量化前沿第90期：市场动态研判与量化策略导航

Vivek Anand Summary Quantitative Strategist+44-20-754-52789 Today, we examine the increasingly fragile market backdrop that has emerged inMarch, as the Iran conflict, oil volatility, and rising stagflation fears have started toweigh more clearly on global markets. We discuss how geopolitics has become thedominant market driver through the energy channel, pressuring equities and bondsat the same time, strengthening the dollar, and pushing the macro narrative towarda more cautious, high-risk regime. We also analyze the performance of our quantitative systematic strategies,particularly Portfolio 365 (DBQSAWL5 Index), which declined by 13 basis pointslast week, while remaining up 1.72% month-to-date and 4.42% year-to-date. TheBalanced portfolio (DBQSBALP Index) has been the main engine of performancethis year, supported by strong contributions from Equity N-LASR and commoditybackwardation strategies. The Defensive portfolio (DBQSDEFP Index) has becomemore relevant as risk has risen, while the Pro-cyclical portfolio (DBQSPCYP Index)has delivered a more mixed performance in the recent high-volatility environment. Finally, we preview key events for the week ahead, including the U.S. jobs report,ISM manufacturing, and consumer confidence, alongside flash inflation data inEurope and important macro releases from Asia. These will be critical in assessingwhether stagflation fears continue to build or begin to ease. Listen to the episode here: https://www.dbresearch.com/PROD/IE-PROD/PROD0000000000622730.xhtml 30 March 2026Quant Snaps Market Overview What a start to 2026 it has been. In just the first three months, we have witnessedVenezuela, Greenland, an early-year slump in JGBs, a surge and subsequent retreatin gold and silver, tariffs being overturned, sharp declines in AI-sensitive stocks, andrenewed fears around private credit. And now, we find ourselves in the middle of theIranian conflict. What stands out is not just the scale of these headlines, but the speed at which thenarrative has shifted from one week to the next. And yet, for much of the year,markets remained more resilient than the headlines alone might have suggested.That resilience has started to look more fragile in March, however, as the Iranconflict, oil volatility, and inflation fears have begun to weigh more clearly onequities, credit, and rate expectations. Quant strategies, especially market-neutraland balanced strategies, have been notably more resilient through this period, and 30 March 2026Quant Snaps we will come back to that later in the episode. The dominant macro transmission channel right now is energy. Last week, marketswere once again driven by every swing in oil prices and every hint of escalation orde-escalation. Early optimism around delayed strikes and possible negotiationsbriefly steadied sentiment, but that relief faded as denials from Iran, continuedattacks, and the lack of tangible progress kept investors focused on the risk of aprolonged supply shock. Brent remained elevated into the end of the week, and thathas kept markets firmly in a stagflationary frame of mind. According to our Head ofGeopolitical Research, Tehran appears to be playing a longer game: not necessarilyseeking a quick resolution, but instead trying to impose sustained economic andsecurity costs on its adversaries. That is exactly why the Strait of Hormuz remainsso central to the market narrative. Across asset classes, March has increasingly reflected that pressure. Equities haveweakened as the month has progressed, with the pressure especially visible in theU.S. and in large-cap technology, while European markets have also started to feelthe drag from the energy shock. At the same time, Treasuries have not provided theusual cushion. Yields moved higher through March as investors focused more oninflation and supply concerns than on traditional flight-to-quality dynamics. Thathas marked a significant shift in rates pricing. At the start of 2026, markets werepricing roughly two to three Fed cuts for the year. By mid- to late March, most of thateasing had been priced out, and by late last week, futures were even assigning morethan a 50% chance of a hike by the October meeting. Against that backdrop, our own sentiment indicators remain firmly cautious. TheDB Global Risk Sentiment Indicator is around 80, which keeps us in a high-riskregime and, importantly, it has remained there since early March. Our news-basedsignals tell a similar story. Both fundamental and non-fundamental macro newssentiment remain negative, while the signal mix across our primary macro factorscontinues to point to a stagflationary environment: weaker growth sentiment,firmer inflation sentiment, and higher-rates sentiment. Positioning also looksincreasingly cautious, with discretionary investors underweight and systematicpositioning drifting below neutral. Tosummarise,markets are caught between geopolitical uncertainty,risinginflation fears, and a dramatic repricing of rate ex