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Macro Attribution
The latest upgrade to the Qi portal is the addition of model attribution. 

Users now have the ability to identify which macro factors have driven changes in macro-warranted fair value over their chosen time frame. This is available on every model page across all asset classes
The new attribution tab allows users to:
  • customize the period they want to search
  • to identify the magnitude of the move in macro model value in that time
  • to isolate which macro factors were primarily responsible for the move
For example, Qi's fair value for the S&P500 model is down almost 9% year-to-date. The market itself is down 16.5% YTD, hence the Fair Value Gap. The chart below enables users to quickly identify which macro drivers are responsible for the move lower.
Macro Attribution
  • The biggest single headwind for SPX has been the widening of corporate credit spreads. They accounted for a 2.6% decline in S&P500 model value.
  • The rise in real rates is the second biggest mover. The back-up in real yields accounts for a 2.0% decline in macro-warranted fair value.
  • Then VIX & other measures of risk aversion come in third. 1.7% of S&P500 model decline can be attributed to "risk off" conditions. 
  • The positive contributions are smaller in number & magnitude but it is interesting to note inflation expectations are the top factor. For all the second derivative fears about inflation compressing margins & prompting a hawkish policy pivot from the Fed, in raw terms they have, in isolation, been a tailwind for US equity performance. The rise in inflation expectations YTD has contributed to a 0.5% increase in S&P500 model value.
Note, running the same exercise for the NASDAQ reveals a 14% decline in macro-warranted model value. The profile of macro drivers is largely the same but this time higher real yields are the biggest driver - they've contributed to a 4.7% decline in tech stocks model value.

This has clear benefits for risk managers looking at exposures & gaining an understanding of how their macro risks have evolved.

But it also provides valuable insight to Portfolio Managers with their pre-trade analysis. See the quick 3 minute video attached to get a sense of the typical workflow a discretionary PM might employ in their investment process.
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