Citigroup strategists say that exposure to the S&P 500 index has reached a relatively high level, and in the past, following this level, the index dropped by 10%.

The long positions of the benchmark index futures are at the highest level since mid-2023 and appear to be 'particularly high,' led by Chris Montagu's team in the report.

"We are not suggesting that investors should start reducing exposure, but when the market has such high positions, the risk of position adjustment does indeed increase," they said.

The S&P 500 index fell by 10% from August to October last year, as the market was concerned that the Fed would maintain higher interest rates for a longer period to counter rising inflation. Technology heavyweights were hit the hardest, exacerbating the decline in large caps.

This time investors are more optimistic about the macro outlook, as the economy maintains resilience and the Fed has begun cutting interest rates. The S&P 500 index is back near record highs.

Citigroup's Montagu also stated that compared to 2023, these positions are not as excessive, "indicating less capital at risk, therefore, the motivation for replenishing during a market pullback is also lower."