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Deutsche Asset & Wealth Management launches USD and euro-hedged CROCI Japan


Deutsche Asset & Wealth Management has launched US dollar and euro-hedged share classes on the CROCI Japanese equity fund.

The DB Platinum IV CROCI Japan fund, which has a 5-star rating from Morningstar based on performance relative to peers, applies the CROCI methodology on a systematic basis to large-cap Japanese stocks.
Cash Return on Capital Invested (CROCI) is a proprietary equity valuation process developed by Deutsche Bank that aims to identify stock selection opportunities that would not be revealed through analysis based on traditional accounting metrics.
“Bearing in mind the recent market drawdown and uptick in volatility, investor interest in Japanese equity has soared over the past three quarters on the back of a rapidly rising stock market. But foreign investors also have to be mindful of a depreciating yen, which is why currency-hedged exposure is so important,” says Alex McKenna, Deutsche Asset & Wealth Management’s head of systematic funds.
The CROCI methodology involves applying a consistent set of adjustments to regular accounting data to convert it into more meaningful standardised corporate economic data. The result is a more realistic assessment of disparities between current share price and fair value, which can then be used as the basis for defining which companies to take long positions in. The DB Platinum IV CROCI Japan fund is re-balanced monthly and consists of a portfolio of 30 Japanese large caps from the Topix 100 Index, excluding financials.
Deutsche Asset & Wealth Management’s CROCI funds are experiencing strong inflows. By 14 June the CROCI range as a whole has received EUR35m of inflows month-to-date, with EUR24m going into the DB Platinum IV CROCI US fund, which provides CROCI-filtered exposure to US large caps. Year-to-date, the I1C share class for the fund has returned 21.7 per cent versus 16.04 per cent for the S&P500.
“Our CROCI funds are a good example of a truly intelligent, systematic offering that really does work, and this is coming through in recent fund flows,” says McKenna.

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