- Issuer
- McElhenny Sheffield
- Inception Date
- Nov 16, 2021
- Region
- North America (U.S.)
- Category
- Diversified Portfolio
- Leveraged
- 1x (No leverage)
- Index Tracked
- No Index (Active)
- Distribution Policy
- Distributing
- Asset Class
- Multi-Asset
- Asset Class Size
- Large-Cap
- Asset Class Style
- Blend
- Assets Under Management
- $151M
Highlights
- Avg. Volume (1M)
- 12K
- Avg. Volume Value (1M)
- $432.95K
Share Price Chart
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Performance
MSMR Performance Chart
McElhenny Sheffield Managed Risk ETF (MSMR) is up 0.1% since the beginning of the year. MSMR is currently trading at $34 per share.
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Returns By Period
McElhenny Sheffield Managed Risk ETF (MSMR) has returned 0.14% so far this year and 11.18% over the past 12 months.
McElhenny Sheffield Managed Risk ETF
- 1D
- -1.57%
- 1M
- -2.13%
- 6M
- -1.62%
- YTD
- 0.14%
- 1Y
- 11.18%
- 3Y*
- 12.53%
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 8.59%
Benchmark (S&P 500 Index)
- 1D
- 0.70%
- 1M
- 0.09%
- 6M
- 7.94%
- YTD
- 9.41%
- 1Y
- 20.07%
- 3Y*
- 17.84%
- 5Y*
- 11.25%
- 10Y*
- 13.26%
- ALL TIME*
- 8.09%
MSMR Monthly Returns History
Based on dividend-adjusted daily data since Nov 17, 2021, MSMR's average daily return is +0.03%, while the average monthly return is +0.72%. At this rate, an investment would double in approximately 8.1 years.
Historically, 53% of months were positive and 47% were negative. The best month was Jun 2023 with a return of +6.9%, while the worst month was Jan 2022 at -6.9%. The longest winning streak lasted 6 consecutive months, and the longest losing streak was 10 months.
On a daily basis, MSMR closed higher 52% of trading days. The best single day was Feb 6, 2026 with a return of +2.9%, while the worst single day was Jun 5, 2026 at -3.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.78% | 2.13% | -4.00% | 4.36% | 3.26% | -4.88% | -2.10% | 0.14% | |||||
| 2025 | 2.08% | -2.10% | -1.36% | -1.38% | 3.58% | 2.69% | 3.50% | 0.65% | 5.18% | 3.94% | -0.43% | -0.17% | 17.06% |
| 2024 | 2.00% | 4.73% | 2.48% | -4.39% | 2.34% | 2.93% | 3.57% | 2.31% | 0.61% | -0.39% | 5.66% | -1.72% | 21.58% |
| 2023 | 3.40% | -1.68% | 0.78% | -0.85% | 5.92% | 6.92% | 3.45% | -2.72% | -4.89% | -0.23% | 3.52% | 4.45% | 18.77% |
| 2022 | -6.91% | -0.27% | -1.32% | -0.33% | -1.15% | -0.42% | -2.13% | -0.58% | -0.35% | -0.13% | 0.70% | 0.54% | -11.88% |
| 2021 | -1.46% | 0.22% | -1.25% |
Benchmark Metrics
McElhenny Sheffield Managed Risk ETF has an annualized alpha of 5.05%, beta of 0.34, and R2 of 0.32 versus S&P 500 Index. Calculated based on daily prices since November 17, 2021.
- This ETF participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (54.82%) than losses (53.41%) - typical of diversified or defensive assets.
- Beta of 0.34 may look defensive, but with R2 of 0.32 this ETF is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this ETF's risk.
- R2 of 0.32 means the benchmark explains less than half of this ETF's behavior - treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- 5.05%
- Beta
- 0.34
- R²
- 0.32
- Upside Capture
- 54.82%
- Downside Capture
- 53.41%
Expense Ratio
MSMR has a high expense ratio of 0.97%, indicating above-average management fees.
Return for Risk
Risk / Return Rank
MSMR ranks 31 for risk / return — above 31% of ETFs peers on PortfoliosLab. Its historical combined result is below the peer median.
Risk / Return Metrics
The table below present risk-adjusted performance metrics for McElhenny Sheffield Managed Risk ETF (MSMR) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| MSMR | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.67 | ||
| Sortino ratioReturn per unit of downside risk | -0.87 | ||
| Omega ratioGain probability vs. loss probability | 1.14 | 1.25 | -0.11 |
| Calmar ratioReturn relative to maximum drawdown | 1.13 | 2.00 | -0.87 |
| Martin ratioReturn relative to average drawdown | 3.14 | 8.49 | -5.35 |
Dividends
Dividend History
McElhenny Sheffield Managed Risk ETF provided a 1.86% dividend yield over the last twelve months, with an annual payout of $0.64 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 |
|---|---|---|---|---|---|---|
| Dividend | $0.64 | $0.52 | $0.68 | $0.21 | $0.14 | $0.02 |
Dividend yield | 1.86% | 1.51% | 2.26% | 0.81% | 0.65% | 0.07% |
Monthly Dividends
The table displays the monthly dividend distributions for McElhenny Sheffield Managed Risk ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.26 | $0.00 | $0.00 | $0.19 | $0.00 | $0.45 | |||||
| 2025 | $0.00 | $0.00 | $0.11 | $0.00 | $0.00 | $0.23 | $0.00 | $0.00 | $0.07 | $0.00 | $0.00 | $0.12 | $0.52 |
| 2024 | $0.00 | $0.00 | $0.01 | $0.00 | $0.00 | $0.06 | $0.00 | $0.00 | $0.06 | $0.00 | $0.00 | $0.55 | $0.68 |
| 2023 | $0.00 | $0.00 | $0.10 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.11 | $0.21 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.14 | $0.14 |
| 2021 | $0.02 | $0.02 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the McElhenny Sheffield Managed Risk ETF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the McElhenny Sheffield Managed Risk ETF was 14.86%, occurring on Sep 19, 2022. Recovery took 203 trading sessions.
The current McElhenny Sheffield Managed Risk ETF drawdown is 7.76%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-14.86%Sep 2022 | 10mo 1d | 9mo 26d | 1y 7moNov 2021 - Jul 2023 | Bear market2022 |
-8.84%Apr 2025 | 1mo 17d | 2mo 23d | 4mo 10dFeb 2025 - Jun 2025 | 2025 selloff2025 |
-8.66%Oct 2023 | 3mo 9d | 2mo 24d | 6mo 3dJul 2023 - Jan 2024 | — |
-8.43%Jul 2026 | 1mo 26d | — | 2mo 1dJun 2026 - now | — |
-7.05%Mar 2026 | 1mo 23d | 1mo 12d | 3mo 5dJan 2026 - May 2026 | — |
Drawdown Indicators
| MSMR | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.86% | -56.78% | +41.92% |
Max Drawdown (1Y)Largest decline over 1 year | -8.43% | -9.10% | +0.67% |
Max Drawdown (3Y)Largest decline over 3 years | -8.84% | -18.90% | +10.06% |
Max Drawdown (5Y)Largest decline over 5 years | — | -25.43% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -7.76% | -1.58% | -6.18% |
Average DrawdownAverage peak-to-trough decline | -5.15% | -10.70% | +5.55% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.04% | 2.14% | +0.90% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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