2025-06-10-花旗集团-量化全球宏观策略_模型更新_金融条件更加宽松_波动性降低_19页_1mb

Content Update

• Model update: Financial conditions eased, volatility reduced further. Growth LEIs and inflation remain near long-term averages. Tariffs not yet evident in data, reverting from the "Tightening" cluster to "Normal."
• Model features comparison across regimes (2024, post-1975-1977 recession, 1989-1990, 2012 recovery post-EU crisis).

Model & Expected Returns

• Regime: "Normal" cluster retained. Growth/inflation neutral, financial conditions loose (rates underweighted).
• Expected returns: Positive for equities (ex-Japan), credit, and commodities; rates below average.

Portfolio Change

• Underweights EU equities and US/TIPS; overweight Gilts, credit, and energy. Max long commodities.

Strategy Review

• Trend-following: Equities outperformed, others lagged due to volatility.
• Carry strategies: Positive performance across assets (FX, rates, bonds); LatAm equities have high carry.
• Value strategies: Effective in equities/rates, less so in commodities.
• CTA positioning: Max long equities (ex LATAM), credit; mixed rates; long commodities (precious metals).

Key Concerns

• Tariff risk remains, with potential stagflation scenario if implemented. Volatility reductions may be temporary.