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27.07.2022
How to cheat at macro
One of the reasons equity managers often ignore macro is because it feels too vague. The sense is it's less relevant to day-to-day investing, let alone day-to-day life. It’s also tricky to follow given its traditionally all about opinions & therefore requires refereeing to judge the ‘winner’.

Fair, but that’s why Qi provides a quantitative framework to help identify critical macro relationships.

Consider the chart below. It takes US mega cap tech stocks & breaks each one down to show the respective influence of different macro drivers.

Qi sensitivities show the percentage impact on stock price for a one standard deviation increase in that macro factor. Here we simply show the attribution of each factor & its contribution to Qi model value.
Bar Chart 25072022
In one glance you can identify key differences in macro drivers between the FAANG stocks.

Meta displays the biggest sensitivity to credit markets. Immediately equity PMs can see that if credit spreads resume widening, Meta is most vulnerable.

In contrast, it is noticeable that Google, Microsoft & Apple are significantly more reliant on real rates. If US financial conditions tighten more via rising real yields than credit, these names are - all else equal - more likely to suffer.

Apple is arguably the most interesting. It is less sensitive than most of its peers to Fed Quantitative Tightening, to credit spreads, to spikes in VIX. The current macro regime backs up the idea of it as an effective defensive play in troubled times.

Earnings season is a busy time with a raft of results requiring detailed analysis. Devoting hours trying to understand the macro picture can be a time sink.

But these are macro markets.

The conclusion should not be to ignore macro, but embrace a framework that utilises innovative AI in the back end, but delivers the analysis in quick, simple terms.
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Quant Insight’s Macro Analytics
on Goldman Sachs Marquee
Goldman Sachs is embedding Qi’s data-science-driven
macro factor risk data into Marquee to offer risk
management capabilities that help provide clarity to your
investment analysis as you navigate your portfolio exposures,
asset by asset, through dynamic market conditions.
Goldman Sachs is embedding Qi’s data-science-driven macro factor risk data into Marquee to offer risk management capabilities that help provide clarity to your investment analysis as you navigate your portfolio exposures, asset by asset, through dynamic market conditions.