systematic equity - dws · 2019-05-28 · pankaj bhatnagar. head of core equity and co-head of...

SYSTEMATIC EQUITY

David BiancoAmericas CIO and

Head of U.S. Active Equity

For institutional use and registered representative use only. Not for public viewing or distribution. Investment products: No bank guarantee I Not FDIC insured I May lose value.

Pankaj BhatnagarHead of Core Equity and

Co-Head of Systematic and Quantitative Strategies

Francesco CurtoHead of CROCI Investment Strategy

and Valuation Group

Arne NoackExchange Traded

Product Development for the U.S.

Moderator:

OUR U.S. ACTIVE EQUITY PLATFORM

TEAMIPs

19Avg. industry experience

16 yrs

Source: DWS as of 3/31/19.

36%

39%

25%

DiscretionarySystematicInstitutional

$17.65bn

AUM

G r o w t h

F o c u s

C o r e

V a l u e

Tactical


CORE EQUITY FUND

Source: DWS

Two critical components to the investment process

► Intuitive: Factors make fundamental sense► 35 Industry models► 12-month time horizon► Factors scaled to various subgroups► Factors tested to determine if they are

predictive of performance► Optimize combination of effective factors► Dynamic approach: update every 2-3 years

and add new factors

STOCK SELECTION: ALPHA DRIVER

1 2PORTFOLIO CONSTRUCTION: MANAGE RISK

Portfolio optimization process seeks to maximize alpha based on specific risk constraints, including:

► Beta

► Tacking error

► Sector weights

► Stock weights


CORE EQUITY FUND

SYSTEMATIC, RISK-MANAGED INVESTMENT PROCESS FOCUSED ON STOCK SELECTION

Investment process

135 industry

models based on over 200

factors

2Models

forecast alpha for each stock

in universe

3Portfolio

optimized with tight risk

constraints

4Portfolios are

rebalanced monthly

90-100 stocks


CROCI

Source: DWS and CROCI as of 4/8/19. For illustrative purposes only. Past performance is not a guarantee of future results. Performance results do not reflect the deduction of investment advisory fees. Client returns will be reduced by the advisory fees and other expenses.

►Proprietary to DWS

►Established in 1996

►Provides a different exposure to value

_ Active process of deep due diligence

_ Systematic approach to portfolio construction

WHAT YOU SEE IS NOT WHAT YOU MAY GET► Investors buy a piece of a company, not a share of stock

►~50 CROCI analysts conduct extensive due-diligence on 375 U.S. companies (1,000 globally)

►Valuations increase by about 50% on average

_ Some 50% cheaper, others 3x more expensive

A systematic active value approach proprietary to DWS


FACTOR SCORING & INDEX WEIGHTING

STARTING UNIVERSE

Process at a glance

_ Exclusion of very small constituents2Index underlying the Xtrackers comprehensive factor ETFs

FTSE RUSSELL COMPREHENSIVE FACTOR INDEX

FTSE RUSSELL BENCHMARK INDEX

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

Company profitability & leverage

11-month total return, lagged 1 month

Standard deviation of five years weekly total returns

Natural logarithm of each company’s total market cap

Exclude securities with a weight smaller than 0.005%

x

x

x

x

x

_ Application of factor scores

_ Method: Simple multiplication of factor scores weightbenchmark weight

_ The order in which the factors are appliedis irrelevant

1 Value score

Quality score

Momentum score

Volatility score

Size score

Weight cut-off


Relative to benchmark indexINDUSTRY WEIGHTS

Source: FTSE Russell as of 3/31/19. Subject to change. It is not possible to invest directly in an index.

U.S. LARGE CAP: INDEX VS. BENCHMARK U.S. SMALL CAP: INDEX VS. BENCHMARK

DEVELOPED EX U.S.: INDEX VS. BENCHMARK EMERGING: INDEX VS. BENCHMARK

0%5%

10%15%20%25%30%

0%

10%

20%

30%

40%

Russell 1000 Comprehensive Factor Index Russell 1000 Index Russell 2000 Comprehensive Factor Index Russell 2000 Index

0%5%

10%15%20%25%

0%5%

10%15%20%25%30%35%

FTSE Developed ex U.S. Comprehensive Index FTSE Developed ex U.S. Index FTSE Emerging Comprehensive Index FTSE Emerging Index


IMPLEMENTATIONSystematic offerings

RISK-MANAGED ALPHA: DWS Core Equity Fund SUWIX

CROCI PROCESS: DWS CROCI Equity Dividend Fund KDHIX

DWS CROCI US Fund DCUIX

DWS CROCI International Fund SUIIX

MULTI-FACTOR ETFS: Xtrackers Russell 1000 Comprehensive Factor ETF DEUS

Xtrackers Russell 1000 US QARP ETF QARP

Xtrackers Russell 2000 Comprehensive Factor ETF DESC

Xtrackers FTSE Developed Ex US Comprehensive Factor ETF DEEF

Xtrackers FTSE Emerging Comprehensive Factor ETF DEMG


IMPORTANT INFORMATION

Xtrackers ETFs (“ETFs”) are managed by DBX Advisors LLC (the “Adviser”), and distributed by ALPS Distributors, Inc. (“ALPS”). The Adviser is a subsidiary of DWS Group GmbH & Co. KGaA, and is not affiliated with ALPS.

Risk information: Investing involves risk, including possible loss of principal. Stocks may decline in value. Because the fund seeks to provide exposure to stocks based on the following multifactors—value and quality—its expected exposure to such investment factors will detract from performance in some market environments, as more fully explained in the fund’s prospectus. This fund is non-diversified and can take larger positions in fewer issues, increasing its potential risk. Performance of the 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.

Carefully consider the fund’s investment objectives, risk factors, 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 from www.Xtrackers.com. Read the prospectus carefully before investing.

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.

Fund risk: An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. Investing in securities that meet ESG criteria may result in the fund forgoing otherwise attractive opportunities, which may result in underperformance when compared to funds that do not consider ESG factors. Money Market investments are subject to interest-rate and credit risks. When interest rates rise, prices generally fall. In addition, any unexpected behavior in interest rates could increase the volatility of the fund’s yield and could hurt fund performance. Prepayments could also create capital gains tax liability in some instances. Credit risk refers to the ability of an issuer to make timely payments of principal and interest. Although individual securities may outperform the market, the entire market may decline as a result of rising interest rates, regulatory developments or deteriorating economic conditions. Any investments in money market instruments of foreign issuers are subject to some of the risks of foreign investing, such as unfavorable political and legal developments, limited financial information, and regulatory risk and, economic and financial instability. Portfolio management could be wrong in its analysis of industries, companies, economic trends and favor a security that underperforms the market. Please read the prospectus for details.

The brand DWS represents DWS Group GmbH & Co. KGaA and any of its subsidiaries, such as DWS Distributors, Inc., which offers investment products, or DWS Investment Management Americas, Inc. and RREEF America L.L.C., which offer advisory services.

DWS Distributors, Inc., 222 South Riverside Plaza, Chicago, IL 60606, www.dws.com

© 2019 DWS Group GmbH & Co. KGaA. All rights reserved R-67265-1 (5/19)


systematic equity - dws · 2019-05-28 · pankaj bhatnagar. head of core equity and co-head of...

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