Deutsche Bank-Quantitative Musing Cash equity factor performance Novembe...-119140404

MTMTDeutsche BankResearchDB QIS ResearchCash factors performance review November 2025Gianpaolo TomasiResearch TeamVivek AnandLuiz SilvaCaio NatividadeFrancesco PozzettiGianpaolo TomasiIMPORTANT RESEARCH DISCLOSURES AND ANALYST CERTIFICATIONS LOCATED IN APPENDIX 1. Note to U.S. investors: US regulators have not approved most foreign listed stockindex 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 withcompanies 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 shouldconsider this report as only a single factor in making their investment decision.Deutsche Bank. Research1▪Momentum outperformed in November (+2.75%), which brings its YTDperformance to +17.78%.▪The PnL breakdown by leg (top right) highlights how the underperformanceof the short leg (red) and outperformance of the long leg (light blue)compared to the equally-weighted MSCI World Index (grey) contributedalmost equally to the positive PnL of the strategy.▪ThePnLbreakdownbysector(bottomright)showshowtheunderperformance of the short positions within Technology provided asubstantial contribution to the performance; furthermore, the long positionsin Materials, Consumer Staples, Health Care and Financials all contributedpositively to the PnL.▪Geographically, the strategy behaviour was very balanced, with a positiveperformance in all the 3 regions and a PnL roughly proportional to thenumber of stocks in each individual region.MomentumMomentum Performance by SectorMomentum Performance by LegSource: DB Research, Bloomberg Finance LP, FactSet, LumriskMomentum Performance by RegionDeutsche Bank. Research2▪Owner Value outperformed in November (+2.84%).▪The positive PnL can be explained by considering the two key macrodrivers of the strategy. Technology (-4.68%) substantially underperformedthe MSCI Equally-Weighted Index (+1.23%); when this happens, Growthnames within all the other sectors tend to underperform, which helps theValuefactor.Theseconddriveroftheunderperformancewasasteepening of the term structure, with the (10Y-2Y) difference increasingby roughly 2bps last month.▪The plot on the top right shows that both legs provided a similarcontribution to the PnL, as the long leg outperformed and the short legunderperformed the MSCI Equally-Weighted Index.▪The PnL breakdown by sector, shown on the bottom right, highlights howthe positive performance was concentrated in Industrials and Technologywhereas the regional PnL breakdown (bottom left) shows how thestrategy was profitable in all 3 regions, and did particularly well in Asia.Owner ValueOwner Value Performance by SectorOwner Value Performance by LegSource: DB Research, Bloomberg Finance LP, FactSet, LumriskOwner Value Performance by RegionDeutsche Bank. Research3▪Owner Quality underperformed in November (-2.09%).▪T