Xtrackers Russell 2000 Comprehensive Factor ETF ETF.com segment: Equity: U.S. - Small Cap Competing ETFs: FYX, CSML, PSC, JKJ, OUSM Related ETF Channels: North America, U.S., Smart-Beta ETFs, Multi-factor, Small Cap, Equity, Size and Style, Broad-based Find more ETFs with our ETF Screener and Database *Unless otherwise stated, data provided by FactSet. 77 FUND RIPTION tracks an index of small-cap stocks from the Russell 2000, selected and weighted by five different factors, scaled by market cap. FACTSET ANALYTICS INSIGHT DEUS offers a factor-based take on the Russell 2000 index of US small-cap stocks. The fund tracks an index that is designed to provide exposure to five different factors: value, momentum, small size, low volatility, and quality. Value is measured using valuation ratios such as earnings yield. Momentum is determined by 11-month trailing return. Quality is based on leverage and profitability metrics such as return on assets and asset turnover. Volatility scores are based on the standard deviation of total returns over 5 years. Lastly, size score is calculated using market capitalization. selects and weights its holdings based on the combination of these scores, scaled by market cap. Companies that don't exhibit these attributes in a significant way are excluded.the fund's Russell 2000 parent index means that more micro-cap firms are eligible for inclusion, and the fund's small-size factor means it should skew even smaller. is reasonably priced in light of its factor-based methodology. MSCI ESG ANALYTICS INSIGHT The MSCI ESG Fund Quality Score measures the ability of ETF underlying holdings to manage key medium to long-term risks and opportunities arising from environmental, social, and governance factors, as determined by MSCI ESG Research LLC. As of January 17, 2019 the Xtrackers Russell 2000 Comprehensive Factor ETF MSCI ESG Fund Quality Score is 3.92 out of 10. SUMMARY DATA Issuer Brand Inception Date Legal Structure Expense Ratio Assets Under Management Average Daily $ Average Spread (%) PORTFOLIO DATA Weighted Average Market Cap Price / Earnings Ratio Price / Book Ratio Distribution Yield Next Ex-Dividend Date Number of Holdings Deutsche Bank Xtrackers 06/28/16 Open-Ended Fund $9.60M $41.38K 0.77% $1.48B 20.42 1.78 1.60% 12/19/18 2550 The fund s Peer Rank reflects the ranking of a fund s MSCI ESG Fund Quality Score against the scores of other funds within the same peer group, as defined by the Thomson Reuters Lipper Global Classification. ranks in the 10th percentile within its peer group and in the 7th percentile within the global universe of all funds in MSCI ESG Fund Metrics coverage. INDEX DATA Index Tracked Russell 2000 Comprehensive Factor Index Index Weighting Methodology Index Selection Methodology Multi-Factor Multi-Factor MSCI USA Small Cap Index
1 Year Daily Price ($) 40.00 37.50 35.00 32.50 30.00 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec `19 80k PERFORMANCE [as of 01/24/19] 1 MONTH 3 MONTHS YTD 1 YEAR 3 YEARS 5 YEARS 10 YEARS 12.91% -1.89% 7.04% -7.02% (NAV) 12.88% -0.58% 6.95% -6.40% Russell 2000 Comprehensive Factor Index MSCI USA Small Cap Index 15.97% 1.01% 8.88% -6.01% 15.02% 7.72% 16.05% All returns over 1 year are annualized. All returns are total returns unless otherwise stated. TOP 10 COUNTRIES United States Canada 99.98% 0.02% TOP 10 SECTORS Financials 33.20% Basic Materials 5.47% Consumer Cyclicals 18.55% Consumer Non-Cyclicals 3.70% Industrials 16.63% Energy 2.69% Technology 8.18% Utilities 2.10% Healthcare 6.84% Telecommunications Serv 0.84% TOP 10 HOLDINGS Deutsche DWS Money Ma 0.64% Essendant Inc. Genesco Inc. 0.47% BJ's Restaurants, Inc. Warrior Met Coal, Inc. Renewable Energy Group Arbor Realty Trust, Inc. PennyMac Mortgage Inve 0.27% Brinker International, Inc. 0.31% Navigant Consulting, Inc. 0.26% Total Top 10 Weighting 3.61%
PORTFOLIO MANAGEMENT TAX EXPOSURES FUND STRUCTURE Expense Ratio Median Tracking Difference (12 Mo) Max. Upside Deviation (12 Mo) Max. Downside Deviation (12 Mo) Max LT/ST Capital Gains Rate Capital Gains Distributions (3 Year) Tax on Distributions Distributes K1 20.00% / 39.60% Qualified dividends No Legal Structure OTC Derivative Use Securities Lending Active Securities Lending Split (Fund/Issuer) ETN Counterparty Open-Ended Fund No Yes 90% / 10% N/A ETN Counterparty Risk N/A Fund Closure Risk High Portfolio Disclosure Daily
Daily Spread 4.0% FACTSET ANALYTICS BLOCK LIQUIDITY As of 01/25/19 3.0% 2.0% 1.0% 0% 5 4 3 2 1 This measurement shows how easy it is to trade a $1 million USD block of. is rated a 4 out of 5. Premium/Discount 5.0% 2.5% TRADABILITY Avg. Daily Share 1,296 0.0% Average Daily $ $41.38K -2.5% Median Daily Share 683-5.0% 60k 50k 40k 30k 20k 10k Median Daily ($) Average Spread (%) Average Spread ($) $24.57K 0.77% $0.25 Feb Apr Jun Aug Oct Nov `19 Median Premium / Discount (12 Mo) -0.04% Max. Premium / Discount (12 Mo) 3.23% / -3.37% Impediment to Creations None Market Hours Overlap 100.00% Creation Unit Size (Shares) 50,000 Creation Unit/Day (45 Day Average) 0.01 Creation Unit Cost (%) 0.13% Underlying / Unit 0.06% Open Interest on ETF Options Net Asset Value (Yesterday) $32.15 ETF.com Implied Liquidity 4
SECTOR/INDUSTRY BREAKDOWN TOP 10 HOLDINGS PERFORMANCE STATISTICS Financials 33.20% 24.84% Consumer Cyclicals 18.55% 12.23% Deutsche DWS Money Market Trust Institutional Shs DWS Government Money Market Series Genesco Inc. 0.64% 0.47% Goodness of Fit (R2) Beta Up Beta Down Beta 0.94 0.89 0.86 0.92 Industrials 16.63% 14.12% Technology 8.18% 13.14% Healthcare 6.84% 13.21% Basic Materials Consumer Non- Cyclicals 5.47% 5.73% 3.70% 3.98% Energy 2.69% 3.75% Utilities 2.10% 2.78% Warrior Met Coal, Inc. Arbor Realty Trust, Inc. Brinker International, Inc. Essendant Inc. BJ's Restaurants, Inc. Renewable Energy Group, Inc. PennyMac Mortgage Investment Trust Navigant Consulting, Inc. Total Top 10 Weighting 0.31% 0.27% 0.26% 3.61% Downside Standard Deviation MSCI ESG RATINGS MSCI ESG Quality Score Peer Group Percentile Rank Global Percentile Rank 0.28% MSCI USA Small Cap Index 3.92 / 10 10.32 7.37 Telecommunications Services 0.84% 0.74% SRI Screening Criteria Exposure 3.42% COUNTRIES Exposure to Sustainable Impact Solutions 2.51% United States 99.98% 100.00% Weighted Average Carbon Intensity (t CO2e/$M Sales) 110.12 Canada 0.02% REGIONS North America 100.00% 100.00% ECONOMIC DEVELOPMENT BENCHMARK COMPARISON HOLDINGS Number of Holdings Constituents Shared Holdings Shared Holdings Weight 2550 1806 1,692 36.40% Developed Countries 100.00% 100.00% BENCHMARK COMPARISON SUMMARY Number of Holdings 2550 1806 Weighted Average Market Cap $1.48B $3.76B Price / Earnings Ratio Price / Book Ratio Dividend Yield 20.42 32.65 1.78 2.24 1.84% 1.55% Concentration Low Low
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