Thewisdomofcrowdscrowdsourcingearningsestimates 140317100341 Phpapp01

Deutsche Bank
Markets Research
North America
United States
Quantitative Strategy
The Quant View
Date
4 March 2014
Sheng Wang
The wisdom of crowds:

crowdsourcing earnings estimates
Quantitative macro and micro forecasts for the month
In this report we present our latest quantitative forecasts for the coming
month. Our models are designed to generate both bottom-up stock selection
ideas as well as top-down asset, country, and style allocation calls.
Introducing the crowdsourcing dataset Estimize
Estimize is an online community that allows different types of investors to
contribute their financial forecasts. The contributors include the buy side
investment professionals, individual traders, independent researchers and
students. The merit of the Estimize dataset is based on the diverse group of
contributors and the wisdom of the crowd.
More accurate short-term earnings estimates
Our initial findings show that the more timely Estimize forecasts provide
greater short-term accuracy when compared to IBES, while IBES estimates do
a better job for longer-term forecasts. Specifically, we find Estimize is more
accurate than IBES for estimates taken one-week before the announcement
date, while the sell-side estimates from IBES show greater accuracy for
estimates collected one-month prior to announcement.
sheng.wang@db.com
Miguel-A Alvarez
miguel-a.alvarez@db.com
Javed Jussa
javed.jussa@db.com
Zongye Chen
john.chen@db.com
Allen Wang
allen-y.wang@db.com
Yin Luo, CFA
yin.luo@db.com
North America: +1 212 250 8983
Europe: +44 20 754 71684
Asia: +852 2203 6990
Post earnings drift and a corresponding trading strategy

We find that the timelier Estimize forecasts can more accurately identify
earnings surprise which results in a greater capture of the post earnings drift.
We use this finding to construct a daily trading strategy that goes long the
stocks that beat the Estimize consensus and short the stocks that miss.
________________________________________________________________________________________________________________
Deutsche Bank Securities Inc.
Note 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.MICA(P) 054/04/2013.
4 March 2014
The Quant View
Crowdsourcing earnings
estimates
Introducing the Estimize dataset
Earnings estimates are one of the most widely used financial metrics. They are a
measure of expected company performance and play an important role in many equity
investors stock selection strategies. Traditionally, earnings estimates are gathered from
sell-side analysts at institutional brokers and independent research firms. Data vendors
such as Institutional Brokers Estimate System (IBES) aggregate these estimates and
offer daily or monthly updates as well as historical datasets. While there are many data
vendors that aggregate sell-side earnings estimates, we have yet to find a reputable
database that collects estimates from buy-side analysts and other types of investors.
In this report, we analyze a new database from the crowdsourced community Estimize
that collects earnings and revenue forecasts from various different types of investors. It
was established in 2011 and has grown rapidly to cover more than 900 US stocks.
What sets it apart is that the community of contributors is varied, ranging across buyside investment professions, individual traders, independent researchers and students.
Figure 1 shows the types of the contributors to the database.
Figure 1: Constituents of the contributors of Estimize
Source: Estimize, Compustat, IBES, Russell, S&P, Thomson Reuters, Deutsche Bank
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Estimize allows individuals to contribute their estimates anonymously. The underlying

concept of the community is to capture the wisdom of the crowds in order to reflect
investor sentiment and more timely and accurate earnings forecasts. The data structure
consists of two main parts: estimates and contributors. The estimates are made up of
EPS and revenue forecasts across each individual contributor. The data includes the
contributors unique ID, a timestamp for which the estimates were created and the
corresponding fiscal quarter of the forecasts. Most estimates cover the current quarter
(FQ1), but the platform allows for estimates up to the fourth fiscal quarter (FQ4). Each
contributor is assigned a unique ID which makes it possible to track the accuracy for
each individual.
Figure 2 shows the percentage of estimates made within one day, one week (including
the first day), one month and one quarter before the earnings announcement. The chart
shows that 40% of the estimates are made within 24 hours of the announcement, and
the majority of the estimates are made within one week. Few estimates are made a
quarter earlier. This is quite different from IBES, where most of the estimates are
entered at least one-month in advance, lending itself more useful to longer horizon
investors.
Figure 2: Percentage of estimates made before the earnings announcement
% of estimates made before the earnings announcement
100%
80%
60%
40%
20%
0%
1 day
1 week
1 month
1 quarter
Whos contributing?
Figure 3 shows that more than two-thirds of the estimates are collected from non
financial professionals. Among the financial professionals, half are independent
researchers and the other half are split evenly between buy-side and sell-side analysts.
The sample data shows that the data covers a diverse range of investors and the
information should be complementary to the traditional institutional data sources such as
IBES.
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4 March 2014
The Quant View
Figure 3: Component of the Estimize contributors
Financial Professional
Non Professional
30%
26%
48%
26%
70%
independent research
buy side
sell side
Unfortunately, as is the case with many of the newer and unique data sources, the
history of the Estimize dataset is relatively short and coverage is less extensive than
that of traditional sell-side estimate databases such as IBES.
In this report, we focus in most part on the EPS estimates from Estimize and begin our
analysis in 2012 since much of the data prior to that is too sparse.
Figure 4 shows the number of stocks covered in the Estimize database that are
members of the Russell 3000 universe. Coverage is defined by the number of unique
tickers which have at least one estimate on some day in a current fiscal quarter during
that month; regardless of whether or not the company reports during that month.
We find a strong seasonal component in the data due to earnings seasons and the fact
that most estimates are not contributed until one week before the actual announcement
(Figure 2). In addition, stock coverage drops quickly as we increase the number of
required contributors.
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4 March 2014
The Quant View
Figure 4: Estimize coverage on the Russell 3000 universe
number of stocks covered by Estimize
1200
1000
800
>= 1 analyst
>= 3 analysts
>= 10 analysts
600
400
200
0
Figure 5 shows the median, 25th percentile, and 75th percentile of the market cap
covered by Estimize over time. The coverage consists mainly of large and midcap US
stocks and the distribution of market cap shows to be steady over the sample.
Figure 6 shows the median market cap of the stocks covered by Estimize across
different numbers of contributor (analyst) coverage. As expected, we find that larger
cap stocks which demand more attention are covered by a larger number of
contributors. This is consistent with the traditional institutional databases in that larger
cap companies will have more analyst coverage.
Figure 6: Median Market Cap of stocks covered by
Billion)
Estimize across different analyst coverage (US$ Billion)
40
16
35
14
30
Market Cap (US$ Billion)
Market Cap (US$ Billion)
Figure 5: Market Cap of stocks covered by Estimize (US$
25
20
15
10
5
0
12
10
8
6
4
2
0
25th percentile
Median
75th percentile
>= 1 analyst
>= 3 analysts
>= 10 analysts
>= 20 analysts
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4 March 2014
The Quant View
Gauging the accuracy of crowdsourcing?

Comparing estimates
The first question we must address is how it compares to traditional sell-side estimate
data covered by vendors such as IBES. Can it add value beyond these long existing sell
side analyst forecasts?
To get a sense of the accuracy, we compare the last Estimize EPS forecasts with those
from the daily IBES database for stocks that are available in both datasets. We begin by
comparing the average EPS estimates in each database with actual EPS reported on the
announcement date. Figure 7 shows that over the sample, the average estimate across
the Estimize database was closer to the reported number when compared to the IBES
average estimate. In addition, as the Estimize coverage increases, the forecast accuracy
relative to IBES also increases. EPS estimates for stocks with greater than 20 analysts
covering them in Estimize are more accurate 2/3 of the time.
Figure 7: Estimize EPS estimates all estimates vs. IBES
Estimize more accurate
IBES more accurate
>=1 analyst
>=3 analysts
>=10 analysts
43%
>=20 analysts
39%
57%
37%
35%
61%
63%
65%
However, the greater accuracy of Estimize database is in most part due to its timely
updating. Recall that most Estimize estimates are entered a few days prior to the
earnings announcement (Figure 2), while most IBES estimates are entered several
weeks in advance. For a more apples-to-apples comparison, we compare the estimates
at different horizons.
Figure 8 shows the accuracy of the average estimates at various windows before the
announcement date. The results show that one week before announcement the
accuracy across Estimize and IBES is similar. However, when looking at a one-month
window, IBES estimates tend to be more accurate than those in Estimize. This suggest
that sell-side analysts do a better job at predicting earnings over a longer window while
the more timely Estimize data tends to be more accurate within one week of the
announcement.
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4 March 2014
The Quant View
Figure 8: Estimize EPS estimates vs. IBES for longer windows

Estimize more accurate
IBES more accurate
All estimates
1 day before
1 week before
43%
1 month before
57%
46%
54%
49%
46%
51%
54%
Professionals vs. non professionals

We further compare the EPS prediction accuracy of finance professionals with nonprofessionals to see if the professionals make more accurate predictions. To our
surprise, the data shows that finance professionals slightly underperform nonprofessionals (see Figure 9); albeit the difference is too small to make any significant or
sweeping conclusions. One explanation may be that it is due to selection bias in the
Estimize database i.e. the more accurate professionals do not contribute their
estimates to the database.
We can also compare the accuracy of the estimates from non-professionals to those of
the combination of professionals and non-professionals (see Figure 10). The results show
that there is kind of diversification effect in that combining the two actually results in
better accuracy than any of two individually.
Figure 9: Finance professional vs non-professional
finance professional more accurate
non-professional more accurate
49%
Figure 10: Non-professional vs. all Estimize estimates

all Estimize more accurate
47%
51%
non-professional more accurate
53%
Buy-side vs. sell-side

Recall there is approximately the same number of estimates from buy-side and sell-side
professionals in the Estimize database (see Figure 3). We next investigate whether there
is a significant difference between these two categories in the database. Figure 11 shows
that average estimates for buy-side professions are more accurate than those from the
sell-side in the Estimize dataset. However, due to the limited sample size in the Estimize
buy side and sell side estimates (Estimize started to label the buy side and sell side
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4 March 2014
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estimates start in 2013), it may not be statistically significant to make a definite

conclusion. Similar to the results from professionals versus non-professionals above,
this result could be due to selection bias in that the more accurate sell-side analysts are
not contributing their estimates to the database. Nonetheless, Figure 12 shows that
combining the sell-side and buy-side estimates actually increases accuracy suggesting
a sort of diversification benefit from including both types of professionals in the
Estimize database.
Figure 11: Comparing buy side and sell side in Estimize
buy side more accurate
sell side more accurate
Figure 12: Sell side add value to buy side estimates

buy side more accurate
44%
buy side + sell side more accurate
49%
56%
51%
Figure 13 further compares the difference between Estimize sell side and the IBES sell
side. The results show that IBES sell-side estimates are more accurate than those from
Estimize, which lends some credence to our hypothesis that Estimize sell-side data may
have a level of selection bias. In Figure 14, the performance for IBES sell side compared
with buy side estimates are similar as the sell side compared with buy side in Figure 11.
This is as we expected, since IBES are mostly sell side analysts estimates, so they
should have some similarity with the sell side estimates from Estimize.
Figure 13: IBES compared with sell side from Estimize
IBES more accurate
sell side from Estimize more accurate
Figure 14: IBES compared with buy side from Estimize

buyside more accurate
IBES more accurate
42%
46%
54%
58%
Post earnings announcement surprise

Post earnings drift is the return following an earnings announcement that is attributable
to surprise. Typically, companies who beat earnings consensus tend to outperform the
market over subsequent trading while stocks that miss expectations tend to
underperform the market.
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4 March 2014
The Quant View
To analyze the post earnings drift in both the IBES and Estimize datasets we use an
event study. The day one return of the post earnings announcement is calculated using
the open to close price if the earnings was announce before the market opens; and use
next day open to close if the earnings was announce after the market close. The
following days returns are all calculated using close to close price returns. The S&P
500 total return index is used as the market return
Figure 15 and Figure 16 show the average excess return to the market for earnings
surprises greater than 10% for both Estimize and IBES estimates. In both cases the
more timely Estimize estimates shows bigger post announcement drift for both beats
and misses. However, in both cases, the cumulative excess return flattens out quickly
after the a few days, due to market efficiency.
Figure 15: Cumulative excess return when estimates beat
Figure 16: Cumulative excess return when estimates
earnings by more over 10%
miss earnings by more than 10%

day 0
0.0%
0.6%
0.5%
0.4%
0.3%
0.2%
EPS beats Estimize
0.1%
0.0%
day 0
EPS beats IBES

days 1
days 2
days 3
days_4
days 5
Excess return when miss earnings
Excess return when beat earnings
0.7%
days 1
days 2
-0.1%
days 3
days_4
days 5
EPS misses Estimize

EPS misses IBES
-0.2%
-0.3%
-0.4%
-0.5%
-0.6%
-0.7%
-0.8%
Portfolios based on more accurate earnings estimates

Based on the event study from previous session, we would like to examine the
performance of a portfolio based on the same logic: long stocks that beat consensus
and short the stocks that miss.
As we already saw in Figure 15 and Figure 16, the earnings drift occurs mostly during
the first day of trading after the announcement. For simplicity and illustrative purposes,
we construct this portfolio with a one-day holding period, using the open price to close
price (because the earnings announcements almost always occurs after the market
close). We use SP 500 to hedge when there is no holding in one of the two legs. We
call this the Estimize earnings surprise strategy.
Turnover for this strategy is high because the portfolio changes nearly every time it is
traded. Figure 17 shows the wealth curve for this strategy under different levels of
transaction cost. Naturally, the performance drops quickly as we increase transaction
costs. However, even when transaction costs are 15 bps, the net performance is still
attractive.
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4 March 2014
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Figure 17: Wealth curve for different transaction cost of the Estimize earnings surprise strategy
5.0
Wealth Curve for different transaction cost
4.5
4.0
5 bps
10 bps
15 bps
3.5
3.0
2.5
2.0
1.5
1.0
0.5
0.0
We compared the same strategy based on the same earnings surprise measure using
the IBES estimates. Figure 18 show the annualized returns and Figure 19 shows the
Sharpe ratio of the two strategies under different transaction costs. For both strategies,
the performance decreases quickly as transaction costs increase. When transaction
cost increases to 10 bps per trade, the performance of the IBES earning surprise
strategy is nearly zero, and it turns negative once we have t-costs increased to 15bps.
In contrast, the Estimize earnings surprise strategy, shows an annualized return of 12%
under the 15bps t-cost scenario.
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4 March 2014
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Figure 18: Annualized return for the earnings surprise
Figure 19: Sharpe ratio for the earnings surprise strategy
strategy for Estimize and IBES with different cost
for Estimize and IBES with different cost

2.5
120%
Estimize
100%
IBES
Estimize
2.0
IBES
1.5
80%
Sharpe ratio
Annualized return
140%
60%
40%
20%
1.0
0.5
0.0
0%
-0.5
-20%
-40%
-1.0
5 bps
10 bps
15 bps
5 bps
10 bps
15 bps
In conclusion we found multiple benefits to using the Estimize dataset; especially in the
case of short-term applications in which accuracy is essential. Another interesting
byproduct of the analysis was the power of crowdsourcing. We found that some of the
value-added in the Estimize dataset was due to the wisdom of crowds effect as more
predictions give way to greater accuracy. Moreover, the diversity of the contributors
provides a greater spectrum of information which can potentially improve investment
strategies based on estimates.
We should also be aware of the potential issues with the Estimize dataset. The main
issue rests on the thin coverage and the short-term nature of the forecasts; especially
when compared to commonly used sell-side estimates data. Also, the short history will
pose a problem when trying to analyze the data across different market and economic
environments.
Please contact us DBEQS.Americas@db.com for more details of the Estimize dataset.
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Macro update
Turning our attention to the bigger picture, we also take the opportunity to update our
favorite top-down market indicators.
Our favorite market timing indicator
Our Variance Risk Premium (VRP) indicator is a contrarian indicator that measures
market overreaction and underreaction to realized risk. In simple terms, VRP is the
difference between options-implied risk (i.e. the VIX index) and realized risk (i.e. the
actual risk in the market measured historically over the last month). If VRP is high, we
see this as a buying opportunity for risky assets, like equities and high yield bonds.
Why? The intuition is as follows. When VRP is high, VIX has typically shot up
dramatically (i.e. the market is in panic mode). At the same time, realized risk has
probably also risen, but not to the same extent. In other words, the market has
overreacted relative to what the actual, realized data is telling us. Our research shows
that such episodes are good buying opportunities for risky assets on about a three
month horizon. On the other hand, when VRP is low, it tends to be a complacency
indicator: investors are failing to price in rising realized risk in the market, and as a
result we should be selling risky assets like equities.
Our Variance Risk Premium (VRP) indicator is a contrarian indicator that measures
market overreaction and underreaction to realized risk. Today our VRP indicator is
reading 9.1, compared to a long-term average of 14.2. Generally we pay attention to the
VRP when it hits extreme levels (like +/- 2 standard deviations).
Figure 21: Recent VRP (lagged) and market returns
150
100
0
-50
-100
-150
-200
VRP
Source: Deutsche Bank
High VRP = Buy Risky Assets
100
80
60
40
20
0
-20
-40
Low VRP = Sell Risky Assets
-60
Feb-14
Apr-11
-250
Sep-12
Nov-09
Jan-07
Jun-08
Aug-05
Oct-02
S&P 500 Index
Mar-04
May-01
Jul-98
Dec-99
Feb-97
Apr-94
Sep-95
Nov-92
Jan-90
Low VRP = Sell Risky Assets (e.g. Equities)
VRP
50
12%
10%
8%
6%
4%
2%
0%
-2%
-4%
-6%
-8%
-10%
VRP
200
High VRP = Buy Risky Assets (e.g. Equities)
S&P 500 Monthly Return
2000
1800
1600
1400
1200
1000
800
600
400
200
0
Jun-91
S&P 500
Figure 20: Variance Risk Premium (VRP)
S&P 500 Return
VRP (lagged 1M)
Source: Deutsche Bank
The opportunity set for investors

Another metric we keep a close eye on is the so-called opportunity set for investors.
Think of this as the total alpha on the table. Our main interest is to understand what is
driving that opportunity, because this can allow us to position our strategies to pick in
the orchard with the juiciest fruit. In Figure 22 we show the opportunity set for global
equity investors, and in Figure 23 we show the same thing for emerging market equity
investors.
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Figure 22: Global opportunity set
Figure 23: Emerging markets opportunity set
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
Stock-Specific
Global
Style
Industry
Country
Currency
Stock-Specific
Source: Bloomberg Finance LP, Compustat, IBES, MSCI, Russell, S&P, Thomson Reuters, Worldscope,
Deutsche Bank
EM Global
Style
Industry
Country
Currency
Deutsche Bank
The key result is the size of the blue portion relative to the other colors. The blue
represents the opportunity explained by stock selection, whereas we can think of the
other colors as representing the opportunity from top-down calls like picking the right
countries, industries, and styles. When the financial crisis exploded in 2008, we moved
into a much more macro-dominated world. As a result, the portion of overall
opportunity that could be explained by individual company characteristics (e.g.
valuation, growth profile, earnings quality, etc.) shrunk sharply; no one cared if a stock
looked good on fundamentals if it was exposed to Europe for example. Needless to say,
such an environment was challenging for quants and non-quants alike, since both
camps tend to use stock specific information to differentiate between stocks.
The small cap opportunity set
We think of the opportunity set as the total available alpha on the table. Our main
interest is to understand what is driving that opportunity, because this can allow us to
position our strategies to pick in the orchard with the juiciest fruit. In Figure 24 we
show the opportunity set for the large cap universe, and in Figure 25 we show the
opportunity set for the small cap universe.
Figure 24: Large cap opportunity set
Figure 25: Small cap opportunity set

100%
Relative OS (12M Avg)
80%
60%
40%
20%
0%
80%
60%
Stock selection
opportunity set is
greater for small
cap stocks
40%
20%
Stock-Specific
Style
Industry
Deutsche Bank
Stock-Specific
Style
Feb-14
Feb-13
Feb-12
Feb-11
Feb-10
Feb-09
Feb-08
Feb-07
Feb-06
Feb-05
Feb-04
Feb-03
Feb-02
Feb-01
Feb-14
Feb-13
Feb-12
Feb-11
Feb-10
Feb-09
Feb-08
Feb-07
Feb-06
Feb-05
Feb-04
Feb-03
Feb-02
Feb-01
Feb-00
0%
Feb-00
Relative OS (12M Avg)
100%
Industry
Deutsche Bank
Both charts actually tell a similar story. The key result is the size of the blue portion
relative to the other colors. The blue represents the opportunity explained by stock
selection, whereas we can think of the other colors as representing the opportunity
from top-down calls like picking industries and styles. When the financial crisis
exploded in 2008, we moved into a much more macro-dominated world. As a result,
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The Quant View
the portion of overall opportunity that could be explained by individual company

characteristics (e.g., valuation, growth profile, earnings quality, etc.) shrunk sharply; no
one cared if a stock looked good on fundamentals if it was exposed to Europe for
example. Needless to say, such an environment was challenging for quants and nonquants alike, since both camps tend to use stock specific information to differentiate
between stocks.
However, the good news is that both charts show that bottom-up stock picking is
making a strong comeback. The blue area in both charts has reached levels last seen in
2007. The crucial observation is that the relative opportunity coming from stock
selection is higher for small cap stocks. In other words, this universe is particularly
fruitful for managers with skill in picking individual stocks. Note that the relative
opportunity set has remained relatively steady during the past month for small caps.
Valuation spreads
Similar to the opportunity set, valuation spreads allow investors to gauge the level of
stock selection opportunity in the market. Widening valuation spreads typically indicate
more stock-level differentiation and therefore a better environment for stock selection.
On the other hand, narrowing valuation spreads are indicative of lower levels of stock
differentiation. Figure 26 and Figure 27 show the median, 25th percentile, and 75th
percentile of trailing price to earnings for the Russell 1000 and 2000 index constituents.
Interestingly, we see that valuation spreads are wider on a more consistent basis for
small cap stocks. This reinforces the earlier evidence we saw in the opportunity set; the
small cap space is rich with opportunity for skilled stock pickers.
Figure 26: Large cap valuation spreads
Figure 27: Small caps valuation spreads

50x
45x
Valuation spreads tend to be

narrower on a more consistent basis
40x
35x
30x
25x
20x
15x
10x
Trailing 12 Month P/E Spread
Trailing 12 Month P/E Spread
50x
45x
Valuation spreads tend to be

wider on a more consistent basis
40x
35x
30x
25x
20x
15x
10x
5x
5x
25th Percentile
Median
75th Percentile
Deutsche Bank
25th Percentile
Median
75th Percentile
Deutsche Bank
Keeping an eye on correlations

Closely related to the opportunity set and valuation spreads is the median pairwise
correlation among stocks in the market. This is calculated by taking every possible pair
of stocks, and computing the correlation of their monthly returns based on the past 24
months of data, and then taking the median across all the pairs. Figure 28 shows the
median pairwise correlation for large caps. While it has come down from the peak in
the financial crisis, it is still relatively high compared to its long-term average, so
investors are not yet completely out of the woods. Interestingly, in general median
pairwise correlations for small cap stocks (Figure 29) tend to be lower when compared
to large cap stocks. This tells us that small cap names tend to trade more on their own
merits, rather than being driven by common factors.
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Figure 28: Median pairwise correlation for large caps
Figure 29: Median pairwise correlation for small caps

70%
70%
60%
Pairwise Correlation
50%
Median pairwise
correlations tend to
be higher
40%
30%
20%
10%
50%
30%
20%
10%
-10%
25th Percentile
Median
75th Percentile
Jan-90
Jan-91
Jan-92
Jan-93
Jan-94
Jan-95
Jan-96
Jan-97
Jan-98
Jan-99
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
Jan-12
Jan-13
Jan-14
0%
-10%
Deutsche Bank
Median pairwise
correlations tend
to be lower
40%
0%
Jan-90
Jan-91
Jan-92
Jan-93
Jan-94
Jan-95
Jan-96
Jan-97
Jan-98
Jan-99
Jan-00
Jan-01
Jan-02
Jan-03
Jan-04
Jan-05
Jan-06
Jan-07
Jan-08
Jan-09
Jan-10
Jan-11
Jan-12
Jan-13
Jan-14
Pairwise Correlation
60%
25th Percentile
Median
75th Percentile
Deutsche Bank
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The DB Quant Dashboard

Which styles have been working around the world?
The DB Quant Dashboard is an easy-to-use cheat sheet that shows which styles have
been working in key markets around the world. We track cumulative factor
performance year-to-date, and highlight what we think are the noteworthy observations
in each region. For those who prefer the previous tabular format (which includes more
factors), you can find those results in the Appendix.
For more details see our website
For the most recent daily factor performance, as well as factor performance delineated
by different universes (e.g., large cap, small cap) and regions, please see our Global
Quantitative Strategy website at https://eqindex.db.com/gqs/. Note that you need a
username and password to log on to this website. If you dont have login details, please
contact us at DBEQS.Americas@db.com and wed be happy to set you up.
Figure 30: United States Large Cap (Russell 1000): YTD
Figure 31: United States Small Caps (Russell 2000): YTD
cumulative factor performance (Q10-Q1 return spread)
cumulative factor performance (Q10-Q1 return spread)
1.05
1.10
1.05
1.00
1.00
0.95
0.95
0.90
0.90
0.85
0.85
0.80
31-Dec 5-Jan 10-Jan 15-Jan 20-Jan 25-Jan 30-Jan 4-Feb 9-Feb 14-Feb 19-Feb 24-Feb
Dividend Yield
1M Reversal
Low Volatility
Earnings Yield
EPS Growth
3M Earnings Revisions
12M-1M Momentum
ROE
Deutsche Bank
Page 16
0.80
Dividend Yield
1M Reversal
Low Volatility
Earnings Yield
EPS Growth
12M-1M Momentum
ROE
Deutsche Bank
4 March 2014
The Quant View
Figure 32: United Kingdom: YTD cumulative factor
Figure 33: Europe ex UK: YTD cumulative factor
performance (Q10-Q1 return spread, local currency)
1.15
1.10
1.10
1.05
1.05
1.00
1.00
0.95
0.95
0.90
0.90
0.85
0.85
0.80
0.80
Dividend Yield
Earnings Yield
12M-1M Momentum
1M Reversal
EPS Growth
ROE
Low Volatility
Deutsche Bank
0.75
Dividend Yield
1M Reversal
Low Volatility
Earnings Yield
EPS Growth
12M-1M Momentum
ROE
Deutsche Bank
Figure 34: Japan: YTD cumulative factor performance

(Q10-Q1 return spread, local currency)
Figure 35: Asia ex Japan: YTD cumulative factor

1.15
1.10
1.10
1.05
1.05
1.00
1.00
0.95
0.95
0.90
0.90
0.85
0.80
Dividend Yield
1M Reversal
Low Volatility
Earnings Yield
EPS Growth
12M-1M Momentum
ROE
Deutsche Bank
0.85
Dividend Yield
1M Reversal
Low Volatility
Earnings Yield
EPS Growth
12M-1M Momentum
ROE
Deutsche Bank
Page 17
4 March 2014
The Quant View
Figure 36: Australia/New Zealand: YTD cumulative factor
Figure 37: Canada: YTD cumulative factor performance
(Q10-Q1 return spread, local currency)
1.10
1.10
1.05
1.05
1.00
0.95
1.00
0.90
0.95
0.85
0.80
0.90
0.75
0.70
0.85
0.65
0.80
Dividend Yield
Earnings Yield
12M-1M Momentum
1M Reversal
EPS Growth
ROE
Low Volatility
Deutsche Bank
0.60
Dividend Yield
1M Reversal
Low Volatility
Earnings Yield
EPS Growth
12M-1M Momentum
ROE
Deutsche Bank
Figure 38: Emerging Markets: YTD cumulative factor

Figure 39: Developed Markets: YTD cumulative factor

1.08
1.04
1.06
1.02
1.04
1.00
1.02
0.98
1.00
0.96
0.98
0.94
0.96
0.94
0.92
0.92
0.90
0.90
0.88
0.88
0.86
Dividend Yield
1M Reversal
Low Volatility
Earnings Yield
EPS Growth
12M-1M Momentum
ROE
Deutsche Bank
Page 18
Dividend Yield
1M Reversal
Low Volatility
Earnings Yield
EPS Growth
12M-1M Momentum
ROE
Deutsche Bank
4 March 2014
The Quant View
Bottom-up stock selection

QCD U.S. stock selection model
The QCD model is our flagship stock selection model for U.S. equities.
The model incorporates a number of unique features including dynamic factor

selection, a non-linear TREE component, and active style and sector rotation.
For complete details on the model, please see Luo et al., QCD Model: DB
Quant Handbook, 22 July 2010.
Current stock recommendations

Figure 40 shows the best 20 buy ideas and sell ideas from todays model. Note that a
complete ranking for all Russell 3000 stocks is available in spreadsheet format. If you
would like to get a copy of the spreadsheet, please contact us at
DBEQS.Americas@db.com.
Figure 40: Current QCD model stock recommendations
BEST BUY IDEAS (SECTOR NEUTRAL)
Ticker
DOW
FOE
FDML
GNTX
VZ
ALJ
INT
AFFX
MRC
T
TEX
NYLD
PKI
KMB
DYN
CNSI
CL
TTWO
ETFC
PZN
Name
DOW CHEMICAL
FERRO CORP
FEDERAL-MOGUL CORP
GENTEX CORP
VERIZON COMMUNICATIONS INC
ALON USA ENERGY INC
WORLD FUEL SERVICES CORP
AFFYMETRIX INC
MRC GLOBAL INC
AT&T INC
TEREX CORP
NRG YIELD INC
PERKINELMER INC
KIMBERLY-CLARK CORP
DYNEGY INC
COMVERSE INC
COLGATE-PALMOLIVE CO
TAKE-TWO INTERACTIVE SFTWR
E TRADE FINANCIAL CORP
PZENA INVESTMENT MANAGEMENT
BEST SELL IDEAS (SECTOR NEUTRAL)

CUSIP
260543103
315405100
313549404
371901109
92343V104
20520102
981475106
00826T108
55345K103
00206R102
880779103
62942X108
714046109
494368103
26817R108
20585P105
194162103
874054109
269246401
74731Q103
GICS Sector
Materials
Materials
Consumer Discretionary
Telecommunication Services
Energy
Energy
Health Care
Industrials
Industrials
Utilities
Health Care
Consumer Staples
Utilities
Information Technology
Consumer Staples
Financials
Financials
QCD Score
(higher is better long)
15.4%
14.4%
12.5%
12.3%
12.2%
11.8%
10.5%
10.4%
10.0%
9.9%
9.4%
9.3%
9.0%
8.7%
8.2%
7.7%
7.6%
7.0%
6.2%
5.5%
Ticker
BODY
UNXL
NSM
TWGP
ACFN
PSMI
WTSL
BIOL
FCSC
ACTG
KIOR
FWM
VLGEA
AMRS
MCP
ANV
NIHD
IRDM
WGL
SJW
Name
CUSIP
BODY CENTRAL CORP
09689U102
UNI-PIXEL INC
904572203
NATIONSTAR MORTGAGE HOLDINGS63861C109
TOWER GROUP INTL LTD
G8988C105
ACORN ENERGY INC
4848107
PEREGRINE SEMICONDUCTOR CORP71366R703
WET SEAL INC
961840105
BIOLASE INC
90911108
FIBROCELL SCIENCE INC
315721209
ACACIA RESEARCH CORP
3881307
KIOR INC
497217109
FAIRWAY GROUP HOLDINGS
30603D109
VILLAGE SUPER MARKET -CL A
927107409
AMYRIS INC
03236M101
MOLYCORP INC
608753109
ALLIED NEVADA GOLD CORP
19344100
NII HOLDINGS INC
62913F201
IRIDIUM COMMUNICATIONS INC 46269C102
WGL HOLDINGS INC
92924F106
SJW CORP
784305104
GICS Sector
Financials
Financials
Industrials
Health Care
Health Care
Industrials
Energy
Consumer Staples
Consumer Staples
Energy
Materials
Materials
Utilities
Utilities
QCD Score
(lower is better short)
-24.0%
-21.9%
-21.9%
-21.7%
-21.6%
-19.6%
-18.8%
-17.3%
-17.0%
-16.7%
-15.4%
-14.9%
-12.9%
-10.7%
-9.1%
-8.4%
-8.2%
-6.9%
-3.5%
-2.1%
Source: Bloomberg Finance LP, Compustat, IBES, MSCI, Russell, S&P, Thomson Reuters, Worldscope, Deutsche Bank
Current sector recommendations

The QCD model also implicitly makes sector predictions. Figure 41 shows the current
ranking of the 10 GICS Level 1 Sectors, ranked from best (most likely to outperform this
month) to worse (least likely to outperform). The bars show the key drivers for each call.
Page 19
4 March 2014
The Quant View
Figure 41: Current QCD sector recommendations

1.0
Expected Return (%)
0.8
0.6
0.4
0.2
0.0
(0.2)
(0.4)
(0.6)
(0.8)
(1.0)
(1.2)
Industrials
Health Care
Value
Materials
Growth
Energy
Momentum
Telecom.
Sentiment
Utilities
Quality
Info. Tech.
Technical
Cons. Staples
Industry
Tree
Financials
Cons. Discr.
QCD
Model performance
The QCD model has performed well since inception. Figure 42 shows the pure signal
performance, measured as a monthly sector-neutral rank information coefficient (IC).
Figure 43 shows the performance of an actual model portfolio, after costs, based on a
realistically optimized market-neutral strategy.
Figure 43: Model portfolio active return, after costs
40.0
8.0
30.0
6.0
20.0
Active Return
Sector-Neutral Rank IC
Figure 42: Model performance, sector-neutral rank IC
10.0
0.0
(10.0)
4.0
2.0
0.0
(20.0)
(2.0)
(30.0)
(4.0)
Sector-Neutral Rank IC
12M Avg
Deutsche Bank
Active Return
12M Avg
Deutsche Bank
Figure 44 shows the cumulative performance of the optimized strategy, and Figure 45
shows the annualized Sharpe ratio (after costs) by calendar year.
Page 20
4 March 2014
The Quant View
Figure 44: Model portfolio cumulative, after costs
Figure 45: Annualized Sharpe ratio, after costs
1400
7.0
1200
6.0
5.0
800
600
400
200
0
Sharpe Ratio
1000
4.0
3.0
2.0
1.0
0.0
(1.0)
(2.0)
Deutsche Bank
Deutsche Bank
Page 21
4 March 2014
The Quant View
N-LASR global stock selection model
The N-LASR model is our flagship stock selection model for global equities.
The model is based on a machine learning algorithm called AdaBoost, and is

designed to adaptively learn which factors to use, often in a non-linear way.
For complete details on the model, please see Wang et al., Signal Processing:
The Rise of the Machines, 5 June 2012.
Current stock recommendations

Figure 46 shows the best 20 buy ideas and sell ideas from todays model. Note that a
complete ranking for all global stocks is available in spreadsheet format. If you would
like to get a copy of the spreadsheet, please contact us at DBEQS.Americas@db.com.
Figure 46: Current N-LASR model stock recommendations
BEST BUY IDEAS
Ticker
1928 HK
SAF FP
PPG
009240 KS
PTTGC TB
TNB MK
AAD GY
STX
JAS TB
9433 JT
PNR
MTN SJ
TEL
LPC IB
HNL.
MDC SJ
WDC
OCE SJ
7278 JT
CAI IM
BEST SELL IDEAS
Name
Sands China Ltd.
Safran SA
PPG INDUSTRIES INC
Hanssem Co Ltd
PTT Global Chemical PCL
Tenaga Nasional Bhd
Amadeus Fire AG
SEAGATE TECHNOLOGY PLC
Jasmine International PCL
KDDI Corp
PENTAIR LTD
MTN Group Ltd
TE CONNECTIVITY LTD
Lupin Ltd
HORIZON NORTH LOGISTICS INC
Mediclinic International Ltd
WESTERN DIGITAL CORP
Oceana Group Ltd
Exedy Corp
Cairo Communication SpA
SEDOL
B5B23W
B058TZ
2698470
653668
B67QFW
690461
562366
B58JVZ5
B9GHRJ
624899
B8DTTS0
656320
B62B7C3
614376
B16TCX4
B0PGJF
2954699
665706
625041
410351
N-LASR Score
(higher is better long)
3.09
2.65
2.53
2.49
2.44
2.41
2.39
2.38
2.31
2.28
2.27
2.26
2.25
2.23
2.23
2.23
2.21
2.21
2.17
2.16
County
Hong Kong
France
USA
Korea
Thailand
Malaysia
Germany
USA
Thailand
Japan
USA
South Africa
USA
India
Canada
South Africa
USA
South Africa
Japan
Italy
Ticker
005690 KS
064260 KS
1903 TT
4100 JT
094190 KS
INL IB
8270 HK
049550 KS
276 HK
1919 JT
LIGO SP
VVUS
025560 KS
GARAN TI
MFRISCOA MM
SRPT
BTX
3436 JT
SOCOVESA CI
JOE
Name
Pharmicell Co Ltd
Danal Co
Shihlin Paper Corp
Toda Kogyo Corp
ELK Corp/Korea
Indian Infotech & Software Ltd
China Leason CBM Group Co Ltd
InkTec Co Ltd
Mongolia Energy Corporation Ltd.
Yamada SxL Home Co Ltd
Lion Gold Corp Ltd
VIVUS INC
Mirae Co
Turkiye Garanti Bankasi
Minera Frisco SAB de CV
SAREPTA THERAPEUTICS INC
BIOTIME INC
Sumco Corp
Socovesa SA
ST JOE CO
SEDOL
County
698839 Korea
B01RWL
Korea
680453
Taiwan
689350
Japan
B28VMK Korea
B7F28W
India
B6WVCM China
651112
Korea
B02L83
Hong Kong
649615
Japan
B6SZHB
Singapore
2934657
USA
610618
Korea
B03MYP
Turkey
B3QHKH Mexico
B8DPDT7 USA
2092221
USA
B0M0C8
Japan
B284N3
Chile
2768663
USA
N-LASR Score
(lower is better short)
-2.43
-2.37
-2.29
-2.25
-2.24
-2.23
-2.22
-2.21
-2.21
-2.21
-2.20
-2.17
-2.16
-2.16
-2.16
-2.16
-2.16
-2.15
-2.15
-2.13
Model performance
The N-LASR model has performed well since inception. Figure 47 shows the average
pure signal performance, measured as a monthly rank information coefficient (IC), in
different regions. Figure 48 shows the performance of a global model portfolio, after
costs, based on a realistically optimized market-neutral strategy.
Figure 48: Global portfolio active return, after costs
18.0
8.0
16.0
6.0
14.0
Active Return
Average Rank IC (%)
Figure 47: Regional model performance, average rank IC
12.0
10.0
8.0
6.0
4.0
2.0
0.0
(2.0)
(4.0)
2.0
(6.0)
0.0
US
EU ex Asia ex Japan
UK
Japan
Long-Term Average Rank IC
EM
Canada
UK
Aus/NZ Global
12M Average Rank IC
Deutsche Bank
Page 22
4.0
Active Return
12M Avg
Deutsche Bank
4 March 2014
The Quant View
Figure 49 shows the cumulative performance of the optimized strategy, and Figure 50
shows the annualized Sharpe ratio (after costs) by calendar year.
Figure 49: Global portfolio cumulative, after costs
1600
1400
Figure 50: Annualized Sharpe ratio, after costs

12.0
10.0
1000
800
600
400
200
Sharpe Ratio
1200
8.0
6.0
4.0
2.0
0.0
Deutsche Bank
Deutsche Bank
Page 23
4 March 2014
The Quant View
Top-down country rotation

CCRM country rotation model
Our Composite Country Rotation Model (CCRM) uses three sets of inputs to
dynamically rotate between countries in the MSCI All Country World Index.
The inputs include top-down macro signals (e.g. VRP, Kellys Tail Risk),
aggregate bottom-up fundamental signals (e.g. country-level valuation and
momentum), and lead-lag signals based on economic trade linkages.
For complete details on the model, please see Luo et al., Signal Processing:
New Insights in Country Rotation, 9 February 2012.
Current recommendations
Figure 51 and Figure 52 show the top and bottom third of countries, as ranked currently
by our CCRM model. The bars show what is driving these calls.
Figure 51: Top tercile countries
Figure 52: Bottom tercile countries
5.0
4.0
3.0
2.0
1.0
0.0
(1.0)
(2.0)
(3.0)
(4.0)
2.0
1.0
0.0
(1.0)
(2.0)
(3.0)
(4.0)
(5.0)
(6.0)
Kelly
VRP
MCRM
Momentum
Valuation
Sentiment
CCRM
Kelly
Deutsche Bank
VRP
MCRM
Momentum
Valuation
Sentiment
CCRM
Deutsche Bank
Model performance
Figure 53 and Figure 54 show the performance of the model over time.
Figure 53: Long/short quantile portfolio return
Figure 54: Model performance with rank IC

Composite CRM, equally w eighted six-factor model
10
80
40
(%)
(%)
Composite CRM, equally w eighted six-factor model
-5
-40
Avg = 1.06%
Std. Dev. = 3.19%
Min = -9.51%
Avg/Std. Dev.= 0.33
-10
03 04
05
06
-80
07
08
09
10
11
12
13
14
Long/short quantile portfolio return (%), Ascending order

12-month moving average
Deutsche Bank
Page 24
Avg = 9.34%
Std. Dev. = 28.59%
Min = -61.36%
Avg/Std. Dev.= 0.33
03 04
05
06
07
08
09
10
11
12
13
14
Pearson IC (%), Ascending order

Deutsche Bank
4 March 2014
The Quant View
Top-down asset allocation

Quant Tactical Asset Allocation (QTAA) model
Our Quantitative Tactical Asset Allocation (QTAA) model uses a model-ofmodels methodology to rotate between six asset classes.
The model uses a wide range of fundamental and market-based factors as

inputs, and dynamically selects a subset of those factors to use at each point in
time.
Quant Tactical Asset Allocation, 19 September 2011.
Current recommendations and performance

Figure 55 shows the current ranking of our six asset classes, ranked from best to worse
in terms of month-ahead forecast returns. Figure 56 shows the monthly performance of
the QTAA model over time.
Figure 55: Current QTAA forecasts
Figure 56: Performance of QTAA model

Cross sectional IC (%)
Crude Oil
100
Equity (S&P 500)

50
(%)
High Yield (DB USD High Yield)

Commodities (S&P GSCI)
Bond (DB USD Agg. Bond)
-50
Gold
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
-100
Avg = 6.04%
Std. Dev. = 60.35%
Min = -95.54%
Avg/Std. Dev.= 0.1
05
06
07
08
09
10
11
12
13
14
Forecast Return (%)

Model 10
Deutsche Bank
Deutsche Bank
Page 25
4 March 2014
The Quant View
Top-down style rotation

Style rotation model
Our Style Rotation model dynamically rotates between 12 typical quant

factors.
The model uses market-based and macroeconomic inputs to predict monthahead factor returns using a backwards stepwise linear regression model.
Style Rotation, 7 September 2010.
Current recommendations and performance

Figure 57 shows the current ranking of our 12 factors, ranked from best to worse in
terms of month-ahead forecast performance. Figure 58 shows the monthly
performance of the Style Rotation model over time.
Figure 57: Current style rotation forecasts
Figure 58: Performance of style rotation model

Linear regression model
Price to Book [Descending]

Long-Term Debt/Equity [Ascending]
Net Ext. Financing/NOA [Descending]
CAPM Idio. Vol [Descending]
12M-1M Momentum [Ascending]
Accruals [Descending]
IBES 5Y EPS growth [Ascending]
Sales to Total Assets [Ascending]
Lottery Factor [Descending]
Earnings Yield [Ascending]
3M EPS Revision [Ascending]
Size [Ascending]
(4.0)
100
(%)
50
-50
-100
(2.0)
0.0
2.0
Forecast IC (%)
4.0
6.0
Avg = 12.79%
Std. Dev. = 45.19%
Min = -89.51%
Avg/Std. Dev.= 0.28
2000
2002
Style IC
Deutsche Bank
Page 26
2004
2006
2008
2010
2012
2014
Deutsche Bank
4 March 2014
The Quant View
Appendix A: Factor performance

Figure 59: US factor performance, measured as rank IC (Russell 3000 universe)
Since Inception
# of
Avg # of
Hit
Serial
# of Stocks
Current
Last M
12M Avg
3Y Avg
Avg
Std Dev
Std Dev
Max
Min
p-value 2
Months
Stocks
Rate (%)
Corr (%)3
Ascending
Ascending
Descending
Ascending
Ascending
Ascending
Ascending
Ascending
Ascending
Ascending
Ascending
Ascending
Descending
Descending
Ascending
Descending
2,971
2,971
2,309
2,933
2,689
2,673
1,627
2,933
2,394
2,971
1,583
2,840
2,895
2,854
2,942
2,606
(6.29)
(6.84)
(0.56)
(4.97)
(2.85)
(2.24)
4.18
(4.27)
(3.03)
(2.92)
(2.76)
(1.77)
0.05
(4.30)
(3.69)
(1.15)
(2.56)
(2.38)
2.00
1.62
2.33
2.23
2.45
1.88
(0.06)
1.69
1.85
3.83
2.01
(2.52)
1.57
0.11
1.69
1.94
1.54
3.64
3.06
2.08
1.32
3.18
0.37
2.42
0.19
3.97
1.15
(1.09)
2.14
(0.65)
2.75
3.00
2.76
4.72
4.34
3.83
1.82
4.23
1.56
4.02
2.70
4.83
1.81
0.74
4.08
0.47
14.34
14.86
10.32
12.92
12.25
11.86
10.39
8.34
6.81
10.81
17.40
7.89
10.93
10.59
9.67
8.66
0.19
0.20
0.27
0.37
0.35
0.32
0.18
0.51
0.23
0.37
0.16
0.61
0.17
0.07
0.42
0.05
42.59
44.46
30.82
47.24
48.88
47.02
41.11
28.96
20.73
47.14
66.06
31.93
30.02
26.28
39.32
22.50
(33.26)
(33.89)
(32.28)
(33.30)
(34.61)
(34.31)
(26.63)
(14.90)
(18.74)
(32.67)
(54.29)
(22.64)
(41.46)
(35.75)
(27.15)
(33.21)
0.00
0.00
0.00
0.00
0.00
0.00
0.01
0.00
0.01
0.00
0.01
0.00
0.00
0.22
0.00
0.34
314
314
238
238
314
314
238
238
144
314
284
277
314
314
314
314
2,875
2,875
2,354
2,874
2,543
2,444
1,916
2,872
2,035
2,875
779
2,519
2,800
2,765
2,822
2,437
54.14
53.50
59.24
61.76
62.42
63.38
59.24
68.49
60.42
64.65
57.75
74.73
57.01
48.73
67.52
49.04
99.08
99.30
95.15
96.39
94.99
94.38
93.41
95.97
96.95
96.01
95.46
94.66
99.06
97.52
95.47
95.65
2. Growth
17 Hist 5Y operating EPS growth
18 Hist 5Y operating EPS acceleration
19 IBES 5Y EPS growth
20 IBES 5Y EPS growth/stability
21 IBES LTG EPS mean
22 IBES FY2 mean DPS growth
23 IBES FY1 mean EPS growth
24 Year-over-year quarterly EPS growth
25 IBES FY1 mean CFPS growth
26 IBES SUE, amortized
Descending
Ascending
Ascending
Ascending
Descending
Ascending
Ascending
Ascending
Descending
Ascending
2,841
2,841
2,391
2,391
1,882
2,110
2,627
2,949
1,118
2,526
5.11
(5.42)
4.95
1.96
(2.67)
(1.47)
2.64
3.23
(4.72)
2.88
1.60
(0.13)
2.89
3.01
(2.53)
0.04
1.98
1.75
(1.88)
2.01
3.07
0.59
2.51
2.64
(0.55)
1.59
1.35
2.60
(1.00)
1.77
1.10
0.79
0.98
1.39
1.57
0.84
1.08
2.52
0.35
0.82
8.59
6.59
8.04
7.64
15.69
8.46
7.41
6.95
11.05
6.41
0.13
0.12
0.12
0.18
0.10
0.10
0.15
0.36
0.03
0.13
30.58
25.31
21.65
20.64
37.64
24.12
20.76
23.85
38.08
20.62
(22.70)
(16.13)
(27.86)
(19.20)
(52.38)
(21.96)
(24.42)
(21.12)
(42.07)
(16.30)
0.06
0.07
0.03
0.00
0.08
0.24
0.01
0.00
0.62
0.04
226
226
314
314
314
141
314
238
241
253
2,736
2,736
2,300
2,300
2,145
1,520
2,521
2,879
550
1,128
53.54
53.98
54.78
57.32
49.36
50.35
61.78
66.39
50.21
54.55
97.33
94.84
98.25
98.60
97.70
87.33
88.93
81.54
92.74
73.90
3. Price Momentum and Reversal

27 Total return, 1D
28 Total return, 21D (1M)
29 Maximum daily return in last 1M (lottery factor)
30 21D volatility of volume/price
32 12M-1M total return
33 Price-to-52 week high
Descending
Descending
Descending
Descending
Ascending
Ascending
Ascending
Ascending
2,971
2,971
2,968
2,971
2,826
2,826
2,861
2,452
(0.90)
(2.69)
(7.50)
3.89
4.92
4.97
(1.64)
9.09
2.17
0.17
(0.06)
0.82
2.77
2.95
1.35
2.27
2.97
0.45
3.43
1.71
3.11
3.52
3.50
2.47
4.95
1.85
4.98
0.26
3.23
4.07
3.08
1.17
7.13
10.80
14.83
6.56
13.95
13.06
17.61
10.86
0.69
0.17
0.34
0.04
0.23
0.31
0.17
0.11
15.52
29.03
39.13
24.16
39.62
37.65
49.63
25.63
(33.75)
(43.69)
(56.07)
(16.78)
(57.00)
(49.06)
(62.50)
(35.41)
0.00
0.00
0.00
0.48
0.00
0.00
0.00
0.06
314
314
314
314
314
314
314
302
2,876
2,875
2,750
2,865
2,793
2,793
1,964
2,240
77.71
58.28
63.69
51.27
64.97
65.61
61.46
56.62
1.57
0.52
53.90
56.06
89.96
88.49
83.24
97.43
4. Sentiment
35 IBES LTG Mean EPS Revision, 3M
36 IBES FY1 Mean EPS Revision, 3M
37 IBES FY1 EPS up/down ratio, 3M
38 Expectation gap, short-term - long-term
39 IBES FY1 Mean CFPS Revision, 3M
40 IBES FY1 Mean SAL Revision, 3M
41 IBES FY1 Mean FFO Revision, 3M
42 IBES FY1 Mean DPS Revision, 3M
43 IBES FY1 Mean ROE Revision, 3M
44 Recommendation, mean
45 Mean recommendation revision, 3M
46 Target price implied return
47 Mean target price revision, 3M
Ascending
Ascending
Ascending
Descending
Ascending
Ascending
Ascending
Ascending
Ascending
Descending
Descending
Ascending
Ascending
1,862
2,663
2,462
2,138
1,523
2,617
142
1,296
2,122
2,699
2,696
2,657
2,652
0.12
0.25
0.85
2.39
1.10
(1.61)
(10.32)
0.44
1.68
3.52
(1.43)
3.84
0.64
0.33
0.99
1.39
0.07
2.57
1.32
(2.53)
1.70
1.58
3.13
0.85
2.17
2.64
0.84
1.74
1.95
1.70
2.23
1.80
0.26
1.52
0.93
2.22
0.40
0.11
2.11
0.85
2.88
3.04
1.18
2.02
1.08
2.68
0.78
0.73
0.91
1.22
0.26
2.39
3.73
8.37
7.79
5.18
15.79
7.74
20.89
5.15
6.48
7.48
4.06
16.55
12.44
0.23
0.34
0.39
0.23
0.13
0.14
0.13
0.15
0.11
0.12
0.30
0.02
0.19
11.16
29.96
27.54
9.60
69.38
27.43
71.43
14.91
23.70
21.85
19.86
60.74
30.14
(12.06)
(33.00)
(24.41)
(19.91)
(75.04)
(24.32)
(80.00)
(17.55)
(22.19)
(19.41)
(11.55)
(39.59)
(41.94)
0.00
0.00
0.00
0.00
0.03
0.04
0.03
0.08
0.19
0.06
0.00
0.84
0.01
314
314
314
314
283
213
286
138
138
243
240
179
176
2,117
2,482
2,346
2,124
711
2,186
85
1,012
1,734
2,679
2,666
2,470
2,457
61.78
66.88
67.52
57.96
62.54
60.09
56.99
58.70
59.42
57.61
62.92
54.19
63.64
59.65
75.18
79.45
91.10
64.26
71.40
69.24
62.85
66.38
94.43
60.10
80.07
74.99
5. Quality
48 ROE, trailing 12M
49 Return on invested capital (ROIC)
50 Sales to total assets (asset turnover)
51 Operating profit margin
52 Current ratio
53 Long-term debt/equity
54 Altman's z-score
55 Merton's distance to default
56 Ohlson default model
57 Accruals (Sloan 1996 def)
58 Firm-specific discretionary accruals
59 Hist 5Y operating EPS stability, coef of determination
60 IBES 5Y EPS stability
61 IBES FY1 EPS dispersion
62 Payout on trailing operating EPS
63 YoY change in # of shares outstanding
64 YoY change in debt outstanding
65 Net external financing/net operating assets
66 Piotroski's F-score
67 Mohanram's G-score
Ascending
Ascending
Ascending
Ascending
Descending
Ascending
Ascending
Ascending
Descending
Descending
Descending
Ascending
Descending
Descending
Ascending
Descending
Descending
Ascending
Ascending
Ascending
2,834
2,922
2,890
2,881
2,279
2,829
2,175
2,258
2,208
2,138
1,186
2,841
2,391
2,689
2,228
2,872
2,177
2,956
2,971
536
(1.20)
(2.02)
2.09
(2.44)
0.55
2.85
(1.51)
(2.62)
(0.98)
1.55
1.48
5.28
(6.13)
1.56
(6.45)
0.23
(1.07)
3.22
(0.16)
(0.45)
1.75
1.49
2.60
(0.23)
0.46
0.48
0.85
1.22
(0.78)
(0.30)
(1.07)
2.03
0.62
0.82
(4.07)
1.37
(0.56)
0.44
1.59
0.11
3.20
3.36
1.67
0.33
0.86
1.76
1.79
2.99
1.03
(0.39)
(0.41)
1.17
1.57
2.79
(0.21)
3.00
(0.18)
2.23
2.55
1.47
3.79
4.09
1.62
1.15
1.78
0.79
0.31
3.27
2.24
0.51
0.44
0.88
1.14
1.51
0.65
2.56
0.25
2.40
2.89
2.55
10.03
10.21
8.66
5.44
10.14
9.54
9.10
11.67
6.33
4.15
3.27
4.99
8.54
9.01
13.45
8.85
4.07
8.43
8.04
10.44
0.38
0.40
0.19
0.21
0.18
0.08
0.03
0.28
0.35
0.12
0.13
0.18
0.13
0.17
0.05
0.29
0.06
0.29
0.36
0.24
33.42
33.02
22.78
16.98
31.95
35.65
31.74
33.03
16.95
12.07
9.42
20.01
25.00
31.67
38.55
19.53
13.07
44.61
29.20
35.27
(29.52)
(31.24)
(22.02)
(14.17)
(38.66)
(28.14)
(30.44)
(41.45)
(18.63)
(15.48)
(10.87)
(12.27)
(34.33)
(25.17)
(30.91)
(46.21)
(10.40)
(21.76)
(27.83)
(32.14)
0.00
0.00
0.00
0.00
0.00
0.14
0.55
0.00
0.00
0.03
0.03
0.01
0.02
0.00
0.40
0.00
0.28
0.00
0.00
0.00
238
238
314
314
314
314
314
314
277
314
254
226
314
314
314
314
314
314
314
226
2,862
2,857
2,815
2,722
2,240
2,749
2,160
2,336
2,127
2,139
2,108
2,736
2,300
2,543
2,212
2,771
2,220
2,838
2,878
389
64.71
68.49
56.37
59.55
54.14
48.73
49.04
65.29
67.51
54.78
55.51
53.10
53.50
59.55
49.04
60.83
55.41
61.15
67.52
56.19
96.34
98.04
99.45
98.44
97.89
98.41
98.35
95.02
98.29
88.58
78.52
96.93
98.96
84.21
98.94
94.19
90.00
94.76
88.31
95.49
6. Technicals
68 # of days to cover short
69 CAPM beta, 5Y monthly
70 CAPM idosyncratic vol, 1Y daily
71 Realized vol, 1Y daily
72 Skewness, 1Y daily
73 Kurtosis, 1Y daily
74 Idiosyncratic vol surprise
75 Normalized abnormal volume
76 Float turnover, 12M
77 Moving average crossover, 15W-36W
78 Log float-adj capitalization
79 # of month in the database
80 DB composite options factor
Descending
Descending
Descending
Descending
Descending
Descending
Descending
Ascending
Descending
Ascending
Ascending
Ascending
Ascending
319
2,970
2,970
2,869
2,869
2,869
2,919
2,971
2,971
2,871
2,957
2,971
1,969
1.35
(6.92)
(4.36)
(7.11)
(5.15)
(4.37)
(4.50)
6.14
(12.99)
2.14
10.06
(1.34)
1.56
(0.26)
(1.24)
0.18
0.42
(0.98)
(0.21)
1.98
1.41
(1.64)
2.28
1.88
(0.30)
(0.47)
1.35
0.24
4.71
4.65
(0.04)
0.66
1.49
2.72
(0.12)
1.30
3.52
1.62
0.90
2.14
0.93
5.05
4.89
1.18
1.38
2.85
2.25
0.16
2.19
3.46
2.14
1.39
7.28
13.65
17.96
18.58
5.33
5.50
7.93
6.36
10.70
13.05
10.91
8.77
3.61
0.29
0.07
0.28
0.26
0.22
0.25
0.36
0.35
0.01
0.17
0.32
0.24
0.38
33.80
40.19
42.60
42.69
13.93
15.28
22.66
23.10
23.53
46.29
29.53
35.61
13.99
(25.16)
(42.70)
(60.80)
(59.63)
(22.86)
(15.82)
(33.71)
(16.38)
(26.97)
(55.07)
(40.68)
(23.86)
(13.88)
0.00
0.28
0.00
0.00
0.00
0.00
0.00
0.00
0.80
0.00
0.00
0.00
0.00
314
255
302
314
314
314
301
314
303
314
314
314
151
2,033
2,910
2,882
2,793
2,793
2,793
2,863
2,868
2,789
2,536
2,872
2,875
2,023
58.60
50.59
61.26
60.51
56.37
61.78
66.78
65.61
47.85
60.51
61.46
56.69
66.23
91.43
97.67
99.16
99.14
89.76
91.51
87.80
64.23
99.76
90.80
99.42
99.99
23.96
Factor Name
1. Value
1 Dividend yield, trailing 12M
2 Expected dividend yield
3 Price-to-operating EPS, trailing 12M, Basic
4 Operating earnings yield, trailing 12M, Basic
5 Earnings yield, forecast FY1 mean
7 Earnings yield x IBES 5Y growth
8 Sector-rel Operating earnings yield, trailing 12M, Basic
9 Hist-rel Operating earnings yield, trailing 12M, Basic
10 Operating cash flow yield (income stmt def)
11 Cash flow yield, FY1 mean
12 Free cash flow yield
13 Price-to-sales, trailing 12M
14 Price-to-book
15 EBITDA/EV
16 Price-to-book adj for ROE, sector adj
Direction1
Average IC (%)
Avg /
Note:
1 Direction indicates how the factor scores are sorted. Ascending order means higher factors scores are likely to be associated with higher subsequent stock returns, and vice versa for descending order.
2 P-value indicates the statistical significance of the factor's performance. A smaller p-value suggests that is it more likely the factor's performance is different from zero.
3 This is the autocorrelation of the factor scores over time. Higher serial correlation indicates lower portfolio turnover based on the factor.
Page 27
4 March 2014
The Quant View
Figure 60: Global factor performance, measured as rank IC (S&P BMI World universe)
Since Inception
Current
# of
Avg # of
Hit
Serial
# of Stocks
Last M
12M Avg
3Y Avg
Avg
Std Dev
Std Dev
Max
Min
p-value 2
Months
Stocks
Rate (%)
Corr (%)3
Ascending
Ascending
Ascending
Descending
Descending
Ascending
Ascending
Ascending
Ascending
Ascending
Descending
Descending
Ascending
Ascending
Ascending
10,152
7,859
7,844
8,434
7,792
8,904
8,518
8,471
6,911
5,986
9,608
9,685
7,446
7,792
9,475
(1.60)
0.54
1.00
(5.34)
(2.67)
(2.15)
(5.84)
(5.96)
(3.86)
(6.72)
(10.24)
(13.25)
(10.81)
2.99
(9.75)
(1.00)
(1.40)
(1.74)
(2.55)
(1.95)
(0.69)
(0.78)
(1.48)
1.31
(0.42)
0.78
(3.39)
(3.75)
7.15
2.84
2.74
2.15
1.78
(0.51)
(1.01)
1.24
1.02
(0.32)
0.52
(1.30)
(0.35)
(2.29)
(3.01)
5.83
1.27
4.14
4.16
4.05
3.90
2.82
3.91
4.59
4.21
3.91
1.95
1.46
1.08
0.99
4.02
1.97
10.48
10.80
10.86
13.01
10.20
9.13
10.82
11.81
6.32
9.64
9.51
10.43
9.79
10.81
7.85
0.40
0.39
0.37
0.30
0.28
0.43
0.42
0.36
0.62
0.20
0.15
0.10
0.10
0.37
0.25
36.88
32.17
33.19
39.66
28.98
31.67
35.35
37.31
26.42
31.42
26.48
31.56
30.37
36.69
24.81
(23.89)
(22.90)
(24.39)
(50.73)
(37.08)
(18.68)
(22.20)
(31.50)
(11.80)
(32.01)
(31.59)
(37.54)
(26.29)
(26.20)
(20.06)
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.01
0.08
0.19
0.00
0.00
290
233
223
283
290
290
290
290
166
222
290
290
174
290
290
8,051
5,307
5,269
6,342
6,063
7,047
6,498
6,326
5,024
4,515
7,529
7,578
5,470
4,731
7,494
63.79
63.09
63.23
61.13
61.72
63.79
63.10
62.07
74.70
57.66
55.86
56.21
52.30
62.76
61.38
97.99
98.19
98.17
96.34
96.41
96.33
95.69
95.73
97.16
96.01
99.24
98.35
98.10
95.60
99.00
2. Growth
16 IBES 5Y EPS growth
17 EPS Growth
18 IBES LTG EPS mean
19 IBES FY1 mean EPS growth
20 IBES FY1 mean CFPS growth
21 IBES FY2 mean DPS growth
22 Asset growth
Ascending
Ascending
Descending
Ascending
Descending
Ascending
Descending
8,370
9,180
4,858
7,913
5,211
7,823
9,539
2.70
0.46
(0.98)
(1.89)
0.82
1.50
0.37
0.14
1.04
(1.62)
1.01
1.78
(1.08)
4.04
1.64
1.66
0.10
(0.02)
1.32
(0.25)
1.84
1.07
2.03
1.29
0.38
1.74
2.38
0.70
6.09
6.80
11.99
6.01
4.17
10.89
8.44
0.18
0.30
0.11
0.06
0.42
0.22
0.08
19.09
29.72
28.22
14.44
7.47
38.85
21.57
(21.86)
(28.97)
(40.36)
(20.10)
(11.39)
(31.49)
(27.36)
0.00
0.00
0.07
0.28
0.00
0.00
0.16
290
274
290
290
166
232
290
6,255
6,931
4,183
6,398
3,956
5,151
7,324
58.97
64.23
52.76
54.83
65.66
59.05
53.10
98.06
88.48
96.73
88.58
91.79
88.13
93.73
3. Price Momentum and Reversal

23 Total return, 1D
24 Weekly Total Return
27 12M-1M total return
Descending
Descending
Ascending
Ascending
Ascending
Ascending
10,163
10,163
10,158
9,849
9,849
8,723
(1.47)
(8.02)
5.55
3.65
2.82
11.04
2.21
(1.20)
3.19
7.92
7.54
1.93
3.93
2.09
1.10
6.25
6.55
2.05
3.58
2.89
0.17
4.47
5.07
1.44
7.37
8.68
11.34
14.39
13.87
13.95
0.49
0.33
0.01
0.31
0.37
0.10
21.94
30.60
27.69
41.64
40.96
40.32
(41.58)
(33.64)
(44.07)
(46.50)
(42.52)
(44.84)
0.00
0.00
0.80
0.00
0.00
0.08
290
290
290
290
290
290
8,162
8,161
8,156
7,963
7,963
6,468
71.03
63.79
53.45
67.24
69.31
58.28
2.00
1.39
4.13
90.69
88.82
97.73
4. Sentiment
35 IBES FY1 Mean CFPS Revision, 3M
42 Target price implied return
43 Recommendation, mean
44 Mean recommendation revision, 3M
Ascending
Ascending
Ascending
Ascending
Ascending
Ascending
Ascending
Ascending
Ascending
Ascending
Ascending
Ascending
Ascending
Descending
Descending
Descending
4,840
4,788
4,296
7,674
8,373
8,239
5,698
6,188
6,136
7,653
7,484
8,350
8,220
8,492
8,705
8,645
(0.70)
(1.24)
0.71
(0.23)
(1.54)
(1.81)
(2.03)
(2.26)
(0.57)
(2.54)
(0.92)
(2.83)
(3.54)
5.90
0.38
(0.23)
1.29
1.67
3.90
4.04
2.86
3.60
2.08
1.91
3.75
3.14
4.54
1.76
2.38
3.21
2.67
1.90
0.58
0.94
3.58
4.00
2.83
3.76
2.42
2.62
3.77
3.03
4.19
1.93
2.22
2.26
2.33
1.52
0.68
0.87
3.67
3.64
2.86
3.36
2.45
1.74
2.22
2.22
2.84
1.75
2.16
0.97
1.80
1.90
2.55
3.30
5.38
5.76
5.04
6.59
5.50
4.34
5.79
4.02
5.72
4.05
4.98
14.38
6.75
2.90
0.27
0.26
0.68
0.63
0.57
0.51
0.45
0.40
0.38
0.55
0.50
0.43
0.43
0.07
0.27
0.65
7.26
11.05
17.76
17.92
16.50
19.37
15.81
12.65
19.08
11.73
16.27
13.70
13.57
55.58
17.41
10.01
(8.59)
(10.26)
(13.76)
(12.36)
(12.79)
(20.12)
(23.83)
(16.63)
(24.51)
(8.89)
(14.53)
(10.51)
(13.58)
(36.25)
(16.84)
(10.13)
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.37
0.00
0.00
290
290
290
290
290
290
212
231
229
158
155
210
208
174
243
240
4,145
4,090
4,372
5,869
6,349
6,257
4,335
4,386
4,326
4,175
4,081
5,452
5,323
6,356
7,228
7,206
63.45
62.07
76.90
75.17
72.07
73.45
76.42
71.86
72.49
77.22
74.19
69.05
69.23
53.45
65.84
75.42
0.63
60.16
34.67
78.46
24.05
74.15
63.87
10.89
65.68
13.49
67.90
14.46
68.63
82.35
94.49
60.11
5. Quality
45 Return on Equity
46 return on capital
47 Return on Assets
48 Asset Turnover
49 Gross margin
50 EBITDA margin
51 Berry Ratio
52 IBES FY1 EPS dispersion
53 IBES 5Y EPS growth/stability
54 YoY change in debt outstanding
55 Current ratio
56 Long-term debt/equity
57 Merton's distance to default
58 Capex to Dep
Ascending
Ascending
Ascending
Ascending
Ascending
Ascending
Ascending
Descending
Ascending
Descending
Descending
Ascending
Ascending
Descending
9,432
9,426
9,652
9,623
8,907
9,763
7,469
8,518
8,370
7,897
7,938
9,507
8,079
7,730
6.50
5.74
5.81
4.99
5.88
2.00
6.71
(2.43)
4.24
(2.12)
(0.45)
4.67
0.81
1.27
1.26
0.66
5.11
8.74
2.18
4.79
(2.45)
4.83
0.32
1.52
(1.38)
0.81
3.90
6.71
3.58
3.15
5.48
5.13
2.59
4.13
(0.13)
4.21
2.04
0.60
0.18
1.12
4.28
3.72
4.13
4.37
4.73
2.73
1.84
3.97
2.76
0.50
1.41
0.27
0.57
0.79
2.63
1.59
10.08
12.20
13.19
16.21
5.81
13.70
9.28
9.49
5.95
3.89
8.82
6.42
11.04
6.49
0.41
0.36
0.36
0.17
0.32
0.29
0.30
0.05
0.24
0.07
0.06
0.12
0.24
0.24
30.68
49.47
44.20
44.64
16.60
42.97
29.57
32.68
18.66
11.51
27.86
22.37
31.19
22.38
(34.69)
(34.02)
(30.31)
(51.55)
(13.45)
(41.30)
(20.79)
(25.37)
(20.47)
(11.34)
(27.01)
(18.17)
(31.18)
(19.93)
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.37
0.00
0.23
0.27
0.04
0.00
0.00
242
290
290
290
290
290
290
290
290
290
290
290
290
290
7,714
7,014
7,117
7,590
6,904
7,610
5,349
6,498
6,254
6,319
6,188
7,502
6,499
5,186
66.53
64.83
63.79
57.93
62.76
59.66
58.97
50.69
58.62
53.79
48.97
54.48
60.34
61.72
97.16
97.98
98.16
99.85
98.90
96.80
97.73
87.94
98.30
91.57
98.52
98.90
93.26
96.95
6. Technicals
59 Realized vol, 1Y daily
60 Skewness, 1Y daily
61 Moving average crossover, 15W-36W
62 Normalized abnormal volume
Descending
Descending
Ascending
Ascending
9,853
9,853
9,654
10,107
6.54
1.67
5.03
(0.31)
5.10
0.76
6.05
3.99
5.51
1.86
3.75
2.93
5.08
1.61
3.06
2.28
15.22
5.29
14.47
6.50
0.33
0.30
0.21
0.35
29.45
15.03
37.15
20.47
(44.64)
(32.98)
(45.46)
(14.71)
0.00
0.00
0.00
0.00
290
290
290
290
7,970
7,970
6,980
7,929
61.38
63.79
63.10
61.03
98.97
90.04
91.38
66.31
Factor Name
1. Value
1 Dividend yield, trailing 12M
2 Dividend yield, FY1
3 Dividend yield, FY2
4 Price/Earnings
5 Price-to-FY0 EPS
6 Earnings yield, FY0
9 Cash flow yield, FY0
10 Cash flow yield, FY1 mean
11 Price/Sales
12 Price/Book
13 Est Book-to-price, median
14 EBITDA to EV
15 Sales/EV
Direction
Average IC (%)
Avg /
Note:
1 Direction indicates how the factor scores are sorted. Ascending order means higher factors scores are likely to be associated with higher subsequent stock returns, and vice versa for descending order.
2 P-value indicates the statistical significance of the factor's performance. A smaller p-value suggests that is it more likely the factor's performance is different from zero.
3 This is the autocorrelation of the factor scores over time. Higher serial correlation indicates lower portfolio turnover based on the factor.
Page 28
4 March 2014
The Quant View
Appendix 1
Important Disclosures
Additional information available upon request
For disclosures pertaining to recommendations or estimates made on securities other than the primary subject of this
research, please see the most recently published company report or visit our global disclosure look-up page on our
website at http://gm.db.com/ger/disclosure/DisclosureDirectory.eqsr
Analyst Certification
The views expressed in this report accurately reflect the personal views of the undersigned lead analyst(s). In addition,
the undersigned lead analyst(s) has not and will not receive any compensation for providing a specific recommendation
or view in this report. Sheng Wang/Miguel-A Alvarez/Javed Jussa/Zongye Chen/Allen Wang/Yin Luo
Hypothetical Disclaimer
Backtested, hypothetical or simulated performance results have inherent limitations. Unlike an actual performance
record based on trading actual client portfolios, simulated results are achieved by means of the retroactive application of
a backtested model itself designed with the benefit of hindsight. Taking into account historical events the backtesting of
performance also differs from actual account performance because an actual investment strategy may be adjusted any
time, for any reason, including a response to material, economic or market factors. The backtested performance
includes hypothetical results that do not reflect the reinvestment of dividends and other earnings or the deduction of
advisory fees, brokerage or other commissions, and any other expenses that a client would have paid or actually paid.
No representation is made that any trading strategy or account will or is likely to achieve profits or losses similar to
those shown. Alternative modeling techniques or assumptions might produce significantly different results and prove to
be more appropriate. Past hypothetical backtest results are neither an indicator nor guarantee of future returns. Actual
results will vary, perhaps materially, from the analysis.
Page 29
4 March 2014
The Quant View
Regulatory Disclosures
1.Important Additional Conflict Disclosures
Aside from within this report, important conflict disclosures can also be found at https://gm.db.com/equities under the
"Disclosures Lookup" and "Legal" tabs. Investors are strongly encouraged to review this information before investing.
2. Short-Term Trade Ideas

Deutsche Bank equity research analysts sometimes have shorter-term trade ideas (known as SOLAR ideas) that are
consistent or inconsistent with Deutsche Bank's existing longer term ratings. These trade ideas can be found at the
SOLAR link at http://gm.db.com.
3. Country-Specific Disclosures
Australia and New Zealand: This research, and any access to it, is intended only for "wholesale clients" within the
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Brazil: The views expressed above accurately reflect personal views of the authors about the subject company(ies) and
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EU
countries:
Disclosures
relating
to
our
obligations
under
MiFiD
can
be
found
at
http://www.globalmarkets.db.com/riskdisclosures.
Japan: Disclosures under the Financial Instruments and Exchange Law: Company name - Deutsche Securities Inc.
Registration number - Registered as a financial instruments dealer by the Head of the Kanto Local Finance Bureau
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Page 30
David Folkerts-Landau
Group Chief Economist
Member of the Group Executive Committee
Guy Ashton
Global Chief Operating Officer
Research
Michael Spencer
Regional Head
Asia Pacific Research
Marcel Cassard
Global Head
FICC Research & Global Macro Economics
Ralf Hoffmann
Regional Head
Deutsche Bank Research, Germany
Richard Smith and Steve Pollard

Co-Global Heads
Equity Research
Andreas Neubauer
Regional Head
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Regional Head
Americas Research
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The Quant View

The wisdom of crowds:

Post earnings drift and a corresponding trading strategy

Deutsche Bank Securities Inc.

Estimize allows individuals to contribute their estimates anonymously. The underlying

% of estimates made before the earnings announcement

Deutsche Bank Securities Inc.

Figure 3: Component of the Estimize contributors

Deutsche Bank Securities Inc.

Figure 4: Estimize coverage on the Russell 3000 universe

number of stocks covered by Estimize

Estimize across different analyst coverage (US$ Billion)

Market Cap (US$ Billion)

Market Cap (US$ Billion)

Figure 5: Market Cap of stocks covered by Estimize (US$

Deutsche Bank Securities Inc.

Gauging the accuracy of crowdsourcing?

Deutsche Bank Securities Inc.

Figure 8: Estimize EPS estimates vs. IBES for longer windows

Professionals vs. non professionals

non-professional more accurate

Figure 10: Non-professional vs. all Estimize estimates

non-professional more accurate

Buy-side vs. sell-side

estimates start in 2013), it may not be statistically significant to make a definite

sell side more accurate

Figure 12: Sell side add value to buy side estimates

buy side + sell side more accurate

sell side from Estimize more accurate

Figure 14: IBES compared with buy side from Estimize

IBES more accurate

Post earnings announcement surprise

Deutsche Bank Securities Inc.

Figure 16: Cumulative excess return when estimates

earnings by more over 10%

miss earnings by more than 10%

EPS beats Estimize

EPS beats IBES

Excess return when miss earnings

Excess return when beat earnings

EPS misses Estimize

Portfolios based on more accurate earnings estimates

Deutsche Bank Securities Inc.

Wealth Curve for different transaction cost

Deutsche Bank Securities Inc.

Figure 18: Annualized return for the earnings surprise

Figure 19: Sharpe ratio for the earnings surprise strategy

strategy for Estimize and IBES with different cost

for Estimize and IBES with different cost

Deutsche Bank Securities Inc.

Source: Deutsche Bank

High VRP = Buy Risky Assets

Low VRP = Sell Risky Assets

S&P 500 Index

Low VRP = Sell Risky Assets (e.g. Equities)

High VRP = Buy Risky Assets (e.g. Equities)

S&P 500 Monthly Return

Figure 20: Variance Risk Premium (VRP)

S&P 500 Return

VRP (lagged 1M)

Source: Deutsche Bank

The opportunity set for investors