Deutsche Asset Management, begun trading a new Emerging Market Equity ETF, the Deutsche X-trackers FTSE Emerging Comprehensive Factor ETF (NYSEArca: DEMG) on Tuesday, April 19, 2016.
Here is a synopsis of the new ETF:
FUND INFORMATION:
| Symbol: DEMG | Exchange: NYSE ARCA |
| Name: Deutsche X-trackers FTSE Emerging Comprehensive Factor ETF | Net Expense Ratio: 0.50% |
FUND OBJECTIVE:
The Deutsche X-trackers FTSE Emerging Comprehensive Factor ETF formerly Deutsche X-trackers FTSE Emerging Enhanced Beta ETF, seeks investment results that correspond generally to the performance, before fees and expenses, of the FTSE Emerging Comprehensive Factor Index.
REFERENCE INDEX:
The FTSE Emerging Comprehensive Factor Index is designed to track the equity market performance of companies in emerging market countries selected on the investment style criteria (factors) of value, momentum, quality, low volatility and size.
The companies eligible for the Underlying Index are derived from its starting universe, the FTSE Emerging Index, which is comprised of large- and mid-cap equity securities from emerging markets. The index provider, FTSE International Limited (Index Provider), selects companies for the Underlying Index using a proprietary rules-based multi-factor selection and weighting process designed to increase the Underlying Index’s exposure, relative to the starting universe, to companies demonstrating the following factors:
Value. The value score is calculated based on a company’s valuation ratios (e.g., cash-flow yield, earnings yield and country relative sales to price). The value factor captures excess returns to stocks that have low prices relative to their fundamental value.
Momentum. The momentum score is calculated based on each company’s cumulative 11 month return. The momentum factor reflects excess returns to stocks with stronger past performance.
Quality. The quality score is calculated from a company’s leverage and profitability (e.g., return on assets, asset turnover and accruals). The quality factor captures excess returns to stocks that are characterized by low debt, stable earnings growth, and other “quality” metrics.
Low Volatility. The low volatility score is calculated based on the standard deviation of 5 years of weekly local total returns. The low volatility factor captures excess returns to stocks with lower than average volatility, beta, and/or idiosyncratic risk.
Size. The size score is calculated based on the full market capitalization of a company.
Companies are weighted based on their relative exposure to all 5 factors. Companies that do not display meaningful multi-factor characteristics are not eligible for inclusion in the Underlying Index.
As of September 30, 2015, the Underlying Index consisted of 819 securities with an average market capitalization of approximately $7 billion and a minimum market capitalization of approximately $110 million from issuers in the following countries: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, Turkey and the United Arab Emirates.
Fund Top 10 Holdings (05/03/16):
Symbol |
Name |
Weight |
| IHK6 | SGX NIFTY 50 MAY16 | 7.67% |
| BAT | BRAIT SA | 1.58% |
| SPP SJ | SPAR GROUP LIMITED/THE | 1.44% |
| HYP.SJ | HYPROP INVESTMENTS NPV | 0.91% |
| 2301 TT | LITE-ON TECHNOLOGY CORP | 0.87% |
| RES | RESILIENT PROPERTY INCOME FUND NPV | 0.83% |
| BVMF3 BS | BM&FBOVESPA SA | 0.79% |
| BVT SJ | BIDVEST GROUP LTD | 0.75% |
| GAPB MM | GRUPO AEROPORT DEL PACIFIC-B | 0.67% |
| PIK SJ | PICK N PAY STORES LTD | 0.66% |
Fund Sector Allocation (05/03/16):
| Financials | 18.53% |
| Consumer Staples | 14.18% |
| Industrials | 13.22% |
| Consumer Discretionary | 8.78% |
| Utilities | 8.65% |
| Materials | 8.23% |
| Information Technology | 7.56% |
| Energy | 6.54% |
| Telecoms | 4.78% |
| Health Care | 1.85% |
Fund Geographic Exposures (05/03/16):
| ZA | 16.05% |
| CN | 15.34% |
| TW | 12.21% |
| MX | 8.84% |
| BR | 8.70% |
| SG | 7.67% |
| MY | 6.82% |
| RU | 4.27% |
| TH | 3.67% |
| CL | 3.10% |
Useful Links:
DEMG Home Page
Category: Equities> Emerging Equity Markets> Emerging Markets Equity Strategy
ETFtrack Comment:
Here is a comment from Fiona Bassett, Head of Passive in the Americas:
“Emerging market equities may be an interesting opportunity for diversification or growth. Investors who believe emerging markets are poised to rebound may be interested in DEMG, which seeks to identify and overweigh relatively valuable, high-quality emerging market stocks, with relatively positive performance momentum and lower volatility. DEMG is an important addition to our suite of Comprehensive Factor ETFs, which is designed to help investors establish new efficient frontiers in their asset allocation. Our Comprehensive Factor ETFs are based on an intelligently designed index construction mechanism, taking into account five investment factors that are supported by robust academic research.”