Deutsche Asset & Wealth Management begun trading its first enhanced beta ETFs, the Deutsche X-trackers Russell 1000 Enhanced Beta ETF (NYSE Arca: DEUS) and the Deutsche X-trackers FTSE Developed ex US Enhanced Beta ETF (NYSE Arca: DEEF) on Tuesday, November 24, 2015.
1.
FUND INFORMATION:
| Symbol: DEUS | Exchange: NYSE Arca |
| Name: Deutsche X-trackers Russell 1000 Enhanced Beta ETF | Net Expense Ratio: 0.25% |
FUND OBJECTIVE:
The Deutsche X-trackers Russell 1000 Enhanced Beta ETF seeks investment results that correspond generally to the performance, before fees and expenses, of the Russell 1000 Comprehensive Factor Index.
REFERENCE INDEX:
The Russell 1000 Comprehensive Factor Index is designed to track the equity market performance of companies in the United States 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 Russell 1000 Index, which is comprised of large-cap equity securities from issuers in the United States. The index provider, Frank Russell Company (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.
As of September 30, 2015, the Underlying Index consisted of 834 securities with an average market capitalization of approximately $21 billion and a minimum market capitalization of approximately $550 million.
Index Top 10 Companies (09/30/15):
| AmerisourceBergen | 1.27% |
| Kroger | 0.96% |
| Bunge | 0.79% |
| Bed Bath Beyond | 0.69% |
| Southwest Airlines | 0.68% |
| Northrop Grumman | 0.64% |
| Western Union | 0.60% |
| Alaska Air | 0.60% |
| Costco Wholesale | 0.59% |
| Ross Stores | 0.58% |
Index Sector Breakdown (09/30/15):
| Consumer services | 21.4% |
| Industrials | 19.2% |
| Financials | 15.8% |
| Consumer goods | 13.7% |
| Utilities | 9.0% |
| Health care | 7.7% |
| Technology | 7.7% |
| Basic Materials | 3.7% |
| Oil & gas | 1.1% |
| Telecommunications | 0.6% |
Useful Links:
DEUS Home Page
Category: Equities> Regions> USA> US Size> US Large Cap
2.
FUND INFORMATION:
| Symbol: DEEF | Exchange: NYSE Arca |
| Name: Deutsche X-trackers FTSE Developed ex US Enhanced Beta ETF | Net Expense Ratio: 0.35% |
FUND OBJECTIVE:
The Deutsche X-trackers FTSE Developed ex US Enhanced Beta ETF seeks investment results that correspond generally to the performance, before fees and expenses, of the FTSE Developed ex US Comprehensive Factor Index.
REFERENCE INDEX:
The FTSE Developed ex US Comprehensive Factor Index is designed to track the equity market performance of companies in developed countries (except the United States) 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 Developed ex US Index, which is comprised of large- and mid-capitalization equity securities from developed markets (except the United States). 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.
Companies are weighted based on their relative exposure to all 5 factors.
As of September 30, 2015, the Underlying Index consisted of 1,177 securities, with an average market capitalization of approximately $13 billion and a minimum market capitalization of approximately $200 million, from issuers in the following countries: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, South Korea, Spain, Sweden, Switzerland and the United Kingdom.
Index Top 10 Companies (09/30/15):
| British Land Co | 1.06% |
| Land Securities Group | 0.99% |
| Investor AB | 0.96% |
| Ahold | 0.80% |
| Derwent London | 0.79% |
| Segro | 0.70% |
| 3i Group | 0.67% |
| Berkeley Group Holdings | 0.66% |
| Link REIT | 0.66% |
| Fairfax Financial Holdings | 0.60% |
Index Sector Breakdown (09/30/15):
| Industrials | 21.2% |
| Financials | 20.8% |
| Consumer goods | 15.6% |
| Consumer services | 15.4% |
| Basic materials | 7.8% |
| Utilities | 6.0% |
| Health care | 5.0% |
| Telecommunications | 3.3% |
| Technology | 2.7% |
| Oil & gas | 2.2% |
Index Country Breakdown (09/30/15):
| Japan | 31.0% |
| UK | 18.5% |
| Australia | 9.0% |
| Canada | 5.6% |
| France | 4.7% |
| Sweden | 4.1% |
| Germany | 3.6% |
| Hong Kong | 3.6% |
| Switzerland | 2.8% |
| Netherlands | 2.5% |
| Singapore | 2.2% |
Useful Links:
DEEF Home Page
Category: Equities> International Equities> International Strategy
ETFtrack comment:
Here is a comment from Fiona Bassett, Head of Passive in the Americas Deutsche AWM about the 2 new ETFs:
“We believe this new suite complements our expertise and commitment to bringing innovative and relevant investment solutions to market, as we have seen growing investor interest in market factor diversification in addition to traditional sector and country diversification.”