DWS U.S. Multi-Factor Fund
Data updated: 2020-01-24
C000183463 — DWS U.S. Multi-Factor Fund. Money Market · $301.71M AUM · 0.35% expense ratio. Holdings, fees, performance and SEC filings.
C000183463 Fund Overview
DWS U.S. Multi-Factor Fund is a US mutual fund managed by Deutsche Dws Institutional Funds, categorised as Money Market. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.
- Type: US mutual fund
- Manager: Deutsche Dws Institutional Funds
- Category: Money Market
- Assets under management: $301.71M
- SEC CIK: 0000862157
- SEC series ID: S000057563
- Share class ID: C000183463
C000183463 Investment Objective and Strategy
DWS U.S. Multi-Factor Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Deutsche Dws Institutional Funds.
Investment objective
The fund seeks investment results that correspond generally to the performance, before fees and expenses, of the Russell 1000 Comprehensive Factor Index.
Principal investment strategy
"Main investments . Under normal circumstances, the fund invests at least 80% of net assets, plus the amount of any borrowings for investment purposes, in equity securities issued by US companies. The fund, using a ""passive"" or indexing investment approach, seeks investment results, before fees and expenses, that correspond generally to the performance of the Russell 1000 Comprehensive Factor Index (the ""Underlying Index""), which is designed to track the equity market performance of companies in the United States selected on the investment style criteria (""factors"") of value, momentum, quality, low volatility and size. The companies eligible for the Underlying Index are derived from its starting universe, the Russell 1000 Index, which is comprised of large-cap equity securities from issuers in the United States.
The index provider, Frank Russell Company (""Index Provider""), selects companies from the starting universe for the Underlying Index by applying a consistent rules-based methodology to achieve exposure to companies demonstrating the factors listed below, while considering levels of diversification and capacity: Value. Value investing generally refers to a strategy that buys stocks whose price is lower than the fundamental value of the stock. The Index Provider's methodology for measuring the value factor attempts to identify stocks that have low prices relative to their fundamental value and that provide the possibility of excess returns. The value score is calculated by measuring a company's valuation based on, among other things, cash-flow yield, earnings yield and sales to price and then comparing it to the company's valuation based on share price.
Momentum. Momentum style investing emphasizes investing in securities that have had higher recent price performance compared to other securities, with the expectation that this will continue to produce short term excess returns in the future. The momentum score is calculated based on each company's cumulative 11 month return. The Index Provider's methodology for measuring the momentum factor attempts to identify stocks with stronger past performance over the short term. Quality. The Index Provider's methodology for measuring the quality factor attempts to identify stocks that are characterized by low debt, stable earnings growth, and other ""quality"" metrics, with the expectation that these will provide the possibility of excess returns. The quality score is calculated from a company's leverage and profitability (e.g., return on assets, asset turnover and accruals).
Low Volatility. Volatility is a statistical measurement of the magnitude of increases or decreases in a stock's price over time. The low volatility score is calculated based on the standard deviation of 5 years of weekly total returns. Low volatility investing is a strategy based on the concept that stocks that exhibit low volatility tend to perform better than stocks with higher volatility. The Index Provider's methodology for measuring the low volatility factor attempts to identify stocks with a historically lower risk (and higher return) profile relative to higher risk. Size. The size factor seeks to capture excess returns of smaller companies relative to larger counterparts. The size score is calculated based on the full market capitalization of a company. The Index Provider's methodology for measuring the size factor attempts to identify stocks of smaller companies relative to their larger counterparts, with the expectation that these will provide the possibility of excess returns.
Companies are weighted in the Underlying Index based on their relative exposure to all five factors with companies that have higher factor scores receiving larger weightings. While no one factor is favored, in terms of weighting, the factors may not be weighted equally at all times. Companies that do not display meaningful multi-factor characteristics are not eligible for inclusion in the Underlying Index. As of September 30, 2017, the Underlying Index consisted of 823 securities, with an average market capitalization of approximately $28.79 billion and a minimum market capitalization of approximately $1.06 billion. As of September 30, 2017, the Underlying Index was wholly comprised of securities of issuers from the United States. The fund will concentrate its investments (i.e., hold 25% or more of its total assets) in a particular industry or group of industries to the extent that its Underlying Index is concentrated.
As of September 30, 2017, a significant percentage of the Underlying Index was comprised of issuers in the financial services (23.5%), industrials (19.9%) and consumer discretionary (16.1%) sectors. The fund will invest at least 80% of its total assets (but typically far more) in instruments that comprise its Underlying Index. The fund may also invest in depositary receipts in respect of equity securities that comprise the Underlying Index to seek performance that corresponds to the fund's Underlying Index. Investments in such depositary receipts will count towards the fund's 80% investment policy discussed above with respect to instruments that comprise the Underlying Index. The fund may invest up to 20% in other securities, including securities not in the Underlying Index, money market funds advised by the Advisor, convertible securities and structured notes (notes on which the amount of principal repayment and interest payments are based on the movement of one or more specified factors, such as the movement of a particular stock or stock index).
Management process. Portfolio management seeks a long-term correlation between fund performance, before expenses, and the Underlying Index of 95% or better (perfect correlation being 100%). Portfolio management seeks to replicate, before expenses, the risk and return characteristics of the Underlying Index through investments in equity securities of companies that make up the Underlying Index, in approximately the same weightings as the Underlying Index. At times, the fund may use a representative sampling indexing strategy in seeking to track the Underlying Index, meaning it generally will invest in a sample of securities included in the Underlying Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Underlying Index as a whole. Portfolio management may limit or avoid exposure to any stock in the Underlying Index if it believes the stock is illiquid or that extraordinary conditions have cast doubt on its merits.
Conversely, portfolio management may gain exposure to a stock not included in the Underlying Index when it believes such exposure is consistent with the fund's goals (for example, in anticipation of a stock being added to the Underlying Index). Derivatives. Portfolio management generally may use futures contracts, which are a type of derivative (a contract whose value is based on, for example, indices, currencies or securities), as a substitute for direct investment in a particular asset class, to keep cash on hand to meet shareholder redemptions or for other needs while maintaining exposure to the stock market. The fund may also use other types of derivatives (i) for hedging purposes; (ii) for risk management; (iii) for non-hedging purposes to seek to enhance potential gains; or (iv) as a substitute for direct investment in a particular asset class or to keep cash on hand to meet shareholder redemptions.
Securities Lending. The fund may lend securities (up to one-third of total assets) to approved institutions."
C000183463 Costs and Fees
C000183463 costs about $35 per $10,000 invested per year in fund expenses.
- Net expense ratio: 0.35%
- Gross expense ratio: 0.46%
- Portfolio turnover: 54%
- Brokerage commissions: 0.33 bps of average net assets (SEC N-CEN)
C000183463 Cashflows
Over the 12 months to 2019-11, DWS U.S. Multi-Factor Fund had net outflows of $6.38M, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2019-11 | −$4.46M |
| 2019-10 | −$470.00K |
| 2019-09 | −$1.45M |
C000183463 Debt Constituents
No individual debt constituents are reported in DWS U.S. Multi-Factor Fund's latest SEC N-PORT filing.
C000183463 Prospectus and SEC Filings
Official DWS U.S. Multi-Factor Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
Related Funds
Other Money Market funds tracked on ABC INVEST:
Data Sources
ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.