | 282,813 | ||||||
Metso Outotec OYJ | 6,893 | 73,276 | ||||||
Neste OYJ | 4,214 | 207,788 | ||||||
Nokia OYJ (A) | 52,742 | 334,319 | ||||||
Nordea Bank Abp | 34,496 | 421,015 | ||||||
Orion OYJ, Class B (B) | 1,039 | 43,150 | ||||||
Sampo OYJ, A Shares | 4,933 | 247,168 | ||||||
Stora Enso OYJ, R Shares | 5,990 | 109,943 | ||||||
UPM-Kymmene OYJ | 5,221 | 198,663 | ||||||
Wartsila OYJ Abp | 4,746 | 66,709 | ||||||
|
| |||||||
2,372,455 | ||||||||
|
| |||||||
France - 9.8% | ||||||||
Aeroports de Paris (A) (B) | 252 | 32,469 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
France (continued) | ||||||||
Air Liquide SA | 4,636 | $ 808,312 | ||||||
Airbus SE (A) | 5,999 | 766,527 | ||||||
Alstom SA (B) | 2,885 | 102,427 | ||||||
Amundi SA (C) | 596 | 49,172 | ||||||
AXA SA | 20,122 | 599,184 | ||||||
BioMerieux | 463 | 65,763 | ||||||
BNP Paribas SA | 11,249 | 777,392 | ||||||
Bollore SA | 8,939 | 50,014 | ||||||
Bouygues SA | 2,133 | 76,384 | ||||||
Bureau Veritas SA | 2,832 | 93,976 | ||||||
Capgemini SE | 1,536 | 376,422 | ||||||
Carrefour SA | 6,073 | 111,225 | ||||||
Christian Dior SE | 35 | 29,055 | ||||||
Cie de Saint-Gobain | 5,210 | 366,568 | ||||||
Cie Generale des Etablissements Michelin SCA | 1,745 | 286,053 | ||||||
Credit Agricole SA | 13,613 | 194,283 | ||||||
Danone SA | 6,728 | 417,672 | ||||||
Dassault Systemes SE | 6,764 | 402,370 | ||||||
Electricite de France SA | 4,634 | 54,437 | ||||||
Engie SA | 17,392 | 257,393 | ||||||
EssilorLuxottica SA | 2,942 | 626,438 | ||||||
Hermes International | 341 | 595,638 | ||||||
Kering SA | 722 | 580,406 | ||||||
L’Oreal SA | 2,401 | 1,138,447 | ||||||
Legrand SA | 2,617 | 306,236 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 2,617 | 2,163,590 | ||||||
Orange SA | 18,477 | 197,786 | ||||||
Pernod Ricard SA | 1,973 | 474,541 | ||||||
Publicis Groupe SA | 2,305 | 155,178 | ||||||
Safran SA | 3,427 | 419,571 | ||||||
Sanofi | 11,249 | 1,133,147 | ||||||
Sartorius Stedim Biotech | 234 | 128,369 | ||||||
Schneider Electric SE | 5,567 | 1,091,808 | ||||||
Societe Generale SA | 7,764 | 266,687 | ||||||
Sodexo SA | 808 | 70,807 | ||||||
Teleperformance | 575 | 256,325 | ||||||
Thales SA | 1,044 | 88,805 | ||||||
TotalEnergies SE | 24,282 | 1,232,390 | ||||||
Veolia Environnement SA | 6,345 | 232,773 | ||||||
Vinci SA | 5,093 | 538,112 | ||||||
Vivendi SE | 7,917 | 107,048 | ||||||
Worldline SA (A) (C) | 2,442 | 136,103 | ||||||
|
| |||||||
17,857,303 | ||||||||
|
| |||||||
Germany - 7.5% | ||||||||
adidas AG | 1,823 | 524,913 | ||||||
Allianz SE | 4,033 | 952,351 | ||||||
Auto1 Group SE (A) (C) | 1,000 | 22,107 | ||||||
BASF SE | 8,985 | 631,252 | ||||||
Bayer AG | 9,610 | 513,639 | ||||||
Bayerische Motoren Werke AG | 3,121 | 314,069 | ||||||
Beiersdorf AG | 961 | 98,772 | ||||||
BioNTech SE, ADR (A) | 803 | 207,013 | ||||||
Brenntag SE | 1,511 | 136,743 | ||||||
Carl Zeiss Meditec AG | 359 | 75,466 | ||||||
Continental AG (A) | 1,056 | 111,814 | ||||||
Covestro AG (C) | 1,890 | 116,493 | ||||||
CureVac NV (A) | 823 | 28,237 | ||||||
Daimler AG | 8,163 | 627,435 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 44
DeltaShares® S&P International Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Germany (continued) | ||||||||
Daimler Truck Holding AG (A) | 4,081 | $ 149,855 | ||||||
Delivery Hero SE (A) (C) | 1,856 | 206,843 | ||||||
Deutsche Bank AG (A) | 20,217 | 253,312 | ||||||
Deutsche Boerse AG | 1,859 | 310,977 | ||||||
Deutsche Post AG | 9,696 | 623,426 | ||||||
Deutsche Telekom AG | 33,169 | 614,832 | ||||||
Deutsche Wohnen SE | 470 | 19,765 | ||||||
E.ON SE | 21,962 | 304,498 | ||||||
Evonik Industries AG | 1,869 | 60,511 | ||||||
Fresenius Medical Care AG & Co. KGaA | 1,949 | 126,645 | ||||||
Fresenius SE & Co. KGaA | 4,042 | 162,718 | ||||||
Hannover Rueck SE | 590 | 112,149 | ||||||
Hapag-Lloyd AG (C) | 69 | 21,735 | ||||||
HeidelbergCement AG | 1,436 | 97,197 | ||||||
HelloFresh SE (A) | 1,701 | 130,648 | ||||||
Henkel AG & Co. KGaA | 966 | 75,469 | ||||||
Infineon Technologies AG | 12,775 | 592,150 | ||||||
KION Group AG | 706 | 77,460 | ||||||
Knorr-Bremse AG | 647 | 63,938 | ||||||
Merck KGaA | 1,264 | 326,295 | ||||||
MTU Aero Engines AG | 523 | 106,699 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG | 1,370 | 405,850 | ||||||
Puma SE | 1,003 | 122,616 | ||||||
RWE AG | 6,615 | 268,707 | ||||||
SAP SE | 10,695 | 1,519,078 | ||||||
Sartorius AG | 7 | 3,972 | ||||||
Siemens AG | 7,816 | 1,357,074 | ||||||
Siemens Healthineers AG (C) | 2,759 | 206,513 | ||||||
Symrise AG | 1,299 | 192,482 | ||||||
Talanx AG (A) | 519 | 25,107 | ||||||
Traton SE | 489 | 12,312 | ||||||
Uniper SE | 895 | 42,544 | ||||||
Vantage Towers AG | 940 | 34,421 | ||||||
Volkswagen AG | 289 | 84,923 | ||||||
Vonovia SE | 7,597 | 419,006 | ||||||
Zalando SE (A) (C) | 1,896 | 153,387 | ||||||
|
| |||||||
13,645,418 | ||||||||
|
| |||||||
Hong Kong - 2.5% | ||||||||
AIA Group Ltd. | 118,400 | 1,193,674 | ||||||
Bank of East Asia Ltd. | 14,200 | 20,399 | ||||||
BOC Hong Kong Holdings Ltd. | 35,000 | 114,702 | ||||||
Budweiser Brewing Co. APAC Ltd. (B) (C) | 16,800 | 44,067 | ||||||
Chow Tai Fook Jewellery Group Ltd. (B) | 21,600 | 38,843 | ||||||
CK Asset Holdings Ltd. | 19,000 | 119,781 | ||||||
CK Hutchison Holdings Ltd. | 26,500 | 170,972 | ||||||
CK Infrastructure Holdings Ltd. | 6,000 | 38,210 | ||||||
CLP Holdings Ltd. | 16,500 | 166,666 | ||||||
Futu Holdings Ltd., ADR (A) (B) | 598 | 25,893 | ||||||
Galaxy Entertainment Group Ltd. (A) | 20,000 | 103,639 | ||||||
Hang Lung Properties Ltd. | 18,000 | 37,033 | ||||||
Hang Seng Bank Ltd. | 7,100 | 129,955 | ||||||
Henderson Land Development Co. Ltd. | 13,000 | 55,360 | ||||||
HK Electric Investments & HK Electric Investments Ltd. | 22,500 | 22,078 | ||||||
HKT Trust & HKT Ltd. | 36,000 | 48,392 | ||||||
Hong Kong & China Gas Co. Ltd. | 105,550 | 164,357 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 11,700 | 683,424 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Hong Kong (continued) | ||||||||
Hongkong Land Holdings Ltd. | 11,400 | $ 59,280 | ||||||
Jardine Matheson Holdings Ltd. | 2,500 | 137,525 | ||||||
Link, REIT | 20,500 | 180,512 | ||||||
Man Wah Holdings Ltd. | 15,600 | 24,172 | ||||||
Melco Resorts & Entertainment Ltd., ADR (A) | 2,016 | 20,523 | ||||||
MTR Corp. Ltd. | 15,000 | 80,519 | ||||||
New World Development Co. Ltd. | 14,000 | 55,398 | ||||||
Orient Overseas International Ltd. | 1,500 | 36,806 | ||||||
Power Assets Holdings Ltd. | 13,500 | 84,155 | ||||||
Sino Land Co. Ltd. | 30,000 | 37,364 | ||||||
Sun Hung Kai Properties Ltd. | 15,000 | 182,009 | ||||||
Swire Pacific Ltd., Class A | 5,000 | 28,443 | ||||||
Swire Pacific Ltd., Class B | 10,000 | 9,800 | ||||||
Swire Properties Ltd. | 10,400 | 26,066 | ||||||
Techtronic Industries Co. Ltd. | 17,000 | 338,417 | ||||||
Wharf Holdings Ltd. | 13,000 | 39,936 | ||||||
Wharf Real Estate Investment Co. Ltd. | 15,000 | 76,190 | ||||||
|
| |||||||
4,594,560 | ||||||||
|
| |||||||
Ireland - 1.2% | ||||||||
CRH PLC | 7,570 | 400,472 | ||||||
DCC PLC | 991 | 81,207 | ||||||
Experian PLC | 9,485 | 466,601 | ||||||
Flutter Entertainment PLC (A) | 1,493 | 236,000 | ||||||
ICON PLC (A) | 796 | 246,521 | ||||||
James Hardie Industries PLC, CDI | 4,355 | 175,097 | ||||||
Kerry Group PLC, Class A | 1,505 | 193,826 | ||||||
Kingspan Group PLC | 1,508 | 180,064 | ||||||
Ryanair Holdings PLC, ADR (A) | 1,104 | 112,972 | ||||||
Smurfit Kappa Group PLC | 2,534 | 139,588 | ||||||
|
| |||||||
2,232,348 | ||||||||
|
| |||||||
Israel - 1.1% | ||||||||
AFI Properties Ltd. | 95 | 6,288 | ||||||
Airport City Ltd. (A) | 645 | 14,442 | ||||||
Alony Hetz Properties & Investments Ltd. | 1,461 | 27,193 | ||||||
Amot Investments Ltd. | 1,860 | 15,108 | ||||||
Ashtrom Group Ltd. | 395 | 10,711 | ||||||
Azrieli Group Ltd. | 356 | 33,971 | ||||||
Bank Hapoalim BM | 11,635 | 119,999 | ||||||
Bank Leumi Le-Israel BM | 14,212 | 152,741 | ||||||
Bezeq The Israeli Telecommunication Corp. Ltd. (A) | 20,019 | 33,054 | ||||||
Big Shopping Centers Ltd. | 108 | 17,628 | ||||||
Camtek Ltd. (A) (B) | 236 | 10,865 | ||||||
Check Point Software Technologies Ltd. (A) | 1,013 | 118,075 | ||||||
Clal Insurance Enterprises Holdings Ltd. (A) | 596 | 15,281 | ||||||
Cognyte Software Ltd. (A) | 653 | 10,233 | ||||||
CyberArk Software Ltd. (A) | 389 | 67,406 | ||||||
Elbit Systems Ltd. | 242 | 41,909 | ||||||
Elco Ltd. | 94 | 6,916 | ||||||
Electra Ltd. | 19 | 13,174 | ||||||
Energix-Renewable Energies Ltd. | 2,244 | 9,553 | ||||||
Enlight Renewable Energy Ltd. (A) | 9,046 | 22,246 | ||||||
Fattal Holdings 1998 Ltd. (A) | 57 | 5,754 | ||||||
First International Bank of Israel Ltd. | 510 | 21,220 | ||||||
Fiverr International Ltd. (A) | 311 | 35,361 | ||||||
Formula Systems 1985 Ltd. | 94 | 11,471 | ||||||
Fox Wizel Ltd. | 72 | 12,952 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 45
DeltaShares® S&P International Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Israel (continued) | ||||||||
Gav-Yam Lands Corp. Ltd. | 566 | $ 6,983 | ||||||
Global-e Online Ltd. (A) | 271 | 17,179 | ||||||
Harel Insurance Investments & Financial Services Ltd. | 1,128 | 12,808 | ||||||
ICL Group Ltd. | 6,783 | 65,402 | ||||||
Inmode Ltd. (A) | 486 | 34,302 | ||||||
Israel Corp. Ltd. (A) | 42 | 18,150 | ||||||
Israel Discount Bank Ltd., A Shares | 11,387 | 76,611 | ||||||
JFrog Ltd. (A) | 424 | 12,593 | ||||||
Kornit Digital Ltd. (A) | 453 | 68,969 | ||||||
Matrix IT Ltd. | 312 | 9,468 | ||||||
Maytronics Ltd. | 470 | 11,598 | ||||||
Melisron Ltd. (A) | 223 | 20,778 | ||||||
Menora Mivtachim Holdings Ltd. | 217 | 5,133 | ||||||
Migdal Insurance & Financial Holdings Ltd. | 3,299 | 5,439 | ||||||
Mivne Real Estate KD Ltd. | 5,785 | 24,869 | ||||||
Mizrahi Tefahot Bank Ltd. | 1,455 | 56,098 | ||||||
Monday.com Ltd. (A) | 35 | 10,805 | ||||||
Nano Dimension Ltd., ADR (A) (B) | 2,509 | 9,534 | ||||||
Nice Ltd. (A) | 617 | 188,664 | ||||||
Nova Ltd. (A) | 263 | 37,915 | ||||||
OPC Energy Ltd. (A) | 811 | 9,094 | ||||||
Phoenix Holdings Ltd. | 1,531 | 19,789 | ||||||
Plus500 Ltd. | 1,045 | 19,257 | ||||||
Radware Ltd. (A) | 395 | 16,448 | ||||||
Riskified Ltd., A Shares (A) | 176 | 1,383 | ||||||
Sapiens International Corp. NV | 300 | 10,439 | ||||||
Shapir Engineering & Industry Ltd. | 1,397 | 12,352 | ||||||
Shikun & Binui Ltd. (A) | 2,230 | 14,280 | ||||||
Shufersal Ltd. | 2,595 | 21,594 | ||||||
SimilarWeb Ltd. (A) | 80 | 1,433 | ||||||
Strauss Group Ltd. | 489 | 15,240 | ||||||
Taboola.com Ltd. (A) | 1,293 | �� | 10,060 | |||||
Taro Pharmaceutical Industries Ltd. (A) | 81 | 4,059 | ||||||
Teva Pharmaceutical Industries Ltd., ADR (A) | 10,791 | 86,436 | ||||||
Tower Semiconductor Ltd. (A) | 1,056 | 41,902 | ||||||
Tremor International Ltd., ADR (A) | 513 | 7,772 | ||||||
WalkMe Ltd. (A) | 89 | 1,747 | ||||||
Wix.com Ltd. (A) | 557 | 87,889 | ||||||
ZIM Integrated Shipping Services Ltd. | 754 | 44,380 | ||||||
|
| |||||||
1,952,403 | ||||||||
|
| |||||||
Italy - 2.0% | ||||||||
A2A SpA | 15,323 | 29,972 | ||||||
Amplifon SpA | 908 | 48,996 | ||||||
Assicurazioni Generali SpA | 11,909 | 252,304 | ||||||
Atlantia SpA (A) | 4,928 | 97,820 | ||||||
Banca Mediolanum SpA | 2,105 | 20,778 | ||||||
Davide Campari-Milano NV | 5,227 | 76,412 | ||||||
DiaSorin SpA | 192 | 36,561 | ||||||
Enel SpA | 75,583 | 605,625 | ||||||
Eni SpA | 24,689 | 343,093 | ||||||
Ferrari NV | 1,252 | 323,909 | ||||||
FinecoBank Banca Fineco SpA | 5,966 | 104,719 | ||||||
Hera SpA | 7,868 | 32,757 | ||||||
Infrastrutture Wireless Italiane SpA (C) | 3,475 | 42,205 | ||||||
Intesa Sanpaolo SpA | 167,262 | 432,538 | ||||||
Mediobanca Banca di Credito Finanziario SpA | 7,030 | 80,824 | ||||||
Moncler SpA | 2,061 | 150,048 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Italy (continued) | ||||||||
Nexi SpA (A) (C) | 4,477 | $ 71,226 | ||||||
Pirelli & C SpA (C) | 4,304 | 29,896 | ||||||
Poste Italiane SpA (C) | 4,472 | 58,687 | ||||||
Prada SpA | 5,000 | 32,002 | ||||||
Prysmian SpA | 2,623 | 98,763 | ||||||
Recordati Industria Chimica e Farmaceutica SpA | 982 | 63,095 | ||||||
Snam SpA | 20,054 | 120,869 | ||||||
Telecom Italia SpA | 157,934 | 76,884 | ||||||
Terna - Rete Elettrica Nazionale (B) | 13,763 | 111,343 | ||||||
UniCredit SpA | 21,776 | 335,399 | ||||||
UnipolSai Assicurazioni SpA (B) | 4,152 | 11,710 | ||||||
|
| |||||||
3,688,435 | ||||||||
|
| |||||||
Japan - 24.7% | ||||||||
ABC-Mart, Inc. | 300 | 12,844 | ||||||
Acom Co. Ltd. | 4,400 | 12,647 | ||||||
Activia Properties, Inc., REIT | 7 | 25,288 | ||||||
Advance Residence Investment Corp., REIT | 14 | 46,199 | ||||||
Advantest Corp. | 2,000 | 189,310 | ||||||
Aeon Co. Ltd. | 8,500 | 199,961 | ||||||
Aeon Mall Co. Ltd. | 900 | 12,825 | ||||||
AGC, Inc. (B) | 2,200 | 104,885 | ||||||
Air Water, Inc. (B) | 2,200 | 33,930 | ||||||
Aisin Corp. | 1,800 | 68,933 | ||||||
Ajinomoto Co., Inc. | 5,400 | 163,986 | ||||||
Alfresa Holdings Corp. | 2,100 | 27,956 | ||||||
Amada Co. Ltd. | 3,500 | 34,619 | ||||||
ANA Holdings, Inc. (A) | 1,600 | 33,409 | ||||||
Aozora Bank Ltd. (B) | 1,200 | 26,239 | ||||||
Asahi Group Holdings Ltd. | 5,000 | 194,260 | ||||||
Asahi Intecc Co. Ltd. (B) | 2,300 | 49,353 | ||||||
Asahi Kasei Corp. | 13,600 | 127,668 | ||||||
Asics Corp. | 1,900 | 42,074 | ||||||
Astellas Pharma, Inc. | 18,200 | 295,629 | ||||||
Azbil Corp. | 1,300 | 59,155 | ||||||
Bandai Namco Holdings, Inc. | 2,200 | 171,828 | ||||||
Bank of Kyoto Ltd. | 700 | 32,400 | ||||||
BayCurrent Consulting, Inc. | 100 | 38,644 | ||||||
Benefit One, Inc. | 800 | 34,284 | ||||||
Bridgestone Corp. | 5,900 | 253,563 | ||||||
Brother Industries Ltd. | 2,600 | 49,921 | ||||||
Calbee, Inc. | 1,100 | 25,495 | ||||||
Canon Marketing Japan, Inc. | 500 | 9,947 | ||||||
Canon, Inc. (B) | 10,200 | 248,102 | ||||||
Capcom Co. Ltd. | 1,600 | 37,626 | ||||||
Casio Computer Co. Ltd. | 2,300 | 29,540 | ||||||
Central Japan Railway Co. | 2,000 | 266,510 | ||||||
Chiba Bank Ltd. | 7,300 | 41,776 | ||||||
Chubu Electric Power Co., Inc. | 7,000 | 73,675 | ||||||
Chugai Pharmaceutical Co. Ltd. (B) | 6,200 | 201,094 | ||||||
Chugoku Electric Power Co., Inc. | 3,200 | 25,871 | ||||||
Coca-Cola Bottlers Japan Holdings, Inc. | 1,500 | 17,194 | ||||||
COMSYS Holdings Corp. | 1,200 | 26,688 | ||||||
Concordia Financial Group Ltd. | 11,800 | 42,833 | ||||||
Cosmos Pharmaceutical Corp. (B) | 200 | 29,404 | ||||||
CyberAgent, Inc. | 4,000 | 66,484 | ||||||
Dai Nippon Printing Co. Ltd. | 2,700 | 67,831 | ||||||
Dai-ichi Life Holdings, Inc. | 10,900 | 220,120 | ||||||
Daifuku Co. Ltd. | 1,200 | 97,955 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 46
DeltaShares® S&P International Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Japan (continued) | ||||||||
Daiichi Sankyo Co. Ltd. | 17,900 | $ 454,670 | ||||||
Daikin Industries Ltd. | 2,900 | 657,036 | ||||||
Daito Trust Construction Co. Ltd. | 700 | 80,057 | ||||||
Daiwa House Industry Co. Ltd. | 6,500 | 186,722 | ||||||
Daiwa House Investment Corp., REIT | 21 | 63,553 | ||||||
Daiwa Office Investment Corp., REIT | 3 | 18,236 | ||||||
Daiwa Securities Group, Inc. | 15,000 | 84,499 | ||||||
Denso Corp. | 5,100 | 422,022 | ||||||
Dentsu Group, Inc. (B) | 2,400 | 85,450 | ||||||
DIC Corp. | 800 | 20,119 | ||||||
Disco Corp. | 300 | 91,572 | ||||||
Dowa Holdings Co. Ltd. | 600 | 25,192 | ||||||
East Japan Railway Co. | 3,700 | 227,260 | ||||||
Ebara Corp. | 800 | 44,392 | ||||||
Eisai Co. Ltd. | 2,900 | 164,473 | ||||||
Electric Power Development Co. Ltd., Class C | 1,700 | 22,543 | ||||||
ENEOS Holdings, Inc. | 31,600 | 118,080 | ||||||
EXEO Group, Inc. | 1,100 | 23,155 | ||||||
Ezaki Glico Co. Ltd. | 600 | 19,070 | ||||||
Fancl Corp. | 800 | 23,829 | ||||||
FANUC Corp. | 1,900 | 402,258 | ||||||
Fast Retailing Co. Ltd. | 600 | 340,289 | ||||||
Food & Life Cos. Ltd. | 1,100 | 41,553 | ||||||
FP Corp. | 500 | 17,021 | ||||||
Freee KK (A) | 400 | 22,092 | ||||||
Fuji Electric Co. Ltd. | 1,500 | 81,803 | ||||||
Fuji Media Holdings, Inc. | 500 | 4,811 | ||||||
FUJIFILM Holdings Corp. | 3,900 | 288,753 | ||||||
Fujitsu Ltd. | 1,800 | 308,402 | ||||||
Fukuoka Financial Group, Inc. | 1,900 | 32,521 | ||||||
GLP J-REIT | 44 | 75,998 | ||||||
GMO internet, Inc. | 600 | 14,146 | ||||||
GMO Payment Gateway, Inc. | 400 | 49,846 | ||||||
Goldwin, Inc. | 400 | 23,134 | ||||||
Hakuhodo DY Holdings, Inc. (B) | 3,000 | 49,915 | ||||||
Hamamatsu Photonics KK | 1,400 | 89,236 | ||||||
Hankyu Hanshin Holdings, Inc. | 2,400 | 68,047 | ||||||
Harmonic Drive Systems, Inc. (B) | 500 | 21,102 | ||||||
Haseko Corp. | 2,200 | 27,243 | ||||||
Hikari Tsushin, Inc. | 200 | 30,759 | ||||||
Hino Motors Ltd. | 2,800 | 23,051 | ||||||
Hirose Electric Co. Ltd. | 300 | 50,384 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 800 | 27,615 | ||||||
Hitachi Construction Machinery Co. Ltd. | 1,000 | 28,874 | ||||||
Hitachi Ltd. | 9,500 | 513,959 | ||||||
Hitachi Metals Ltd. (A) (B) | 2,000 | 37,011 | ||||||
Hitachi Transport System Ltd. | 400 | 18,757 | ||||||
Honda Motor Co. Ltd. | 16,800 | 471,226 | ||||||
Hoshizaki Corp. | 600 | 45,070 | ||||||
House Foods Group, Inc. | 800 | 20,154 | ||||||
Hoya Corp. | 3,600 | 534,896 | ||||||
Hulic Co. Ltd. | 5,800 | 55,001 | ||||||
Ibiden Co. Ltd. | 1,300 | 77,218 | ||||||
Idemitsu Kosan Co. Ltd. | 2,400 | 61,211 | ||||||
IHI Corp. | 1,500 | 30,168 | ||||||
Iida Group Holdings Co. Ltd. | 1,800 | 41,829 | ||||||
Industrial & Infrastructure Fund Investment Corp., REIT | 20 | 38,574 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Japan (continued) | ||||||||
Inpex Corp. | 10,600 | $ 92,234 | ||||||
Isetan Mitsukoshi Holdings Ltd. | 3,900 | 28,787 | ||||||
Isuzu Motors Ltd. | 6,100 | 75,803 | ||||||
Ito En Ltd. | 600 | 31,471 | ||||||
ITOCHU Corp. | 14,600 | 446,032 | ||||||
Itochu Techno-Solutions Corp. | 900 | 28,918 | ||||||
Japan Airlines Co. Ltd. (A) | 1,400 | 26,698 | ||||||
Japan Airport Terminal Co. Ltd. (A) (B) | 900 | 37,515 | ||||||
Japan Exchange Group, Inc. | 5,200 | 113,704 | ||||||
Japan Metropolitan Fund Investment Corp., REIT | 68 | 58,519 | ||||||
Japan Post Bank Co. Ltd. | 3,300 | 30,233 | ||||||
Japan Post Holdings Co. Ltd. | 11,800 | 91,896 | ||||||
Japan Post Insurance Co. Ltd. | 2,000 | 32,131 | ||||||
Japan Prime Realty Investment Corp., REIT (B) | 9 | 31,184 | ||||||
Japan Real Estate Investment Corp., REIT | 14 | 79,389 | ||||||
Japan Tobacco, Inc. (B) | 10,800 | 217,819 | ||||||
JCR Pharmaceuticals Co. Ltd. | 700 | 13,519 | ||||||
JFE Holdings, Inc. | 5,600 | 71,340 | ||||||
JSR Corp. | 2,100 | 79,784 | ||||||
JTEKT Corp. | 2,400 | 20,946 | ||||||
Justsystems Corp. | 300 | 14,016 | ||||||
Kajima Corp. | 4,900 | 56,210 | ||||||
Kakaku.com, Inc. (B) | 1,300 | 34,658 | ||||||
Kamigumi Co. Ltd. | 1,100 | 20,805 | ||||||
Kansai Electric Power Co., Inc. | 8,100 | 75,545 | ||||||
Kansai Paint Co. Ltd. | 2,500 | 54,275 | ||||||
Kao Corp. | 4,600 | 240,436 | ||||||
Kawasaki Heavy Industries Ltd. | 1,600 | 28,872 | ||||||
Kawasaki Kisen Kaisha Ltd. (A) | 800 | 48,074 | ||||||
KDDI Corp. | 16,200 | 472,966 | ||||||
Keihan Holdings Co. Ltd. | 1,100 | 25,276 | ||||||
Keikyu Corp. (B) | 2,700 | 26,964 | ||||||
Keio Corp. (B) | 1,200 | 52,833 | ||||||
Keisei Electric Railway Co. Ltd. | 1,700 | 45,912 | ||||||
Kenedix Office Investment Corp., REIT | 4 | 24,697 | ||||||
Kewpie Corp. | 1,100 | 23,690 | ||||||
Keyence Corp. | 1,900 | 1,192,584 | ||||||
Kikkoman Corp. | 1,900 | 159,550 | ||||||
Kinden Corp. | 1,300 | 19,508 | ||||||
Kintetsu Group Holdings Co. Ltd. (A) | 1,900 | 53,046 | ||||||
Kirin Holdings Co. Ltd. (B) | 8,100 | 129,918 | ||||||
Kobayashi Pharmaceutical Co. Ltd. | 600 | 47,102 | ||||||
Kobe Bussan Co. Ltd. | 1,200 | 46,424 | ||||||
Koei Tecmo Holdings Co. Ltd. | 650 | 25,542 | ||||||
Koito Manufacturing Co. Ltd. | 1,300 | 68,751 | ||||||
Komatsu Ltd. | 9,500 | 222,207 | ||||||
Konami Holdings Corp. | 1,000 | 47,935 | ||||||
Kose Corp. | 300 | 33,998 | ||||||
Kubota Corp. | 11,200 | 248,354 | ||||||
Kuraray Co. Ltd. | 3,500 | 30,363 | ||||||
Kurita Water Industries Ltd. | 1,000 | 47,414 | ||||||
Kyocera Corp. | 3,400 | 212,199 | ||||||
Kyowa Kirin Co. Ltd. | 2,500 | 68,060 | ||||||
Kyushu Electric Power Co., Inc. | 4,600 | 34,234 | ||||||
Kyushu Railway Co. | 1,500 | 31,158 | ||||||
Lasertec Corp. | 800 | 245,165 | ||||||
Lawson, Inc. | 500 | 23,664 | ||||||
Lion Corp. | 2,900 | 38,707 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 47
DeltaShares® S&P International Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Japan (continued) | ||||||||
Lixil Corp. | 2,900 | $ 77,187 | ||||||
M3, Inc. | 4,200 | 211,286 | ||||||
Makita Corp. | 2,700 | 114,490 | ||||||
Marubeni Corp. | 17,000 | 165,269 | ||||||
Marui Group Co. Ltd. | 2,200 | 41,362 | ||||||
MatsukiyoCocokara & Co. | 1,300 | 48,092 | ||||||
Mazda Motor Corp. (A) | 5,900 | 45,343 | ||||||
McDonald’s Holdings Co. Japan Ltd. (B) | 700 | 30,941 | ||||||
Mebuki Financial Group, Inc. | 11,500 | 23,668 | ||||||
Medipal Holdings Corp. | 2,100 | 39,299 | ||||||
MEIJI Holdings Co. Ltd. | 1,400 | 83,401 | ||||||
Mercari, Inc. (A) (B) | 1,100 | 55,977 | ||||||
Minebea Mitsumi, Inc. | 4,000 | 113,412 | ||||||
MISUMI Group, Inc. | 2,800 | 114,767 | ||||||
Mitsubishi Chemical Holdings Corp. | 13,900 | 102,842 | ||||||
Mitsubishi Corp. | 14,500 | 459,850 | ||||||
Mitsubishi Electric Corp. | 21,000 | 265,976 | ||||||
Mitsubishi Estate Co. Ltd. | 13,600 | 188,313 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 2,000 | 33,833 | ||||||
Mitsubishi HC Capital, Inc. | 7,750 | 38,294 | ||||||
Mitsubishi Heavy Industries Ltd. | 3,300 | 76,199 | ||||||
Mitsubishi Logistics Corp. | 800 | 20,043 | ||||||
Mitsubishi Materials Corp. | 1,300 | 22,296 | ||||||
Mitsubishi Motors Corp. (A) | 6,700 | 18,677 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 126,200 | 684,837 | ||||||
Mitsui & Co. Ltd. | 16,100 | 380,777 | ||||||
Mitsui Chemicals, Inc. | 2,000 | 53,667 | ||||||
Mitsui Fudosan Co. Ltd. | 9,400 | 185,992 | ||||||
Mitsui O.S.K. Lines Ltd. | 1,200 | 88,993 | ||||||
Miura Co. Ltd. | 1,100 | 37,827 | ||||||
Mizuho Financial Group, Inc. | 24,800 | 315,074 | ||||||
Money Forward, Inc. (A) | 400 | 24,037 | ||||||
MonotaRO Co. Ltd. | 2,400 | 43,204 | ||||||
MS&AD Insurance Group Holdings, Inc. | 4,600 | 141,769 | ||||||
Murata Manufacturing Co. Ltd. | 6,300 | 500,969 | ||||||
Nabtesco Corp. (B) | 1,200 | 35,483 | ||||||
Nagoya Railroad Co. Ltd. (A) | 1,900 | 28,874 | ||||||
NEC Corp. | 2,700 | 124,502 | ||||||
NET One Systems Co. Ltd. | 800 | 21,536 | ||||||
Nexon Co. Ltd. | 4,600 | 88,840 | ||||||
NGK Insulators Ltd. | 2,600 | 43,892 | ||||||
NGK Spark Plug Co. Ltd. | 1,700 | 29,570 | ||||||
NH Foods Ltd. | 1,000 | 35,952 | ||||||
Nichirei Corp. | 1,200 | 27,750 | ||||||
Nidec Corp. | 5,400 | 633,998 | ||||||
Nifco, Inc. | 900 | 28,214 | ||||||
Nihon M&A Center Holdings, Inc. | 2,900 | 71,043 | ||||||
Nihon Unisys Ltd. | 800 | 22,439 | ||||||
Nikon Corp. | 3,400 | 36,612 | ||||||
Nintendo Co. Ltd. | 1,100 | 512,483 | ||||||
Nippo Corp. | 500 | 17,324 | ||||||
Nippon Building Fund, Inc., REIT | 16 | 93,092 | ||||||
Nippon Express Co. Ltd. (A) | 800 | 47,345 | ||||||
Nippon Paint Holdings Co. Ltd. | 14,100 | 153,544 | ||||||
Nippon Prologis, Inc., REIT | 25 | 88,359 | ||||||
Nippon Sanso Holdings Corp. | 2,100 | 45,828 | ||||||
Nippon Shinyaku Co. Ltd. | 600 | 41,735 | ||||||
Nippon Steel Corp. | 9,300 | 151,709 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Japan (continued) | ||||||||
Nippon Telegraph & Telephone Corp. | 11,700 | $ 320,047 | ||||||
Nippon Television Holdings, Inc. | 500 | 5,071 | ||||||
Nippon Yusen KK | 1,700 | 129,321 | ||||||
Nissan Chemical Corp. | 1,400 | 81,212 | ||||||
Nissan Motor Co. Ltd. (A) | 23,500 | 113,424 | ||||||
Nisshin Seifun Group, Inc. | 2,600 | 37,435 | ||||||
Nissin Foods Holdings Co. Ltd. | 800 | 58,287 | ||||||
Nitori Holdings Co. Ltd. | 900 | 134,623 | ||||||
Nitto Denko Corp. | 1,500 | 115,800 | ||||||
NOF Corp. | 800 | 40,363 | ||||||
Nomura Holdings, Inc. | 30,000 | 130,702 | ||||||
Nomura Real Estate Holdings, Inc. | 1,100 | 25,285 | ||||||
Nomura Real Estate Master Fund, Inc., REIT | 46 | 64,633 | ||||||
Nomura Research Institute Ltd. | 4,200 | 179,992 | ||||||
NS Solutions Corp. | 300 | 9,235 | ||||||
NSK Ltd. | 4,800 | 30,762 | ||||||
NTT Data Corp. | 6,300 | 134,912 | ||||||
Obayashi Corp. | 7,100 | 54,874 | ||||||
OBIC Business Consultants Co. Ltd. | 200 | 8,423 | ||||||
OBIC Co. Ltd. | 700 | 131,301 | ||||||
Odakyu Electric Railway Co. Ltd. (B) | 3,400 | 63,066 | ||||||
Oji Holdings Corp. | 9,900 | 47,886 | ||||||
Olympus Corp. | 12,700 | 292,203 | ||||||
Omron Corp. | 2,000 | 199,036 | ||||||
Ono Pharmaceutical Co. Ltd. | 4,900 | 121,527 | ||||||
Open House Co. Ltd. | 700 | 36,594 | ||||||
Oracle Corp. | 300 | 22,769 | ||||||
Oriental Land Co. Ltd. | 2,200 | 370,535 | ||||||
ORIX Corp. | 11,900 | 242,588 | ||||||
ORIX J-REIT, Inc. | 27 | 42,157 | ||||||
Osaka Gas Co. Ltd. | 4,100 | 67,684 | ||||||
Otsuka Corp. | 1,200 | 57,210 | ||||||
Otsuka Holdings Co. Ltd. | 5,500 | 199,119 | ||||||
PALTAC Corp. | 300 | 12,336 | ||||||
Pan Pacific International Holdings Corp. | 5,200 | 71,663 | ||||||
Panasonic Corp. | 22,800 | 250,462 | ||||||
Park24 Co. Ltd. (A) | 1,100 | 15,055 | ||||||
PeptiDream, Inc. (A) | 1,000 | 22,101 | ||||||
Persol Holdings Co. Ltd. | 1,900 | 55,108 | ||||||
Pigeon Corp. (B) | 1,200 | 22,905 | ||||||
Pola Orbis Holdings, Inc. (B) | 800 | 13,318 | ||||||
Rakus Co. Ltd. | 700 | 18,844 | ||||||
Rakuten Group, Inc. (B) | 9,000 | 90,191 | ||||||
Recruit Holdings Co. Ltd. | 16,600 | 1,005,038 | ||||||
Relo Group, Inc. | 1,100 | 19,859 | ||||||
Renesas Electronics Corp. (A) | 13,600 | 168,059 | ||||||
Resona Holdings, Inc. | 23,700 | 92,079 | ||||||
Ricoh Co. Ltd. | 7,300 | 67,894 | ||||||
Rinnai Corp. | 400 | 36,056 | ||||||
Rohm Co. Ltd. | 900 | 81,829 | ||||||
Rohto Pharmaceutical Co. Ltd. | 1,100 | 33,194 | ||||||
Ryohin Keikaku Co. Ltd. | 2,600 | 39,602 | ||||||
Sankyu, Inc. | 600 | 24,853 | ||||||
Santen Pharmaceutical Co. Ltd. | 3,900 | 47,651 | ||||||
SBI Holdings, Inc. | 2,400 | 65,338 | ||||||
Screen Holdings Co. Ltd. | 500 | 53,710 | ||||||
SCSK Corp. | 1,500 | 29,816 | ||||||
Secom Co. Ltd. | 2,100 | 145,635 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 48
DeltaShares® S&P International Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Japan (continued) | ||||||||
Sega Sammy Holdings, Inc. | 1,700 | $ 26,676 | ||||||
Seibu Holdings, Inc. (A) | 2,700 | 25,229 | ||||||
Seiko Epson Corp. | 3,000 | 53,953 | ||||||
Seino Holdings Co. Ltd. | 1,600 | 16,187 | ||||||
Sekisui Chemical Co. Ltd. | 4,300 | 71,769 | ||||||
Sekisui House Ltd. | 6,400 | 137,220 | ||||||
Sekisui House, Inc., REIT | 43 | 32,001 | ||||||
Seria Co. Ltd. | 500 | 14,480 | ||||||
Seven & i Holdings Co. Ltd. | 7,800 | 342,467 | ||||||
Seven Bank Ltd. | 7,200 | 14,881 | ||||||
SG Holdings Co. Ltd. | 4,900 | 114,591 | ||||||
Sharp Corp. | 2,100 | 24,090 | ||||||
SHIFT, Inc. (A) | 100 | 20,720 | ||||||
Shimadzu Corp. | 2,700 | 113,834 | ||||||
Shimamura Co. Ltd. | 200 | 16,777 | ||||||
Shimano, Inc. | 800 | 213,000 | ||||||
Shimizu Corp. | 6,900 | 42,722 | ||||||
Shin-Etsu Chemical Co. Ltd. | 3,900 | 674,639 | ||||||
Shinko Electric Industries Co. Ltd. | 700 | 33,372 | ||||||
Shinsei Bank Ltd. (B) | 1,200 | 19,518 | ||||||
Shionogi & Co. Ltd. | 2,800 | 197,560 | ||||||
Shiseido Co. Ltd. | 3,900 | 217,226 | ||||||
Shizuoka Bank Ltd. (B) | 5,800 | 41,402 | ||||||
Showa Denko KK (B) | 1,800 | 37,749 | ||||||
Skylark Holdings Co. Ltd. (B) | 2,200 | 28,867 | ||||||
SMC Corp. | 600 | 404,273 | ||||||
SoftBank Corp. | 27,200 | 343,558 | ||||||
SoftBank Group Corp. | 12,300 | 580,419 | ||||||
Sohgo Security Services Co. Ltd. | 800 | 31,749 | ||||||
Sojitz Corp. | 2,120 | 31,812 | ||||||
Sompo Holdings, Inc. | 3,500 | 147,684 | ||||||
Sony Group Corp. | 12,300 | 1,546,112 | ||||||
Square Enix Holdings Co. Ltd. | 900 | 46,112 | ||||||
Stanley Electric Co. Ltd. | 1,500 | 37,502 | ||||||
Subaru Corp. | 6,000 | 107,177 | ||||||
Sugi Holdings Co. Ltd. | 400 | 24,211 | ||||||
Sumco Corp. (B) | 3,200 | 65,276 | ||||||
Sumitomo Chemical Co. Ltd. | 16,200 | 76,249 | ||||||
Sumitomo Corp. | 12,200 | 180,158 | ||||||
Sumitomo Dainippon Pharma Co. Ltd. | 1,900 | 21,862 | ||||||
Sumitomo Electric Industries Ltd. | 7,800 | 101,568 | ||||||
Sumitomo Forestry Co. Ltd. | 1,900 | 36,728 | ||||||
Sumitomo Heavy Industries Ltd. | 1,200 | 29,063 | ||||||
Sumitomo Metal Mining Co. Ltd. | 2,700 | 101,993 | ||||||
Sumitomo Mitsui Financial Group, Inc. (B) | 13,400 | 458,827 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 3,700 | 123,478 | ||||||
Sumitomo Realty & Development Co. Ltd. | 4,700 | 138,076 | ||||||
Sumitomo Rubber Industries Ltd. | 1,800 | 18,320 | ||||||
Sundrug Co. Ltd. | 700 | 18,267 | ||||||
Suntory Beverage & Food Ltd. | 1,200 | 43,350 | ||||||
Suzuken Co. Ltd. | 800 | 23,065 | ||||||
Suzuki Motor Corp. | 4,800 | 184,614 | ||||||
Sysmex Corp. | 1,700 | 229,560 | ||||||
T&D Holdings, Inc. | 5,800 | 74,140 | ||||||
Taiheiyo Cement Corp. | 1,200 | 23,686 | ||||||
Taisei Corp. | 2,000 | 60,701 | ||||||
Taisho Pharmaceutical Holdings Co. Ltd. | 600 | 27,563 | ||||||
Taiyo Yuden Co. Ltd. | 1,300 | 74,734 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Japan (continued) | ||||||||
Takara Bio, Inc. | 500 | $ 11,480 | ||||||
Takeda Pharmaceutical Co. Ltd. | 15,500 | 422,244 | ||||||
TBS Holdings, Inc. | 300 | 4,348 | ||||||
TDK Corp. | 3,800 | 148,166 | ||||||
Teijin Ltd. | 1,900 | 23,347 | ||||||
Terumo Corp. | 7,400 | 312,310 | ||||||
THK Co. Ltd. | 1,200 | 28,897 | ||||||
TIS, Inc. | 2,100 | 62,459 | ||||||
Tobu Railway Co. Ltd. | 2,100 | 47,816 | ||||||
Toei Animation Co. Ltd. | 100 | 9,943 | ||||||
Toho Co. Ltd. | 1,400 | 59,876 | ||||||
Toho Gas Co. Ltd. | 1,000 | 25,435 | ||||||
Tohoku Electric Power Co., Inc. | 4,900 | 34,722 | ||||||
Tokai Carbon Co. Ltd. (B) | 2,100 | 22,029 | ||||||
Tokio Marine Holdings, Inc. | 6,800 | 377,453 | ||||||
Tokyo Century Corp. (B) | 500 | 24,228 | ||||||
Tokyo Electric Power Co. Holdings, Inc. (A) | 7,900 | 20,375 | ||||||
Tokyo Electron Ltd. | 1,500 | 863,358 | ||||||
Tokyo Gas Co. Ltd. | 4,000 | 71,625 | ||||||
Tokyo Tatemono Co. Ltd. | 2,000 | 29,178 | ||||||
Tokyu Corp. | 5,600 | 74,307 | ||||||
Tokyu Fudosan Holdings Corp. | 5,900 | 32,944 | ||||||
Toppan, Inc. | 3,400 | 63,657 | ||||||
Toray Industries, Inc. | 16,000 | 94,731 | ||||||
Toshiba Corp. | 4,200 | 172,515 | ||||||
Tosoh Corp. | 3,200 | 47,407 | ||||||
TOTO Ltd. | 1,600 | 73,501 | ||||||
Toyo Seikan Group Holdings Ltd. | 1,600 | 19,077 | ||||||
Toyo Suisan Kaisha Ltd. | 1,000 | 42,334 | ||||||
Toyoda Gosei Co. Ltd. | 700 | 15,209 | ||||||
Toyota Boshoku Corp. | 1,000 | 19,591 | ||||||
Toyota Industries Corp. | 2,000 | 159,611 | ||||||
Toyota Motor Corp. | 126,100 | 2,305,619 | ||||||
Toyota Tsusho Corp. | 2,300 | 105,857 | ||||||
Trend Micro, Inc. | 1,400 | 77,687 | ||||||
Tsumura & Co. | 700 | 19,908 | ||||||
Tsuruha Holdings, Inc. | 400 | 38,348 | ||||||
Unicharm Corp. | 4,400 | 191,009 | ||||||
United Urban Investment Corp., REIT | 31 | 36,396 | ||||||
USS Co. Ltd. | 2,200 | 34,312 | ||||||
Welcia Holdings Co. Ltd. | 1,000 | 31,175 | ||||||
West Japan Railway Co. | 2,400 | 100,248 | ||||||
Workman Co. Ltd. | 200 | 9,552 | ||||||
Yakult Honsha Co. Ltd. | 1,600 | 83,366 | ||||||
Yamada Holdings Co. Ltd. | 7,100 | 24,231 | ||||||
Yamaha Corp. | 1,600 | 78,781 | ||||||
Yamaha Motor Co. Ltd. (B) | 3,100 | 74,273 | ||||||
Yamato Holdings Co. Ltd. | 3,400 | 79,807 | ||||||
Yamazaki Baking Co. Ltd. (B) | 1,700 | 22,557 | ||||||
Yaskawa Electric Corp. | 2,600 | 127,341 | ||||||
Yokogawa Electric Corp. | 2,300 | 41,424 | ||||||
Yokohama Rubber Co. Ltd. (B) | 1,300 | 20,806 | ||||||
Z Holdings Corp. | 25,500 | 147,790 | ||||||
Zenkoku Hosho Co. Ltd. (B) | 500 | 21,753 | ||||||
Zensho Holdings Co. Ltd. | 900 | 21,133 | ||||||
Zeon Corp. | 1,900 | 21,895 | ||||||
ZOZO, Inc. | 1,100 | 34,293 | ||||||
|
| |||||||
45,030,156 | ||||||||
|
|
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 49
DeltaShares® S&P International Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Jordan - 0.0% (D) | ||||||||
Hikma Pharmaceuticals PLC | 1,761 | $ 52,927 | ||||||
|
| |||||||
Luxembourg - 0.3% | ||||||||
ArcelorMittal SA | 6,250 | 200,040 | ||||||
Aroundtown SA | 9,472 | 57,305 | ||||||
Eurofins Scientific SE | 1,258 | 155,649 | ||||||
RTL Group SA (A) | 363 | 19,245 | ||||||
Shurgard Self Storage SA | 244 | 15,955 | ||||||
Tenaris SA | 4,504 | 47,173 | ||||||
|
| |||||||
495,367 | ||||||||
|
| |||||||
Macau - 0.0% (D) | ||||||||
Sands China Ltd. (A) | 23,600 | 54,972 | ||||||
Wynn Macau Ltd. (A) (B) | 14,400 | 11,765 | ||||||
|
| |||||||
66,737 | ||||||||
|
| |||||||
Malaysia - 0.0% (D) | ||||||||
Lynas Rare Earths Ltd. (A) (B) | 8,830 | 65,290 | ||||||
|
| |||||||
Mexico - 0.0% (D) | ||||||||
Fresnillo PLC | 1,802 | 21,791 | ||||||
|
| |||||||
Netherlands - 5.7% | ||||||||
Adyen NV (A) (B) (C) | 299 | 785,963 | ||||||
Akzo Nobel NV | 1,834 | 201,263 | ||||||
ASM International NV | 376 | 166,203 | ||||||
ASML Holding NV | 4,044 | 3,249,997 | ||||||
EXOR NV | 1,108 | 99,491 | ||||||
Heineken Holding NV (B) | 986 | 90,992 | ||||||
Heineken NV (B) | 2,310 | 259,698 | ||||||
ING Groep NV | 38,194 | 531,722 | ||||||
JDE Peet’s NV (B) | 835 | 25,733 | ||||||
Just Eat Takeaway.com NV (A) (B) (C) | 1,477 | 81,412 | ||||||
Koninklijke Ahold Delhaize NV | 10,231 | 350,611 | ||||||
Koninklijke DSM NV | 1,710 | 385,033 | ||||||
Koninklijke KPN NV | 34,539 | 107,228 | ||||||
Koninklijke Philips NV | 8,975 | 334,412 | ||||||
NN Group NV | 3,110 | 168,382 | ||||||
Prosus NV (A) | 8,521 | 712,512 | ||||||
QIAGEN NV (A) | 2,258 | 125,796 | ||||||
Royal Dutch Shell PLC, A Shares | 40,124 | 881,383 | ||||||
Royal Dutch Shell PLC, B Shares | 35,425 | 778,450 | ||||||
Stellantis NV | 21,757 | 412,846 | ||||||
Universal Music Group NV | 12,951 | 364,957 | ||||||
Wolters Kluwer NV | 2,568 | 302,546 | ||||||
|
| |||||||
10,416,630 | ||||||||
|
| |||||||
New Zealand - 0.4% | ||||||||
a2 Milk Co. Ltd. (A) (B) | 7,274 | 29,532 | ||||||
Auckland International Airport Ltd. (A) | 11,812 | 62,271 | ||||||
Chorus Ltd. | 4,410 | 21,649 | ||||||
Contact Energy Ltd. | 7,621 | 42,264 | ||||||
Fisher & Paykel Healthcare Corp. Ltd. | 5,644 | 126,590 | ||||||
Fletcher Building Ltd. | 8,010 | 40,198 | ||||||
Genesis Energy Ltd. | 5,002 | 9,794 | ||||||
Goodman Property Trust, REIT | 10,251 | 18,107 | ||||||
Infratil Ltd. | 7,072 | 38,735 | ||||||
Mercury Ltd. | 6,130 | 25,685 | ||||||
Meridian Energy Ltd. | 11,840 | 39,315 | ||||||
Ryman Healthcare Ltd. (B) | 4,108 | 34,454 | ||||||
Spark New Zealand Ltd. | 18,286 | 56,588 | ||||||
Trustpower Ltd. | 673 | 3,391 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
New Zealand (continued) | ||||||||
Xero Ltd. (A) | 1,265 | $ 130,085 | ||||||
|
| |||||||
678,658 | ||||||||
|
| |||||||
Norway - 0.8% | ||||||||
Adevinta ASA (A) | 2,714 | 36,101 | ||||||
Aker ASA, A Shares | 233 | 21,798 | ||||||
Aker BP ASA | 1,233 | 37,976 | ||||||
Austevoll Seafood ASA | 873 | 10,533 | ||||||
DnB Bank ASA | 8,796 | 201,489 | ||||||
Elkem ASA (A) (C) | 2,940 | 9,942 | ||||||
Entra ASA (C) | 1,782 | 40,072 | ||||||
Equinor ASA | 10,516 | 281,316 | ||||||
Gjensidige Forsikring ASA | 1,859 | 45,114 | ||||||
Kongsberg Gruppen ASA | 875 | 28,379 | ||||||
Leroy Seafood Group ASA | 2,739 | 21,419 | ||||||
Mowi ASA | 4,401 | 104,157 | ||||||
Nordic Semiconductor ASA (A) | 1,716 | 57,912 | ||||||
Norsk Hydro ASA | 13,358 | 105,309 | ||||||
Orkla ASA | 7,347 | 73,618 | ||||||
Salmar ASA | 553 | 38,128 | ||||||
Scatec ASA (C) | 1,166 | 20,197 | ||||||
Schibsted ASA, B Shares | 978 | 32,939 | ||||||
Schibsted ASA, Class A | 746 | 28,771 | ||||||
SpareBank 1 SR-Bank ASA | 1,801 | 27,204 | ||||||
Storebrand ASA | 4,617 | 46,346 | ||||||
Telenor ASA | 6,297 | 98,972 | ||||||
Tomra Systems ASA | 1,144 | 81,860 | ||||||
Yara International ASA | 1,545 | 77,966 | ||||||
|
| |||||||
1,527,518 | ||||||||
|
| |||||||
Portugal - 0.2% | ||||||||
EDP - Energias de Portugal SA | 28,710 | 157,760 | ||||||
Galp Energia SGPS SA | 4,451 | 43,125 | ||||||
Jeronimo Martins SGPS SA | 2,709 | 61,922 | ||||||
|
| |||||||
262,807 | ||||||||
|
| |||||||
Singapore - 1.5% | ||||||||
Ascendas, REIT | 32,800 | 71,773 | ||||||
BOC Aviation Ltd. (C) | 2,000 | 14,648 | ||||||
CapitaLand Integrated Commercial Trust, REIT | 48,797 | 73,839 | ||||||
Capitaland Investment Ltd. (A) | 24,400 | 61,717 | ||||||
City Developments Ltd. | 4,600 | 23,236 | ||||||
DBS Group Holdings Ltd. | 17,600 | 426,374 | ||||||
Genting Singapore Ltd. | 55,500 | 31,905 | ||||||
Jardine Cycle & Carriage Ltd. | 1,000 | 15,280 | ||||||
Kenon Holdings Ltd. | 221 | 11,219 | ||||||
Keppel, REIT | 19,200 | 16,093 | ||||||
Keppel Corp. Ltd. | 14,100 | 53,549 | ||||||
Mapletree Commercial Trust, REIT | 20,000 | 29,670 | ||||||
Mapletree Industrial Trust, REIT | 19,000 | 38,193 | ||||||
Mapletree Logistics Trust, REIT | 29,200 | 41,153 | ||||||
Olam International Ltd. | 8,700 | 11,293 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 39,200 | 331,477 | ||||||
SATS Ltd. (A) (B) | 6,600 | 19,044 | ||||||
Sea Ltd., ADR (A) | 3,209 | 717,885 | ||||||
Singapore Airlines Ltd. (A) (B) | 13,100 | 48,488 | ||||||
Singapore Exchange Ltd. | 8,100 | 55,877 | ||||||
Singapore Technologies Engineering Ltd. | 14,900 | 41,556 | ||||||
Singapore Telecommunications Ltd. | 69,500 | 119,601 | ||||||
Suntec, REIT | 21,200 | 23,745 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 50
DeltaShares® S&P International Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Singapore (continued) | ||||||||
United Overseas Bank Ltd. | 15,100 | $ 301,294 | ||||||
UOL Group Ltd. | 4,600 | 24,192 | ||||||
Venture Corp. Ltd. | 2,600 | 35,312 | ||||||
Wilmar International Ltd. | 30,800 | 94,583 | ||||||
|
| |||||||
2,732,996 | ||||||||
|
| |||||||
Spain - 2.0% | ||||||||
Aena SME SA (A) (B) (C) | 670 | 105,755 | ||||||
Amadeus IT Group SA (A) | 4,106 | 278,480 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 60,769 | 362,809 | ||||||
Banco Santander SA | 158,036 | 528,462 | ||||||
CaixaBank SA | 39,669 | 108,899 | ||||||
Cellnex Telecom SA (C) | 5,201 | 302,708 | ||||||
EDP Renovaveis SA | 2,349 | 58,501 | ||||||
Endesa SA (B) | 2,895 | 66,502 | ||||||
Ferrovial SA | 4,629 | 145,079 | ||||||
Grifols SA (B) | 2,680 | 51,430 | ||||||
Grifols SA, ADR | 2,558 | 28,726 | ||||||
Iberdrola SA | 52,797 | 625,024 | ||||||
Industria de Diseno Textil SA | 10,225 | 331,743 | ||||||
Naturgy Energy Group SA (B) | 3,004 | 97,804 | ||||||
Red Electrica Corp. SA (B) | 3,945 | 85,351 | ||||||
Repsol SA | 12,807 | 151,991 | ||||||
Siemens Gamesa Renewable Energy SA (A) (B) | 2,049 | 49,096 | ||||||
Telefonica SA | 48,814 | 213,830 | ||||||
|
| |||||||
3,592,190 | ||||||||
|
| |||||||
Sweden - 4.1% | ||||||||
AAK AB | 1,745 | 37,641 | ||||||
AddTech AB, B Shares | 2,542 | 60,645 | ||||||
Akelius Residential Property AB, D Shares (B) | 2,152 | 4,425 | ||||||
Alfa Laval AB | 2,913 | 117,243 | ||||||
Assa Abloy AB, B Shares | 9,701 | 295,942 | ||||||
Atlas Copco AB, A Shares | 6,322 | 436,975 | ||||||
Atlas Copco AB, B Shares | 3,817 | 224,369 | ||||||
Axfood AB | 1,026 | 29,509 | ||||||
Beijer Ref AB (B) | 2,424 | 52,984 | ||||||
Boliden AB | 2,676 | 103,448 | ||||||
Castellum AB (B) | 2,798 | 75,344 | ||||||
Electrolux AB, B Shares (B) | 2,471 | 59,906 | ||||||
Elekta AB, B Shares (B) | 3,389 | 42,878 | ||||||
Embracer Group AB (A) (B) | 5,752 | 61,314 | ||||||
Epiroc AB, Class A | 6,124 | 155,030 | ||||||
Epiroc AB, Class B | 3,815 | 80,776 | ||||||
EQT AB | 2,701 | 147,075 | ||||||
Essity AB, Class B | 5,892 | 192,238 | ||||||
Evolution AB (C) | 1,768 | 251,164 | ||||||
Fabege AB | 2,653 | 44,408 | ||||||
Fastighets AB Balder, B Shares (A) | 1,029 | 74,079 | ||||||
Getinge AB, B Shares | 2,138 | 93,300 | ||||||
H&M Hennes & Mauritz AB, B Shares (B) | 7,287 | 143,328 | ||||||
Hexagon AB, B Shares | 20,309 | 322,226 | ||||||
Holmen AB, B Shares | 906 | 43,500 | ||||||
Husqvarna AB, B Shares | 4,049 | 64,779 | ||||||
Industrivarden AB, A Shares | 1,808 | 57,592 | ||||||
Industrivarden AB, C Shares | 1,674 | 52,528 | ||||||
Indutrade AB | 2,600 | 79,604 | ||||||
Investment AB Latour, B Shares | 1,332 | 54,243 | ||||||
Investor AB, A Shares | 5,610 | 147,843 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Sweden (continued) | ||||||||
Investor AB, B Shares | 17,822 | $ 448,313 | ||||||
Kinnevik AB (A) | 2,369 | 84,450 | ||||||
Kinnevik AB, Class A (A) | 83 | 3,159 | ||||||
L E Lundbergforetagen AB, B Shares | 624 | 35,012 | ||||||
Lifco AB, B Shares | 2,073 | 61,980 | ||||||
Lundin Energy AB | 1,874 | 67,166 | ||||||
Nibe Industrier AB, B Shares | 13,778 | 208,104 | ||||||
Oatly Group AB, ADR (A) | 811 | 6,456 | ||||||
Sagax AB, B Shares | 1,633 | 55,011 | ||||||
Sagax AB, D Shares (B) | 1,087 | 4,010 | ||||||
Samhallsbyggnadsbolaget i Norden AB | 10,930 | 80,184 | ||||||
Samhallsbyggnadsbolaget i Norden AB, D Shares (B) | 1,460 | 5,183 | ||||||
Sandvik AB | 10,675 | 297,830 | ||||||
Securitas AB, B Shares | 3,165 | 43,575 | ||||||
Sinch AB (A) (C) | 5,693 | 72,374 | ||||||
Skandinaviska Enskilda Banken AB, C Shares | 139 | 2,014 | ||||||
Skandinaviska Enskilda Banken AB, Class A | 15,708 | 218,344 | ||||||
Skanska AB, B Shares | 3,915 | 101,271 | ||||||
SKF AB, B Shares | 3,699 | 87,635 | ||||||
Spotify Technology SA (A) | 1,349 | 315,706 | ||||||
SSAB AB, A Shares (A) | 2,172 | 12,580 | ||||||
SSAB AB, B Shares (A) | 6,176 | 31,112 | ||||||
Svenska Cellulosa AB SCA, Class B | 5,864 | 104,115 | ||||||
Svenska Handelsbanken AB, A Shares | 15,029 | 162,443 | ||||||
Svenska Handelsbanken AB, B Shares | 345 | 4,108 | ||||||
Sweco AB, B Shares (B) | 2,015 | 37,879 | ||||||
Swedbank AB, A Shares | 9,080 | 182,626 | ||||||
Swedish Match AB | 15,456 | 122,947 | ||||||
Swedish Orphan Biovitrum AB (A) | 1,932 | 39,498 | ||||||
Tele2 AB, B Shares | 4,899 | 69,855 | ||||||
Telefonaktiebolaget LM Ericsson, B Shares | 28,251 | 311,378 | ||||||
Telia Co. AB | 24,403 | 95,428 | ||||||
Trelleborg AB, B Shares | 2,373 | 62,327 | ||||||
Vitrolife AB | 624 | 38,596 | ||||||
Volvo AB, A Shares | 1,872 | 43,958 | ||||||
Volvo AB, B Shares | 15,538 | 359,796 | ||||||
Wallenstam AB, B Shares | 2,052 | 38,076 | ||||||
|
| |||||||
7,520,835 | ||||||||
|
| |||||||
Switzerland - 9.9% | ||||||||
ABB Ltd. | 17,473 | 669,273 | ||||||
Alcon, Inc. | 4,888 | 433,142 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 11 | 272,732 | ||||||
Cie Financiere Richemont SA, Class A | 5,106 | 767,455 | ||||||
Credit Suisse Group AG | 24,633 | 239,855 | ||||||
EMS-Chemie Holding AG | 66 | 73,957 | ||||||
Geberit AG | 351 | 287,072 | ||||||
Givaudan SA | 78 | 410,224 | ||||||
Glencore PLC | 107,026 | 543,533 | ||||||
Holcim Ltd. (A) | 5,061 | 258,341 | ||||||
Kuehne & Nagel International AG | 496 | 160,262 | ||||||
Logitech International SA | 1,693 | 142,850 | ||||||
Lonza Group AG | 728 | 608,511 | ||||||
Nestle SA | 27,537 | 3,851,523 | ||||||
Novartis AG | 23,814 | 2,098,214 | ||||||
Partners Group Holding AG | 222 | 368,518 | ||||||
Roche Holding AG | 7,139 | 2,978,978 | ||||||
Schindler Holding AG | 595 | 160,079 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 51
DeltaShares® S&P International Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
Switzerland (continued) | ||||||||
SGS SA | 59 | $ 197,303 | ||||||
Siemens Energy AG (A) | 3,909 | 99,975 | ||||||
Sika AG (B) | 1,388 | 579,178 | ||||||
Sonova Holding AG | 519 | 203,806 | ||||||
STMicroelectronics NV | 6,418 | 319,384 | ||||||
Straumann Holding AG | 112 | 238,099 | ||||||
Swatch Group AG | 809 | 117,512 | ||||||
Swiss Life Holding AG | 308 | 188,961 | ||||||
Swiss Re AG | 2,826 | 279,948 | ||||||
Swisscom AG | 248 | 140,066 | ||||||
UBS Group AG | 36,217 | 652,673 | ||||||
Zurich Insurance Group AG | 1,472 | 646,863 | ||||||
|
| |||||||
17,988,287 | ||||||||
|
| |||||||
United Kingdom - 12.4% | ||||||||
3i Group PLC | 9,521 | 186,859 | ||||||
Abrdn PLC | 21,335 | 69,613 | ||||||
Admiral Group PLC | 2,644 | 113,057 | ||||||
Allfunds Group PLC (A) | 1,721 | 33,850 | ||||||
Anglo American PLC | 13,193 | 538,937 | ||||||
Ashtead Group PLC | 4,396 | 353,796 | ||||||
Associated British Foods PLC | 3,485 | 94,783 | ||||||
AstraZeneca PLC | 15,155 | 1,781,306 | ||||||
Auto Trader Group PLC (C) | 9,480 | 95,017 | ||||||
AVEVA Group PLC | 1,209 | 55,742 | ||||||
Aviva PLC | 38,440 | 213,675 | ||||||
B&M European Value Retail SA | 8,326 | 71,497 | ||||||
BAE Systems PLC | 31,548 | 234,931 | ||||||
Barclays PLC | 155,928 | 394,938 | ||||||
Barratt Developments PLC | 9,972 | 101,029 | ||||||
Berkeley Group Holdings PLC | 1,099 | 71,078 | ||||||
BP PLC | 198,745 | 889,674 | ||||||
British American Tobacco PLC | 22,351 | 827,521 | ||||||
British Land Co. PLC, REIT (B) | 9,176 | 65,995 | ||||||
BT Group PLC (B) | 85,819 | 197,081 | ||||||
Bunzl PLC | 3,300 | 128,950 | ||||||
Burberry Group PLC | 3,961 | 97,508 | ||||||
CNH Industrial NV | 9,743 | 189,131 | ||||||
Coca-Cola Europacific Partners PLC | 1,963 | 109,791 | ||||||
Compass Group PLC (A) | 17,467 | 390,597 | ||||||
ConvaTec Group PLC (C) | 15,564 | 40,717 | ||||||
Croda International PLC | 1,394 | 191,076 | ||||||
Deliveroo PLC (A) (C) | 3,910 | 11,106 | ||||||
Diageo PLC | 22,809 | 1,246,868 | ||||||
Direct Line Insurance Group PLC | 13,161 | 49,734 | ||||||
DS Smith PLC | 13,440 | 69,866 | ||||||
Endava PLC, ADR (A) | 370 | 62,130 | ||||||
Entain PLC (A) | 5,737 | 130,777 | ||||||
Farfetch Ltd., Class A (A) | 3,211 | 107,344 | ||||||
Ferguson PLC | 2,271 | 403,104 | ||||||
GlaxoSmithKline PLC | 49,006 | 1,066,400 | ||||||
Halma PLC | 3,714 | 160,974 | ||||||
Hargreaves Lansdown PLC | 3,480 | 63,868 | ||||||
Howden Joinery Group PLC | 5,898 | 71,993 | ||||||
HSBC Holdings PLC | 203,005 | 1,233,609 | ||||||
Imperial Brands PLC | 9,288 | 203,358 | ||||||
Informa PLC (A) | 14,705 | 102,892 | ||||||
InterContinental Hotels Group PLC (A) | 1,837 | 118,957 | ||||||
Intermediate Capital Group PLC | 2,877 | 85,495 |
Shares | Value | |||||||
COMMON STOCKS (continued) | ||||||||
United Kingdom (continued) | ||||||||
Intertek Group PLC | 1,579 | $ 120,408 | ||||||
J Sainsbury PLC | 17,108 | 63,908 | ||||||
JD Sports Fashion PLC | 24,223 | 71,458 | ||||||
Johnson Matthey PLC | 1,946 | 53,928 | ||||||
Kingfisher PLC | 20,658 | 94,657 | ||||||
Land Securities Group PLC, REIT | 7,350 | 77,292 | ||||||
Legal & General Group PLC | 58,406 | 235,346 | ||||||
Lloyds Banking Group PLC | 694,405 | 449,577 | ||||||
London Stock Exchange Group PLC | 3,170 | 297,547 | ||||||
M&G PLC | 25,436 | 68,731 | ||||||
Meggitt PLC (A) | 7,644 | 76,408 | ||||||
Melrose Industries PLC | 42,777 | 92,645 | ||||||
Mondi PLC | 4,750 | 117,478 | ||||||
National Grid PLC | 37,923 | 544,364 | ||||||
Natwest Group PLC | 51,844 | 158,487 | ||||||
Next PLC | 1,301 | 143,614 | ||||||
NMC Health PLC (A) (E) (F) (G) | 1,067 | 0 | ||||||
Ocado Group PLC (A) | 6,322 | 143,684 | ||||||
Pearson PLC | 7,402 | 61,477 | ||||||
Pepco Group NV (A) (C) | 891 | 10,283 | ||||||
Persimmon PLC | 3,122 | 120,769 | ||||||
Phoenix Group Holdings PLC | 8,311 | 73,530 | ||||||
Prudential PLC | 26,869 | 463,825 | ||||||
Reckitt Benckiser Group PLC | 7,206 | 618,990 | ||||||
RELX PLC | 19,395 | 630,995 | ||||||
Rentokil Initial PLC | 18,190 | 143,883 | ||||||
Rightmove PLC | 8,566 | 92,238 | ||||||
Rio Tinto PLC | 10,442 | 691,884 | ||||||
Rolls-Royce Holdings PLC (A) | 81,863 | 136,249 | ||||||
Sage Group PLC | 10,965 | 126,624 | ||||||
Schroders PLC | 1,194 | 57,573 | ||||||
Segro PLC, REIT | 11,764 | 228,888 | ||||||
Severn Trent PLC | 2,478 | 98,911 | ||||||
Smith & Nephew PLC | 8,657 | 151,669 | ||||||
Smiths Group PLC | 3,878 | 82,964 | ||||||
Spirax-Sarco Engineering PLC | 721 | 156,738 | ||||||
SSE PLC | 10,255 | 229,044 | ||||||
St. James’s Place PLC | 5,285 | 120,509 | ||||||
Standard Chartered PLC | 25,003 | 151,852 | ||||||
Subsea 7 SA | 2,260 | 16,192 | ||||||
Taylor Wimpey PLC | 35,675 | 84,802 | ||||||
Tesco PLC | 75,642 | 297,012 | ||||||
THG PLC (A) | 7,041 | 21,858 | ||||||
Unilever PLC | 25,723 | 1,374,633 | ||||||
United Utilities Group PLC | 6,671 | 98,397 | ||||||
Vodafone Group PLC | 262,189 | 398,660 | ||||||
Weir Group PLC | 2,540 | 58,881 | ||||||
Whitbread PLC (A) | 1,971 | 79,955 | ||||||
Wise PLC, Class A (A) | 3,989 | 40,878 | ||||||
WPP PLC | 12,488 | 189,356 | ||||||
|
| |||||||
22,645,675 | ||||||||
|
| |||||||
United States - 0.1% | ||||||||
Flex Ltd. (A) | 4,604 | 84,391 | ||||||
|
| |||||||
Uruguay - 0.1% | ||||||||
Globant SA (A) | 406 | 127,521 | ||||||
|
| |||||||
Total Common Stocks | 180,220,500 | |||||||
|
|
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 52
DeltaShares® S&P International Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
Shares | Value | |||||||
PREFERRED STOCKS - 0.4% | ||||||||
Germany - 0.4% | ||||||||
Bayerische Motoren Werke AG, | 564 | $ 47,013 | ||||||
Henkel AG & Co. KGaA, | 1,743 | 141,009 | ||||||
Porsche Automobil Holding SE, | 1,498 | 142,142 | ||||||
Sartorius AG, | 242 | 163,801 | ||||||
Volkswagen AG, | 1,795 | 362,285 | ||||||
|
| |||||||
Total Preferred Stocks |
| 856,250 | ||||||
|
| |||||||
RIGHT - 0.0% | ||||||||
Austria - 0.0% | ||||||||
Buwog AG, (A) (E) (F) (G) | 152 | 0 | ||||||
|
| |||||||
Total Right |
| 0 | ||||||
|
|
Shares | Value | |||||||
SHORT-TERM INVESTMENT COMPANY - 0.0% (D) | ||||||||
Money Market Fund - 0.0% (D) | ||||||||
State Street Institutional Treasury Money Market Fund, 0.01% (H) | 7,779 | $ 7,779 | ||||||
|
| |||||||
Total Short-Term Investment Company |
| 7,779 | ||||||
|
| |||||||
OTHER INVESTMENT COMPANY - 1.3% | ||||||||
Securities Lending Collateral - 1.3% | ||||||||
State Street Navigator Securities Lending Trust - Government Money Market Portfolio, 0.03% (H) | 2,334,702 | 2,334,702 | ||||||
|
| |||||||
Total Other Investment Company |
| 2,334,702 | ||||||
|
| |||||||
Total Investments |
| 183,419,231 | ||||||
Net Other Assets (Liabilities) - (0.6)% |
| (1,139,518 | ) | |||||
|
| |||||||
Net Assets - 100.0% |
| $182,279,713 | ||||||
|
|
FUTURES CONTRACTS:
Long Futures Contracts | ||||||||||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
MSCI EAFE Index | 8 | 03/18/2022 | $ | 917,859 | $ | 928,720 | $ | 10,861 | $ | — |
INVESTMENTS BY INDUSTRY (unaudited):
Industry | Percentage of Total Investments | Value | ||||||
Banks | 8.1 | % | $ | 14,779,329 | ||||
Pharmaceuticals | 7.9 | 14,425,295 | ||||||
Insurance | 4.4 | 8,076,048 | ||||||
Machinery | 3.5 | 6,437,907 | ||||||
Chemicals | 3.5 | 6,341,378 | ||||||
Semiconductors & Semiconductor Equipment | 3.4 | 6,316,845 | ||||||
Food Products | 3.3 | 6,090,603 | ||||||
Textiles, Apparel & Luxury Goods | 3.3 | 5,994,320 | ||||||
Automobiles | 3.1 | 5,710,778 | ||||||
Oil, Gas & Consumable Fuels | 3.1 | 5,655,980 | ||||||
Metals & Mining | 3.1 | 5,608,919 | ||||||
Capital Markets | 2.6 | 4,763,230 | ||||||
Health Care Equipment & Supplies | 2.2 | 4,110,597 | ||||||
Electrical Equipment | 2.0 | 3,599,027 | ||||||
Software | 1.9 | 3,561,009 | ||||||
Beverages | 1.9 | 3,465,254 | ||||||
IT Services | 1.9 | 3,455,351 | ||||||
Electronic Equipment, Instruments & Components | 1.8 | 3,371,789 | ||||||
Professional Services | 1.8 | 3,317,157 | ||||||
Electric Utilities | 1.8 | 3,227,472 | ||||||
Personal Products | 1.8 | 3,220,955 | ||||||
Trading Companies & Distributors | 1.7 | 3,114,471 | ||||||
Real Estate Management & Development | 1.6 | 2,995,339 | ||||||
Diversified Telecommunication Services | 1.6 | 2,992,267 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 53
DeltaShares® S&P International Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
INVESTMENTS BY INDUSTRY (unaudited) (continued):
Industry | Percentage of Total Investments | Value | ||||||
Industrial Conglomerates | 1.6 | % | $ | 2,843,999 | ||||
Household Durables | 1.5 | 2,747,609 | ||||||
Food & Staples Retailing | 1.5 | 2,695,322 | ||||||
Equity Real Estate Investment Trusts | 1.4 | 2,613,891 | ||||||
Hotels, Restaurants & Leisure | 1.3 | 2,370,452 | ||||||
Entertainment | 1.3 | 2,338,233 | ||||||
Building Products | 1.3 | 2,320,730 | ||||||
Aerospace & Defense | 1.1 | 1,941,034 | ||||||
Wireless Telecommunication Services | 1.0 | 1,865,458 | ||||||
Multi-Utilities | 0.9 | 1,699,222 | ||||||
Biotechnology | 0.9 | 1,675,696 | ||||||
Diversified Financial Services | 0.9 | 1,574,215 | ||||||
Auto Components | 0.8 | 1,532,758 | ||||||
Internet & Direct Marketing Retail | 0.8 | 1,527,463 | ||||||
Tobacco | 0.7 | 1,371,645 | ||||||
Specialty Retail | 0.7 | 1,357,962 | ||||||
Road & Rail | 0.7 | 1,344,630 | ||||||
Air Freight & Logistics | 0.7 | 1,319,087 | ||||||
Construction & Engineering | 0.7 | 1,313,287 | ||||||
Household Products | 0.7 | 1,280,327 | ||||||
Life Sciences Tools & Services | 0.7 | 1,264,846 | ||||||
Construction Materials | 0.6 | 1,010,602 | ||||||
Multiline Retail | 0.5 | 922,366 | ||||||
Media | 0.5 | 920,757 | ||||||
Transportation Infrastructure | 0.5 | 869,689 | ||||||
Technology Hardware, Storage & Peripherals | 0.5 | 861,007 | ||||||
Marine | 0.5 | 837,433 | ||||||
Gas Utilities | 0.4 | 771,554 | ||||||
Health Care Providers & Services | 0.4 | 731,210 | ||||||
Commercial Services & Supplies | 0.4 | 701,715 | ||||||
Communications Equipment | 0.4 | 662,145 | ||||||
Paper & Forest Products | 0.3 | 621,585 | ||||||
Interactive Media & Services | 0.3 | 610,264 | ||||||
Leisure Products | 0.3 | 490,285 | ||||||
Containers & Packaging | 0.2 | 303,906 | ||||||
Airlines | 0.1 | 254,503 | ||||||
Independent Power & Renewable Electricity Producers | 0.1 | 235,212 | ||||||
Health Care Technology | 0.1 | 232,623 | ||||||
Water Utilities | 0.1 | 197,308 | ||||||
Energy Equipment & Services | 0.0 | (D) | 91,481 | |||||
Distributors | 0.0 | (D) | 57,804 | |||||
Diversified Consumer Services | 0.0 | (D) | 51,468 | |||||
Consumer Finance | 0.0 | (D) | 12,647 | |||||
Money Market Fund | 0.0 | (D) | 7,779 | |||||
|
|
|
| |||||
Investments | 98.7 | 181,084,529 | ||||||
Short-Term Investments | 1.3 | 2,334,702 | ||||||
|
|
|
| |||||
Total Investments | 100.0 | % | $ | 183,419,231 | ||||
|
|
|
|
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 54
DeltaShares® S&P International Managed Risk ETF
SCHEDULE OF INVESTMENTS (continued)
At December 31, 2021
INVESTMENT VALUATION:
Valuation Inputs (I)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs (J) | Value | |||||||||||||
ASSETS |
| |||||||||||||||
Investments |
| |||||||||||||||
Common Stocks | $ | 3,381,930 | $ | 176,838,570 | $ | 0 | $ | 180,220,500 | ||||||||
Preferred Stocks | — | 856,250 | — | 856,250 | ||||||||||||
Right | — | — | 0 | 0 | ||||||||||||
Short-Term Investment Company | 7,779 | — | — | 7,779 | ||||||||||||
Other Investment Company | 2,334,702 | — | — | 2,334,702 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 5,724,411 | $ | 177,694,820 | $ | 0 | $ | 183,419,231 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments |
| |||||||||||||||
Futures Contracts (K) | $ | 10,861 | $ | — | $ | — | $ | 10,861 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 10,861 | $ | — | $ | — | $ | 10,861 | ||||||||
|
|
|
|
|
|
|
|
FOOTNOTES TO SCHEDULE OF INVESTMENTS:
(A) | Non-income producing securities. | |
(B) | All or a portion of the securities are on loan. The total value of all securities on loan is $6,336,118, collateralized by cash collateral of $2,334,702 and non-cash collateral, such as U.S. government securities and irrevocable letters of credit, of $4,332,613. The amount of securities on loan indicated may not correspond with the securities on loan identified because securities with pending sales are in the process of recall from the brokers. | |
(C) | Securities are exempt from registration pursuant to Rule 144A of the Securities Act of 1933. Securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2021, the total value of 144A securities is $3,330,432, representing 1.8% of the Fund’s net assets. | |
(D) | Percentage rounds to less than 0.1% or (0.1)%. | |
(E) | Securities deemed worthless. | |
(F) | Securities are Level 3 of the fair value hierarchy. | |
(G) | Fair valued as determined in good faith in accordance with procedures established by the Board. At December 31, 2021, the total value of securities is $0, representing 0.00% of the Fund’s net assets. | |
(H) | Rates disclosed reflect the yields at December 31, 2021. | |
(I) | There were no transfers in or out of Level 3 during the year ended December 31, 2021. Please reference the Investment Valuation section of the Notes to Financial Statements for more information regarding investment valuation and pricing inputs. | |
(J) | Level 3 securities were not considered significant to the Fund. | |
(K) | Derivative instruments are valued at unrealized appreciation (depreciation). |
CURRENCY ABBREVIATION:
Euro | Euro |
PORTFOLIO ABBREVIATIONS:
ADR | American Depositary Receipt | |
CDI | CHESS Depositary Interests | |
CVA | Commanditaire Vennootschap op Aandelen (Dutch Certificate) | |
EAFE | Europe, Australasia and Far East | |
J-REIT | Japan-Real Estate Investment Trust | |
REIT | Real Estate Investment Trust |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 55
STATEMENTS OF ASSETS AND LIABILITIES
At December 31, 2021
DeltaShares® S&P 400 Managed Risk ETF | DeltaShares® S&P 500 Managed Risk ETF | DeltaShares® S&P 600 Managed Risk ETF | DeltaShares® S&P EM 100 & Managed Risk ETF | DeltaShares® S&P International Managed Risk ETF | ||||||||||||||||
Assets: | ||||||||||||||||||||
Investments, at value (A) (B) | $ | 100,649,646 | $ | 452,274,489 | $ | 43,472,534 | $ | 48,058,856 | $ | 183,419,231 | ||||||||||
Cash | 2 | 89,676 | 10,901 | 44,742 | 8 | |||||||||||||||
Cash collateral pledged at broker for: | ||||||||||||||||||||
Futures contracts | 13,500 | 57,500 | 12,000 | 7,298 | 48,472 | |||||||||||||||
Foreign currency, at value (C) | — | — | — | 59,825 | 325,961 | |||||||||||||||
Receivables and other assets: | ||||||||||||||||||||
Investments sold | 31,903,635 | 22,962,725 | 17,197,281 | 17,477,579 | 12,364,164 | |||||||||||||||
Net income from securities lending | 965 | 64 | 482 | 490 | 1,551 | |||||||||||||||
Dividends | 63,749 | 271,991 | 26,925 | 67,888 | 152,018 | |||||||||||||||
Interest | 1,119 | 812 | 604 | 613 | — | |||||||||||||||
Tax reclaims | — | — | — | 157 | 389,914 | |||||||||||||||
Variation margin receivable on futures contracts | 6,252 | 58,140 | 4,408 | 2,949 | 40,116 | |||||||||||||||
Total assets | 132,638,868 | 475,715,397 | 60,725,135 | 65,720,397 | 196,741,435 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Cash collateral received upon return of: | ||||||||||||||||||||
Securities on loan | 505,563 | 127,132 | 218,144 | 8,265 | 2,334,702 | |||||||||||||||
Payables and other liabilities: | ||||||||||||||||||||
Investments purchased | 31,900,934 | 22,961,074 | 17,226,479 | 19,018,323 | 12,050,880 | |||||||||||||||
Investment management fees | 37,540 | 136,078 | 16,731 | 23,836 | 76,140 | |||||||||||||||
Total liabilities | 32,444,037 | 23,224,284 | 17,461,354 | 19,050,424 | 14,461,722 | |||||||||||||||
Net assets | $ | 100,194,831 | $ | 452,491,113 | $ | 43,263,781 | $ | 46,669,973 | $ | 182,279,713 | ||||||||||
Net assets consist of: | ||||||||||||||||||||
Paid-in capital | $ | 92,547,588 | $ | 371,869,819 | $ | 44,570,240 | $ | 45,395,578 | $ | 182,085,620 | ||||||||||
Total distributable earnings (accumulated losses) | 7,647,243 | 80,621,294 | (1,306,459 | ) | 1,274,395 | 194,093 | ||||||||||||||
Net assets | $ | 100,194,831 | $ | 452,491,113 | $ | 43,263,781 | $ | 46,669,973 | $ | 182,279,713 | ||||||||||
Shares outstanding | 1,650,000 | 5,610,000 | 740,000 | 900,000 | 3,450,000 | |||||||||||||||
Net asset value per share | $ | 60.72 | $ | 80.66 | $ | 58.46 | $ | 51.86 | $ | 52.83 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
(A) Investments, at cost | $ | 81,902,491 | $ | 363,287,839 | $ | 36,794,797 | $ | 41,921,606 | $ | 152,831,637 | ||||||||||
(B) Securities on loan, at value | $ | 2,108,124 | $ | 386,845 | $ | 1,220,687 | $ | 246,145 | $ | 6,336,118 | ||||||||||
(C) Foreign currency, at cost | $ | — | $ | — | $ | — | $ | 59,780 | $ | 325,757 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 56
For the year ended December 31, 2021
DeltaShares® S&P 400 Managed Risk ETF | DeltaShares® S&P 500 Managed Risk ETF | DeltaShares® S&P 600 Managed Risk ETF | DeltaShares® S&P EM 100 & Managed Risk ETF | DeltaShares® S&P International Managed Risk ETF | ||||||||||||||||
Investment Income: | ||||||||||||||||||||
Dividend income | $ | 1,054,971 | $ | 5,622,061 | $ | 374,315 | $ | 1,223,908 | $ | 5,252,946 | ||||||||||
Interest income | 84,294 | 12,299 | 116,414 | 72,629 | 6,088 | |||||||||||||||
Non-cash dividend income | — | — | — | — | 356,533 | |||||||||||||||
Net income from securities lending | 5,707 | 1,813 | 6,967 | 4,257 | 73,244 | |||||||||||||||
Withholding taxes on foreign income | — | (775 | ) | (360 | ) | (118,027 | ) | (471,254 | ) | |||||||||||
Total investment income | 1,144,972 | 5,635,398 | 497,336 | 1,182,767 | 5,217,557 | |||||||||||||||
Expenses: | ||||||||||||||||||||
Investment management fees | 446,908 | 1,441,289 | 202,379 | 311,634 | 918,837 | |||||||||||||||
Total expenses | 446,908 | 1,441,289 | 202,379 | 311,634 | 918,837 | |||||||||||||||
Net investment income (loss) | 698,064 | 4,194,109 | 294,957 | 871,133 | 4,298,720 | |||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments | 2,364,686 | (2,032,519 | ) | 447,085 | (801,193 | ) | 467,267 | |||||||||||||
In-kind redemptions | 2,244,384 | 52,717,627 | 1,280,141 | — | 5,170,381 | |||||||||||||||
Futures contracts | 48,444 | 302,668 | 8,548 | 4,594 | 208,999 | |||||||||||||||
Foreign currency transactions | — | — | — | (21,414 | ) | (20,536 | ) | |||||||||||||
Net realized gain (loss) | 4,657,514 | 50,987,776 | 1,735,774 | (818,013 | ) | 5,826,111 | ||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments | 8,491,176 | 41,122,114 | 3,329,084 | (4,997,797 | ) | 7,542,945 | ||||||||||||||
Futures contracts | 465 | (1,644 | ) | 1,884 | (5,673 | ) | 5,886 | |||||||||||||
Translation of assets and liabilities denominated in foreign currencies | — | — | — | (991 | ) | (23,834 | ) | |||||||||||||
Net change in unrealized appreciation (depreciation) | 8,491,641 | 41,120,470 | 3,330,968 | (5,004,461 | ) | 7,524,997 | ||||||||||||||
Net realized and change in unrealized gain (loss) | 13,149,155 | 92,108,246 | 5,066,742 | (5,822,474 | ) | 13,351,108 | ||||||||||||||
Net increase (decrease) in net assets resulting from operations | $ | 13,847,219 | $ | 96,302,355 | $ | 5,361,699 | $ | (4,951,341 | ) | $ | 17,649,828 |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 57
STATEMENTS OF CHANGES IN NET ASSETS
For the years ended:
DeltaShares® S&P 400 Managed Risk ETF | DeltaShares® S&P 500 Managed Risk ETF | DeltaShares® S&P 600 Managed Risk ETF | ||||||||||||||||||||||
December 31, 2021 | December 31, 2020 | December 31, 2021 | December 31, 2020 | December 31, 2021 | December 31, 2020 | |||||||||||||||||||
From operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 698,064 | $ | 390,659 | $ | 4,194,109 | $ | 3,314,233 | $ | 294,957 | $ | 103,415 | ||||||||||||
Net realized gain (loss) | 4,657,514 | (3,723,088 | ) | 50,987,776 | 29,165,440 | 1,735,774 | (3,034,511 | ) | ||||||||||||||||
Net change in unrealized appreciation (depreciation) | 8,491,641 | 1,231,737 | 41,120,470 | (16,660,483 | ) | 3,330,968 | 566,193 | |||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 13,847,219 | (2,100,692 | ) | 96,302,355 | 15,819,190 | 5,361,699 | (2,364,903 | ) | ||||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||||||
Dividends and/or distributions to shareholders | (732,505 | ) | (407,034 | ) | (4,250,010 | ) | (3,348,511 | ) | (263,002 | ) | (109,028 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from dividends and/or distributions to shareholders | (732,505 | ) | (407,034 | ) | (4,250,010 | ) | (3,348,511 | ) | (263,002 | ) | (109,028 | ) | ||||||||||||
Capital share transactions: | ||||||||||||||||||||||||
Proceeds from shares sold | — | 1,591,684 | 111,901,133 | 71,220,778 | 5,236,572 | 1,553,925 | ||||||||||||||||||
Cost of shares redeemed | (5,843,931 | ) | (3,924,593 | ) | (138,225,173 | ) | (125,014,760 | ) | (4,057,292 | ) | (3,801,091 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (5,843,931 | ) | (2,332,909 | ) | (26,324,040 | ) | (53,793,982 | ) | 1,179,280 | (2,247,166 | ) | |||||||||||||
Net increase (decrease) in net assets | 7,270,783 | (4,840,635 | ) | 65,728,305 | (41,323,303 | ) | 6,277,977 | (4,721,097 | ) | |||||||||||||||
Net assets: | ||||||||||||||||||||||||
Beginning of year | 92,924,048 | 97,764,683 | 386,762,808 | 428,086,111 | 36,985,804 | 41,706,901 | ||||||||||||||||||
End of year | $ | 100,194,831 | $ | 92,924,048 | $ | 452,491,113 | $ | 386,762,808 | $ | 43,263,781 | $ | 36,985,804 | ||||||||||||
Capital share transactions - shares: | ||||||||||||||||||||||||
Shares issued | — | 30,000 | 1,400,000 | 1,200,000 | 100,000 | 30,000 | ||||||||||||||||||
Shares redeemed | (100,000 | ) | (80,000 | ) | (1,830,000 | ) | (2,110,000 | ) | (70,000 | ) | (70,000 | ) | ||||||||||||
Net increase (decrease) in shares outstanding | (100,000 | ) | (50,000 | ) | (430,000 | ) | (910,000 | ) | 30,000 | (40,000 | ) |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 58
STATEMENTS OF CHANGES IN NET ASSETS (continued)
For the years ended:
DeltaShares® S&P EM 100 & Managed Risk ETF | DeltaShares® S&P International Managed Risk ETF | |||||||||||||||
December 31, 2021 | December 31, 2020 | December 31, 2021 | December 31, 2020 | |||||||||||||
From operations: | ||||||||||||||||
Net investment income (loss) | $ | 871,133 | $ | 312,826 | $ | 4,298,720 | $ | 1,402,374 | ||||||||
Net realized gain (loss) | (818,013 | ) | (1,676,930 | ) | 5,826,111 | (17,903,976 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | (5,004,461 | ) | 7,462,241 | 7,524,997 | 8,107,345 | |||||||||||
Net increase (decrease) in net assets resulting from operations | (4,951,341 | ) | 6,098,137 | 17,649,828 | (8,394,257 | ) | ||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||
Dividends and/or distributions to shareholders | (838,002 | ) | (421,586 | ) | (5,100,007 | ) | (1,169,430 | ) | ||||||||
Net increase (decrease) in net assets resulting from dividends and/or distributions to shareholders | (838,002 | ) | (421,586 | ) | (5,100,007 | ) | (1,169,430 | ) | ||||||||
Capital share transactions: | ||||||||||||||||
Proceeds from shares sold | — | — | — | 2,194,268 | ||||||||||||
Cost of shares redeemed | — | — | (15,215,072 | ) | (7,445,558 | ) | ||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | — | — | (15,215,072 | ) | (5,251,290 | ) | ||||||||||
Net increase (decrease) in net assets | (5,789,343 | ) | 5,676,551 | (2,665,251 | ) | (14,814,977 | ) | |||||||||
Net assets: | ||||||||||||||||
Beginning of year | 52,459,316 | 46,782,765 | 184,944,964 | 199,759,941 | ||||||||||||
End of year | $ | 46,669,973 | $ | 52,459,316 | $ | 182,279,713 | $ | 184,944,964 | ||||||||
Capital share transactions - shares: | ||||||||||||||||
Shares issued | — | — | — | 50,000 | ||||||||||||
Shares redeemed | — | — | (300,000 | ) | (150,000 | ) | ||||||||||
Net increase (decrease) in shares outstanding | — | — | (300,000 | ) | (100,000 | ) |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 59
For a share outstanding during the period and years indicated: | DeltaShares® S&P 400 Managed Risk ETF | |||||||||||||||||||
December 31, 2021 | December 31, 2020 | December 31, 2019 | December 31, 2018 | December 31, 2017 (A) | ||||||||||||||||
Net asset value, beginning of period/year | $ | 53.10 | $ | 54.31 | $ | 48.30 | $ | 53.88 | $ | 50.00 | ||||||||||
Investment operations: | ||||||||||||||||||||
Net investment income (loss) (B) | 0.41 | 0.22 | 0.67 | 0.66 | 0.27 | |||||||||||||||
Net realized and unrealized gain (loss) | 7.65 | (1.20 | ) | 6.03 | (5.58 | ) | 3.94 | |||||||||||||
Total investment operations | 8.06 | (0.98 | ) | 6.70 | (4.92 | ) | 4.21 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Net investment income | (0.44 | ) | (0.23 | ) | (0.69 | ) | (0.66 | ) | (0.27 | ) | ||||||||||
Net realized gains | — | — | — | — | (0.06 | ) | ||||||||||||||
Total dividends and/or distributions to shareholders | (0.44 | ) | (0.23 | ) | (0.69 | ) | (0.66 | ) | (0.33 | ) | ||||||||||
Net asset value, end of period/year | $ | 60.72 | $ | 53.10 | $ | 54.31 | $ | 48.30 | $ | 53.88 | ||||||||||
Total return | 15.19 | % | (1.77 | )% | 13.95 | % | (9.19 | )% | 8.42 | %(C) | ||||||||||
Ratio and supplemental data: | ||||||||||||||||||||
Net assets end of period/year (000’s) | $ | 100,195 | $ | 92,924 | $ | 97,765 | $ | 103,844 | $ | 131,994 | ||||||||||
Expenses to average net assets | 0.45 | %(D) | 0.45 | %(D) | 0.45 | %(D) | 0.45 | % | 0.45 | %(E) | ||||||||||
Net investment income (loss) to average net assets | 0.70 | % | 0.44 | % | 1.30 | % | 1.23 | % | 1.25 | %(E) | ||||||||||
Portfolio turnover rate (F) | 292 | % | 821 | % | 511 | % | 435 | % | 6 | %(C) |
(A) | Commenced operations on July 31, 2017. | |
(B) | Calculated based on average number of shares outstanding. | |
(C) | Not annualized. | |
(D) | Does not include expenses of the underlying investments in which the Fund invests. | |
(E) | Annualized. | |
(F) | Excludes investment securities received or delivered as a result of processing in-kind issuances or redemptions of capital share transactions in creation units. |
For a share outstanding during the period and years indicated: | DeltaShares® S&P 500 Managed Risk ETF | |||||||||||||||||||
December 31, 2021 | December 31, 2020 | December 31, 2019 | December 31, 2018 | December 31, 2017 (A) | ||||||||||||||||
Net asset value, beginning of period/year | $ | 64.03 | $ | 61.60 | $ | 51.23 | $ | 54.10 | $ | 50.00 | ||||||||||
Investment operations: | ||||||||||||||||||||
Net investment income (loss) (B) | 0.74 | 0.50 | 0.94 | 0.91 | 0.36 | |||||||||||||||
Net realized and unrealized gain (loss) | 16.64 | 2.44 | 10.41 | (2.86 | ) | 4.09 | ||||||||||||||
Total investment operations | 17.38 | 2.94 | 11.35 | (1.95 | ) | 4.45 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Net investment income | (0.75 | ) | (0.51 | ) | (0.98 | ) | (0.91 | ) | (0.34 | ) | ||||||||||
Net realized gains | — | — | — | (0.01 | ) | (0.01 | ) | |||||||||||||
Total dividends and/or distributions to shareholders | (0.75 | ) | (0.51 | ) | (0.98 | ) | (0.92 | ) | (0.35 | ) | ||||||||||
Net asset value, end of period/year | $ | 80.66 | $ | 64.03 | $ | 61.60 | $ | 51.23 | $ | 54.10 | ||||||||||
Total return | 27.26 | % | 4.88 | % | 22.30 | % | (3.68 | )% | 8.94 | %(C) | ||||||||||
Ratio and supplemental data: | ||||||||||||||||||||
Net assets end of period/year (000’s) | $ | 452,491 | $ | 386,763 | $ | 428,086 | $ | 386,758 | $ | 419,310 | ||||||||||
Expenses to average net assets | 0.35 | %(D) | 0.35 | %(D) | 0.35 | %(D) | 0.35 | % | 0.35 | %(E) | ||||||||||
Net investment income (loss) to average net assets | 1.02 | % | 0.84 | % | 1.66 | % | 1.65 | % | 1.64 | %(E) | ||||||||||
Portfolio turnover rate (F) | 47 | % | 689 | % | 300 | % | 430 | % | 2 | %(C) |
(A) | Commenced operations on July 31, 2017. | |
(B) | Calculated based on average number of shares outstanding. | |
(C) | Not annualized. | |
(D) | Does not include expenses of the underlying investments in which the Fund invests. | |
(E) | Annualized. | |
(F) | Excludes investment securities received or delivered as a result of processing in-kind issuances or redemptions of capital share transactions in creation units. |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 60
FINANCIAL HIGHLIGHTS (continued)
For a share outstanding during the period and years indicated: | DeltaShares® S&P 600 Managed Risk ETF | |||||||||||||||||||
December 31, 2021 | December 31, 2020 | December 31, 2019 | December 31, 2018 | December 31, 2017 (A) | ||||||||||||||||
Net asset value, beginning of period/year | $ | 52.09 | $ | 55.61 | $ | 50.34 | $ | 53.94 | $ | 50.00 | ||||||||||
Investment operations: | ||||||||||||||||||||
Net investment income (loss) (B) | 0.37 | 0.15 | 0.64 | 0.59 | 0.24 | |||||||||||||||
Net realized and unrealized gain (loss) | 6.34 | (3.51 | ) | 5.30 | (3.52 | ) | 4.09 | |||||||||||||
Total investment operations | 6.71 | (3.36 | ) | 5.94 | (2.93 | ) | 4.33 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Net investment income | (0.34 | ) | (0.16 | ) | (0.67 | ) | (0.64 | ) | (0.24 | ) | ||||||||||
Net realized gains | — | — | — | (0.03 | ) | (0.15 | ) | |||||||||||||
Total dividends and/or distributions to shareholders | (0.34 | ) | (0.16 | ) | (0.67 | ) | (0.67 | ) | (0.39 | ) | ||||||||||
Net asset value, end of period/year | $ | 58.46 | $ | 52.09 | $ | 55.61 | $ | 50.34 | $ | 53.94 | ||||||||||
Total return | 12.87 | % | (6.02 | )% | 11.85 | % | (5.47 | )% | 8.65 | %(C) | ||||||||||
Ratio and supplemental data: | ||||||||||||||||||||
Net assets end of period/year (000’s) | $ | 43,264 | $ | 36,986 | $ | 41,707 | $ | 40,274 | $ | 59,331 | ||||||||||
Expenses to average net assets | 0.45 | %(D) | 0.45 | %(D) | 0.45 | %(D) | 0.45 | % | 0.45 | %(E) | ||||||||||
Net investment income (loss) to average net assets | 0.66 | % | 0.30 | % | 1.21 | % | 1.07 | % | 1.12 | %(E) | ||||||||||
Portfolio turnover rate (F) | 494 | % | 894 | % | 584 | % | 448 | % | 21 | %(C) |
(A) | Commenced operations on July 31, 2017. | |
(B) | Calculated based on average number of shares outstanding. | |
(C) | Not annualized. | |
(D) | Does not include expenses of the underlying investments in which the Fund invests. | |
(E) | Annualized. | |
(F) | Excludes investment securities received or delivered as a result of processing in-kind issuances or redemptions of capital share transactions in creation units. |
For a share outstanding during the period and years indicated: | DeltaShares® S&P EM 100 & Managed Risk ETF | |||||||||||
December 31, 2021 | December 31, 2020 | December 31, 2019 (A) | ||||||||||
Net asset value, beginning of period/year | $ | 58.29 | $ | 51.98 | $ | 50.14 | ||||||
Investment operations: | ||||||||||||
Net investment income (loss) (B) | 0.97 | 0.35 | 1.18 | |||||||||
Net realized and unrealized gain (loss) | (6.47 | ) | 6.43 | 1.75 | ||||||||
Total investment operations | (5.50 | ) | 6.78 | 2.93 | ||||||||
Dividends and/or distributions to shareholders: | ||||||||||||
Net investment income | (0.93 | ) | (0.47 | ) | (1.09 | ) | ||||||
Net asset value, end of period/year | $ | 51.86 | $ | 58.29 | $ | 51.98 | ||||||
Total return | (9.58 | )% | 13.20 | % | 5.85 | %(C) | ||||||
Ratio and supplemental data: | ||||||||||||
Net assets end of period/year (000’s) | $ | 46,670 | $ | 52,459 | $ | 46,783 | ||||||
Expenses to average net assets (D) | 0.60 | % | 0.60 | % | 0.60 | %(E) | ||||||
Net investment income (loss) to average net assets | 1.68 | % | 0.70 | % | 3.10 | %(E) | ||||||
Portfolio turnover rate | 466 | % | 647 | % | 274 | %(C)(F) |
(A) | Commenced operations on March 20, 2019. | |
(B) | Calculated based on average number of shares outstanding. | |
(C) | Not annualized. | |
(D) | Does not include expenses of the underlying investments in which the Fund invests. | |
(E) | Annualized. | |
(F) | Excludes investment securities received or delivered as a result of processing in-kind issuances or redemptions of capital share transactions in creation units. |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 61
FINANCIAL HIGHLIGHTS (continued)
For a share outstanding during the period and years indicated: | DeltaShares® S&P International Managed Risk ETF | |||||||||||||||||||
December 31, 2021 | December 31, 2020 | December 31, 2019 | December 31, 2018 | December 31, 2017 (A) | ||||||||||||||||
Net asset value, beginning of period/year | $ | 49.32 | $ | 51.89 | $ | 44.93 | $ | 53.13 | $ | 50.00 | ||||||||||
Investment operations: | ||||||||||||||||||||
Net investment income (loss) (B) | 1.22 | 0.37 | 1.38 | 1.33 | 0.32 | |||||||||||||||
Net realized and unrealized gain (loss) | 3.75 | (2.63 | ) | 7.12 | (8.15 | ) | 3.16 | |||||||||||||
Total investment operations | 4.97 | (2.26 | ) | 8.50 | (6.82 | ) | 3.48 | |||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Net investment income | (1.46 | ) | (0.31 | ) | (1.54 | ) | (1.37 | ) | (0.34 | ) | ||||||||||
Net realized gains | — | — | — | (0.01 | ) | (0.01 | ) | |||||||||||||
Total dividends and/or distributions to shareholders | (1.46 | ) | (0.31 | ) | (1.54 | ) | (1.38 | ) | (0.35 | ) | ||||||||||
Net asset value, end of period/year | $ | 52.83 | $ | 49.32 | $ | 51.89 | $ | 44.93 | $ | 53.13 | ||||||||||
Total return | 10.15 | % | (4.25 | )% | 19.12 | % | (13.09 | )% | 6.97 | %(C) | ||||||||||
Ratio and supplemental data: | ||||||||||||||||||||
Net assets end of period/year (000’s) | $ | 182,280 | $ | 184,945 | $ | 199,760 | $ | 202,190 | $ | 244,408 | ||||||||||
Expenses to average net assets | 0.50 | %(D) | 0.50 | %(D) | 0.50 | %(D) | 0.50 | % | 0.50 | %(E) | ||||||||||
Net investment income (loss) to average net assets | 2.34 | % | 0.81 | % | 2.85 | % | 2.60 | % | 1.47 | %(E) | ||||||||||
Portfolio turnover rate (F) | 43 | % | 690 | % | 85 | % | 189 | % | 3 | %(C) |
(A) | Commenced operations on July 31, 2017. | |
(B) | Calculated based on average number of shares outstanding. | |
(C) | Not annualized. | |
(D) | Does not include expenses of the underlying investments in which the Fund invests. | |
(E) | Annualized. | |
(F) | Excludes investment securities received or delivered as a result of processing in-kind issuances or redemptions of capital share transactions in creation units. |
The Notes to Financial Statements are an integral part of this report.
Transamerica ETF Trust | Annual Report 2021 |
Page 62
At December 31, 2021
1. ORGANIZATION
Transamerica ETF Trust (the “Trust”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”), and was organized as a Delaware statutory trust on May 5, 2016. The Trust applies investment company accounting and reporting guidance. The funds covered by this report (each, a “Fund” and collectively, the “Funds”) are each a series of the Trust and are as follows:
Fund |
DeltaShares® S&P 400 Managed Risk ETF (“S&P 400 Managed Risk”) |
DeltaShares® S&P 500 Managed Risk ETF (“S&P 500 Managed Risk”) |
DeltaShares® S&P 600 Managed Risk ETF (“S&P 600 Managed Risk”) |
DeltaShares® S&P EM 100 & Managed Risk ETF (“S&P EM 100 & Managed Risk”) |
DeltaShares® S&P International Managed Risk ETF (“S&P International Managed Risk”) |
Each Fund is classified as a “non-diversified” investment company under the 1940 Act.
The investment objective of each Fund is to seek to track the investment results, before fees and expenses, of the respective index listed below (each, an “Underlying Index”). Each Fund uses a “passive” or indexing approach to try to achieve its investment objective.
Fund | Underlying Index | |
S&P 400 Managed Risk | S&P 400® Managed Risk 2.0 Index | |
S&P 500 Managed Risk | S&P 500® Managed Risk 2.0 Index | |
S&P 600 Managed Risk | S&P 600® Managed Risk 2.0 Index | |
S&P EM 100 & Managed Risk | S&P EM 100 Managed Risk 2.0 Index | |
S&P International Managed Risk | S&P EPAC Ex. Korea LargeMidCap Managed Risk 2.0 Index |
This report must be accompanied or preceded by each Fund’s current prospectus, which contains additional information about the Funds, including risks, as well as investment objectives and strategies.
Transamerica Asset Management, Inc. (“TAM”) serves as investment manager for the Funds pursuant to an investment management agreement. TAM provides continuous and regular investment management services to the Funds. TAM supervises each Fund’s investments, conducts its investment program and provides supervisory, compliance and administrative services to the Funds.
TAM currently acts as a “manager of managers” and has hired Milliman Financial Risk Management LLC as the sub-adviser to furnish day-to-day investment advice and recommendations. TAM may, in the future, determine to provide all aspects of the day-to-day management of a Fund without the use of a sub-adviser. When acting as a manager of managers, TAM provides investment management services that include, without limitation, the design and development of the Funds and their investment strategies and the ongoing review and evaluation of those investment strategies including recommending changes in strategy where it believes appropriate or advisable; the selection of one or more sub-advisers for the Funds employing a combination of quantitative and qualitative screens, research, analysis and due diligence; negotiation of sub-advisory agreements and fees; oversight and monitoring of sub-advisers and recommending changes to sub-advisers where it believes appropriate or advisable; recommending fund combinations and liquidations where it believes appropriate or advisable; selection and oversight of transition managers, as needed; regular supervision of the Funds’ investments; regular review and evaluation of sub-adviser performance; daily monitoring of the sub-advisers’ buying and selling of securities for the Funds; regular review of holdings; ongoing trade oversight and analysis; regular monitoring to ensure adherence to investment process; regular calls and periodic on-site visits with sub-advisers; risk management oversight and analysis; oversight of negotiation of investment documentation and agreements; design, development, implementation and regular monitoring of the valuation process; periodic due diligence reviews of pricing vendors and vendor methodology; design, development, implementation and regular monitoring of the compliance process; respond to regulatory inquiries and determine appropriate litigation strategy, as needed; review of proxies voted by sub-advisers; oversight of preparation and review of materials for meetings of the Funds’ Board of Trustees (the “Board”), participation in these meetings and preparation of regular communications with the Board; oversight of preparation and review of prospectuses, shareholder reports and other disclosure materials and regulatory filings for the Funds; oversight of other service providers to the Funds, such as the custodian, the transfer agent, the Funds’ independent accounting firm and legal counsel; working with the authorized participants for the Funds, the index providers and the listing stock exchange; supervision of the performance of recordkeeping and shareholder relations functions for the Funds; and oversight of cash management services. TAM uses a variety of quantitative and qualitative tools to carry out its investment management services. TAM, not the Funds, is responsible for paying the sub-adviser(s) for their services, and sub-advisory fees are TAM’s expense.
TAM’s investment management services also include the provision of supervisory and administrative services to the Funds. These services include performing certain administrative services for the Funds and supervising and overseeing the administrative, clerical, recordkeeping and bookkeeping services provided to the Funds by State Street Bank and Trust Company (“State Street”), to whom
Transamerica ETF Trust | Annual Report 2021 |
Page 63
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2021
1. ORGANIZATION (continued)
TAM has outsourced the provision of certain services as described below: to the extent agreed upon by TAM and the Funds from time to time, monitoring and verifying the custodian’s daily calculation of the Net Asset Values (“NAV”); shareholder relations functions; compliance services; valuation services; assisting in due diligence and in the oversight and monitoring of certain activities of sub-advisers and certain aspects of Fund investments; assisting with Fund combinations and liquidations; oversight of the preparation and filing, and review, of all returns and reports, in connection with federal, state and local taxes; oversight and review of regulatory reporting; supervising and coordinating the Funds’ custodian and dividend disbursing agent and monitoring their services to the Funds; assisting the Funds in preparing reports to shareholders; acting as liaison with the Funds’ independent public accountants and providing, upon request, analyses, fiscal year summaries and other audit related services; assisting in the preparation of agendas and supporting documents for and minutes of meetings of trustees and committees of trustees; assisting in the preparation of regular communications with the trustees; and providing personnel and office space, telephones and other office equipment as necessary in order for TAM to perform supervisory and administrative services to the Funds.
2. SIGNIFICANT ACCOUNTING POLICIES
In preparing the Funds’ financial statements in accordance with Generally Accepted Accounting Principles in the United States of America (“GAAP”), estimates or assumptions (which could differ from actual results) may be used that affect reported amounts and disclosures. The following is a summary of significant accounting policies followed by the Funds.
Foreign currency denominated investments: The accounting records of the Funds are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the closing exchange rate each day. The cost of foreign securities purchased and any realized gains or losses are translated at the prevailing exchange rates in effect on the date of the respective transaction. Each Fund combines fluctuations from currency exchange rates and fluctuations in value when computing net realized and unrealized gains or losses from investments.
Net foreign currency gains and losses resulting from changes in exchange rates include, foreign currency fluctuations between trade date and settlement date of investment security transactions, gains and losses on forward foreign currency contracts, and the difference between the receivable amounts of interest and dividends recorded in the accounting records in U.S. dollars and the amounts actually received.
Foreign currency denominated assets may involve risks not typically associated with domestic transactions. These risks include revaluation of currencies, adverse fluctuations in foreign currency values, and possible adverse political, social, and economic developments, including those particular to a specific industry, country or region.
Security transactions and investment income: Security transactions are accounted for on the trade date. Security gains and losses are calculated on the specific identification basis. Dividend income, if any, is recorded on the ex-dividend date or, in the case of foreign securities, as soon as the Funds are informed of the ex-dividend dates, net of foreign taxes. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. Interest income, if any, is recorded on the accrual basis from settlement date, net of foreign taxes. Fixed income premiums and discounts are amortized and/or accreted over the lives of the respective securities.
Distributions to shareholders: Distributions are recorded on the ex-dividend date and are determined in accordance with federal income tax regulations, which may differ from GAAP.
Foreign taxes: The Funds may be subject to taxes imposed by the countries in which they invest, with respect to their investments in issuers existing or operating in such countries. The Funds may also be subject to foreign taxes on income, gains on investments, or currency repatriation, a portion of which may be recoverable. The Funds accrue such taxes and recoveries as applicable when the related income or capital gains are earned or unrealized, and based upon the current interpretation of tax rules and regulations that exist in the markets in which the Funds invest. Some countries require governmental approval for the repatriation of investment income, capital, or the proceeds of sales earned by foreign investors. In addition, if there is deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions of foreign capital remittances abroad.
Indemnification: In the normal course of business, the Funds enter into contracts that contain a variety of representations that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds and/or their affiliates that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
3. INVESTMENT VALUATION
All investments in securities are recorded at their estimated fair value. The Funds value their investments at the official close of the New York Stock Exchange (“NYSE”) each day the NYSE is open for business.
Transamerica ETF Trust | Annual Report 2021 |
Page 64
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2021
3. INVESTMENT VALUATION (continued)
The Funds utilize various methods to measure the fair value of their investments on a recurring basis. GAAP in the United States of America establishes a hierarchy that prioritizes inputs to valuation methods. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The three levels (“Levels”) of inputs of the fair value hierarchy are defined as follows:
Level 1—Unadjusted quoted prices in active markets for identical securities.
Level 2—Inputs, other than quoted prices included in Level 1, which are observable, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data.
Level 3—Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include the Funds’ own assumptions used in determining the fair value of investments and derivative instruments.
The inputs used to measure fair value may fall into different Levels of the fair value hierarchy. In such cases, for disclosure purposes, the Level in the fair value hierarchy that is assigned to the fair value measurement of a security is determined based on the lowest Level input that is significant to the fair value measurement in its entirety. Certain investments that are measured at fair value using NAV per share, or its equivalent, using the “practical expedient” have not been classified in the fair value Levels. The hierarchy classification of inputs used to value the Funds’ investments at December 31, 2021, is disclosed within the Investment Valuation section of each Fund’s Schedule of Investments.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, but not limited to, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is generally greatest for instruments categorized in Level 3. Due to the inherent uncertainty of valuation, the determination of values may differ significantly from values that would have been realized had a ready market for investments existed, and the differences could be material.
Fair value measurements: Descriptions of the valuation techniques applied to the Funds’ significant categories of assets and liabilities measured at fair value on a recurring basis are as follows:
Equity securities: Securities are stated at the last reported sales price or closing price on the day of valuation taken from the primary exchange where the security is principally traded. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy. Equities traded on inactive markets or valued by reference to similar instruments are generally categorized in Level 2 or Level 3 if inputs are unobservable.
Foreign equity securities: Securities in which the primary trading market closes at the same time or after the NYSE, are valued based on quotations from the primary market in which they are traded and are categorized in Level 1. Because many foreign securities markets and exchanges close prior to the close of the NYSE, closing prices for foreign securities in those markets or on those exchanges do not reflect the events that occur after that close. Certain foreign securities may be fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, ETFs and the movement of the certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Rights: Rights may be priced intrinsically using a model that incorporates the subscription or strike price, the daily market price for the underlying security, and a subscription ratio. If the inputs are unavailable, or if the subscription or strike price is higher than the market price, then the rights are priced at zero. Rights are generally categorized in Level 2 of the fair value hierarchy, or Level 3 if inputs are unobservable.
U.S. government obligations: U.S. government obligations are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, and reference data. Certain securities are valued by principally using dealer quotations. U.S. government obligations generally are categorized in Level 2 of the fair value hierarchy, or Level 3 if inputs are unobservable.
Investment companies: Certain investment companies are valued at the NAV as the practical expedient. These investment companies are not included within the fair value hierarchy. Certain other investment companies are valued at the actively traded NAV and no valuation adjustments are applied. These investment companies are categorized in Level 1 of the fair value hierarchy.
Transamerica ETF Trust | Annual Report 2021 |
Page 65
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2021
3. INVESTMENT VALUATION (continued)
Securities lending collateral: Securities lending collateral is invested in a money market fund which is valued at the actively traded NAV and no valuation adjustments are applied. Securities lending collateral is categorized in Level 1 of the fair value hierarchy.
Derivative instruments: Centrally cleared or listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized in Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) derivative contracts include forward, swap, swaption, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices. Depending on the product and the terms of the transaction, the fair value of the OTC derivative products are modeled taking into account the counterparties’ creditworthiness and using a series of techniques, including simulation models. Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments and the pricing inputs are observed from actively quoted markets, as is the case of interest rate swap and option contracts. The majority of OTC derivative products valued by the Funds using pricing models fall into this category and are categorized within Level 2 of the fair value hierarchy or Level 3 if inputs are unobservable.
4. SECURITIES AND OTHER INVESTMENTS
Real estate investment trusts (“REITs”): REITs are pooled investment vehicles which invest primarily in income producing real estate, or real estate related loans or interests. Distributions received by REITs are classified at management’s estimate of the dividend income, return of capital and capital gains. Estimates are based on information available at year-end, which includes the previous fiscal year’s classification. The actual amounts of dividend income, return of capital, and capital gains are only determined by each REIT after the fiscal year end and may differ from the estimated amounts. Upon notification from the REITs, some of the distributions received may be re-classified and recorded as a return of capital or capital gains. There are certain additional risks involved in investing in REITs. These include, but are not limited to, economic conditions, changes in zoning laws, real estate values, property taxes, and interest rates.
REITs held at December 31, 2021, if any, are identified within the Schedule of Investments.
5. BORROWINGS AND OTHER FINANCING TRANSACTIONS
The Funds may engage in borrowing transactions as a means of raising cash to satisfy redemption requests, for other temporary or emergency purposes or, to the extent permitted by their investment policies, to raise additional cash to be invested in other securities or instruments. When the Funds invest borrowing proceeds in other securities, the Funds will bear the risk that the market value of the securities in which such proceeds are invested goes down and is insufficient to repay the borrowed proceeds. The Funds may borrow on a secured or on an unsecured basis. If the Funds enter into a secured borrowing arrangement, a portion of the Funds’ assets will be used as collateral. The 1940 Act requires the Funds to maintain asset coverage of at least 300% of the amount of their borrowings. Asset coverage means the ratio that the value of the Funds’ total assets, minus liabilities other than borrowings, bears to the aggregate amount of all borrowings. Although complying with this requirement has the effect of limiting the amount that the Funds may borrow, it does not otherwise mitigate the risks of entering into borrowing transactions.
Securities lending: The Funds may lend securities to qualified financial institutions, brokers and dealers. State Street serves as securities lending agent to the Funds pursuant to a Securities Lending Agreement. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions. The lending of securities exposes the Funds to risks such as: the borrowers may fail to return the loaned securities or may not be able to provide additional collateral, the Funds may experience delays in recovery of the loaned securities or delays in access to collateral, or the Funds may experience losses related to the investment collateral. To minimize certain risks, loan counterparties pledge cash, securities issued or guaranteed by the U.S. Government and irrevocable letters of credit issued by banks as collateral. The initial collateral received by the Funds is required to have a value of at least 102% of the current value of the loaned securities traded on U.S. exchanges, and a value of at least 105% for all other securities. Typically the lending agent is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The lending agent has agreed to indemnify the Funds in the case of default of any securities borrower.
Each Fund receives compensation for lending securities from interest or dividends earned on the cash, U.S. Government securities and irrevocable letters of credit held as collateral, less associated fees and expenses. Such income is reflected in Net income from securities lending within the Statements of Operations. Cash collateral received is invested in the State Street Navigator Securities Lending Trust—Government Money Market Portfolio.
The value of loaned securities and related cash and non-cash collateral outstanding at December 31, 2021, if any, are shown on a gross basis within the Schedule of Investments.
Transamerica ETF Trust | Annual Report 2021 |
Page 66
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2021
5. BORROWINGS AND OTHER FINANCING TRANSACTIONS (continued)
The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type, and the remaining contractual maturity of those transactions as of December 31, 2021.
Remaining Contractual Maturity of the Agreements | ||||||||||||||||||||
Overnight and Continuous | Less Than 30 Days | Between 30 & 90 Days | Greater Than 90 Days | Total | ||||||||||||||||
S&P 400 Managed Risk |
| |||||||||||||||||||
Securities Lending Transactions |
| |||||||||||||||||||
Common Stocks | $ | 505,563 | $ | — | $ | — | $ | — | $ | 505,563 | ||||||||||
Total Borrowings | $ | 505,563 | $ | — | $ | — | $ | — | $ | 505,563 | ||||||||||
S&P 500 Managed Risk |
| |||||||||||||||||||
Securities Lending Transactions |
| |||||||||||||||||||
Common Stocks | $ | 127,132 | $ | — | $ | — | $ | — | $ | 127,132 | ||||||||||
Total Borrowings | $ | 127,132 | $ | — | $ | — | $ | — | $ | 127,132 | ||||||||||
S&P 600 Managed Risk |
| |||||||||||||||||||
Securities Lending Transactions |
| |||||||||||||||||||
Common Stocks | $ | 218,144 | $ | — | $ | — | $ | — | $ | 218,144 | ||||||||||
Total Borrowings | $ | 218,144 | $ | — | $ | — | $ | — | $ | 218,144 | ||||||||||
S&P EM 100 & Managed Risk |
| |||||||||||||||||||
Securities Lending Transactions |
| |||||||||||||||||||
Common Stocks | $ | 8,265 | $ | — | $ | — | $ | — | $ | 8,265 | ||||||||||
Total Borrowings | $ | 8,265 | $ | — | $ | — | $ | — | $ | 8,265 | ||||||||||
S&P International Managed Risk |
| |||||||||||||||||||
Securities Lending Transactions |
| |||||||||||||||||||
Common Stocks | $ | 2,334,702 | $ | — | $ | — | $ | — | $ | 2,334,702 | ||||||||||
Total Borrowings | $ | 2,334,702 | $ | — | $ | — | $ | — | $ | 2,334,702 | ||||||||||
6. RISK EXPOSURES AND THE USE OF DERIVATIVE INSTRUMENTS
Certain Funds’ investment strategies allow the Funds to use various types of derivative contracts, including option contracts, swap agreements, futures contracts, and forward foreign currency contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or OTC.
Market Risk Factors: In pursuit of the Funds’ investment strategies, the Funds may seek to use derivatives. The Funds’ use of derivatives may increase or decrease their exposure to the following market risks:
Interest rate risk: Interest rate risk relates to the fluctuations in the value of fixed income securities due to changes in the prevailing levels of market interest rates.
Foreign exchange rate risk: Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in the currency exchange rates.
Equity risk: Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Credit risk: Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Funds.
Commodity risk: Commodity risk relates to the change in value of commodities or commodity indices as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.
The Funds are also exposed to additional risks from investing in derivatives, such as liquidity and counterparty credit risk. Liquidity risk is the risk that the Funds will be unable to sell or close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligations to the Funds. Investing in derivatives may also involve greater
Transamerica ETF Trust | Annual Report 2021 |
Page 67
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2021
6. RISK EXPOSURES AND THE USE OF DERIVATIVE INSTRUMENTS (continued)
risks than investing directly in the underlying assets, such as losses in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
The Funds’ exposure to market risk factors and certain other associated risks are summarized by derivative type as follows:
Futures contracts: The Funds are subject to equity and commodity risk, interest rate risk, and foreign exchange rate risk in the normal course of pursuing their investment objectives. A Fund may use futures contracts to enhance the Fund’s ability to track its Underlying Index. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. Upon entering into such contracts, the Funds are required to deposit with the broker, either in cash or in securities, an initial margin in an amount equal to a certain percentage of the contract amount. Subsequent payments (variation margin) are paid or received by the Funds, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gains or losses by the Funds. Upon entering into such contracts, the Funds bear the risk of equity and commodity prices, interest rates, or exchange rates moving unexpectedly, in which case, the Funds may not achieve the anticipated benefits of the futures contracts and may realize losses. With futures, there is minimal counterparty credit risk to the Funds since futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default. Futures contracts are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.
Open futures contracts at December 31, 2021, if any, are listed within the Schedule of Investments. Variation margin, if applicable, is shown in Variation margin receivable or payable on futures contracts within the Statements of Assets and Liabilities.
The following is a summary of the location and each Fund’s fair values of derivative investments disclosed, if any, within the Statements of Assets and Liabilities, categorized by primary market risk exposure as of December 31, 2021.
Asset Derivatives | ||||||||||||||||||||||||
Fund/Location | Interest Rate Contracts | Foreign Exchange Contracts | Equity Contracts | Credit Contracts | Commodity Contracts | Total | ||||||||||||||||||
S&P 400 Managed Risk |
| |||||||||||||||||||||||
Futures contracts: |
| |||||||||||||||||||||||
Total distributable earnings (accumulated losses) (A) (B) | $ | — | $ | — | $ | 6,609 | $ | — | $ | — | $ | 6,609 | ||||||||||||
Total | $ | — | $ | — | $ | 6,609 | $ | — | $ | — | $ | 6,609 | ||||||||||||
S&P 500 Managed Risk |
| |||||||||||||||||||||||
Futures contracts: |
| |||||||||||||||||||||||
Total distributable earnings (accumulated losses) (A) (B) | $ | — | $ | — | $ | 24,718 | $ | — | $ | — | $ | 24,718 | ||||||||||||
Total | $ | — | $ | — | $ | 24,718 | $ | — | $ | — | $ | 24,718 | ||||||||||||
S&P 600 Managed Risk |
| |||||||||||||||||||||||
Futures contracts: |
| |||||||||||||||||||||||
Total distributable earnings (accumulated losses) (A) (B) | $ | — | $ | — | $ | 2,747 | $ | — | $ | — | $ | 2,747 | ||||||||||||
Total | $ | — | $ | — | $ | 2,747 | $ | — | $ | — | $ | 2,747 | ||||||||||||
S&P EM 100 & Managed Risk |
| |||||||||||||||||||||||
Futures contracts: |
| |||||||||||||||||||||||
Total distributable earnings (accumulated losses) (A) (B) | $ | — | $ | — | $ | 1,567 | $ | — | $ | — | $ | 1,567 | ||||||||||||
Total | $ | — | $ | — | $ | 1,567 | $ | — | $ | — | $ | 1,567 | ||||||||||||
S&P International Managed Risk |
| |||||||||||||||||||||||
Futures contracts: |
| |||||||||||||||||||||||
Total distributable earnings (accumulated losses) (A) (B) | $ | — | $ | — | $ | 10,861 | $ | — | $ | — | $ | 10,861 | ||||||||||||
Total | $ | — | $ | — | $ | 10,861 | $ | — | $ | — | $ | 10,861 |
(A) | May include exchange-traded derivatives which are not subject to a master netting arrangement, or another similar arrangement. | |||||||||||
(B) | Included within Unrealized Appreciation (Depreciation) on futures contracts as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
Transamerica ETF Trust | Annual Report 2021 |
Page 68
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2021
6. RISK EXPOSURES AND THE USE OF DERIVATIVE INSTRUMENTS (continued)
The following is a summary of the location and the effect of derivative investments, if any, within the Statements of Operations, categorized by primary market risk exposure as of December 31, 2021.
Realized Gain (Loss) on Derivative Instruments | ||||||||||||||||||||||||
Fund/Location | Interest Rate Contracts | Foreign Exchange Contracts | Equity Contracts | Credit Contracts | Commodity Contracts | Total | ||||||||||||||||||
S&P 400 Managed Risk | ||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | 48,444 | $ | — | $ | — | $ | 48,444 | ||||||||||||
Total | $ | — | $ | — | $ | 48,444 | $ | — | $ | — | $ | 48,444 | ||||||||||||
S&P 500 Managed Risk | ||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | 302,668 | $ | — | $ | — | $ | 302,668 | ||||||||||||
Total | $ | — | $ | — | $ | 302,668 | $ | — | $ | — | $ | 302,668 | ||||||||||||
S&P 600 Managed Risk | ||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | 8,548 | $ | — | $ | — | $ | 8,548 | ||||||||||||
Total | $ | — | $ | — | $ | 8,548 | $ | — | $ | — | $ | 8,548 | ||||||||||||
S&P EM 100 & Managed Risk | ||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | 4,594 | $ | — | $ | — | $ | 4,594 | ||||||||||||
Total | $ | — | $ | — | $ | 4,594 | $ | — | $ | — | $ | 4,594 | ||||||||||||
S&P International Managed Risk | ||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | 208,999 | $ | — | $ | — | $ | 208,999 | ||||||||||||
Total | $ | — | $ | — | $ | 208,999 | $ | — | $ | — | $ | 208,999 | ||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on Derivative Instruments | ||||||||||||||||||||||||
Fund/Location | Interest Rate Contracts | Foreign Exchange Contracts | Equity Contracts | Credit Contracts | Commodity Contracts | Total | ||||||||||||||||||
S&P 400 Managed Risk |
| |||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | 465 | $ | — | $ | — | $ | 465 | ||||||||||||
Total | $ | — | $ | — | $ | 465 | $ | — | $ | — | $ | 465 | ||||||||||||
S&P 500 Managed Risk |
| |||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | (1,644 | ) | $ | — | $ | — | $ | (1,644 | ) | ||||||||||
Total | $ | — | $ | — | $ | (1,644 | ) | $ | — | $ | — | $ | (1,644 | ) | ||||||||||
S&P 600 Managed Risk |
| |||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | 1,884 | $ | — | $ | — | $ | 1,884 | ||||||||||||
Total | $ | — | $ | — | $ | 1,884 | $ | — | $ | — | $ | 1,884 | ||||||||||||
S&P EM 100 & Managed Risk |
| |||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | (5,673 | ) | $ | — | $ | — | $ | (5,673 | ) | ||||||||||
Total | $ | — | $ | — | $ | (5,673 | ) | $ | — | $ | — | $ | (5,673 | ) | ||||||||||
S&P International Managed Risk |
| |||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | 5,886 | $ | — | $ | — | $ | 5,886 | ||||||||||||
Total | $ | — | $ | — | $ | 5,886 | $ | — | $ | — | $ | 5,886 | ||||||||||||
The following is a summary of the ending monthly average volume on derivative activity during the year ended December 31, 2021.
S&P 400 Managed Risk | S&P 500 Managed Risk | S&P 600 Managed Risk | S&P EM 100 & Managed Risk | S&P International Managed Risk | ||||||||||||||||
Futures contracts: | ||||||||||||||||||||
Average notional value of contracts — long | $ | 258,016 | $ | 1,222,380 | $ | 162,330 | $ | 290,037 | $ | 1,980,749 |
Transamerica ETF Trust | Annual Report 2021 |
Page 69
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2021
6. RISK EXPOSURES AND THE USE OF DERIVATIVE INSTRUMENTS (continued)
Collateral requirements: Collateral or margin requirements are set by the broker or exchange clearing house for exchange-traded derivatives (futures contracts, exchange-traded options, and exchange-traded swap agreements) while collateral terms are contract specific for OTC derivatives (forward foreign currency exchange contracts, OTC options, and OTC swap agreements). For OTC derivatives, under standard derivatives agreements, a Fund may be required to pledge collateral on derivatives to a counterparty if the Fund is in a net liability position, and receive collateral if in a net positive position. For financial reporting purposes, cash collateral that has been pledged by a Fund to cover obligations, if any, is reported in Cash collateral at broker within the Statements of Assets and Liabilities. Cash collateral that has been received by a Fund from a counterparty, if any, is reported separately in Cash collateral pledged at custodian and/or broker within the Statements of Assets and Liabilities. Non-cash collateral pledged to each Fund, if any, is disclosed within the Schedule of Investments.
Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold before a transfer has been made. Typically a counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. The Fund generally does not use non-cash collateral that it receives but may, absent default or certain other circumstances, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty.
To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. Additionally, to the extent the Fund has delivered collateral to a counterparty, the Fund bears the risk of loss from a counterparty in the event the counterparty fails to return such collateral. Counterparties may immediately terminate derivatives contracts if a Fund fails to maintain sufficient asset coverage for its contracts or its net assets decline by stated percentages. Collateral may not be required for all derivative contracts.
7. RISK FACTORS
Investing in the Funds involves certain key risks related to the Funds’ trading activity. Please reference the Funds’ prospectus for a more complete discussion of the following risk(s), as well as other risks of investing in the Funds.
Market risk: The market values of a Fund’s securities and other assets will fluctuate, sometimes sharply and unpredictably, due to changes in general market conditions, overall economic trends or events, governmental actions or interventions, actions taken by the U.S. Federal Reserve or foreign central banks, political developments, investor sentiment, public health emergencies such as a pandemic, and other factors that may or may not be related to the issuer of the security or other asset. The market prices of securities and other assets also may go down due to events or conditions that affect particular sectors, industries or issuers. Adverse market conditions may be prolonged and may not have the same impact on all types of securities or other assets.
Economies and financial markets throughout the world are increasingly interconnected. Economic, financial or political events, trading and tariff arrangements, public health events, terrorism, technology and data interruptions, natural disasters, and other circumstances in one or more countries or regions could be highly disruptive to, and have profound impacts on, global economies or markets. As a result, whether or not a Fund invests in securities of issuers located in or with significant exposure to the countries directly affected, the value and liquidity of a Fund’s investments may go down.
The COVID-19 pandemic has caused substantial market disruption around the world, including the U.S. There have been periods of extreme volatility, and periods where there have been no buyers for certain securities, including U.S. Treasury securities. Some sectors of the economy and individual issuers have experienced particularly large losses. The pandemic has reduced liquidity of particular investments and asset classes; resulted in significant disruptions to business operations, including business closures; strained healthcare systems; disrupted supply chains, consumer demand and employee availability; and restricted travel. These conditions may continue for an extended period of time, or worsen. The pandemic may result in a sustained domestic or global economic downturn or recession. Developing or emerging market countries may be more adversely impacted. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known.
The U.S. government and the Federal Reserve, as well as certain foreign governments and central banks, have taken extraordinary actions to support local and global economies and the financial markets in response to the COVID-19 pandemic. These actions have resulted in significant expansion of public debt, including in the U.S. The long-term consequences of this level of public debt are not known. In addition, certain interest rates have been reduced to very low levels. This and other government intervention into the economy and financial markets to address the pandemic may not work as intended, particularly if the efforts are perceived by investors as being unlikely to achieve the desired results.
The COVID-19 pandemic could continue to adversely affect the value and liquidity of a Fund’s investments, impair a Fund’s ability to satisfy redemption requests, and negatively impact a Fund’s performance.
Transamerica ETF Trust | Annual Report 2021 |
Page 70
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2021
7. RISK FACTORS (continued)
Passive strategy/index risk: A Fund is managed with a passive investment strategy, attempting to track the performance of a rules based index of securities, regardless of the current or projected performance of the Underlying Index or of the actual securities comprising the Underlying Index. This differs from an actively-managed fund, which typically seeks to outperform a benchmark index. As a result, a Fund’s performance may be less favorable than that of a portfolio managed using an active investment strategy. The structure and composition of the Underlying Index will affect the performance, volatility, and risk of the Underlying Index and, consequently, the performance, volatility, and risk of a Fund.
Index tracking risk: While the sub-adviser seeks to track the performance of an Underlying Index (i.e., achieve a high degree of correlation with the Underlying Index), a Fund’s return may not match the return of the Underlying Index. When utilizing either a replication or sampling strategy, a Fund incurs a number of operating expenses not applicable to the Underlying Index, and incurs costs in buying and selling securities and engaging in derivatives transactions. In addition, a Fund may not be fully invested at times, generally as a result of cash flows into or out of a Fund. The sub-adviser may attempt to replicate the Underlying Index return through a sampling strategy, which involves investing in fewer than all of the securities in the Underlying Index, or in some securities not included in the Underlying Index, potentially increasing the risk of divergence between a Fund’s return and that of the Underlying Index. To the extent a Fund employs a sampling strategy, an adverse development affecting an issuer of a security held by a Fund could result in a greater decline in NAV than would be the case if a Fund used a full replication strategy and held all of the securities in the Underlying Index. In addition, due to the potential for frequent rebalancing of the Underlying Index, there is greater risk that a Fund may not implement all changes to a Fund’s portfolio necessary to track exactly the performance of the Underlying Index.
8. FEES AND OTHER AFFILIATED TRANSACTIONS
TAM, the Funds’ investment manager, is directly owned by Transamerica Life Insurance Company (“TLIC”) and AUSA Holding, LLC (“AUSA”), both of which are indirect, wholly owned subsidiaries of Aegon NV. TLIC is owned by Commonwealth General Corporation (“Commonwealth”). Commonwealth and AUSA are wholly owned by Transamerica Corporation (DE). Transamerica Corporation (DE) is wholly owned by Aegon International B.V., which is wholly owned by Aegon NV, a Netherlands corporation, and a publicly traded international insurance group.
TAM is an affiliate of Aegon NV.
Certain officers and trustees of the Funds are also officers and/or trustees of TAM. No interested trustee who is deemed an interested person due to current or former service with TAM or an affiliate of TAM receives compensation from the Funds.
Investment management fees: TAM serves as the Funds’ investment manager, performing administration as well as investment advisory services. TAM renders investment advisory, supervisory, and administration services under an investment management agreement and each Fund pays a single management fee, which is reflected in Investment management fees within the Statements of Operations.
Each Fund pays a management fee to TAM based on daily average net assets at the following rates:
Fund | Rate | |||
S&P 400 Managed Risk | 0.45 | % | ||
S&P 500 Managed Risk | 0.35 | |||
S&P 600 Managed Risk | 0.45 | |||
S&P EM 100 & Managed Risk | 0.60 | |||
S&P International Managed Risk | 0.50 |
From time to time, TAM may waive all or a portion of its fee. Pursuant to the Management Agreement, TAM has agreed to pay all expenses of the funds, except for: brokerage expenses and other fees, charges, taxes, levies or expenses (such as stamp taxes) incurred in connection with the execution of portfolio transactions or in connection with creation and redemption transactions (including without limitation any fees, charges, taxes, levies or expenses related to the purchase or sale of an amount of any currency, or the patriation or repatriation of any security or other asset, related to the execution of portfolio transactions or any creation or redemption transactions); legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; compensation and expenses of the Independent Trustees and the compensation and expenses of the Trust’s interested Trustees who are not directors, officers or employees of TAM, the sub-adviser or principal underwriter, or affiliate of any of the foregoing; compensation and expenses of any counsel to the Independent Trustees, compensation and expenses of the Trust’s chief compliance officer; extraordinary expenses as may arise, including, without limitation, expenses relating to the Trust’s or a fund’s obligation to indemnify others; distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; interest and taxes of any kind or nature (including, but not limited to, income,
Transamerica ETF Trust | Annual Report 2021 |
Page 71
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2021
8. FEES AND OTHER AFFILIATED TRANSACTIONS (continued)
excise, transfer and withholding taxes) and any governmental fees levied against the Trust or a fund; any fees and expense related to the provision of securities lending services; costs, including interest expenses and loan commitment fees, of borrowing money; and the management fee payable to TAM.
Distribution and service fees: The Trust has a distribution plan (“Distribution Plan”) pursuant to Rule 12b-1 under the 1940 Act, however, the Distribution Plan has not yet been implemented. Under the Distribution Plan, payments at an annual rate of up to 0.25% of each Fund’s average daily net assets may be made for the sale and distribution of capital shares. The implementation of any such payments would be approved by the Board prior to implementation.
The Trust has entered into a distribution agreement with Foreside Fund Services, LLC as the Funds’ distributor. The Distributor will not distribute Fund shares in less than creation units, and does not maintain a secondary market in Fund shares. The Distributor may enter into selected dealer agreements with other broker-dealers or other qualified financial institutions for the sale of creation units of Fund shares.
Brokerage commissions: The Funds incurred no brokerage commissions on security transactions placed with affiliates of the investment manager or sub-adviser(s) for the year ended December 31, 2021.
9. PURCHASES AND SALES OF SECURITIES
For the year ended December 31, 2021, the cost of securities purchased and proceeds from securities sold (excluding in-kind transactions and short-term securities) are as follows:
Purchases of Securities | Sales/Maturities of Securities | |||||||||||||||
Fund | Long-Term | U.S. Government | Long-Term | U.S. Government | ||||||||||||
S&P 400 Managed Risk | $ | 66,182,059 | $ | 206,694,649 | $ | 68,695,723 | $ | 204,311,218 | ||||||||
S&P 500 Managed Risk | 121,873,085 | 69,126,465 | 117,862,163 | 84,585,581 | ||||||||||||
S&P 600 Managed Risk | 20,921,491 | 193,844,414 | 18,943,647 | 193,959,033 | ||||||||||||
S&P EM 100 & Managed Risk | 50,721,523 | 180,028,134 | 68,607,583 | 162,031,835 | ||||||||||||
S&P International Managed Risk | 56,650,010 | 28,534,752 | 40,923,617 | 36,555,052 |
For the year ended December 31, 2021, the cost of in-kind purchases and proceeds from in-kind sales are as follows. Funds not listed in the subsequent table do not have in-kind purchases or in-kind sales during the year.
Fund | In-Kind Purchases | In-Kind Sales | ||||||||||
S&P 400 Managed Risk | $ | — | $ | 4,972,225 | ||||||||
S&P 500 Managed Risk | 111,898,308 | 126,275,738 | ||||||||||
S&P 600 Managed Risk | 2,719,056 | 2,689,197 | ||||||||||
S&P International Managed Risk | — | 14,251,913 |
10. CAPITAL SHARE TRANSACTIONS
The funds will issue (or redeem) Fund Shares to certain institutional investors (typically market makers or other broker-dealers) only in large blocks of Fund Shares known as “Creation Units.” Creation Unit transactions are typically conducted in exchange for the deposit or delivery of a designated portfolio of in-kind securities and/or cash. In-kind sales are reflected as in-kind redemptions within the Statements of Operations.
Individual capital shares may only be purchased and sold on a national securities exchange, electronic crossing networks and other alternative trading systems through a broker-dealer at market prices. Because capital shares trade at market prices rather than at NAV, capital shares may trade at a price greater than NAV (premium) or less than NAV (discount). Transactions in capital shares for each Fund are disclosed in detail within the Statements of Changes in Net Assets.
11. FEDERAL INCOME TAXES AND DISTRIBUTIONS TO SHAREHOLDERS
The Funds have not made any provision for federal income or excise taxes due to their policy to distribute all of their taxable income and capital gains to their shareholders and otherwise qualify as regulated investment companies under Subchapter M of the Internal Revenue Code. The Funds recognize the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. The Funds’ tax returns remain subject to examination by the Internal Revenue Service and state tax authorities three years from the date of filing for federal purposes and four years from the date of filing for state
Transamerica ETF Trust | Annual Report 2021 |
Page 72
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2021
11. FEDERAL INCOME TAXES AND DISTRIBUTIONS TO SHAREHOLDERS (continued)
purposes. Management has evaluated the Funds’ tax provisions taken for all open tax years, and has concluded that no provision for income tax is required in the Funds’ financial statements. If applicable, the Funds recognize interest accrued related to unrecognized tax benefits in relation to interest and penalties expense in Other within the Statements of Operations. The Funds identify their major tax jurisdictions as U.S. Federal, the state of Colorado, and foreign jurisdictions where the Funds make significant investments; however, the Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.
Distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are primarily due to different treatment for items including, but not limited to, wash sales, futures contracts mark to market, forward contracts mark to market, passive foreign investment company inclusions and partnership basis adjustments. Therefore, distributions determined in accordance with tax regulations may differ significantly in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. The primary permanent differences are due to redemptions in-kind and distributions in excess of current earnings. These reclassifications have no impact on net assets or results of operations. Financial records are not adjusted for temporary differences. These permanent reclassifications are as follows:
Fund | Paid-in Capital | Total Distributable Earnings | ||||||
S&P 400 Managed Risk | $ | 2,204,037 | $ | (2,204,037 | ) | |||
S&P 500 Managed Risk | 52,474,612 | (52,474,612 | ) | |||||
S&P 600 Managed Risk | 1,259,666 | (1,259,666 | ) | |||||
S&P EM 100 & Managed Risk | (77,268 | ) | 77,268 | |||||
S&P International Managed Risk | 5,002,542 | (5,002,542 | ) |
As of December 31, 2021, the approximate cost for U.S. federal income tax purposes, and the aggregate gross/net unrealized appreciation (depreciation) in the value of investments (including securities sold short and derivatives, if any) are as follows:
Fund | Cost | Gross Appreciation | Gross (Depreciation) | Net Appreciation (Depreciation) | ||||||||||||
S&P 400 Managed Risk | $ | 82,378,691 | $ | 19,040,700 | $ | (769,745 | ) | $ | 18,270,955 | |||||||
S&P 500 Managed Risk | 367,027,116 | 86,451,563 | (1,204,190 | ) | 85,247,373 | |||||||||||
S&P 600 Managed Risk | 37,071,141 | 7,027,361 | (625,968 | ) | 6,401,393 | |||||||||||
S&P EM 100 & Managed Risk | 43,231,006 | 6,208,127 | (1,380,277 | ) | 4,827,850 | |||||||||||
S&P International Managed Risk | 156,964,875 | 30,789,778 | (4,335,338 | ) | 26,454,440 |
As of December 31, 2021, the capital loss carryforwards available to offset future realized capital gains are as follows. Funds not listed in the subsequent table do not have capital loss carryforwards.
Unlimited | ||||||||
Fund | Short-Term | Long-Term | ||||||
S&P 400 Managed Risk | $ | 3,845,761 | $ | 6,777,951 | ||||
S&P 500 Managed Risk | — | 4,650,308 | ||||||
S&P 600 Managed Risk | 3,740,686 | 4,012,395 | ||||||
S&P EM 100 & Managed Risk | 3,489,345 | 78,558 | ||||||
S&P International Managed Risk | — | 26,272,398 |
During the year ended December 31, 2021, the capital loss carryforwards utilized are as follows. Funds not listed in the subsequent table do not have capital loss carryforwards utilized.
Fund | Capital Loss Carryforwards Utilized | |||
S&P 400 Managed Risk | $ | 2,769,635 | ||
S&P 600 Managed Risk | 686,876 | |||
S&P International Managed Risk | 315,853 |
Transamerica ETF Trust | Annual Report 2021 |
Page 73
NOTES TO FINANCIAL STATEMENTS (continued)
At December 31, 2021
11. FEDERAL INCOME TAXES AND DISTRIBUTIONS TO SHAREHOLDERS (continued)
The tax character of distributions paid may differ from the character of distributions shown within the Statements of Changes in Net Assets due to short-term gains being treated as ordinary income for tax purposes. The tax character of distributions paid during 2021 and 2020 are as follows:
2021 Distributions Paid From: | 2020 Distributions Paid From: | |||||||||||||||||||||||
Fund | Ordinary Income | Long-Term Capital Gain | Return of Capital | Ordinary Income | Long-Term Capital Gain | Return of Capital | ||||||||||||||||||
S&P 400 Managed Risk | $ | 732,505 | $ | — | $ | — | $ | 407,034 | $ | — | $ | — | ||||||||||||
S&P 500 Managed Risk | 4,250,010 | — | — | 3,348,511 | — | — | ||||||||||||||||||
S&P 600 Managed Risk | 263,002 | — | — | 109,028 | — | — | ||||||||||||||||||
S&P EM 100 & Managed Risk | 838,002 | — | — | 421,586 | — | — | ||||||||||||||||||
S&P International Managed Risk | 5,100,007 | — | — | 1,169,430 | — | — |
As of December 31, 2021, the tax basis components of distributable earnings are as follows:
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gain | Capital Loss Carryforwards | Late Year Ordinary Loss Deferred | Other Temporary Differences | Net Unrealized Appreciation (Depreciation) | ||||||||||||||||||
S&P 400 Managed Risk | $ | — | $ | — | $ | (10,623,712 | ) | $ | — | $ | — | $ | 18,270,955 | |||||||||||
S&P 500 Managed Risk | 24,229 | — | (4,650,308 | ) | — | — | 85,247,373 | |||||||||||||||||
S&P 600 Managed Risk | 45,229 | — | (7,753,081 | ) | — | — | 6,401,393 | |||||||||||||||||
S&P EM 100 & Managed Risk | 14,550 | — | (3,567,903 | ) | — | — | 4,827,748 | |||||||||||||||||
S&P International Managed Risk | 1,993 | — | (26,272,398 | ) | — | — | 26,464,498 |
12. LEGAL PROCEEDINGS
On September 30, 2020, Transamerica Asset Management, Inc. (“TAM”), the investment manager of the funds, entered into a settlement with the Securities and Exchange Commission (the “SEC”) relating to expense recaptures. The recaptures at issue, which TAM self-reported to the SEC, involved amounts previously voluntarily waived and/or reimbursed to four money market funds to prevent the funds from experiencing a negative yield. In some cases recaptures under the voluntary yield waiver arrangements exceeded contractual expense limits. The recaptured amounts were not reflected in the funds’ prospectus fee tables. The funds involved were Transamerica Government Money Market, Transamerica BlackRock Government Money Market VP, Transamerica Partners Government Money Market and Transamerica Partners Institutional Government Money Market. The two Transamerica Partners Government Money Market funds reorganized into Transamerica Government Money Market in October of 2017.
Under the settlement order, TAM agreed to pay affected fund investors approximately $5.3 million in disgorgement and approximately $690,000 in prejudgment interest. These amounts represent expenses incurred above the applicable expense limit (plus interest). TAM was also censured and ordered to cease and desist from committing or causing any violations of certain statutory provisions and SEC rules. The settlement order imposes no civil penalty on TAM based upon TAM having self-reported the matter, the prompt remedial steps taken by TAM, and TAM’s cooperation in the SEC staff’s investigation. The settlement order does not affect TAM’s ability to manage the funds.
The foregoing is only a brief summary of the settlement order. A copy of the settlement order is available on the SEC’s website at https://www.sec.gov.
The settlement had no impact on the Funds’ financial statements.
Transamerica ETF Trust | Annual Report 2021 |
Page 74
Report of Independent Registered Public Accounting Firm
To the Shareholders and the Board of Trustees of Transamerica ETF Trust
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of Transamerica ETF Trust (the “Trust”) (comprising DeltaShares ® S&P 400 Managed Risk ETF, DeltaShares ® S&P 500 Managed Risk ETF, DeltaShares ® S&P 600 Managed Risk ETF, DeltaShares ® S&P EM 100 & Managed Risk ETF and DeltaShares ® S&P International Managed Risk ETF (collectively referred to as the “Funds”)), including the schedules of investments, as of December 31, 2021, and the related statements of operations and changes in net assets and the financial highlights for each of the periods indicated in the table below and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds comprising Transamerica ETF Trust at December 31, 2021, and the results of their operations, changes in net assets and financial highlights for each of the periods indicated in the table below, in conformity with U.S. generally accepted accounting principles.
Funds comprising the Transamerica ETF Trust | Statement of operations | Statements of changes in net assets | Financial highlights | |||
DeltaShares ® S&P 400 Managed Risk ETF DeltaShares ® S&P 500 Managed Risk ETF DeltaShares ® S&P 600 Managed Risk ETF DeltaShares ® S&P International Managed Risk ETF | For the year ended December 31, 2021 | For each of the two years in the period ended December 31, 2021 | For each of the four years in the period ended December 31, 2021 and the period from July 31, 2017 (commencement of operations) through December 31, 2017 | |||
DeltaShares ® S&P EM 100 & Managed Risk ETF | For the year ended December 31, 2021 | For each of the two years in the period ended December 31, 2021 | For each of the two years in the period ended December 31, 2021 and the period from March 20, 2019 (commencement of operations) through December 31, 2019 |
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian and others, or by other appropriate auditing procedures where replies from others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more Transamerica investment companies since 1995.
Boston, Massachusetts
February 25, 2022
Transamerica ETF Trust | Annual Report 2021 |
Page 75
(unaudited)
TAX INFORMATION
For dividends paid during the year ended December 31, 2021, the Funds designated the following maximum amounts of qualified dividend income:
Fund | Qualified Dividend Income | |||
S&P 400 Managed Risk | $ | 732,505 | ||
S&P 500 Managed Risk | 4,250,010 | |||
S&P 600 Managed Risk | 263,002 | |||
S&P EM 100 & Managed Risk | 838,002 | |||
S&P International Managed Risk | 4,110,549 |
For corporate shareholders, investment income (dividend income plus short-term gains, if any) which qualifies for the maximum dividends received deductions are as follows:
Fund | Dividend Received Deduction Percentage | |||
S&P 400 Managed Risk | 100 | % | ||
S&P 500 Managed Risk | 100 | |||
S&P 600 Managed Risk | 92 |
The amounts which represent income derived from sources within, and taxes paid to, foreign countries or possessions of the U.S. are as follows:
Fund | Foreign Source Income | Foreign Taxes | ||||||
S&P EM 100 & Managed Risk | $ | 910,378 | $ | 114,324 | ||||
S&P International Managed Risk | 4,690,642 | 315,050 |
The information and distributions reported herein may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2021. Complete information will be computed and reported in conjunction with your 2021 Form 1099-DIV.
Transamerica ETF Trust | Annual Report 2021 |
Page 76
Board Members and Officers
The members of the Board (“Board Members”) and executive officers of the Trust are listed below.
“Interested Board Member” means a board member who may be deemed an “interested person” (as that term is defined in the 1940 Act) of the Trust because of his current or former service with TAM or an affiliate of TAM. Interested Board Members may also be referred to herein as “Interested Trustees.” “Independent Board Member” means a Board Member who is not an “interested person” (as defined under the 1940 Act) of the Trust and may also be referred to herein as an “Independent Trustee.”
The Board governs each Fund and is responsible for protecting the interests of the shareholders. The Board Members are experienced executives who meet periodically throughout the year to oversee the business affairs of each Fund and the operation of each Fund by its officers. The Board also reviews the management of each Fund’s assets by the Investment Manager and the sub-advisers.
The Funds are among the funds managed and sponsored by TAM (collectively, “Transamerica Fund Family”). The Transamerica Fund Family consists of (i) Transamerica Funds (“TF”); (ii) Transamerica Series Trust (“TST”); (iii) Transamerica ETF Trust (“TET”) and (iv) Transamerica Asset Allocation Variable Funds (“TAAVF”). The Transamerica Fund Family consists of 118 funds as of the date of this Annual Report. With the exception of Mr. Smit, none of the Board Members serve on the board of trustees of TF, TST or TAAVF. TF, TST and TAAVF are overseen by a separate board of trustees.
The mailing address of each Board Member is c/o Secretary, 1801 California Street, Suite 5200, Denver, Colorado 80202.
The Board Members, their age, their positions with the Trust, and their principal occupations at least for the past five years (their titles may have varied during that period), the number of funds in Transamerica Fund Family the Board oversees, and other board memberships they hold are set forth in the table below. The length of time served is provided from the date a Board Member became a member of the Board.
Name and Age | Position(s) Held with Trust | Term of Office and Length of Time Served* | Principal Occupation(s) During Past Five Years | Number of Funds in Complex Overseen by Board Member | Other Directorships Held By Board Member | |||||
INTERESTED BOARD MEMBERS | ||||||||||
Marijn P. Smit (48) | Chairman of the Board, President and Chief Executive Officer | Since 2017 | Chairman of the Board, President and Chief Executive Officer, TF, TST and TAAVF (2014 – present);
Chairman of the Board, President and Chief Executive Officer, TET (2017 – present);
Chairman of the Board, President and Chief Executive Officer, Transamerica Partners Portfolio (“TPP”), Transamerica Partners Funds Group (“TPFG”) and Transamerica Partners Funds Group II (“TPFG II”) (2014 – 2018);
Director, Chairman of the Board, President and Chief Executive Officer, Transamerica Asset Management, Inc. (“TAM”) and Transamerica Fund Services, Inc. (“TFS”) (2014 – present);
Senior Vice President, Transamerica Retirement Solutions LLC (2012 – present);
Trust Officer, Massachusetts Fidelity Trust Company (2014 – 2021);
| 118 | Director, Massachusetts Fidelity Trust Company (2014 – 2021); Director, Aegon |
Transamerica ETF Trust | Annual Report 2021 |
Page 77
Name and Age | Position(s) Held with Trust | Term of Office and Length of Time Served* | Principal Occupation(s) During Past Five Years | Number of Funds in Complex Overseen by Board Member | Other Directorships Held By Board Member | |||||
INTERESTED BOARD MEMBERS — continued | ||||||||||
Marijn P. Smit (continued) |
President, Investment Solutions, Transamerica Investments & Retirement (2014 – 2016);
Vice President, Transamerica Life Insurance Company (2010 – 2016);
Vice President, Transamerica Premier Life Insurance Company (2010 – 2016);
Senior Vice President, Transamerica Financial Life Insurance Company (2013 – 2016);
Senior Vice President, Transamerica Retirement Advisors, Inc. (2013 – 2016) and President and Director, Transamerica Stable Value Solutions, Inc. (2010 – 2016). | |||||||||
INDEPENDENT BOARD MEMBERS | ||||||||||
James S. Parsons (64) | Trustee | Since 2017 | Retired 2009; Advisory Board Member;
Osprey Funds, LLC (2021 – present). | 5 | ||||||
Francis J. Enderle (56) | Trustee | Since 2017 | Consultant, Lattice Strategies/Hartford Funds (2014 – present);
and Advisory Board Member, Smart Portfolio Strategies Ltd. (2020 – present). | 5 | Chair, BlackRock Canada Independent Review Committee (2010 – 2017); Director, WineInStyle (Japan) (2006 – 2017) |
* | Each Board Member shall hold office until: 1) his or her successor is elected and qualified or 2) he or she resigns, retires or his or her term as a Board Member is terminated in accordance with the Trust’s Declaration of Trust. |
Transamerica ETF Trust | Annual Report 2021 |
Page 78
OFFICERS
The mailing address of each officer is c/o Secretary, 1801 California Street, Suite 5200, Denver, CO 80202. The following table shows information about the officers, including their year of birth, their positions held with the Trust and their principal occupations during the past five years (their titles may have varied during that period). Each officer will hold office until his or her successor has been duly elected or appointed or until his or her earlier death, resignation or removal.
Name and Age | Position | Term of Office and Length of Time Served* | Principal Occupation(s) or Employment During Past Five Years | |||
Marijn P. Smit (48) | Chairman of the Board, President and Chief Executive Officer | Since 2017 | See Interested Board Members Table Above. | |||
Timothy J. Bresnahan (53) | Chief Legal Officer and Secretary | Since 2021 | Chief Legal Officer, Secretary (2021 – present), Assistant Secretary (2019 – 2021), Secretary (2019), TET;
Assistant Secretary, TF, TST and TAAVF (2020 – present);
and Senior Counsel, TAM (2008 – present). | |||
Thomas R. Wald (61) | Chief Investment Officer | Since 2017 | Chief Investment Officer, TF, TST and TAAVF (2014 – present);
TET (2017 – present);
Chief Investment Officer, TPP, TPFG and TPFG II (2014 – 2018);
Director (2017 – 2020), Akaan Transamerica, S.A. de C.V., Sociedad Operadora de Fondos de Inversión;
Chief Investment Officer, Transamerica Investments & Retirement (2014 – 2020);
Senior Vice President and Chief Investment Officer, TAM (2014 – present);
Director, TFS (2019 – present); and
Trust Officer, Massachusetts Fidelity Trust Company (2015 – present). | |||
Christopher A. Staples, CFA (51) | Vice President and Chief Investment Officer | Since 2017 | Vice President and Chief Investment Officer, Advisory Services, TF and TST (2007 – present);
Vice President and Chief Investment Officer, TET (2017 – present);
Vice President and Chief Investment Officer, Advisory Services, TAAVF (2007 – present);
Vice President and Chief Investment Officer, Advisory Services, TPP, TPFG and TPFG II (2007 – 2018);
Director (2005 – 2019), Senior Vice President (2006 – present), Senior Director, Investments (2016 – present), Chief Investment Officer, Advisory Services (2012 – 2016) and Lead Portfolio Manager (2007 – present), TAM;
Director, TFS (2005 – 2019);
Trust Officer, Massachusetts Fidelity Trust Company (2010 – present);
|
Transamerica ETF Trust | Annual Report 2021 |
Page 79
Name and Age | Position | Term of Office and Length of Time Served* | Principal Occupation(s) or Employment During Past Five Years | |||
Christopher A. Staples, CFA (continued) |
Registered Representative (2007 – 2016), Transamerica Capital, Inc. (“TCI”);
and Registered Representative, TFA (2005 – present).
| |||||
Francine J. Rosenberger (54) | Chief Compliance Officer | Since 2019 | Chief Compliance Officer, TF, TST, TET and TAAVF (2019 – present);
Derivatives Risk Manager, TF, TST and TAAVF (2021 – present);
Chief Compliance Officer (2019 – present), TAM;
and General Counsel, Corporate Secretary and Fund Chief Compliance Officer, Steben & Company, Inc. (2013 – 2019). | |||
Molly Possehl (43) | Anti-Money Laundering Officer | Since 2019 | Anti-Money Laundering Officer, TF, TST, TET and TAAVF (2019 – present);
Assistant General Counsel, Transamerica Life Insurance Company/Aegon USA (2013 – present);
and Anti-Money Laundering Compliance Officer and Fraud Officer, Transamerica Life Insurance Company/Aegon USA (2015 – present). | |||
Vincent J. Toner (51) | Vice President and Treasurer | Since 2017 | Vice President and Treasurer, TF, TST and TAAVF (2014 – present), Vice President and Treasurer (2017 – present), Vice President, Principal Financial Officer and Treasurer (2020 – present), TET;
Vice President and Treasurer, TPP, TPFG and TPFG II (2014 – 2018);
Vice President (2016 – present), Treasurer (2016 – 2019), Vice President, Administration and Treasurer (2014 – 2016), TAM;
Vice President, Administration and Treasurer (2014 – 2019), Senior Vice President (2019 – present), TFS;
Vice President (2016 – present), TCI;
and Trust Officer (2015 – present), Massachusetts Fidelity Trust Company. |
* | Elected and serves at the pleasure of the Board of the Trust. |
Transamerica ETF Trust | Annual Report 2021 |
Page 80
PROXY VOTING POLICIES AND PROCEDURES AND QUARTERLY PORTFOLIO HOLDINGS
(unaudited)
A description of the Transamerica ETF Trust’s proxy voting policies and procedures is available in the Statement of Additional Information of the Funds, available without charge upon request by calling 1-888-316-8077 (toll free) or on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.
In addition, the Funds are required to file Form N-PX, with their complete proxy voting records for the most recent 12 months ended June 30th, no later than August 31st of each year. The Form is available without charge: (1) from the Funds, upon request by calling 1-888-316-8077; and (2) on the SEC’s website at http://www.sec.gov.
Each fiscal quarter, the Funds will file with the SEC a complete schedule of their monthly portfolio holdings on Form N-PORT. The Funds’ holdings as of the end of the third month of every fiscal quarter, as reported on Form N-PORT, will be publicly available on the SEC’s website at http://www.sec.gov within 60 days of the end of the fiscal quarter.
You may also visit the Trust’s website at www.deltashares.com for this and other information about the Funds and the Trust.
Important Notice Regarding Delivery of Shareholder Documents
Every year we provide shareholders informative materials such as the Transamerica ETF Trust’s Annual Report, the Transamerica ETF Trust’s Prospectus, and other required documents that keep you informed regarding your Funds. To the extent provided by mail, the Trust will only send one piece per mailing address, a method that saves your Funds money by reducing mailing and printing costs. We will continue to do this unless you tell us not to. To elect to receive individual mailings, simply call a Transamerica Customer Service Representative toll free at 1-888-316-8077, 8 a.m. to 7 p.m. Eastern Time, Monday-Friday. Your request will take effect within 30 days.
Premium/Discount Information
Information about differences between the per share net asset value of each Fund and the closing price of shares of each Fund are available, without charge, at www.deltashares.com.
Transamerica ETF Trust | Annual Report 2021 |
Page 81
(unaudited)
Your privacy is very important to us. We want you to understand what information we collect and how we use it. We collect and use “nonpublic personal information” in connection with providing our customers with a broad range of financial products and services as effectively and conveniently as possible. We treat nonpublic personal information in accordance with our Privacy Policy.
What Information We Collect and From Whom We Collect It
We may collect nonpublic personal information about you from the following sources:
• | Information we receive from you on applications or other forms, such as your name, address, and account number; |
• | Information about your transactions with us, our affiliates, or others, such as your account balance and purchase/redemption history; and |
• | Information we receive from non-affiliated third parties, including consumer reporting agencies. |
What Information We Disclose and To Whom We Disclose It
We do not disclose any nonpublic personal information about current or former customers to anyone without their express consent, except as permitted by law. We may disclose the nonpublic personal information we collect, as described above, to persons or companies that perform services on our behalf and to other financial institutions with which we have joint marketing agreements. We will require these companies to protect the confidentiality of your nonpublic personal information and to use it only to perform the services for which we have hired them.
Our Security Procedures
We restrict access to your nonpublic personal information and only allow disclosures to persons and companies as permitted by law to assist in providing products or services to you. We maintain physical, electronic, and procedural safeguards to protect your nonpublic personal information and to safeguard the disposal of certain consumer information.
If you have any questions about our Privacy Policy, please call 1-888-316-8077 on any business day between 8 a.m. and 7 p.m. Eastern Time.
Note: This Privacy Policy applies only to customers that have a direct relationship with us or our affiliates. If you own shares of our funds in the name of a third party such as a bank or broker-dealer, its privacy policy may apply to you instead of ours.
Transamerica ETF Trust | Annual Report 2021 |
Page 82
Customer Service: 1-888-316-8077
1801 California St., Suite 5200 Denver, CO 80202
Distributor: Foreside Fund Services, LLC
www.deltashares.com
In an effort to reduce paper mailings and conserve natural resources, we encourage you to visit our website, www.transamerica.com, to set up an account and enroll in eDelivery.
The Transamerica ETF Trust is advised by Transamerica Asset Management, Inc. and distributed by Foreside Fund Services, LLC., Member of FINRA
1971436 12/21
(b) | Not Applicable. |
Item 2: | Code of Ethics. |
(a) | The Registrant has adopted a code of ethics that applies to its principal executive officer, principal financial officer, and any other officers who serve a similar function. |
(b) | The Registrant’s code of ethics is reasonably designed as described in this Form N-CSR. |
(c) | During the period covered by the report no amendments were made to the provisions of this code of ethics. |
(d) | During the period covered by the report, the Registrant did not grant any waivers, including implicit waivers, from the provisions of this code of ethics. |
(e) | Not Applicable. |
(f) | The Registrant has filed this code of ethics as an exhibit pursuant to Item 13(a)(1) of Form N-CSR. |
Item 3: | Audit Committee Financial Experts. |
The Registrant’s Board of Trustees has determined that Francis J. Enderle is an “audit committee financial expert,” as such term is defined in Item 3 of Form N-CSR. Mr. Enderle is “independent” under the standards set forth in Item 3 of Form N-CSR. The designation of Mr. Enderle as “audit committee financial expert” pursuant to Item 3 of Form N-CSR does not (i) impose upon him any duties, obligations, or liabilities that are greater than the duties, obligations and liabilities imposed upon him as a member of the Registrant’s audit committee or Board of Trustees in the absence of such designation; or (ii) affect the duties, obligations or liabilities of any other member of the Registrant’s audit committee or Board of Trustees.
Item 4: | Principal Accountant Fees and Services. |
Fiscal Year Ended 12/31 (in thousands) | ||||||||||
2021 | 2020 | |||||||||
(a) | Audit Fees | $ | 229 | $ | 113 | |||||
(b) | Audit Related Fees(1) | $ | 0 | $ | 0 | |||||
(c) | Tax Fees(2) | $ | 29 | $ | 28 | |||||
(d) | All Other Fees(3) | $ | 11 | $ | 11 |
(1) | Audit-Related Fees represent assurance and related services provided that are reasonably related to the performance of the audit of the financial statements including review of documents and issuances of consents related to Securities and Exchange Commission Form N-IA filing of the funds comprising the Registrant. |
(2) | Tax Fees represent tax compliance, tax planning and tax advice services provided in connection with the review of the distributions for excise tax purposes, fiscal year end taxable income calculations and certain fiscal year end shareholder reporting items on behalf of the funds comprising the Registrant. |
(3) | All Other Fees represent service fees for analysis of potential Passive Foreign Investment Company holdings. |
(e)(1) | Audit Committee Pre-Approval Policies and Procedures. Generally, the Registrant’s Audit Committee must preapprove (i) all audit and non-audit services performed for the Registrant by the independent accountant and (ii) all non-audit services performed by the Registrant’s independent accountant for the Registrant’s investment adviser, and certain of the adviser’s affiliates that provide ongoing services to the Registrant, if the services to be provided by the accountant relate directly to the operations and financial reporting of the Registrant. |
The Audit Committee may delegate preapproval authority to one or more of its members. The member or members to whom such authority is delegated shall report any preapproval decisions to the Audit Committee at its next scheduled meeting.
In accordance with the Procedures, the annual audit services engagement terms and fees for the Registrant will be subject to the preapproval of the Audit Committee. In addition to the annual audit services engagement approved by the Audit Committee, the Audit Committee may grant preapproval for other audit services, which are those services that only the independent accountant reasonably can provide.
Requests or applications to provide services that require separate approval by the Audit Committee will be submitted to the Audit Committee by both the independent accountant and the Registrant’s treasurer, and must include a joint statement as to whether, in their view, the request or application is consistent with the Securities and Exchange Commissions’ rules on auditor independence.
Management will promptly report to the Chair of the Audit Committee any violation of this Procedure of which it becomes aware.
(e)(2) | The percentage of services described in paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X for fiscal years ended 2021 and 2020 was zero. |
(f) | Not Applicable. |
(g) | Not Applicable. |
(h) | The Registrant’s Audit Committee has considered whether the provision of non-audit services that were rendered to the Registrant’s Adviser, and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintain the principal accountant’s independence. |
(i) | Not Applicable. |
(j) | Not Applicable. |
Item 5: | Audit Committee of Listed Registrants. |
(a) | The Registrant has a separately-designated standing Audit Committee established in accordance with Section 3(a)(58)(A) of the Exchange Act of 1934 comprised of the following individuals: James S. Parson and Francis J. Enderle. |
(b) | Not Applicable. |
Item 6: | Investments. |
(a) | The schedules of investments and consolidated schedules of investments are included in the Annual Report to shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not Applicable. |
Item 7: | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not Applicable.
Item 8: | Portfolio Managers of Closed-End Management Investment Companies. |
Not Applicable.
Item 9: | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not Applicable
Item 10: | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees that have been implemented since the Registrant last provided disclosure in response to the requirements of this Item.
Item 11: | Controls and Procedures. |
(a) | The Registrant’s principal executive officer and principal financial officer evaluated the effectiveness of the Registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are appropriately designed to ensure that information required to be disclosed by the Registrant in the reports that it files on Form N-CSR (a) is accumulated and communicated to Registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission. |
(b) | The Registrant’s principal executive officer and principal financial officer are aware of no change in the Registrant’s internal control over financial reporting that occurred during the Registrant’s most recent fiscal half-year that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12: | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not Applicable.
Item 13: | Exhibits. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Transamerica ETF Trust | ||
(Registrant) | ||
By: | /s/ Marijn P. Smit | |
Marijn P. Smit | ||
President and Chief Executive Officer | ||
(Principal Executive Officer) | ||
Date: | March 3, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Marijn P. Smit | |
Marijn P. Smit | ||
President and Chief Executive Officer | ||
(Principal Executive Officer) | ||
Date: | March 3, 2022 | |
By: | /s/ Vincent J. Toner | |
Vincent J. Toner | ||
Vice President, and Treasurer (Principal Financial Officer and Principal Accounting Officer) | ||
Date: | March 3, 2022 |
EXHIBIT INDEX
Exhibit | Description of Exhibit | |
13(a)(1) | Code of Ethics for Principal Executive and Principal Financial Officers | |
13(a)(2)(i) | Section 302 N-CSR Certification of Principal Executive Officer | |
13(a)(2)(ii) | Section 302 N-CSR Certification of Principal Financial Officer | |
13(b) | Section 906 N-CSR Certification of Principal Executive Officer and Principal Financial Officer |