制度模型更新：2013年回声利好大宗商品

Regime Model Update: Echoes of 2013 favor commodities over equities CITI'S TAKE Alex SaundersAC+1-212-723-1058alexander.saunders@citi.com We update our regime model using the latest country-level data. Werecently enhanced our model to capture region-specific and more timelymeasures. Cross-asset volatility has declined further since last month, butthe episodic nature of the conflict poses underlying uncertainty and bigrotations in equities keep markets climbing a wall of worry. The model flagsanalogous periods in 76-77 and overweights 13-14, further shifting awayfrom equity risk into commodities overweight. In our global macro teamweekly, we also trimmed equity longs in our GAA and GMS portfolios amid“growing pAIns” in the AI trade. The model has moved further underweightcredit through US IG, albeit US HY sees trimming of shorts. Commoditiesoverweight is increased through precious metals flipping long. The energyoverweight remains even when its expected Sharpe ratio has decreased.Systematic strategies have generally performed well year-to-date, thoughreturns in the past month were mixed. Vinh VoAC+44-20-75-086-717vinh.vo@citi.com With thanks toIrem Sen Rates preferred over credit; equities flip to negative against an increasedcommodities long —Our regime model has moved further away from risk; theportfolio is max long rates through Gilts and European bonds (against USTs andJGBs). 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 underweightwas trimmed – credit overall is now max short. Energy remains long while preciousmetals flip long against base metals. Systematic strategies up YTD ex-GAA Carry —Trend models remain positive YTD,but commodities and bonds saw losses in the last 1m. Futures x-asset carry gainsremain impressive, driven by commodities, while GAA universe-constrained carryperformance remains soggy. Systematic value strategies rebounded across equitiesand bonds this month as investors rotated out of some of the more expensive AIbeneficiaries and into cheaper, higher-value segments. Commodity value was flaton the month. See Appendix A-1 for Analyst Certification, Important Disclosures and Research Analyst Affiliations. Echoes of 2013 favor commoditiesover equities Equities weather softer US data and AI growing pains as commodities undergo asharp correction.Cross-asset returns were mixed over the past month as marketsbalanced softer US labour data, “growing pAIns” around the AI trade, and arepricing of the Fed path. In Figure 1, we show that last month gains were led byJapanese and European equities while the standout underperformers werecommodities with all three: Energy, Precious Metals, and Base Metals – all down onthe month. A firmer USD turned FX effects into a modest headwind, with hedgedreturns generally outperforming unhedged across non-US assets. Global equitiesremained broadly resilient supported by still-plentiful liquidity, firm earnings, andan intact "picks and shovels" AI narrative. That said, we think leadership hasbroadened and mega cap dispersion picked up as "AI-flation" narrative takes holdand crowded positioning became the latest walls of worry. Bonds were slightlyfirmer over the month while credit was mixed. Figure 2 shows the correlation ofrecent returns with those estimated in each global macro-economic cluster, wherewe briefly edge from a recovery to a growth shock regime. Easy financial conditions and cross-asset volatility moving further below long-term averages keep us in the “Normal” macro cluster; the model continues totrim risk this month.We update our regime model for June and find ourselves inthe “Normal” cluster with growth/inflation metrics still around long-term averages.The top panel of Figure 3 shows the macroeconomic environment based on ourindicators. Leading indicators have picked up while we saw financial conditionsloosen (currently at –0.36σ) and cross-asset volatility moved considerably lower,especially compared to the geopolitics-driven highs earlier in the year (see Figure3). Inflation readings have moved slightly lower, and the evolution of thefundamental economic data remains crucial and uncertain. Late-1970s observations, 1996–97, and the early/mid-2010s continue to standout.Figure 3 shows our macro variables through time. The lower panel showswhich periods have similar conditions to today. While the overall picture haschanged little since our previous publication, the 1970s analog is now more clearly concentrated in 1976–77, with portions of 1979 also appearing. The pre-Volckerperiod of 1976–79 was characterized by elevated volatility, but equities weresupported by falling inflation and easing financial conditions. Inflation and Feddiscount rates rose only gradually before the much more aggressive tighteningcycle that preceded the early-1980s recessions. We also identify late 1989 as arelevant analogue. The 1996–97 period captures the early st