Deutsche Bank-Quantitative Musing Presentation Long Live Optimizing Sys...-106995667

Distributedon:12/03/202417:09:06GMTDeutscheBankResearchDBQISResearchLong-OnlyFactorInvesting#PositiveImpactMarch2024ClaytonGillespieGianpaoloTomasiResearchTeamVivekAnandClaytonGillespieCaioNatividadeGianpaoloTomasiIMPORTANTRESEARCHDISCLOSURESANDANALYSTCERTIFICATIONSLOCATEDINAPPENDIX1.NotetoU.S.investors:USregulatorshavenotapprovedmostforeignlistedstockindexfuturesandoptionsforUSinvestors.Eligibleinvestorsmaybeabletogetexposurethroughover-the-counterproducts.DeutscheBankdoesandseekstodobusinesswithcompaniescoveredinitsresearchreports.Thus,investorsshouldbeawarethatthefirmmayhaveaconflictofinterestthatcouldaffecttheobjectivityofthisreport.Investorsshouldconsiderthisreportasonlyasinglefactorinmakingtheirinvestmen7tdTec2issioen.3MrC0IO(P)t0641k/1w0/2o02P3.aLong-OnlyMultifactorInvestingDBQISResearchDeutscheBankClayton.gillespie@db.com1ResearchIntroductionAimsofaLong-onlyEquityInvestoroMaximizetheoutperformanceoverthebenchmark➢WeseektoeffectivelycapturefactorpremiasystematicallyoRealizesimilar(orless)volatilitythanthebenchmark➢WeuseanMVOapproachpenalizingspecificriskonlyoGeneratedrawdownslowerthanthebenchmark➢Weaddaconstraintontheportfolio’shistoricdrawdownsConstraintValuePortfolioSizeGreaterthanorequalto200stocksTrackingErrorLessthan4%IndividualStockWeightsRegionandSectorconstraintsBetween0.2%and2%FundingConst...