Tactical Style Rotation: Using Risk and Return to Manage Style Exposure.

This report presents Citi Research's tactical style rotation framework, which manages equity style exposure along two dimensions: risk and return. By comparing a style's short-term return signal with its long-term forecast, and its short-term risk with the long-term risk forecast, the model determines whether each style should be strongly overweight, overweight, underweight or strongly underweight. The analysis covers Europe, the US, Asia ex Japan and Japan, tracking seven styles: Value, Growth, Low Risk, Size, Quality, Price Momentum and Earnings Estimates Momentum. It also presents recent, year-to-date and one-year cumulative long-short performance together with rolling 12-month recommendations. The model produces regional tactical style weights, providing a systematic basis for dynamically adjusting style allocations.