Global Quantitative Macro Strategy: Sector Flows Flash Update: LO managers exit Tech

研报英文原文证据摘录

Global Quantitative Macro Strategy: Sector Flows Flash Update: LO managers exit Tech

Global Quantitative Macro Strategy

16 June 2026 Citi Research

Figure 1. Latest signal output from our flow-based relative value backtest – Figure 2. Recent flows (last 1m) leaned towards buying for the two manager

Industrials, Financials, and Energy preferred over Tech, Consumer types.

Discretionary, and Communications.

© 2026 Citigroup Inc. No redistribution without Citigroup’s written permission.

Source: Citi Research, Citi Global Equity Flows

Long-only weekly net flows flipped negative last week while hedge funds were net buyers. Long-only managers were net

sellers last week, reducing exposure in all sectors but Communications and Health Care; their largest outflows by far were seen

in Tech (see Figure 3). Hedge funds, on the other hand, were net buyers. They had inflows in Industrials, Consumer Discretionary,

and Health Care, as seen in Figure 4.

Figure 3. Last four week flows into sectors from long-only managers – through Figure 4. Last four week flows for hedge funds managers – through Friday,

Friday, June 16th. June 16th.

© 2026 Citigroup Inc. No redistribution without Citigroup’s written permission. © 2026 Citigroup Inc. No redistribution without Citigroup’s written permission.

Source: Citi Research, Citi Global Equity Flows Source: Citi Research, Citi Global Equity Flows

Market internals show that the “Growth Shock” regime has the highest correlation. Figure 5 shows the correlation of recent

(22d) relative returns, with the average returns in the five most common macro clusters in our regime clusters framework, which

make up roughly 80% of the observations. Relative sector returns over the past month continue to most closely resemble what