Quantitative Global Macro Strategy: August EMFX Factor Model Update

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Quantitative Global Macro Strategy: August EMFX Factor Model Update

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03 Aug 2026 15:39:37 ET │ 19 pages

Quantitative Global Macro Strategy

August EMFX Factor Model Update

CITI'S TAKE

Alex Saunders AC

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

July (net of t-costs, ex-ante risk budget of 1% p.a.), EMFX outperformed alexander.saunders@citi.com

against the greenback with the long-only benchmark up 0.79%. KRW and

COP were standout outperformers on the back of idiosyncratic events both Vinh Vo AC

in geopolitics and local stories. Meanwhile, CEEMEA FX struggled due to +44-20-75-086-717

their higher beta to risk-offs from escalations in the Middle East. vinh.vo@citi.com

Performance was mixed this month in factor space. Carry (vol adj), Value

PPP, Quality and Eco Surprises bounced. Value PPP, Hiker and WPI With thanks to

underperformed this month. Carry (vol adj) is still seeing material pickup in Irem Sen

inflows with positioning flashing red though cross-asset volatility is below

our trigger level. In terms of model positions, ZAR and MYR were added to

longs while TRY, TWD and PHP were added to new shorts. Regionally, the

portfolio is long LatAm against CEEMEA and Asia.

Model flat, EMFX up — EMFX (equal-weighted) outperformed against the

greenback and the index returned 79bps against the USD in July. KRW was the

standout performer this month, initially driven by inflows from the ADR of Korean

equities and later followed BoK rate hikes. COP benefitted from high carry inflows

combined with supportive Commodities’ Terms of Trade dynamics earlier in the

month.

Long/short factor model performance was flat in July — Our factor model was flat

(+1bps net of transaction costs on a risk budget of 1% p.a.). Performance across