The aim of the Fund is to invest in a portfolio of shares issued by large companies in the United States, Europe and Japan, selected using the CROCI Sectors Strategy (Strategy) which selects shares on the basis of an economic valuation using the CROCI (Cash Return On Capital Invested) methodology (CROCI Methodology). The CROCI Methodology and Strategy are developed by the Deutsche Bank CROCI Investment Strategy and Valuation Group.
The Strategy identifies the three industry sectors (excluding financial) with the lowest median CROCI economic price-earnings ratio (CROCI Ratio). The Strategy may exclude shares with low liquidity. The Strategy then selects the ten companies from each such sector with the lowest positive CROCI Ratios. Currently, only shares that have a below median CROCI Ratio are eligible for selection.
The CROCI Methodology compares company valuations by making adjustments to company reported financial statements providing the CROCI Ratios used to select the shares with the lowest valuations due to their price potential. The shares comprising the Strategy are reviewed quarterly and weighted equally upon each rebalancing. The Strategy has two selection buffers, which prevent the replacement of (i) an existing sector unless its median CROCI Ratio is sufficiently higher than the proposed replacement sector and (ii) an existing share unless its CROCI Ratio is sufficiently higher than that of the proposed replacement sector and an existing share unless its CROCI ratio is sufficiently higher than that of the proposed replacement share. AUM reflects the aggregate of the various share classes and is denominated in EUR.