CITIC Securities says macro factors have gained explanatory power for sector
relative returns this year. The firm’s three-dimensional macro-state monitoring
system, which maps index performance across macro regimes to drive an
industry-themed ETF rotation strategy, has improved returns and stability versus stability
prior iterations — annualized 15.6% since 2020 and 22% YTD. As of May 31, 2026,
its high-frequency macro factors show growth and inflation marginally retreating
while financial conditions continue to marginally improve. The model recommends
shifting into sectors offering both growth sensitivity and dividend-defense; on
macroeconomic metrics it favors central SOEs and energy, while macro-financial
and international-finance signals point to media, cloud computing and telecoms.
