Searching for Alpha — Tactical Style Rotation: Using Risk and Return to Manage Style Exposure

Citi Research's daily tactical style rotation report provides style exposure recommendations across four regions—Europe, USA, Asia ex Japan and Japan. It evaluates seven style factors: Value, Growth, Low Risk, Size, Quality, Price Momentum and Estimates Momentum, combining two dimensions—short-term return relative to long-term, and long-term risk relative to short-term forecast—to generate tactical weights ranging from Strong Overweight to Strong Underweight. The report also presents rolling long-short style performance over 4-week, YTD and 1-year horizons, showing recent signal changes across regions. It is designed as a daily-updated quantitative tactical allocation tool for institutional investors managing style exposure.