CEEMEA & LatAm Strategy Focus: Asset Class Dislocations: The Iran War Effect (6)

研报英文原文证据摘录

CEEMEA & LatAm Strategy Focus: Asset Class Dislocations: The Iran War Effect (6)

Deutsche Bank

Research

Emerging Europe Emerging Markets Date

15 May 2026

CEEMEA & LatAm

Strategy Focus

Asset Class Dislocations: The Iran War

Effect (6)

Christian Wietoska

Background Strategist

As the Middle East conflict drags on and weighs on market sentiment, we provide +44-20-754-52424

another update on our top-down asset class PCA model. This tool assesses

Ankit Jain

dislocations across 15 global asset classes relative to their common global driver. Research Associate

We run a PCA on 12-month rolling data (daily changes), then regress each asset

class against PC1 to assess whether it has over/undershot what the global common

driver implies. Assuming mean-reversion, significant historical outperformance

(versus PC1) would imply future underperformance. In this week's publication, we

compare the latest results with those from three weeks ago.

Latest results:

n PC1, our global driver proxy, now explains 81% of variance—up from 71%

since the previous publication in April and now within touching distance of

the pre-war levels (82%). We highlight that it had fallen below the long-term

average of 66% only a few weeks ago. These results suggest that the

influence of common drivers across all asset classes has seen a rebound in

recent weeks, while the importance of local (idiosyncratic) drivers of asset

class performance has taken a backseat – Figure 2.

n Over the past three weeks, only EM equities and US equities outperformed

their PC1 implications. Five asset classes (USHY, USIG, EMIG, EMHY and

EMBI) performed in line with expectations. On the other hand, eight asset

classes underperformed relative to PC1, led by bunds and followed by EMFI

FX-hedged and EMFX (+carry) – Figure 3.