Citi analysts believe the current market crowding and market narrowing are worrying and that concentration risks are the concern.
In a research note, the bank highlighted that investor reliance on broad market participation for a healthy rally is under strain, with breadth and fragility measures flagging incremental narrowing across both US and European markets but at varying and surprising degrees.
"While most investors would naturally point to the US as the main source of narrowing breadth, it is, in fact, Europe that our signals exhibit greater narrowing in the more recent period," stressed Citi.
"Our models indicate that investors have been flocking to the same stock selections that have brought them success over the past year."
However, this has led to acute levels of crowding in factors like price momentum, which Citi feels further extends on the macro risks embedded in this style.