Quantitative Global Macro Strategy: Regime Model Update: Echoes of 2013 favor commodities over equities

Research evidence excerpt

Quantitative Global Macro Strategy: Regime Model Update: Echoes of 2013 favor commodities over equities

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10 Jul 2026 16:08:29 ET │ 19 pages

Quantitative Global Macro Strategy

Regime Model Update: Echoes of 2013 favor commodities over equities

CITI'S TAKE

Alex Saunders AC

We update our regime model using the latest country-level data. We +1-212-723-1058

recently enhanced our model to capture region-specific and more timely alexander.saunders@citi.com

measures. Cross-asset volatility has declined further since last month, but

the episodic nature of the conflict poses underlying uncertainty and big Vinh Vo AC

rotations in equities keep markets climbing a wall of worry. The model flags +44-20-75-086-717

analogous periods in 76-77 and overweights 13-14, further shifting away vinh.vo@citi.com

from equity risk into commodities overweight. In our global macro team

weekly, we also trimmed equity longs in our GAA and GMS portfolios amid With thanks to

“growing pAIns” in the AI trade. The model has moved further underweight Irem Sen

credit through US IG, albeit US HY sees trimming of shorts. Commodities

overweight is increased through precious metals flipping long. The energy

overweight remains even when its expected Sharpe ratio has decreased.

Systematic strategies have generally performed well year-to-date, though

returns in the past month were mixed.

Rates preferred over credit; equities flip to negative against an increased

commodities long — Our regime model has moved further away from risk; the

portfolio is max long rates through Gilts and European bonds (against USTs and

JGBs). The equity weight has moved more negative through reduced longs in EM (EU,

JP and UK shorts still remain). The US IG short was increased while HY underweight