Deutsche X-trackers Comprehensive Factor ETFs

Transcription

Exchange-Traded Funds
Deutsche X-trackers Comprehensive Factor ETFs
Enhance the core with multi-factor exposure
What are factors?
Why factors are relevant
Investing with Deutsche X-trackers
Think of factors as the nutritional
make-up of a stock, characteristics
that describe each stock’s risks
and returns. Within our multi-factor
strategies, we consider five main
factors that have been used in the
industry for years: Value, quality,
momentum, low volatility and size.
Factor ETF strategies provide a simple,
transparent, and cost-efficient way to
potentially generate excess returns.
Combining factors, in particular, can
provide a more holistic approach to
investing, potentially enabling investors
to weather various and unpredictable
economic environments.
Our unique methodology evaluates
every stock from the bottom up,
seeking those proficient in all five
factor scores for inclusion. Our
strategy has both factors and stocks
working together to form what we
believe is the most effective access
to core equity markets.
U.S. large cap: DEU S
I
I
U.S. small cap: D ESC
Developed international: D E E F
I
Emerging markets: DEMG
Factors
Academic concepts
FTSE Russell implementation
Value
“Cheaper equities” are thought to outperform
“expensive equities” over the long term1
Composite measure of cash-flow yield, earnings yield
and sales-to-price of each company
Quality
The quality of a company’s earnings may actually be
a better gauge of future earnings performance2
Composite measure of each company’s profitability,
efficiency, earnings quality and leverage3
Momentum
Relatively recent price movements-over-time, can be
a potential indicator of future stock price performance4
11-month cumulative total returns of each stock
Volatility
Portfolios with less volatility and/or low beta can offer
higher-than-average return and smaller drawdowns5
Standard deviation of five years of weekly total local
returns for each stock
Size
Historical long-term studies show long-term
outperformance of small-cap stocks over large-cap stocks6
Each company’s full market capitalization in U.S. dollars
Our unique weighting methodology: Simple and transparent
The FTSE Russell methodology scores each stock based on all five factors, simply multiplying each factor score by the stock’s
starting benchmark weight. As a result, we keep the stocks with the strongest overall factor scores, weeding out any weak links.
Stock weight example
Name
Extreme
examples
1
0
Market-cap Weight
Quality
Momentum
Value
Size
Low Vol
Unadjusted Weight
Final Index Weight
Tyson Foods Inc.
0.07%
x
0.76
x
0.65
x
0.93
x
0.34
x
0.61
=
0.007%
0.62%
Hess Corp.
0.07%
x
0.48
x
0.22
x
0.97
x
0.30
x
0.33
=
0.001%
0.07%
Netflix Inc.
0.26%
x
0.24
x
1.00
x
0.09
x
0.07
x
0.00
=
0.000%
0.00%
Example stocks chosen from the Russell 1000 index universe. Unadjusted weights are rescaled to add up to 1. All weights are
based on the actual FTSE Russell Factor scores as of 12/21/15. Subject to change. As of 6/30/16, the stocks had the following
weights in the Russell 1000 Comprehensive Factor Index: Tyson Foods (consumer goods), 0.97%; Hess (oil & gas), 0.00%;
Netflix (consumer services), 0.00%. For illustrative purposes only.
Deutsche X-trackers Russell 1000 Comprehensive Factor ETF (DEUS)
Index characteristics
ETF characteristics
Name
Russell 1000 Comprehensive
Factor Index
Ticker
DEUS
Russell 1000 Index
9/28/15
825*
$20,561 billion
2.00%
Semi-annual
Name
Deutsche X-trackers
Factor ETF7
Benchmark
Inception date
Number of constituents
Total market cap
Dividend yield
Rebalancing frequency
Listing date
Management fee
Distribution frequency
11/24/15
0.25%
Quarterly
Sector breakdown
Russell 1000 Comprehensive Factor Index
Financials
Industrials
Consumer services
Consumer goods
Utilities
Technology
Health care
Basic materials
Oil & gas
Tele-communications
Benchmark: Russell 1000 Index
21.15%
19.22%
16.04%
14.05%
9.66%
7.55%
6.77%
3.67%
1.05%
0.84%
0%
5%
10%
15%
20%
Financials
Technology
Consumer services
Health care
Industrial
Consumer goods
Oil & gas
Utilities
Telecommunications
Basic materials
17.62%
15.95%
13.71%
13.54%
12.21%
11.05%
7.11%
3.67%
2.78%
2.36%
0%
25%
5%
10%
15%
20%
25%
Top 10 holdings: factor vs. market-cap
Name
Factor weight
Market-cap weight
Name
Factor weight
Market-cap
weight
Tyson Foods
0.97%
0.10%
Apple
0.03%
2.57%
Genuine Parts
0.77%
0.07%
Microsoft
0.03%
1.92%
Progressive
0.76%
0.09%
Exxon Mobil
0.04%
1.91%
Omnicom
0.63%
0.10%
Johnson & Johnson
0.05%
1.64%
Southwest Airlines
0.62%
0.12%
General Electric
0.00%
1.44%
Huntington Ingalls
0.58%
0.04%
Amazon
0.01%
1.34%
C.H. Robinson Worldwide
0.57%
0.05%
AT&T
0.04%
1.31%
Henry Schein
0.56%
0.07%
Facebook
0.00%
1.23%
Clorox
0.52%
0.09%
Wells Fargo & Company
0.00%
1.18%
Motorola Solutions
0.50%
0.06%
JPMorgan Chase & Co
0.01%
1.12%
Total
6.48%
Total
15.67%
Source: FTSE Russell as of 6/30/16. Subject to change.
*Stocks with low factor scores may be removed from the index, resulting in a total of less than 1000 constituents.
Deutsche X-trackers Comprehensive Factor ETFs 2
Deutsche X-trackers Russell 2000 Comprehensive Factor ETF (DESC)
ETF characteristics
Name
Factor Index
Ticker
DESC
Russell 2000 Index
6/22/16
1,484*
$1,617 billion
2.03%
Semi-annual
Name
Deutsche X-trackers
Factor ETF
Benchmark
Inception date
Total market cap
Dividend yield
Listing date
Management fee
6/28/16
0.30%
Quarterly
Sector breakdown
Financials
Industrials
Consumer services
12.96%
8.42%
Consumer goods
5.76%
Health care
5.24%
Technology
3.88%
Utilities
3.73%
Basic materials
Telecommunications 1.97%
1.08%
Oil & gas
0%
10%
36.28%
20.70%
30%
20%
Financials
Industrials
Technology
Health care
Consumer services
Consumer goods
Basic materials
Utilities
Oil & gas
Telecommunications
40%
26.46%
17.08%
12.61%
12.40%
12.19%
7.08%
4.20%
4.06%
3.01%
0.92%
0%
5%
10%
15%
20%
25%
30%
Name
Factor weight
Corresponding
Market-cap weight
Core-Mark
0.39%
0.13%
Childrens Place
0.31%
Superior Inds
0.30%
Ennis
Name
Corresponding
factor weight
Market-cap
weight
Idacorp
0.07%
0.26%
0.07%
Olin
0.00%
0.25%
0.03%
Portland General Electric
0.06%
0.25%
0.29%
0.03%
Gramercy Property
0.02%
0.24%
Unitil
0.28%
0.04%
Cracker Barrel Old Country
Store
0.07%
0.24%
Cash America Intl
0.27%
0.06%
Curtiss Wright
0.04%
0.24%
FNFV Group
0.27%
0.05%
Southwest Gas
0.12%
0.23%
Global Brass and Copper
Holdings
0.26%
0.04%
Microsemi
0.01%
0.23%
Ares Commercial Real
Estate
0.25%
0.02%
Healthcare Realty
0.06%
0.23%
Viad Corp
0.25%
0.04%
Medical Properties
0.05%
0.23%
Total
2.87%
Total
2.40%
*Stocks with low factor scores may be removed from the index, resulting in a total of less than 2000 constituents.
Deutsche X-trackers FTSE Developed ex US Comprehensive Factor ETF (DEEF)
ETF characteristics
Name
FTSE Developed ex US
Comprehensive Factor Index
Ticker
DEEF
Benchmark
Inception date
Total market cap
Dividend yield
FTSE Developed ex US Index
9/28/15
1,163
$13,775 billion
3.01%
Semi-annual
Name
Deutsche X-trackers
FTSE Developed ex U.S.
Comprehensive Factor ETF7
Listing date
Management fee
11/24/15
0.35%
Quarterly
Sector & country breakdowns
FTSE Developed ex US Comprehensive Factor Index
Benchmark: FTSE Developed ex US Index
Sector
Industrials
Financials
Consumer goods
Consumer services
Utilities
Basic materials
Health care
Telecommunications
Technology
Oil & gas
0%
21.27%
20.61%
15.27%
15.10%
7.30%
6.09%
5.67%
3.68%
2.53%
2.45%
5%
10%
15%
20%
Financials
Consumer goods
Industrials
Health care
Consumer services
Basic materials
Oil & gas
Telecommunications
Utilities
Technology
23.15%
19.15%
13.71%
10.55%
8.44%
7.07%
6.19%
4.42%
3.75%
3.56%
0%
25%
5%
10%
15%
20%
25% 30%
Country
Other—16.03%
Singapore—3.15%
Japan—25.44%
U.K.—16.31%
Sweden—3.22%
Switzerland—3.72%
Australia—11.34%
South Korea—3.90%
France—4.16%
Canada—7.99%
Hong Kong—4.74%
Japan—21.64%
Other—13.75%
Netherlands—2.60%
U.K.—17.42%
Hong Kong—3.23%
Switzerland—8.10%
South Korea—4.02%
France—7.91%
Australia—6.44%
Canada—7.38%
Germany—7.50%
FTSE Developed ex US Comprehensive Factor Index
Benchmark index: FTSE Developed ex US Index
Name
Name
Factor
weight
Factor
weight
Corresponding
Market-cap weight
Corresponding
Market-cap weight
Link Real Estate Investment Trust
1.07%
0.11%
Nestle
0.03%
1.74%
SNC-Lavalin
0.87%
0.05%
Novartis (REGD)
0.01%
1.42%
Scentre
0.82%
0.14%
Roche Hldgs (GENUS)
0.01%
1.35%
Westfield
0.71%
0.11%
Toyota Motor
0.00%
0.99%
Goodman
0.68%
0.07%
Samsung Electronics
0.04%
0.91%
Segro
0.60%
0.03%
HSBC
0.00%
0.90%
Metro
0.58%
0.06%
British American Tobacco
0.05%
0.88%
Land Securities
0.57%
0.08%
Royal Dutch Shell
0.00%
0.84%
KT&G
0.54%
0.10%
BP
0.01%
0.79%
Ahold
0.54%
0.13%
GlaxoSmithKline
0.05%
Total
6.99%
Total
0.76%
10.59%
Deutsche X-trackers FTSE Emerging Comprehensive Factor ETF (DEMG)
ETF characteristics
Name
FTSE Emerging
Comprehensive Factor Index
Ticker
DEMG
FTSE Emerging Index
9/28/15
834
$3,138 billion
3.45%
Semi-annual
Name
Deutsche X-trackers FTSE
Emerging Comprehensive
Factor ETF
Benchmark
Inception date
Total market cap
Dividend yield
Listing date
Management fee
4/19/16
0.50%
Quarterly
Sector & country breakdowns
FTSE Emerging Comprehensive Factor Index
Benchmark: FTSE Emerging Index
Sector
Financials
Industrials
Consumer services
Consumer goods
Utilities
Basic materials
Oil & gas
Technology
Telecommunications
Health care
19.40%
16.34%
13.71%
12.64%
9.50%
8.93%
6.34%
5.88%
4.68%
2.60%
0%
5%
10%
15%
20%
Financials
Technology
Consumer goods
Industrials
Oil & gas
Consumer services
Telecommunications
Basic materials
Utilities
Health care
29.90%
12.81%
10.23%
9.64%
8.61%
8.11%
7.29%
6.84%
3.82%
2.73%
0%
25%
5%
10%
15%
20%
25%
30% 35%
Country
Others—12.55%
South Africa—16.05%
Thailand—2.69%
Others—9.96%
Indonesia—2.79%
Chile—3.01%
Thailand—3.42%
China—15.00%
Russia—4.22%
Malaysia—6.58%
Mexico—8.32%
India—8.61%
Taiwan—12.27%
China—25.30%
Malaysia—4.26%
Taiwan—14.46%
Russia—4.72%
India—12.44%
Mexico—5.20%
Brazil—9.97%
Brazil—8.89%
South Africa—9.28%
FTSE Emerging Comprehensive Factor Index
Name
Benchmark: FTSE Emerging Index
Brait SE
The Spar Group
Factor
weight
1.43%
1.36%
Corresponding
market-cap weight
0.10%
0.08%
Lite-On Technology
Hyprop Investments
BM&F Bovespa
Resilient REIT
1.01%
0.96%
0.93%
0.80%
0.09%
0.07%
0.31%
0.08%
Grupo Aeroportuario del Pacifico
Cetip
Grupo Aeroportuario del Sureste
Fuyao Glass Industry Group (H)
Total
0.68%
0.67%
0.65%
0.64%
9.13%
0.11%
0.10%
0.11%
0.04%
Name
Tencent Holdings (P Chip)
Taiwan Semiconductor
Manufacturing
Naspers
China Mobile
China Construction Bank
Industrial and Commercial
Bank of China
Hon Hai Precision Industry
Infosys
Bank of China
Housing Development Finance
Total
Factor
weight
0.02%
0.08%
Corresponding
market-cap weight
3.86%
3.84%
0.01%
0.05%
0.01%
0.01%
2.09%
1.94%
1.92%
1.27%
0.25%
0.09%
0.04%
0.03%
1.11%
1.05%
0.95%
0.93%
18.94%
“The cross-section of expected stock returns,” Eugene F. Fama and Kenneth R. French, June 1992
“Do stock prices fully reflect information in accruals and cash flows about future earnings?” Sloan, 1996
3
Excludes financial stocks, for which return-on-assets is the sole measure of quality
4
“Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,” Jegadeesh and Sheridan Titman, March 1993
5
“Benchmarks as Limits to Arbitrage: Understanding the low-volatility anomaly,” Malcolm Baker, Brendan Bradley and Jeffrey Wurgler. Feb. 2011
6
“The Relationship between Return and Market Value of Common Stocks,” Rolf W. Banz, March 1981
7
Effective 3/16/16, the Deutsche X-trackers FTSE Developed ex US Enhanced Beta ETF and Deutsche X-trackers Russell 1000 Enhanced Beta ETF
were renamed Deutsche X-trackers FTSE Developed ex US Comprehensive Factor ETF and Deutsche X-trackers Russell 1000 Comprehensive Factor
ETF, respectively.
1
2
Deutsche X-trackers FTSE Developed ex US Comprehensive Factor ETF seeks investment results that correspond generally to the performance, before
fees and expenses, of the FTSE Developed ex U.S. Comprehensive Factor Index. Deutsche X-trackers FTSE Emerging Comprehensive Factor ETF seeks
investment results that correspond generally to the performance, before fees and expenses, of the FTSE Emerging Comprehensive Factor Index. Deutsche
X-trackers Russell 1000 Comprehensive Factor ETF seeks investment results that correspond generally to the performance, before fees and expenses, of the
Russell 1000 Comprehensive Factor Index. Deutsche X-trackers Russell 2000 Comprehensive Factor ETF seeks investment results that correspond generally
to the performance, before fees and expenses, of the Russell 2000 Comprehensive Factor Index. The price/earnings ratio or P/E ratio is a stock’s current
price divided by the company’s trailing 12-month earnings per share from continuous operations. Beta measures a security’s sensitivity to the movements
of the fund’s benchmark or the market as a whole. A beta of greater than one indicates more volatility than the benchmark or market, while a beta of less
than one indicates less volatility. Market capitalization is the total dollar market value of a company’s outstanding shares. The Russell 1000 Comprehensive
Factor Index is a benchmark designed to capture exposure to five factors—Quality, Value, momentum, Low Volatility and Size. These factors represent
common factor characteristics for which there is a broad academic and practitioner consensus, supported by a body of empirical evidence across different
geographies and time periods. The Russell 1000 Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the
Russell 3000 Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership.
The Russell 1000 represents approximately 92% of the U.S. market.
Investing involves risk, including possible loss of principal. Stocks may decline in value. Small company stocks tend to be more volatile
than medium-sized or large company stocks. Foreign investing involves greater and different risks than investing in U.S. companies,
including currency fluctuations, less liquidity, less developed or less efficient trading markets, lack of comprehensive company
information, political instability and differing auditing and legal standards. Emerging markets tend to be more volatile than the markets
of more mature economies and generally have less diverse and less mature economic structures and less stable political systems
than those of developed countries. Funds investing in a single industry, country or in a limited geographic region generally are more
volatile than more diversified funds. Because the funds seeks to provide exposure to stocks based on the following multifactors—value,
momentum, quality, low volatility and size – it is expected exposure to such investment factors will detract from performance in some
market environments, as more fully explained in each fund’s prospectus. Performance of a Fund may diverge from that of the Underlying
Index due to operating expenses, transaction costs, cash flows, use of sampling strategies or operational inefficiencies. An investment
in any fund should be considered only as a supplement to a complete investment program for those investors willing to accept the risks
associated with that fund. Please read the prospectus for more information.
Deutsche X-trackers ETFs (“ETFs”) are managed by DBX Advisors LLC or (the “Adviser”) and distributed by ALPS Distributors, Inc.
(“ALPS”). The Adviser is a subsidiary of Deutsche Bank AG, and is not affiliated with ALPS.
Carefully consider the fund’s investment objectives, risk factors, and charges and expenses before investing. This and
other information can be found in the fund’s prospectus, which may be obtained by calling 1-855-329-3837, or by
viewing or downloading a prospectus at www.deutsche-etfs.com. Read the prospectus carefully before investing.
Investment products: No bank guarantee | Not FDIC insured | May lose value
Indexes are unmanaged and you cannot invest directly in an index. The funds are new and have limited operating history.
Shares are not individually redeemable, and owners of Shares may acquire those Shares from the Fund, or tender such Shares for
redemption to the Fund, in Creation Units only.
© 2016 Deutsche Bank AG. All rights reserved. ETF168037 R-045106-4 (7/16) DBX2137 (6/17) MULTI-STRAT-FACT

Deutsche X-trackers Comprehensive Factor ETFs

Transcription

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