Quantitative Global Macro Strategy: July EMFX Factor Model Update

Research evidence excerpt

Quantitative Global Macro Strategy: July EMFX Factor Model Update

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01 Jul 2026 21:15:27 ET │ 19 pages

Quantitative Global Macro Strategy

July EMFX Factor Model Update

CITI'S TAKE

Alex Saunders AC

We update our EMFX factor model for July. Our long/short model returned +1-212-723-1058

+18bps in June (net of t-costs, ex-ante risk budget of 1% p.a.), EMFX alexander.saunders@citi.com

underperformed against the greenback with the long-only benchmark

down -1.14%. COP was the standout outperformer on the back of recent Vinh Vo AC

developments in the presidential election while CEEMEA FX continues to +44-20-75-086-717

digest the reversal of CTOT with lower oil. Performance was stronger this vinh.vo@citi.com

month in factor space, Carry, Value PPP, Hiker and Momentum bounced.

Quality, Eco Surprises and WPI underperformed this month. Carry (vol adj) With thanks to

saw material pickup in inflows with positioning now flashing red though Irem Sen

cross-asset volatility is below our trigger level. In terms of model positions,

PHP and TRY were added to longs while CLP and MYR were added to new

shorts. Regionally, the portfolio remains long Asia against CEEMEA and

LatAm; Net-net, we remain short EM (long USD).

Model up, EMFX down — EMFX (equal-weighted) underperformed against the

greenback and the index returned -114bps against the USD in June. In CEEMEA, ILS

and PLN were the main underperformers, with Israeli assets hit by geopolitical

concerns and PLN pressured by a dovish surprise in Polish CPI. In LatAm, COP was

the standout outperformer on a sharp political risk reversal.

Long/short factor model performance posted small gains in June — Our factor

model was up +18bps (net of transaction costs on a risk budget of 1% p.a.).