全球投资策略QIS研究：全球因子监测

Deutsche BankResearch#PositiveImpactJune 2022DB QIS ResearchGlobal Factor MonitorResearch TeamVivek AnandCaio NatividadeGianpaolo TomasiGanchi ZhangBlaz ZlicarNote to U.S. investors: US regulators have not approved most foreign listed stock index futures and options for US investors. Eligible investors may be able to get exposure through over-the-counter products. Deutsche Bank does and seeks to do business with companies covered in its research reports. Thus, investors should be aware that the firm may have a conflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. DISCLOSURES AND ANALYST CERTIFICATIONS ARE LOCATED IN APPENDIX 1.MCI (P) 051/04/2022.Distributed on: 10/06/2022 15:01:12 GMT7T2se3r0Ot6kwoPaDeutsche BankResearchDB QIS Researchblaz.zlicar@db.com1. Executive Summary22. The House View43. Monthly Snippet64. Factor Focus85. Multi-Factor Portfolios 186. Thematic Baskets237. Cash Equity Strategies298. NLASR, Reversion and Earnings329. Cross-Asset Strategies 3710. Rates Strategies 4111. Credit Strategies 4512. Intraday Strategies 4913. Asset Allocation55Table of Contents1Deutsche BankResearchDB QIS Researchblaz.zlicar@db.com1. Executive Summary2Deutsche BankResearchDB QIS Researchblaz.zlicar@db.com1. Executive SummaryDithering game of hawks vs. doves3As we enter the summer, central banks remain faced with the keychallenge of balancing between controlling inflation and reducingrecessionrisk.Theresultinghighvolatility,uncertaintyandmacroeconomic momentum continue to be good for quantitativeinvesting; once again, circa 65% of our strategies gained in May. Thebackground – tame equity and bond returns, despite the partialrecovery – makes the quant rally even more relevant.Equity Value had another blockbuster month; the long leg benefittedfrom its inflation-hedging properties while the short leg suffered fromstretched valuations and the worsening outlook for growth. Except forLow Beta, all other equity styles – many exhibiting higher than usualcorrelation to Value - also gained. In Credit, the long-short multifactorportfolio gained +0.46% due to defensive Low Beta and Qualityperformance, while Rates strategies were again dominated by Trendand Carry. The intraday suite was mixed – the GAP strategy lost onEUR/USD and oil futures while the CTB strategy profited fromexposures in all asset classes. Finally, our convexity and Stagflationbaskets also recorded losses, with the latter linked to a slight drop ininflation expectations.Today’s Factor Focus zooms into inflation hedging using equity-stylefactors. We apply an approach similar to our Stagflation basket but alsoaccount for idiosyncrasies in single stock investing.Yours,Blaz, Caio, Ganchi, Gianpaolo, and VivekSource: DB CIB Research, Bloomberg Finance LPasset classstrategylast month's rMomentum1.48%Low Beta-0.59%Value (Owner)4.53%Quality (Owner)0.24%NLASR2.88%Reversion