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 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 cont

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 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.