Come June, First Trust DB Strategic Value Index Fund (NYSEArca: FDV) will lose its underlying benchmark.

That's because Deutsche Bank has decided to terminate its license agreement with First Trust effective June 21, 2010, ending a three-plus year relationship between FDV and the Deutsche Bank CROCI U.S.+ Index.

That means FDV will have to start shopping for a replacement. And while First Trust Advisors will consider all viable options available to the fund, there are no guarantees that a suitable alternative index will be found.

FDV is a success in terms of performance: It has yielded returns of 29 percent year-to-date, exceeding those of the S&P 500 by a significant measure. Despite the strong performance, however, FDV has been unable to attract investment dollars.

The fund has net assets of only $45 million, despite being on the market for three years. For Deutsche Bank, whose other ETFs and ETF alliances have generated assets under management in the billions of dollars, FDV's AUM is a far cry from what the bank sees as its potential.

It’s quite possible, in fact, that Deutsche Bank will try to find a better use for its successful index by launching its own ETF or ETN linked to the CROCI index or by selling its strategy somewhere else.

By design, FDV is a nondiversified fund and it invests in companies that may be undervalued based on the ratio between their price and their earnings. Nearly 40 percent of the portfolio is currently dedicated to health care names. Consumer goods, consumer services as well as industrial materials follow with holdings representing around 12 percent of the basket each.

FDV’s benchmark is an equal-dollar-weighted index with a basket of 40 names.

You can read the release here.