Quantitative Global Macro Strategy: QIS corner: Will the Iran deal send us into Goldilock?

Research evidence excerpt

Quantitative Global Macro Strategy: QIS corner: Will the Iran deal send us into Goldilock?

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22 Jun 2026 19:22:08 ET │ 14 pages

Quantitative Global Macro Strategy

QIS corner: Will the Iran deal send us into Goldilocks?

CITI'S TAKE

Alex Saunders AC

In this note, we examine QIS systematic strategy performance in different +1-212-723-1058

regimes. Our macro-regime clustering model indicates we remain in a alexander.saunders@citi.com

'Normal' environment. However, recent oil price declines and resilient

economic data suggest a potential transition towards a 'Goldilocks' Vinh Vo

environment of higher growth and lower inflation. Such a shift would favor +44-20-75-086-717

commodity short volatility strategies, multi-asset vol carry, and CTA-style vinh.vo@citi.com

trend. In the current 'Normal' regime, curve carry, congestion strategies, and

US equity momentum show stronger-than-average risk-adjusted returns. With thanks to

A key risk remains a persistent oil shock or rollback of the current detente, Irem Sen

which could trigger a tightening of financial conditions and a move toward

stagflation.

Current 'Normal' Regime Faces Goldilocks Potential — We remain in a 'Normal'

macro-regime cluster, albeit our asset allocation model update was neutral equities

overweight bonds ex-US. Recent reports of a US-Iran deal could trigger a shift back

to a 'Goldilocks' environment, characterized by lower inflation and higher growth.

Resilient global PMIs and strong US payrolls show an economy that has been

resilient in the face of supply shocks.

Commodity Strategies Across Regimes — The current 'Normal' environment favors

commodity curve carry and pre-roll congestion strategies. A shift to 'Goldilocks'

would significantly benefit short-vol strategies on Brent, WTI, and Copper, along