november量化现金权益因素绩效。..-119140404

Gianpaolo Tomasi Research Team Vivek AnandLuiz SilvaCaio NatividadeFrancesco Pozzetti Momentum ▪Momentumoutperformed in November(+2.75%),which brings its YTDperformanceto+17.78%.▪ThePnLbreakdownbyleg(topright)highlightshowtheunderperformanceofthe short leg(red)and outperformance of the long leg(light blue)comparedto the equally-weighted MSCI World Index(grey)contributedalmostequallytothepositivePnLofthestrategy.▪ThePnLbreakdownbysector(bottomunderperformanceof the short positions within Technology provided asubstantialcontributiontotheperformance;furthermore,thelongpositionsinMaterials,ConsumerStaples,HealthCareandFinancialsallcontributedpositivelytothePnL.▪Geographically,thestrategybehaviourwasverybalanced,withapositiveperformancein all the 3 regions and a PnL roughly proportional to thenumberofstocksineachindividualregion. OwnerValue ▪OwnerValueoutperformedinNovember(+2.84%).▪ThepositivePnLcanbeexplainedbyconsideringthe twokeymacrodriversofthestrategy.Technology(-4.68%)substantiallyunderperformedtheMSCIEqually-WeightedIndex(+1.23%);whenthishappens,Growthnameswithinalltheothersectorstendtounderperform,whichhelpstheValuefactor.The second driver of the underperformance was a ▪Theplot on the top right shows that both legs provided a similarcontributiontothePnL,asthelonglegoutperformedandtheshortleg ▪ThePnLbreakdownbysector,shownonthebottomright,highlightshowthepositiveperformancewasconcentratedinIndustrialsandTechnologywhereasthe regional PnL breakdown(bottom left)shows how thestrategywasprofitableinall3regions,anddidparticularlywellinAsia. Owner Quality OwnerQualityunderperformedinNovember(-2.09%). TheplotonthetoprightshowsthatthenegativePnLwasduealmost entirelytothelongleg,astheshortleghada performanceverysimilartotheMSCIWordEqually-WeightedIndex.▪Whereasnormallytheunderperformanceofthisfactorcanbeexplainedinlightof the rally of the short leg(‘junk rally’),in November the main contributoroftheunderperformancewasthedeclineofprofitablenames inthe long leg,especially in the most volatile sectors(Industrials,TechnologyandConsumerDiscretionary).Thespilloverofconcernsaboutthelong-term profitability of big AI-driven Tech companies into other RF2 Quality ▪RF2Quality,oursecond-generationversionoftheQualityfactor,launchedin2017,wasmarginallydowninNovember(-0.16%)butoutperformeditsbenchmarkLumriskQuality(-0.91%).Inayearwheremostimplementationsofthe‘Quality’premiumhavestruggled,RF2Qualityis up1.64%YTD,whereastheLumriskQualitybenchmarkhasunderperformed(-7.60%).▪TheplotonthetoprightshowshowinNovembertheunderperformanceduetothelonglegwasalmostperfectlyoffsetbytheshortleg,whichunderperformedtheMSCIWorldEqually-WeightedIndex.▪Intermsofsectors,theunderperformancewasmainlyconcentratedwithinUtilities,Consumer Stapes and Energy whereas the strategy posted apositivePnLwithinIndustrials,HealthCareandMaterials.Geographically,RF2QualitydidwellinNorthAmericabutunderperformedinEuropeandAsia.Intermsoftheindividualfactorscomprisingthestrategy,whereasthe Deutsche Bank.Research Low Beta LowBetasubstantiallyoutperformedinNovember(+4.73%).Theplotonthebottomright,whichdisplaysthePnLbreakdownbysector,showshowinNovemberLowBetabenefittedfromitslongexposuretodefensivesectors,whichoutperformed(HealthCare+8.12%,Consumer Staples+3.88%andUtilities+2.29%)andfromitsshortexposuretocyclical sectors,which underperformed(Technology-4.68%and ConsumerDiscretionary-1.65%).▪Theoutperformancewas extremelyconsistent across sectors;the onlyexceptionwas Industrials,where the strategy was overall net long as Deutsche Bank.Research NLASR ▪NLASR(DBGNLASUIndex)outperformedinNovember(+3.37%).Lastmonth’sperformancebringthenetSRofthestrategyto2.04anditsreturnto10.90%YTD.Forcomparison,theLumRiskmultifactorbenchmark1isdown0.20%YTD.▪TheplotonthebottomleftshowsthePnLbreakdownbysectorandregion.It highlightshowthestrategywasprofitableinmostsectors,withTechnologydrivingthe outperformance,like in the past 2 months,and a positivecontributioncoming also from Industrials and Communication Services. ▪Therisk-returnattributionbygroupofalphas(bottomright)showsthattheValuecluster ofalphas wasthebiggestpositivecontributortothereturns,whichisinlinewiththeperformanceofourOwnerValuefactorlastmonth;BalanceSheet alphas(e.g.accruals,change in shares outstanding) Deutsche Bank.Research 1TheLumriskmultifactor L/S benchmark is computed as inverse-volatility weighted of Low Vol, Value, Quality and Momentum. It does not include the return of the 28thof November because ofan extra lag in the reported performance. NLASR without Europe Theversion of NLASR which includes only North America and APAC(DBCNLASUIndex),towhich wewillreferas NLASR-WE(WE=withoutEurope),posted a positive performance in November(+3.77%),slightlyoutperformingtheglobalversionofNLASR.Lastmonth’sperformancebrings ▪TheplotonthebottomleftshowsthePnLbreakdownbysectorandregion.Likeitsglobalcounterpart,NLASR-WEoutperformedwithinCommunicationServices,Technology,Materials and Industrials.Region-wise,NLASR-