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1、Family Office Investment ReportQ2 2024 CAPITAL FLOWS&INSIGHTSThis analysis is based on investment assets held by single family office clients at Citi Private Bank.Citi Private Banks Global Family Office Group considers a single family office to have US$250mm+net worth and one or more dedicated profe

2、ssionals covering i.portfolio of assets/investments&liabilities;ii.legal matters;iii.finance and accounting;iv.trusts&tax planning;and/or v.philanthropy&foundations.Data is taken from more than 1,200 single family office clients globally and filtered for size and allocation characteristics.This publ

3、ication presents a general snapshot of how Citi Private Banks single family office clients are positioned and provides insight into regional flows.The data provided is not representative of and should not be deemed to be attributable to any particular family office client.Please refer to page 22 for

4、 methodology information.Investment assets that single family office clients hold at Citi Private Bank were captured on March 31 and June 30,2024.The asset classes included align with Citi Private Banks Global Investment Committee definitions and nomenclature.Please refer to pages 23-24 for index de

5、finitions and page 25 for asset class definitions.All information presented in this publication is for informational purposes only,is based on past activity,is not intended to represent investment advice nor any projection of forward-looking performance,and is not the product of Citis Research Depar

6、tment.You are solely responsible for consulting your own independent advisors as to the legal,tax,accounting and related matters concerning the information herein and nothing in this document or in any communication,whether or not in writing,between you and Citibank/Citigroup or any of their affilia

7、tes constitutes legal,tax or accounting advice.INVESTMENT PRODUCTS:NOT FDIC INSURED NOT CDIC INSURED NOT GOVERNMENT INSURED NO BANK GUARANTEE MAY LOSE VALUEFAMILY OFFICE INVESTMENT REPORT3ContentsForeword Asset allocationFamily office flows by regionAsia PacificEurope,the Middle East&AfricaLatin Ame

8、ricaNorth AmericaRecap and outlookMore key reads for family officesAbout the Global Family Office GroupAbout the Global Investment LabMethodologyIndex definitionsAsset class and other definitionsImportant information 45891113151719202122232526FAMILY OFFICE INVESTMENT REPORT4Actions speak louder than

9、 words.While often true in life,this rule of thumb may have even greater relevance when it comes to investing.Financial markets are noisy places,owing to almost incessant chatter,rumors,and extrapolation.Amid the din,we believe that looking at how investors are acting may be more instructive than li

10、stening to speculation about how they might be acting.Of course,this is easier said than done.Insight into the portfolio positioning and shifts of others is not always readily available.This is especially true when it comes to family offices.Unlike many other market participants,they typically shun

11、publicity.So,our Family Office Investment Report provides a quarterly aggregate snapshot of these sophisticated entities recent decisions.We then review these moves given subsequent events.Many risk assets rallied in the second quarter of 2024,particularly Equities.This followed our family office cl

12、ients broad-based additions to equity holdings in the first three months of the year.By contrast,they were more ambivalent about Fixed Income,which has since done somewhat worse.ForewordDuring the second quarter,our family office clients also continued to allocate more to Equities but also to Hedge

13、Funds.There has also been a modest renewal of interest in Fixed Income.We shall,of course,be closely watching how these moves play out over the coming quarters.To provide you with yet more insights into family office investment thinking,we will publish our annual survey report in mid-September.The s

14、urvey presents the total holdings of many of our family office clients across all providers,accompanied by their perspectives into a wide range of key issues.Based on self-reported data,it is most useful when read in conjunction with this publication.After you have digested this report,we invite you

15、 to have a conversation with us about your family offices positioning.We are always keen to hear your perspectives and discuss possibilities for evolving your allocation.It is our privilege to serve you.Hannes HofmannHeadGlobal Family Office GroupShu ZhangHeadGlobal Investment LabFAMILY OFFICE INVES

16、TMENT REPORT5Asset allocationFAMILY OFFICE INVESTMENT REPORT6A S S E T A L LO CAT I O NDespite a further delay in US interest rate cuts and greater geopolitical uncertainty,many family offices raised their allocations to Fixed Income and Equities in the second quarter of 2024,while further reducing

17、Cash holdings.Within Equities,their preferences tilted toward Developed Large Caps.All regions except North America saw reduced allocations to Small and Mid Cap(SMID)Equities,while exposure to Emerging Markets Equities was down or flat.Within Fixed Income sub-asset classes,flows were mixed across al

18、l four regions with no clear preference.Allocations to Hedge Funds rose during the period.Activity in Commodities was muted.FIGURE 1:ASSET ALLOCATIONS (EQUAL-WEIGHTED)*FIGURE 2:ASSET ALLOCATIONS(CAPITAL-WEIGHTED)*CASHFIXED INCOMEEQUITIES HEDGE FUNDSPRIVATE EQUITYREAL ESTATECOMMODITIESCASHFIXED INCOM

19、EEQUITIES HEDGE FUNDSPRIVATE EQUITYREAL ESTATECOMMODITIESGLOBALGLOBALAPACAPACEMEAEMEALATAMLATAMNAMNAM28.2%2O.4%27.3%17.0%27.9%23.0%29.0%19.8%28.5%20.5%35.0%55.6%40.3%58.5%31.6%39.9%32.9%57.5%35.8%61.6%3.0%2.0%3.7%1.4%3.1%4.3%3.3%2.0%2.4%1.0%7.3%2.6%4.7%1.8%8.1%5.8%5.9%2.1%8.5%1.5%3.5%1.4%3.2%0.8%5.5

20、%4.0%3.3%0.6%2.4%0.5%0.7%0.4%0.5%0.3%0.9%1.3%0.7%0.3%0.6%0.1%22.4%17.7%20.3%20.3%22.9%21.7%24.9%17.8%21.8%14.8%An equal-weighted average of family office client allocations as of June 30,2024.In the equal-weighted methodology,each account included in the analysis is given the same weight(1/Number of

21、 Accounts).A capital-weighted average of family office client allocations as of June 30,2024.In the capital-weighted methodology,each accounts weight is proportional to its market value(Weight of Account A=Market Value of Account A/Market Value of Family Office Client Universe Holdings).Source:Citi

22、Private Bank,June 2024.*This analysis takes holdings data from over 1,200 relationships globally and requires a minimum of 50 relationships in each region(APAC,EMEA,LATAM or NAM)to conduct this analysis.FAMILY OFFICE INVESTMENT REPORT7Cash Extending the trend of several recent quarters,family office

23、s cut their exposure to Cash.This was the case for family office clients overall(equal-weighted basis)and those with larger portfolios held at Citi Private Bank(capital-weighted basis)in all four regions bar Latin America.Fixed Income Allocations were flat to positive in all regions bar Latin Americ

24、a on both an equal-and capital-weighted basis.Preferences for fixed income sub-asset classes were mixed across regions.Source:Citi Global Wealth Investments Quant Research&Global AssetAllocation teams,data as of December 31,2023FIGURE 3:GLOBAL ALLOCATION IN US DOLLARS WITH HEDGE FUNDS AND 15%ILLIQUI

25、DS(PRIVATE EQUITY&REAL ESTATE)AT RISK LEVEL 3*28.4%Developed Equity4.7%Emerging Equity32.6%Inv Grade Fixed Income5.0%Real Estate2.0%High Yield Fixed Income12.0%Hedge Funds10.0%Private Equity3.2%Emerging Fixed Income2.0%Cash*Please refer to Citi Global Wealth Investments Global Investment Committees

26、Portfolio Allocations for information on portfolios at each risk level.Equities Equities saw increased allocations in three of four regions on an equal-weighted view.For family offices with large portfolios at Citi Private Bank,allocations rose in every region.As in previous quarters,Developed Large

27、 Cap Equities were favored.Developed Small and Mid Cap Equities experienced a reversal of the previous quarters positive flows except in North America.Alternatives and Commodities Hedge Fund allocations went up in every region bar Latin America(equal-weighted basis),while the trend was mixed for fam

28、ily offices with larger portfolios at Citi Private Bank.Private Equity saw significantly increased allocations in two regions,with minor retreats in two other regions(equal-weighted basis).There was no clear trend in Real Estate or Commodities between regions.FAMILY OFFICE INVESTMENT REPORT8Family o

29、fficeflows by regionHow have family office clients portfolios evolved in the second quarter of 2024?In this section,we break down portfolio flows by region.Key trends observed include:A renewed but modest shift into Fixed Income overall Mixed preferences for Fixed Income sub-asset classes Continued

30、appetite for Equities across most regions A widespread preference for Developed Large Cap Equities over Small and Mid Caps Increased allocations to Hedge Funds in most regionsFAMILY OFFICE INVESTMENT REPORT9A S I A PAC I F I CAs in the previous quarter,family offices allocated more to both Fixed Inc

31、ome and Equities on an equal-weighted basis.This pattern was even more pronounced for family offices with larger portfolios at Citi Private Bank.FIGURE 4:ASSET ALLOCATIONS(EQUAL-WEIGHTED)*FIGURE 5:ASSET ALLOCATIONS(CAPITAL-WEIGHTED)*An equal-weighted average of family office client allocations;June

32、30,2024 vs.March 31,2024.CASHFIXED INCOMEEQUITIES HEDGE FUNDSPRIVATE EQUITYREAL ESTATECOMMODITIESDEV.SOVEREIGNDEV.IGDIVERSIFIED DEBTDEV.HYEM DEBTOTHER DEBTDEV.LARGE CAPDEV.SMALL/MID CAPDIVERSIFIED EQUITYEM EQUITYOTHER EQUITY27.2%(-0.60%)20.5%(0.45%)3.6%(0.26%)4.6%(-0.08%)3.3%(-0.05%)0.4%(-0.04)40.4%

33、(0.07%)1.4%(0.10%)7.7%(0.00%)5.6%(0.87%)2.2%(-0.06%)2.4%(-0.13%)1.2%(-0.33%)14.8%(-1.05%)2.3%(0.39%)5.0%(0.11%)3.4%(-0.42%)14.9%(1.04%)Source:Citi Private Bank,June 2024.The changes in asset allocation are based on trading activity.Holdings are normalized to March 31,2024 valuations for consistency

34、and,as such,are not impacted by price action.Detailed methodology is available on page 22.*Two weighting methodologies are used in this analysis:equal-weighted and capital-weighted.In the equal-weighted methodology,each account included in the analysis is given the same weight(1/Number of Accounts).

35、In the capital-weighted methodology,each accounts weight is proportional to its market value(Weight of Account A=Market Value of Account A/Market Value of Family Office Client Universe Holdings).This analysis takes holdings data from over 1,200 relationships globallyand requires a minimum of 50 rela

36、tionships in each region(APAC,EMEA,LATAM or NAM)to conduct this analysis.An equal-weighted average of family office client allocations;June 30,2024 vs.March 31,2024.CASHFIXED INCOMEEQUITIES HEDGE FUNDSPRIVATE EQUITYREAL ESTATECOMMODITIESDEV.SOVEREIGNDEV.IGDIVERSIFIED DEBTDEV.HYEM DEBTOTHER DEBTDEV.L

37、ARGE CAPDEV.SMALL/MID CAPDIVERSIFIED EQUITYEM EQUITYOTHER EQUITY17.1%(-0.89%)20.5%(0.37%)1.4%(-0.06%)1.7%(-0.03%)0.8%(-0.02%)0.3%(0.07%)58.2%(0.56%)1.0%(0.05%)8.4%(0.84%)3.4%(0.76%)2.4%(0.05%)3.1%(-1.20%)2.2%(-0.13%)34.1%(-0.72%)1.9%(0.26%)3.0%(-0.11%)3.1%(-0.10%)16.2%(1.23%)DECREASED ALLOCATION AS

38、COMPARED TO PRIOR PERIODINCREASED ALLOCATION ASCOMPARED TO PREVIOUS PERIODNO CHANGE TO ALLOCATION AS COMPARED TO PREVIOUS PERIODFAMILY OFFICE INVESTMENT REPORT10Fixed Income Net dollar flows were positive once more,but at almost twice the rate of the first quarter of 2024.Developed Investment Grade

39、and Developed Sovereign were together the largest contributors of overall positive net dollar flow within Fixed Income.Most buying activity centered on US Treasuries and high-quality financial credits within the short-to intermediate-duration range.Dollar flows into Diversified Fixed Income were als

40、o net positive,and at similar magnitude to those into Developed Investment Grade and Developed Sovereign.A handful of large buy trades on select global income funds were largely responsible.But even excluding these trades,overall net dollar flow remains positive.Allocations to Developed Corporate Hi

41、gh Yield rose again on a capital-weighted view.Buying was broadly diversified across financials,energy and real estate,while selling primarily involved select financial perpetuals.Net dollar outflow from Emerging Market Debt was mainly due to bond maturities.Excluding maturing bonds,net dollar flow

42、was flat for the quarter.Buying and selling activities were broadly diversified across sectors.Equities Net dollar flow for Equities was positive for the third quarter running,with family offices increasing allocation on both an equal-weighted and capital-weighted basis.Developed Large Cap Equities

43、was the main driver of positive net dollar flow,at roughly twice the rate of the previous quarter.Buying and selling of individual equities and exchange traded funds(ETFs)within the US technology sector dominated net dollar flow for the quarter.While this mostly focused on the US,there was also buyi

44、ng interest in select Japanese stocks.Developed Small and Mid Cap Equities saw another quarter of net dollar outflow.Buying and selling activities were broadly diversified across sectors and geographies.Emerging Markets Equities saw negative net dollar flow in the second quarter of 2024,as in the fi

45、rst quarter.Buying was broadly diversified across sectors,while selling was largely concentrated upon the information technology,consumer discretionary and communication services sectors.We continued to see moderate buying interest in select India-focused funds.On average,family offices in the regio

46、n hold a greater allocation to Equities than anywhere else on an equal-weighted basis.Alternatives and Commodities Allocations to Hedge Funds overall stepped up on an equal-weighted basis.However,allocations retreated on a capital-weighted basis owing to the distortionary effect of a large redemptio

47、n by one family office with a large portfolio at Citi Private Bank.There was moderate buying interest in certain multi-strategy and multi-manager hedge fund strategies.Trading within Commodities was also muted,with allocation staying broadly flat at 0.4%on an equal-weighted basis.The changes in asse

48、t allocation are based on trading activity.Holdings are normalized to June 30,2024 valuations for consistency and,as such,are not impacted by price action.Detailed methodology is available on page 22.This page summarizes changes observed in Citi Private Banks single family office clients portfolio a

49、sset allocations in Q2 2024.The summary on this page is for informational purposes only,based on past activity,not intended to represent investment advice,nor any projection of forward-looking performance.FAMILY OFFICE INVESTMENT REPORT11E U R O P E,T H E M I D D L E E A ST&A F R I CAPutting capital

50、 to work remained the order of the day,with allocations to Cash declining on both an equal-and capital-weighted basis.Private Equity and Hedge Funds allocations rose.FIGURE 6:ASSET ALLOCATIONS(EQUAL-WEIGHTED)*FIGURE 7:ASSET ALLOCATIONS(CAPITAL-WEIGHTED)*An equal-weighted average of family office cli

51、ent allocations;June 30,2024 vs.March 31,2024.An equal-weighted average of family office client allocations;June 30,2024 vs.March 31,2024.CASHFIXED INCOMEEQUITIES HEDGE FUNDSPRIVATE EQUITYREAL ESTATECOMMODITIESCASHFIXED INCOMEEQUITIES HEDGE FUNDSPRIVATE EQUITYREAL ESTATECOMMODITIESDEV.SOVEREIGNDEV.I

52、GDIVERSIFIED DEBTDEV.HYEM DEBTOTHER DEBTDEV.LARGE CAPDEV.SMALL/MID CAPDIVERSIFIED EQUITYEM EQUITYOTHER EQUITYDEV.SOVEREIGNDEV.IGDIVERSIFIED DEBTDEV.HYEM DEBTOTHER DEBTDEV.LARGE CAPDEV.SMALL/MID CAPDIVERSIFIED EQUITYEM EQUITYOTHER EQUITY28.8%(-0.92%)25.1%(-1.51%)22.2%(0.09)19.9%(0.45%)3.8%(0.35%)5.1%

53、(0.43%)8.4%(0.75%)6.2%(0.22%)5.4%(-0.27%)4.2%(0.10%)1.0%(0.02%)1.4%(0.04%)30.5%(-0.01%)38.2%(0.26%)6.3%(-0.09%)4.4%(-0.08%)9.2%(-0.06%)8.3%(-0.73%)1.1%(0.01%)1.7%(0.60%)2.2%(0.21%)3.8%(0.66%)3.0%(-0.19%)1.6%(0.02%)0.1%(-0.01%)4.0%(0.14%)10.4%(0.80%)0.8%(0.00%)1.6%(0.05%)4.3%(-0.18%)3.6%(0.03%)5.4%(-

54、0.10%)9.6%(-1.46%)15.9%(0.14%)12.9%(0.84%)Source:Citi Private Bank,June 2024.The changes in asset allocation are based on trading activity.Holdings are normalized to March 31,2024 valuations for consistency and,as such,are not impacted by price action.Detailed methodology is available on page 22.*Tw

55、o weighting methodologies are used in this analysis:equal-weighted and capital-weighted.In the equal-weighted methodology,each account included in the analysis is given the same weight(1/Number of Accounts).In the capital-weighted methodology,each accounts weight is proportional to its market value(

56、Weight of Account A=Market Value of Account A/Market Value of Family Office Client Universe Holdings).This analysis takes holdings data from over 1,200 relationships globally and requires a minimum of 50 relationships in each region(APAC,EMEA,LATAM or NAM)to conduct this analysis.DECREASED ALLOCATIO

57、N AS COMPARED TO PRIOR PERIODINCREASED ALLOCATION ASCOMPARED TO PREVIOUS PERIODNO CHANGE TO ALLOCATION AS COMPARED TO PREVIOUS PERIOD0.5%(0.21%)FAMILY OFFICE INVESTMENT REPORT12Fixed Income Family offices overall fractionally increased their holdings in the second quarter of 2024(equal-weighted basi

58、s).Those with larger portfolios at Citi Private Bank,however,upped their allocations somewhat more.Developed Corporate High Yield was favored among family offices overall and on a capital-weighted basis.Family offices broadly maintained their allocation to high-quality debt,albeit with redemptions i

59、n selected short maturity funds.While allocations to Emerging Market Debt declined during the period,holdings were steady on a capital-weighted basis.Equities While allocations to Equities remained broadly unchanged on average for the second quarter,family offices with larger investment portfolios a

60、t Citi Private Bank slightly increased their allocations.Developed Large Cap Equities accounted for approximately 61%of overall trading volume for this asset class.Within Large Caps,there was net buying of European stocks,while US technology and communication stocks saw outflows as clients potential

61、ly sought to take profits following the strong market rally.Allocations to Developed Small and Mid Cap(SMID)names declined,particularly on a capital-weighted basis.Emerging Market names experienced continued net dollar inflows during the period,driven by activity around select large cap Indian stock

62、s.Alternatives and Commodities Allocations to Private Equity and Hedge Funds increased during the period.Allocations to Commodities remained flat during the period.The changes in asset allocation are based on trading activity.Holdings are normalized to March 31,2024 valuations for consistency and,as

63、 such,are not impacted by price action.Detailed methodology is available on page 22.This page summarizes changes observed in Citi Private Banks single family office clients portfolio asset allocations in Q2 2024.The summary on this page is for informational purposes only,based on past activity and i

64、s not intended to represent investment advice,nor any projection of forward-looking performance.FAMILY OFFICE INVESTMENT REPORT13L AT I N A M E R I CA Fixed income exposure was trimmed,with proceeds reinvested in more growth-oriented asset classes such Equities,Private Equity,and Real Estate.FIGURE

65、8:ASSET ALLOCATIONS(EQUAL-WEIGHTED)*FIGURE 9:ASSET ALLOCATIONS(CAPITAL-WEIGHTED)*An equal-weighted average of family office client allocations;June 30,2024 vs.March 31,2024.An equal-weighted average of family office client allocations;June 30,2024 vs.March 31,2024.CASHFIXED INCOMEEQUITIES HEDGE FUND

66、SPRIVATE EQUITYREAL ESTATECOMMODITIESCASHFIXED INCOMEEQUITIESHEDGE FUNDSPRIVATE EQUITYREAL ESTATECOMMODITIESMUNICIPAL BONDSUS IG BONDSDEVELOPED IG BONDS(ex-US)HIGH YIELD BONDSEMERGING MARKET BONDSOTHER FIXED INCOMEUS LARGE CAP EQUITIESUS SMID CAP EQUITIESDEVELOPED EQUITIES(ex-US)EMERGING MARKET EQUI

67、TIESOTHER EQUITIES MUNICIPAL BONDSUS IG BONDSDEVELOPED IG BONDS(ex-US)HIGH YIELD BONDSEMERGING MARKET BONDSOTHER FIXED INCOMEUS LARGE CAP EQUITIESUS SMID CAP EQUITIESDEVELOPED EQUITIES(ex-US)EMERGING MARKET EQUITIESOTHER EQUITIES 26.5%(0.24%)19.1%(0.38%)26.3%(-0.77%)17.3%(-1.26%)3.3%(-0.09%)1.8%(-0.

68、09%)5.3%(0.32%)2.0%(0.02%)3.6%(0.13%)0.6%(0.00%)0.7%(0.00%)0.3%(0.01%)34.3%(0.17%)58.9%(0.94%)0.0%(0.01%)0.0%(0.0%)11.8%(-1.09%)8.4%(-0.85%)1.6%(-0.22%)1.0%(-0.22%)1.7%(-0.08%)1.2%(-0.06%)6.2%(0.01%)3.1%(-0.14%)5.0%(O.61%)3.6%(0.02%)8.6%(-0.11%)24.0%(0.17%)9.9%(0.10%)21.6%(0.08%)3.7%(-0.22%)4.9%(-0.

69、07%)0.8%(-0.09%)0.7%(-0.03%)11.2%(0.48%)7.8%(0.80%)Source:Citi Private Bank,June 2024.The changes in asset allocation are based on trading activity.Holdings are normalized to March 31,2024 valuations for consistency and,as such,are not impacted by price action.Detailed methodology is available on pa

70、ge 22.*Two weighting methodologies are used in this analysis:equal-weighted and capital-weighted.In the equal-weighted methodology,each account included in the analysis is given the same weight(1/Number of Accounts).In the capital-weighted methodology,each accounts weight is proportional to its mark

71、et value(Weight of Account A=Market Value of Account A/Market Value of Family Office Client Universe Holdings).This analysis takes holdings data from over 1,200 relationships globally and requires a minimum of 50 relationships in each region(APAC,EMEA,LATAM or NAM)to conduct this analysis.DECREASED

72、ALLOCATION AS COMPARED TO PRIOR PERIODINCREASED ALLOCATION ASCOMPARED TO PREVIOUS PERIODNO CHANGE TO ALLOCATION AS COMPARED TO PREVIOUS PERIODFAMILY OFFICE INVESTMENT REPORT14Fixed Income The decreases in fixed income exposure were some of the most pronounced for any asset class regionally,on both a

73、n equal-and capital-weighted basis.The largest outflow occurred in US Investment Grade,focused on US Treasuries.By contrast,US Investment Grade Corporate exposure remained stable.Despite the outflows,Latin America family offices still had the largest exposure to this asset class of any region.Equiti

74、es Exposure to Equities increased overall,but especially so for family offices with larger portfolios at Citi Private Bank.Within Equities,the largest flows-equal-and capital-weighted -were purchases of US Large Cap Equities.These were mostly concentrated in broad-based S&P 500 strategies and some o

75、f the biggest individual technology stocks.Alternatives and Commodities Half of family offices have an allocation to Private Equity and/or Real Estate held with Citi Private Bank.Slow distributions have resulted in higher net asset values for Private Equity and Real Estate holdings.This has slightly

76、 inflated allocation levels,particularly on an equal-weighted view.The changes in asset allocation are based on trading activity.Holdings are normalized to March 31,2024 valuations for consistency and,as such,are not impacted by price action.Detailed methodology is available on page 22.This page sum

77、marizes changes observed in Citi Private Banks single family office clients portfolio asset allocations in Q2 2024.The summary on this page is for informational purposes only,based on past activity,not intended to represent investment advice,nor any projection of forward-looking performance.FAMILY O

78、FFICE INVESTMENT REPORT15N O RT H A M E R I CA Despite the high yields still available on Cash,there was a continued shift toward other asset classes.This reallocation was tilted toward Equities rather than Fixed Income,although both saw inflows.Family offices with larger investment portfolios at Ci

79、ti were somewhat more active in putting Cash to work,as the capital-weighted figure shows.FIGURE 10:ASSET ALLOCATIONS(EQUAL-WEIGHTED)*FIGURE 11:ASSET ALLOCATIONS(CAPITAL-WEIGHTED)*An equal-weighted average of family office client allocations;June 30,2024 vs.March 31,2024.Source:Citi Private Bank,Jun

80、e 2024.The changes in asset allocation are based on trading activity.Holdings are normalized to March 31,2024 valuations for consistency and,as such,are not impacted by price action.Detailed methodology is available on page 22.*Two weighting methodologies are used in this analysis:equal-weighted and

81、 capital-weighted.In the equal-weighted methodology,each account included in the analysis is given the same weight(1/Number of Accounts).In the capital-weighted methodology,each accounts weight is proportional to its market value(Weight of Account A=Market Value of Account A/Market Value of Family O

82、ffice Client Universe Holdings).This analysis takes holdings data from over 1,200 relationships globally and requires a minimum of 50 relationships in each region(APAC,EMEA,LATAM or NAM)to conduct this analysis.A capital-weighted average of family office client allocations;June 30,2024 vs.March 31,2

83、024.DECREASED ALLOCATION AS COMPARED TO PRIOR PERIODINCREASED ALLOCATION ASCOMPARED TO PREVIOUS PERIODNO CHANGE TO ALLOCATION AS COMPARED TO PREVIOUS PERIODCASHFIXED INCOMEEQUITIESHEDGE FUNDSPRIVATE EQUITYREAL ESTATECOMMODITIESCASHFIXED INCOMEEQUITIESHEDGE FUNDSPRIVATE EQUITYREAL ESTATECOMMODITIESMU

84、NICIPAL BONDSUS IG BONDSDEVELOPED IG BONDS(ex-US)HIGH YIELD BONDSEMERGING MARKET BONDSOTHER FIXED INCOMEUS LARGE CAP EQUITIESUS SMID CAP EQUITIESDEVELOPED EQUITIES(ex-US)EMERGING MARKET EQUITIESOTHER EQUITIES MUNICIPAL BONDSUS IG BONDSDEVELOPED IG BONDS(ex-US)HIGH YIELD BONDSEMERGING MARKET BONDSOTH

85、ER FIXED INCOMEUS LARGE CAP EQUITIESUS SMID CAP EQUITIESDEVELOPED EQUITIES(ex-US)EMERGING MARKET EQUITIESOTHER EQUITIES 27.6%(-1.46%)20.0%(-2.39%)22.0%(0.40%)15.1%(0.49%)2.4%(0.29%)1.0%(0.04%)8.7%(-0.03%)1.5%(0.04%)2.5%(0.01%)0.5%(0.01%)0.5%(0.00%)0.1%(0.00%)36.3%(0.78%)61.9%(1.82%)12.7%(0.49%)7.2%(

86、0.16%)5.7%(0.19%)5.7%(0.22%)0.6%(0.01%)0.8%(0.06%)0.3%(0.01%)0.1%(0.00%)0.0%(0.00%)0.0%(0.02%)2.7%(-0.30%)1.3%(0.04%)1.7%(0.17%)1.8%(0.08%)6.2%(-0.59%)17.2%(0.03%)3.8%(-0.08%)4.3%(0.01%)4.3%(0.14%)2.6%(0.28%)20.4%(1.14%)36.1%(1.41%)FAMILY OFFICE INVESTMENT REPORT16The changes in asset allocation are

87、 based on trading activity.Holdings are normalized to March 31,2024 valuations for consistency and,as such,are not impacted by price action.Detailed methodology is available on page 22.This page summarizes changes observed in Citi Private Banks single family office clients portfolio asset allocation

88、s in Q2 2024.The summary on this page is for informational purposes only,based on past activity,not intended to represent investment advice,nor any projection of forward-looking performance.Fixed Income Allocations went up across both weighting methodologies.This increase was primarily driven by buy

89、ing of Municipal Bonds and US Treasuries.On an equal-weighted basis,the average maturity purchased was around four to six years.Together,these two sub-asset classes accounted for 92%of trading volume within Fixed Income.Equities Both the average family office client and those with larger portfolios

90、at Citi Private Bank upped their holdings.The increase was proportionally greater among the latter group.This signifies large trades within concentrated relationships.Activity in US Large Cap Equities was the principal driver,accounting for 60%of trading volume within Equities.Amid ongoing low relat

91、ive valuations,there was continued interest in US Small and Mid Cap Equities.Consumer discretionary and financials saw buying.After almost a year of muted activity in Emerging Markets Equities,there was a broad-based renewal of interest in this asset class.On average,exposure fell in Developed Equit

92、ies ex-US and Other Equities,the latter consisting mainly of broad-based ETFs,managed accounts,and mutual funds.Alternatives and Commodities Broad interest was apparent in Hedge Funds,but particularly in credit-focused strategies.Activity in Private Equity,Real Estate,and Commodities was muted durin

93、g the second quarter of 2024.FAMILY OFFICE INVESTMENT REPORT17R ECA P A N D O U T LO O KPositive momentum for risk assets continued in the second quarter of 2024,albeit somewhat more slowly than in the brisk first quarter.A further easing of inflation,an interest rate cut from the European Central B

94、ank,and hopes of stimulus-driven recovery in China were all helpful for investor sentiment.Admittedly,such factors were somewhat offset by the further postponement of US interest rate cuts and the initial reactions to election results in India,Mexico,and France.Global Equity thus registered another

95、quarterly gain.Within that,however,there were some changes of gear.In a reversal of the first quarters pattern,Emerging Markets trumped their developed counterparts.India,China,and Taiwan were major contributors to this,whereas Latin Americas performance went backwards.In developed markets,the UK,a

96、long-time laggard,saw signs of revival,while Europe retreated.In Fixed Income,performance patterns resembled those in the prior quarter.Higher quality corporate and sovereign bonds in developed markets were flat to lower,while High Yield and Emerging Markets advanced.Commodities and hedge funds buil

97、t on their gains from the first quarter,albeit to a lesser degree.FAMILY OFFICE INVESTMENT REPORT18FIGURE 12:MARKET PERFORMANCESource:Bloomberg,as of June 30,2024,OCIS June 2024.Q1 2024 Total Return Analysis Period:April 2024 June 2024.Note:Return is in USD terms and is total returns.Past performanc

98、e is not indicative of future returns.The indices are unmanaged and are not investable.Index data is provided for comparative purposes only.Please refer to pages 23-24 for index definitions.Diversification does not ensure profit or protection against loss.US AGGREGATEEUROPEAN AGGREGATEGLOBAL AGGREGA

99、TEUS HIGH YIELD CORPORATEEUROPEAN HIGH YIELD CORPORATEEM HARD CURRENCY AGGREGATEEM SOVEREIGN(LOCAL)US EQUITIESEUROPEAN EQUITIESJAPANESE EQUITIESLATAM EQUITIESEM ASIA EQUITIESEM EUROPEAN EQUITIES GLOBAL EQUITIESCRUDE OIL(WTI)($/BARREL)BRENT OIL($/BARREL)GOLD($/OUNCE)HEDGE FUNDS OF FUNDSFIXED INCOMEEQ

100、UITIESCOMMODITIESHEDGE FUNDSQ2-2024 RETURN(%)YTD RETURN(%)4.3%12.8%0.5%12.0%0.8%13.7%6.9%1.9%11.2%15.3%7.7%4.5%-15.5%15.7%11.6%4.3%-12.0%-7.7%-2.3%7.5%9.4%3.0%-0.7%-1.2%-0.9%-3.2%-1.1%2.6%1.1%0.1%3.2%1.4%1.9%0.5%-1.2%-0.2%FIXED INCOMEHEDGE FUNDSCOMMODITIESEQUITIESFAMILY OFFICE INVESTMENT REPORT19Mor

101、e key reads forfamily officesA N N UA L FA M I LY O F F I C E S U RV EY R E P O RTFamily learning and education initiatives:Building a foundation for the futureWhen hope is not a strategy:Preparing children for significant wealthInvestment management best practices for family officesThe 2023 Family

102、Office Survey collected responses from over 268 family office clients over a month-long period.The findings and analysis in the resulting reportoffer exclusive insights into the thinking of someof the worlds most sophisticated family offices.Watch out for the 2024 Global Family Office Survey Report

103、in the fall.We regularly publish topical insights on the most important topics for family offices.Read our latest articles and publications at E AT U R E D W H I T E PA P E R SEight best practices for family leadership successionA guide to establishing a family officeExecutive reward and retention s

104、trategies for family officesFAMILY OFFICE INVESTMENT REPORT20About the Global Family Office GroupCiti Private Banks Global Family Office Group serves single family offices,private investment companies and private holding companies,including family-owned enterprises and foundations,around the world.W

105、e offer clients comprehensive private banking and family office advisory services,institutional access to global opportunities and connections to a community of like-minded peers.For more information,please contact your Private Banker or the group head in your EG I O N A L CO N TAC TS Richard Weintr

106、aubAmericas HeadGlobal Family Office GAlessandro Amicucci Europe,Middle East&Africa HeadGlobal Family Office Group Bernard Wai Asia Pacific HeadGlobal Family Office GFAMILY OFFICE INVESTMENT REPORT21About the Global Investment LabThe Global Investment Lab is a dedicated,institutional-calibre analyti

107、cal team within Citi Global Wealth that is focused on customized portfolio construction,risk management and investment strategy.We understand the complex needs of family offices and are committed to helping clients identify opportunities and make well-informed investment decisions.From liquidity eve

108、nts to direct investment to strategic portfolio realignment,we put our analytical minds and deep experience with portfolio construction to work,identifying the appropriate investment portfolio opportunities for your family EG I O N A L CO N TAC TS Sneha Jose North America HeadGlobal Investment LJuan

109、 Francisco Clemenza Latin America HeadGlobal Investment Lab Sukhavasi Venkata VamsiEurope,Middle East&Africa HeadGlobal Investment Lab Rajesh AdwalpalkerAsia Pacific HeadGlobal Investment Lab FAMILY OFFICE INVESTMENT REPORT22MethodologyWe use equal-weighted and capital-weighted methodologies in this

110、 analysis.In the equal-weighted methodology,each account included in the analysis is given the same weight in the calculation of averages.Equal-weighted calculation=1/number of family office accounts.In the capital-weighted methodology,larger transactions which are often carried out by family office

111、s with larger portfolios have a greater bearing on the calculation.Capital-weighted calculation=Account As asset value/total value of family office client assets.This analysis takes asset data from over 1,200 relationships globally,requiring a minimum of 50 relationships in each region(APAC,EMEA,LAT

112、AM or NAM)for that region to be included.The analysis is only inclusive of assets for which Citi holds information(e.g.,direct client investments are not captured).Asset allocation(pg.5)Snapshot of asset allocation on a capital-weighted and equal-weighted basis,excluding:a.Liabilities;b.Client accou

113、nts valued at USD 1MM;and c.Clients who hold 90%(or more)of their assets in Cash&Cash EquivalentsRegional flows(pgs.9-16)Changes in the value of assets held,and the resultant impact on aggregate asset class weights,are entirely based on changing quantities and do not incorporate any price effects.Pr

114、oducts with multiple asset classes and holdings traded within managed portfolios are excluded from this analysis,along with:a.Negative positions and liabilities;b.Unfunded derivatives positions;c.Client accounts valued at 100%.Allocations to an asset class could change due to shifts in allocations t

115、o other asset classes.For example,an inflow of funds to one asset class while all others saw zero flows would register as negative flows for the latter.Private Equity&Real Estate do not record flows unless it is the first capital call of a new fund or retirement of an existing fund.Past performance

116、is not indicative of future results.FAMILY OFFICE INVESTMENT REPORT23Index definitionsUS Aggregate-Bloomberg Barclays U.S.Aggregate Bond IndexThe Bloomberg Barclays U.S.Aggregate Bond Index is a broad-based benchmark that measures the investment grade,U.S.dollar-denominated,fixed-rate taxable bond m

117、arket.This includes Treasuries,government-related and corporate securities,mortgage-backed securities,asset-backed securities and collateralized mortgage-backed securities.European Aggregate-Bloomberg Barclays Euro Agg Total Return IndexThe Bloomberg Barclays Euro Aggregate Bond Index includes fixed

118、-rate,investment grade euro denominated bonds.Inclusion is based on the currency of the issue,and not the domicile of the issuer.The principal sectors in the index are the Treasury,corporate,government-related and securitized.Global Aggregate-Bloomberg Barclays Global Aggregate BondThe Index measure

119、s the performance of the global investment grade,fixed-rate bond markets.The benchmark includes government,government-related and corporate bonds,as well as asset-backed,mortgage-backed and commercial mortgage-backed securities from both developed and emerging markets issuers.US High Yield Corporate

120、-Bloomberg Barclays US Corporate High Yield Total Return IndexThe Bloomberg Barclays US Corporate High Yield Bond Index measures the USD-denominated,high yield,fixed-rate corporate bond market.Securities are classified as high yield if the middle rating of Moodys,Fitch and S&P is Ba1/BB+/BB+or below

121、.Bonds from issuers with an emerging markets country of risk,based on Barclays EM country definition,are excluded.FAMILY OFFICE INVESTMENT REPORT24European High Yield Corporate-Bloomberg Barclays Pan-European High Yield Total Return IndexThe Bloomberg Barclays Pan-European High Yield Index measures

122、the market of non-investment grade,fixed-rate corporate bonds denominated in the following currencies:euro,pounds sterling,Danish krone,Norwegian krone,Swedish krona and Swiss franc.Inclusion is based on the currency of issue,and not the domicile of the issuer.EM Hard Currency Aggregate-Bloomberg Ba

123、rclays EM Local Currency Government TR IndexThe Bloomberg Barclays Emerging Markets Local Currency Government Index is a flagship index that measures the performance of local currency Emerging Markets(EM)debt.Classification as an EM is rules-based and reviewed annually using World Bank income group,

124、International Monetary Fund(IMF)country classification and additional considerations such as market size and investability.US Equities-S&P 500 IndexThe S&P 500 is widely regarded as the best single gauge of Large-Cap U.S.Equities.There is over USD 9.9 trillion indexed or benchmarked to the index,wit

125、h indexed assets comprising approximately USD 3.4 trillion of this total.The index includes 500 leading companies and covers approximately 80%of available market capitalization.European Equities-EURO STOXX 50The EURO STOXX 50 Index,Europes leading blue-chip index for the Eurozone,provides a blue-chi

126、p representation of supersector leaders in the region.The index covers 50 stocks from 11 Eurozone countries.The index is licensed to financial institutions to serve as an underlying for a wide range of investment products such as exchange-traded funds(ETFs),futures,options and structured products.Ja

127、panese Equities-Nikkei 225The Nikkei 225 Stock Average is a price-weighted average of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange.The Nikkei Stock Average was first published on May 16,1949,where the average price was 176.21 with a divisor of 225.LatAm Eq

128、uities-MSCI Emerging Markets Latin America IndexLatin America Index captures large-and mid-cap representation across 6 Emerging Markets(EM)countries*in Latin America.With 118 constituents,the index covers approximately 85%of the free float-adjusted market capitalization in each country.EM Asia Equit

129、ies-MSCI Emerging Markets Asia IndexThe MSCI Emerging Markets(EM)Asia Index captures large-and mid-cap representation across 9 Emerging Markets countries.With 903 constituents,the index covers approximately 85%of the free float-adjusted market capitalization in each country.EM European Equities-MSCI

130、 EMERGING MARKETS EUROPE INDEXThe MSCI Emerging Markets Europe Index captures large-and mid-cap representation across 6 Emerging Markets(EM)countries in Europe.With 72 constituents,the index covers approximately 85%of the free float-adjusted market capitalization in each country.Global Equities-MSCI

131、 All Country World Index(ACWI)The MSCI ACWI is a market capitalization weighted index designed to provide a broad measure of equity-market performance throughout the world.The MSCI ACWI is maintained by Morgan Stanley Capital International(MSCI)and is comprised of stocks from 23 developed countries

132、and 24 emerging markets.Hedge Fund Research-HFRX Global Hedge Fund IndexThe HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe.It is comprised of all eligible hedge fund strategies falling within four principal strategies:Equity Hedge,

133、event-driven,macro/CTA and relative value arbitrage.FAMILY OFFICE INVESTMENT REPORT25Asset class andother definitionsGlobal Developed Market EquityThe asset class is composed of MSCI indices capturinglarge-,mid-and small-cap representation across 18individual developed markets countries,as weightedb

134、y the market capitalization of these countries.Thecomposite covers approximately 95%of the freefloat-adjusted market capitalization in each country.Global Emerging Market EquityThe asset class is composed of MSCI indices capturinglarge-and mid-cap representation across 20 individualemerging-market c

135、ountries.The composite coversapproximately 85%of the free float-adjusted marketcapitalization in each country.For the purposes ofsupplemental long-term historical data,local-marketcountry indices are used,wherever applicable.Global Developed Investment Grade Fixed IncomeThe asset class is composed o

136、f Bloomberg Barclaysindices capturing investment grade debt from twentydifferent local currency markets.The compositeincludes fixed-rate treasury,government-related,investment grade rated corporate and securitizedbonds,and mortgage-backed securities from thedeveloped-market issuers.Local market indi

137、ces forUS,UK and Japan are used for supplemental historicaldata.Global High Yield Fixed IncomeThe asset class is composed of Bloomberg Barclaysindices measuring the non-investment grade,fixed rate corporate bonds denominated in USD,GBP and EUR.Securities are classified as high yield if the middle ra

138、ting of Moodys,Fitch and S&P is Ba1/BB+/BB+or below,excluding emerging market debt.Ibbotson High Yield Index,a broad high yield indexincluding bonds across the maturity spectrum,withinthe BB-B rated credit quality spectrum,included in thebelow-investment-grade universe,is used forsupplemental histor

139、ical data.Global Emerging Fixed IncomeThe asset class is composed of Bloomberg Barclaysindices measuring performance of fixed and floating rate US dollar denominated emerging marketssovereign debt for 3 different regions including LatinAmerica,EMEA and Asia.CashThe asset class is represented by US 3

140、-Month Government Bond TR,measuring the USD denominated active 3-month fixed-rate nominal debt issues by the US Treasury.Hedge FundsThe asset class is composed of investment managersemploying different investment styles as characterized by different sub categories HFRI Equity Long/Short:Positions bo

141、th long and short in primarily Equity and Equity-derivative securities;HFRI Credit:Positions in corporate Fixed Income securities;HFRI Event Driven:Positions in companies currently or prospectively involved in wide variety of corporate transactions;HFRI Relative Value:Positions based on a valuation

142、discrepancy between multiple securities;HFRI Multi Strategy:Positions based on realization of a spread between related yield instruments;HFRI Macro:Positions based on movements in underlying economic variables and their impact on different markets;Barclays Trader CTA Index:The compositeperformance o

143、f established programs(CommodityTrading Advisors)with more than four years ofperformance history.Private EquityThe asset class characteristics are driven by those forDeveloped Market Small-Cap Equities,adjusted forilliquidity,sector concentration and greater leverage.Real EstateThe asset class conta

144、ins index contains all EquityREITs(US REITs and publicly-traded Real Estatecompanies)not designated as Timber REITs orInfrastructure REITs:NAREIT US REIT Index,NAREITCanada REIT Index,NAREIT UK REIT Index,NAREITSwitzerland REIT Index,NAREIT Euro zone REIT Index,NAREIT Japan REIT Index,NAREIT Hong Ko

145、ng REITIndex,NAREIT Singapore REIT Index,NAREITAustralia REIT Index.FAMILY OFFICE INVESTMENT REPORT26Important InformationIn any instance where distribution of this communication(“Communication”)is subject to the rules of the U.S.Commodity Futures Trading Commission(“CFTC”),this communication consti

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