量化全球宏观策略：所有分配者的仓位在哪里？风险仍在

Quantitative Global Macro Strategy Where are all the allocators’ blocks? Still Risk-On, but With Cracks CITI'S TAKE Alex SaundersAC+1-212-723-1058alexander.saunders@citi.com Asset allocators remain pro-risk with a cautious optimism, reducingpositions across equities, rates, and credit. They note sticky inflation andthe broader consequences of geopolitical events as potential concerns butremain constructive on AI-driven growth. However, we see an increaseddiscussion of AI valuations following strong performance. Consequently,managers reduce exposure in the AI-heavy EM and US overweights butremain long. European equities overweight remains popular. In rates,managers reduce rates longs upon sticky inflation worries but the USTunderweight sees a large trim; Gilts remain a consensus long despitepolitical upheaval. Credit allocations also see negative moves with US IG apopular underweight. Commodities see large changes; interestingly, energy Dirk WillerAC+1-212-723-1016dirk.willer@citi.com Alice ZhengAC+1-212-816-0382alice.zheng@citi.com Adam PickettAC+44-20-7500-5777adam.pickett@citi.com Giammarco MianiAC+44-20-7986-6316giammarco.miani@citi.com Increasinglycautious pro-risk sentiment—While remaining risk-on andconstructive on AI-driven growth, managers slightly trimmed the popular EM andUS positions upon growing valuation concerns. We also saw some profit-takingacross rates longs while USTs, a previously consensus underweight, was alsosignificantly pared back despite the new Fed-chair hawkishness. Credit sawnegative changes. The Energy long gained more conviction (interestingly, post-Irandeal announcement) despite oil price corrections, surpassing the trimmed precious Charlie Massy-CollierAC+44-20-7986-2692charlie.massycollier@citi.com Michael Alexeev+1-212-816-1167michael.alexeev@citi.com Vinh Vo+44-20-75-086-717vinh.vo@citi.com Consensus: Long EM equity, EMFX, commodities and short US IG—Directionalviews align with conviction-weighted scores.EM equity longs remain popular;EMFX and commodity overweights are consensus. Managers continue to favorequities over credit and commodities over rates with US IG credit and (trimmed)USTs the largest underweights. Consensus themes continue to be AI strength andgeopoliticalfragmentation/stickyinflationconcerns;recentcommentary With thanks toIrem Sen Cross-asset performance mixed—Asia, Japan, and US equities, as well as basemetals, were winners of the last month. LatAm and China equities, energy, and smallcaps flipped negative. So far in June, equities remain resilient while commodityreturns have turned negative, energy continuing to see large drawdowns, now joinedby gold. Bond returns have turned soggy while credit moved neutral. USD also See Appendix A-1 for Analyst Certification, Important Disclosures and Research Analyst Affiliations. Asset Allocation Manager Positioning We look at the published views of 19 of the largest asset allocation managers –collectively managing more than $20 trillion of assets. For those managers thatpublish a scorecard or views similar to our Global Asset Allocation portfolio, weaggregate the results and map them into broad asset classes. For consistency, weconvert views to our scoring methodology, where +3 represents a strong buy to -3 astrong sell or underweight. Not all managers cover all asset classes, so we take We saw managers maintain cautious optimism this month, generally agreeingthat the AI super cycle can outweigh macroeconomic headwind worries. EM, UK,and US equity longs saw trims while EU and UK had positive moves. Rates sawdecreases ex-UST short, which saw a large trim. Credit saw decreases whilecommodities longs increased (ex-Gold). EMFX is the new consensus long vs USIG.Figure 1 shows the implied views based on averaging the over/underweightscores across all managers in our sample. Managers remain long equities, slightlytrimming US and EM upon strong performance, but remaining optimistic in the AIstrength. They trimmed EU short and increased China long. In rates, we see broadtrimming of longs in RoW and lowered bearish conviction for USTs, which saw a Source: Citi Research Directional views using just the sign of positions are largely consistent with theconviction weighted scores. The number of managers long/short showsdecreased conviction for the gold long and UST short while the base metals longsees an increase. There is no disagreement in long commodities and EM credit,while US IG and USTs are popular shorts.In Figure 2, we produce a robustalternative metric. We count the number of over/underweights and show as a % ofmanagers taking a view on each asset class, ignoring the conviction weight, whichwe inferred from each manager’s specific methodology. Directional sentimentusing the signs of positions in equities aligns with the conviction weighted scores.Overall, we see little change in views from last month. In equities, EM and US longsremain directionally strong vs EU short. In Rates, Gilts are still a pre