Novembe量化现金权益因素绩效。..-119140404

Gianpaolo Tomasi Research Team Vivek AnandLuiz SilvaCaio NatividadeFrancesco PozzettiGianpaolo Tomasi IMPORTANTRESEARCHDISCLOSURESANDANALYSTCERTIFICATIONSLOCATEDINAPPENDIX1.NotetoU.S.investors:USregulatorshavenotapprovedmostforeignlistedstockindexfuturesandoptionsforUSinvestors.Eligibleinvestorsmay beabletogetexposurethroughover-the-counterproducts.DeutscheBankdoesandseekstodobusinesswithcompaniescoveredinitsresearchreports.Thus,investorsshouldbeawarethatthefirmmayhaveaconflictofinterestthatcouldaffect theobjectivityofthisreport.Investorsshouldconsiderthisreportasonlyasinglefactorinmakingtheirinvestmentdecision. 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(bottomright)showshowtheunderperformanceof 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 twokeymacro driversofthestrategy.Technology(-4.68%)substantiallyunderperformedtheMSCIEqually-WeightedIndex(+1.23%);whenthishappens,Growthnameswithinalltheothersectorstendtounderperform,whichhelpstheValuefactor.The second driver of the underperformance was asteepeningofthetermstructure,withthe(10Y-2Y)differenceincreasingbyroughly2bpslastmonth.▪Theplot on the top right shows that both legs provided a similarcontributiontothePnL,asthelonglegoutperformedandtheshortlegunderperformedtheMSCIEqually-WeightedIndex.▪ThePnLbreakdownbysector,shownonthebottomright,highlightshowthepositiveperformancewasconcentratedinIndustrialsandTechnologywhereasthe regional PnL breakdown(bottom left)shows how thestrategywasprofitableinall3regions,anddidparticularlywellinAsia. Owner Quality ▪OwnerQualityunderperformedinNovember(-2.09%).▪TheplotonthetoprightshowsthatthenegativePnLwasduealmostentirelytothelongleg,astheshortleghada performanceverysimilartotheMSCIWordEqually-WeightedIndex.▪Whereasnormallytheunderperformanceofthisfactorcanbeexplainedinlightof the rally of the short leg(‘junk rally’),in November the maincontributoroftheunderperformancewasthedeclineofprofitablenamesinthe long leg,especially in the most volatile sectors(Industrials,TechnologyandConsumerDiscretionary).Thespilloverofconcernsaboutthelong-term profitability of big AI-driven Tech companies into othersectors(e.g.utilitiesstockswhichsupplyenergytodatacentres)played amajorroleindrivingtheperformanceofOwnerQualityinNovember.▪Geographically,Owner Quality underperformed all the 3 regions,withNorthAmericabeingthemaincontributorofthenegativePnL. 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,whereastheprofitability-based metrics underperformed,accruals-based metrics andassetturnoverpostedapositiveperformanceinNovember. Low Beta ▪LowBetasubstantiallyoutperformedinNovember(+4.73%).▪Theplotonthebottomright,whichdisplaysthePnLbreakdownbysector,showshowinNovemberLowBetabenefittedfromitslongexposuretodefensivesectors,whichoutperformed(HealthCare+8.12%,ConsumerStaples+3.88%andUtilities+2.29%)andfromitsshortexposuretocyclicalsectors,which underperformed(Technology-4.68%and ConsumerDiscretionary-1.65%).▪Theoutperformancewas extremelyconsistent across sectors;the onlyexceptionwas Industrials,where the strategy was overall net long asshownonthebottomleft,andwhichunderperformedlastmonth(-1.50%).▪InNovember,the Lumrisk Low Risk benchmark showed a comparableoutperformance(+2.52%and+4.19%on a vol-adjusted basis1),whichindicatesthattherallyoftheLowBeta/LowVolpremiumlastmonthwasindependentofthespecificimplementationofthestrategy. NLASR ▪NLASR(DBGNLASUIndex)outperformedinNovember(+3.37%).Lastmonth’sperformancebringthenetSRofthestrategyto2.04anditsreturnto10.90%YTD.Forcomparison,theLum