Quantitative Global Macro Strategy: Crowd-filter: helping macro investors navigate earnings season

Research evidence excerpt

Quantitative Global Macro Strategy: Crowd-filter: helping macro investors navigate earnings season

Quantitative Global Macro Strategy

10 July 2026 Citi Research

Crowd filter: Navigating earnings

Quant model suggests most beats in technology. US earnings season is

approaching and will deliver a lot of information. We update our study on market

returns during earnings season. The historical prior is shown in Figure 1 – where the

early part of earnings season is typically delivering the highest risk-adjusted

returns. Here we define week 1 as when less that 100 of the S&P500 companies has

reported, “early” as between 100 and 350, late 350 to 450 and then post as the

final 50 companies reporting. Our quant equity team thinks Technology will again

lead positive surprises and our US equity strategist thinks we see a normal level of

beats for Q2. On the negative side, he expects that there will be a lesser

contribution from asset write-ups and tariff reversals, but on the positive side,

strong revisions in Semis and Hardware could broaden out, and the potential

tailwind of lower oil on consumer expectations. Figure 2 shows the quant team’s

surprise forecast by sector. Their model sees the most important beats in

technology, which would bode well for the SPX.

Figure 1. The early part of earnings season (between 100 Figure 2. Positive forecasts expected in tech and consumer

and 350 companies reporting) tends to have the highest staples with utilities and materials having larger negative

risk-adjusted returns. forecasts.

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Source: Citi Research Source: Citi Research

Crowding matters in price reaction.