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Our strategies consider five academically sound factors that have been used in the industry for years. Hover over each factor below to find out more.

Quality

Quality

Company profitability & leverage

Momentum

Momentum

11-month total return, lagged 1 month

Size

Size

Natural logarithm of each company’s total market cap

Volatility

Volatility

Standard deviation of five years’ weekly total returns

Value

Value

Cash-flow yield & earnings yield & sales-to-price

Why factor investing?

When it comes to factor investing, we believe it’s not the factors themselves that can potentially generate long-term outperformance, but it is how the factors are used. Learn more about factor investing with Rob Bush. View video

Factors and market cycles[1]

Analyzing individual factors

Individual factors tend to exhibit comparatively low correlations and differentiated patterns of performance. While exposure to individual factors may be more tactical, market cycles can be hard to time.

Why combine factors?

Since anticipating individual factor upswings may be hard, we believe combining factors can help investors navigate a variety of economic environments.

But factors can be combined in many different ways. Our bottom-up approach begins at a stock-by-stock level, finding those proficient in five factors: Quality, Momentum, Value, Size and Volatility

Our approach

 

By evaluating each stock carefully on an individual basis using all five factors, we assemble what we believe to be the strongest group of stocks that can work together to generate strong returns over the long run.

Imagine a two-stock portfolio example seeking low volatile, value stocks. If we were to choose the least volatile stock and the cheapest stock of the group, the combination might not be optimal – because cheaper stocks are often more volatile, and low vol stocks are often more expensive.

In other words, the strengths of each stock are diluted by the weaknesses of the other. By considering all 5 factors within each stock, we seek to prevent this potential dilution effect when stocks are combined.

 

Related Videos

 

Comprehensive Factor—ETFs

 

 
TickerDEUSDESCDEEFDEMG
Xtrackers Russell 1000 Comprehensive Factor ETF Russell 2000 Comprehensive Factor ETF FTSE Developed ex US Comprehensive Factor ETF FTSE Emerging Comprehensive Factor ETF
Universe Large-cap U.S. Small-cap U.S. Developed international Emerging market
Expense Ratio 0.25% 0.30% 0.35% 0.50%
Details Details Details Details
 
See all Xtrackers

Comprehensive Factor—Mutual Fund

 

U.S. Multi-Factor Fund

The Fund's investment objective will be to seek investment results that correspond generally to the performance, before fees and expenses, of the Russell 1000 Comprehensive Factor Index.

Fund details
See all Mutual Funds
 
 

To add or to multiply - How do I combine factors in a portfolio?

By Rob Bush

Read more

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Read our factor strategy fact sheet

A deeper dive into our multi-factor ETFs.

 
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Our methodology at a glance

Our unique methodology evaluates each stock from the bottom up, seeking those proficient in all five factor scores for inclusion.

 
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DEUS – Another Quiet Quarter

The second quarter of 2017 was a relatively muted one for our Russell 1000 multi-factor fund.

 
 

Contact our Factor experts

To speak with an ETF sales representative, call (844) 851-4255

 

Rob Bush
ETF Strategist

Arne Noack
ETF Product Development

Luke Oliver
Head of ETF capital markets

1. Source: Deutsche Asset Management, As of July 2016. MSCI Index research, “Deploying Multi-Factor Index Allocations in Institutional Portfolios”, “Foundations of Factor Investing”. For Illustrative purposes only.

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