Since their last rebalance in March 21, 2016, the factor indices have shown a decrease in momentum exposure. Meanwhile, the FTSE Emerging Comprehensive Factor Index Active Exposures, which make up the underlying holdings of the Deutsche X-trackers FTSE Emerging Comprehensive Factor ETF (NYSEArca: DEMG), have taken an increase tilt to the value category.
Additionally, the FTSE Developed ex-US Comprehensive Factor Index Active Exposures, which comprise the underlying holdings of the Deutsche X-trackers FTSE Developed ex US Comprehensive Factor ETF (NYSEArca: DEEF), have seen weights rise in the quality category since the last rebalance.
“The FTSE Comprehensive Factor Indexes tell an interesting story about the rising influence of Value and Quality and the corresponding decrease of Momentum in non-US developed and emerging markets in the last six months,” Rob Bush, ETF Strategist for Deutsche Asset Management, said in a note. “Having said that, factor performance is cyclical and hard to time, hence our analysis of more diversified long term performance of a variety of market factors.”
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