The document outlines the methodology for selecting stocks for CROCI indices, which are large-cap selection pools excluding financials. Stocks are ranked by trailing 12-month economic P/E, and a fixed number of highest-ranked stocks are selected. The CROCI Index is equal-weighted, long-only, rebalanced monthly, and does not hold cash positions. The indices are systematic, transparent, and region-neutral to MSCI indices. CROCI Sectors III Index selects stocks with the lowest economic P/E from global sectors with the lowest median economic P/E. CROCI Global and US Dividends Indices are rebalanced quarterly. Index returns assume reinvestment of dividends and do not reflect fees or expenses.
doj/DataSet10/EFTA01453682.pdf
{"title":"CROCI Selection Methodology","document_type":"tabular","document_subtype":"methodology overview","key_organizations":["Deutsche Asset & Wealth Management"],"reference_numbers":["DB-SDNY-0111447","SDNY_GM_00257631","EFTA01453682"]}