Hamburger
Request a demo
Close
Close
Weightless 60632
11.05.2022
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.
Close
Thank you for request
A team member will contact you soon shortly.
Request a demo
Explore Quant Insight's unique data, analysis and solutions to understand how you and your team can easily integrate our information into your workflow.
Book a 15 minute intro call here



Or, simply complete the short enquiry form on this page, and one of our team will be in touch via email.
Name: 
Company email: 
Tel number (optional): 
Company: 
My geographical location is:

My asset class focus is:
Submit