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25.08.2022
Qi helps with
- macro event risk
President Powell’s speech at Jackson Hole dominates this week’s calendar. Traditional research opines on whether he’ll pivot towards 2023 rate cuts, give clues on the Fed’s approach to Quantitative Tightening or any number of macro scenarios.

Qi gives bottom-up focused equity investors an easy window into the macro world. The chart below shows three of the four factors in our “risk aversion” bucket. It includes VIX, VDAX & VXEEM all in z-score terms, i.e. how far each factor is from its long term average.

Over the summer, equity volatility declined in US, Europe & Emerging Markets. In all three cases the rally in stocks took vol below trend. The latest bout of nerves running into Jackson Hole has seen a modest pop higher, but the move has resulted in some interesting observations.
Riskaversion
US vol is essentially back at trend; German vol is slightly below, while EM vol is one standard deviation below trend.

None suggest equity markets are particularly fearful as we head into Jackson Hole. If you fear a hawkish speech from Powell, Qi’s snapshot suggest volatility is not historically rich.

Aside from Jackson Hole, if you fear property market issues plus Zero Covid fall-out keeps the pressure on Chinese equities, this level of vol suggests VXEEM offers a potential hedge for global equities.

Similarly, amongst DM markets, if you fear the energy / income shock is first-&-foremost a headwind for European equities, hedging via VDAX looks interesting.

This info is accessible on the Qi portal’s landing page in the "Top 10 Macro Driver Shifts" chart. API users can get a longer history to gain still greater perspective.
Riskaversion2
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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.