量化全球宏观策略QIS角落：伊朗协议会将我们带入黄金时代吗？

Quantitative Global Macro Strategy QIS corner: Will the Iran deal send us into Goldilocks? CITI'S TAKE Alex SaundersAC+1-212-723-1058alexander.saunders@citi.com In this note, we examine QIS systematic strategy performance in differentregimes. Our macro-regime clustering model indicates we remain in a'Normal' environment. However, recent oil price declines and resilienteconomicdata suggest a potential transition towards a'Goldilocks'environment of higher growth and lower inflation. Such a shift would favorcommodity short volatility strategies, multi-asset vol carry, and CTA-styletrend. In the current 'Normal' regime, curve carry, congestion strategies, andUS equity momentum show stronger-than-average risk-adjusted returns. Vinh Vo+44-20-75-086-717vinh.vo@citi.com With thanks toIrem Sen Current 'Normal' Regime Faces Goldilocks Potential —We remain in a 'Normal'macro-regime cluster, albeit our asset allocation model update was neutral equitiesoverweight bonds ex-US. Recent reports of a US-Iran deal could trigger a shift backto a 'Goldilocks' environment, characterized by lower inflation and higher growth.Resilient global PMIs and strong US payrolls show an economy that has been Commodity Strategies Across Regimes —The current 'Normal' environment favorscommodity curve carry and pre-roll congestion strategies. A shift to 'Goldilocks'would significantly benefit short-vol strategies on Brent, WTI, and Copper, along Multi-Asset and Equity QIS Performance —In the current 'Normal' environment,US equity momentum and cross-asset tail-reversion strategies show above-average risk-adjusted returns. Should the market transition to 'Goldilocks', creditHY-IG spread strategies become most attractive. Volatility carry, equity optionwriting, and linear FX carry also perform well in this lower-inflation, higher-growth See Appendix A-1 for Analyst Certification, Important Disclosures and Research Analyst Affiliations. QIS Corner: Will the Iran deal send usinto Goldilocks? We have long used our fundamental macro-regime model to make forecasts andprovide scenarios for major asset classes. We have extended this to academic systematic strategies and analyzed for commodity QIS strategies. Our latest modelupdate went neutral equities after being overweight and remains in a “normal”cluster where growth and inflation are relatively close to trend (albeit both wererising) and financial conditions and volatility subdued. Since then, the prospect ofa US-Iran deal has led to declines in oil prices and some inflation measures. In this The recent reports of a US-Iran deal have led to a sell-off in oil prices and decline ininflation breakevens. The economic data has been relatively robust with ablockbuster payrolls report and resilient PMIs and surprises (see Figure 2). Our © 2026 Citigroup Inc. No redistribution without Citigroup’s written permission.Source: Citi Research Source: Citi Research Using our Regime clustering framework, we remain in the “Normal” cluster;Sharpe ratios stay close to unconditional returns.We have added to thetraditional quadrant approach using regime clusters based on cross-correlations ofmacro-economic variables. We find this to be a richer framework than the typicalbusiness cycle regime approach and complementary to our k-nearest neighbormodel. We transitioned back to normal from the more risky-asset-challenged“Tightening of Financial Conditions” cluster in the aftermath of last April’s“Liberation Day” tariff announcements. After a brief “Goldilocks” moment, we In terms of multi-asset strategies, Goldilocks is favorable for vol carry strategiesand CTA-style trend. HY-IG spread also outperforms. In a normal environment,US equity momentum and X-asset tail reversion have above unconditional risk-adjusted returns.Figure 4shows the interactive chart for multi-asset and USequity research strategies. Details of the strategy dates and information are inFigure 10;in the normal environment, US equity momentum (both price and © 2026 Citigroup Inc. No redistribution without Citigroup’s written permission.Source: Citi Research Commodity short vol strategies and extended momentum do well in Goldilocks.A normal environment favors curve carry and congestion strategies. Figure 5 is aninteractive chart which shows the Sharpe ratio or returns for QIS strategies (seeFigure 9 for tickers and dates). The chart shows Sharpe ratios for short volstrategies tend to be best in the Goldilocks macro-cluster. In the interactive Figure 5. Systematic strategies by macro-regime cluster Appendix on Clustering Figure 6 shows transitions across regimes while Figure 7 and the text have stylizeddescriptions of the clustered macro-regimes. Figure 6. Clusters tend to be persistent and have limited transitions – a fullrecession always moves to stagflation or a growth shock, “normal” regimes Common environments include “normal”, goldilocks, recovery and regulargrowth shocks / hiking cycles. Cluster 1 is the most common, which we ha