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Insights
Insights showcases topical observations from Qi. Pure signals highlighting where assets are rich or cheap versus macro. Or roadmaps to help provide the most efficient way to express any trade. Flags, in real time, highlighting changes in factor leadership or regime shifts.

See below for articles and analysis.
Aaron Burden Nxt5Prob 7U Unsplash
10.08.2022
Integrating systematic signals into
a discretionary process - Gold
On one level Qi is a simple productivity tool.

Portfolio managers have multiple distractions competing for their time. Qi can quickly signal when a security is in a macro regime, when there is a valuation story.

It’s US CPI day & analysis around the inflation outlook will flow thick-&-fast. Qi has a few simple observations.
See more
Omega Nebula 11053 1920
08.08.2022
Macro in one chart
One of the problems trying to integrate macro into an equity manager’s investment process, is the subject itself. It can be tricky to follow & fit into one, easy story.

On the Qi portal the first chart you will see is the “Top 10 Macro Driver Shifts”. It shows the 10 biggest shifts in macro factors over the last week.

For time poor equity PMs it is an effective cheat sheet. Take today’s for example.
See more
04.08.2022
Global Energy Majors
Watchlists enable clients to focus in on a particular topic - in this instance the worlds' major energy companies.

In one glance ascertain:
See more
03.08.2022
Qi Dashboards
- a case study for multi asset investors
This short 3 minute video provides an example of Qi dashboards. In this instance customised to show equity, government bond, credit, FX, commodity & crypto markets. A comprehensive overview for global multi-asset investors.

In one glance, investors can see where each asset class & each geographical region is priced relative to macro-warranted model value.

That means the asset classes that are leading or lagging relative to prevailing macro conditions becomes instantly apparent.
See more
Evgeni Tcherkasski Bfbhwj4Qafo Unsplash
01.08.2022
How to measure a bear
market rally versus a genuine turn
The bottom is in, or another bear market rally? Probably the biggest question facing equity managers today.

To help answer that question, surely the very first step requires a firm understanding of what’s driven the squeeze higher thus far.

The chart below shows the attribution of Qi model value for the S&P500 over the last 2 weeks.

Over that time, macro-warranted fair value for SPX has increased 8.35%. The biggest driver of that has been credit. The tightening of credit spreads has had twice as much impact as the next beneficial factor move.
See more
Weightless 60632
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.
See more
Adam Birkett 77Hmm5Tg N4 Unsplash
25.07.2022
Blending micro & macro
during earnings season
This week, 175 S&P500 companies release earnings. But Q2 GDP may herald a technical recession, the Fed will hike rates & further inflation data are also due.

There are so many moving parts, how is an equity manager supposed to keep up?

Qi’s RETINA™ is a pipeline of potential trade ideas. Amongst a list of tailored assets, it highlights when securities become divorced from macro fundamentals.

One current example is RSP, the Invesco ETF that tracks an equally weighted S&P500 index rather than a market-cap one.

RETINA is flagging that RSP is now 0.9 sigma (5.5%) rich to macro model value. Spot RSP has accelerated ahead of macro conditions & Qi’s Fair Value Gap is at the richest levels recorded in 2022.
See more
Juskteez Vu Tirxot28Znc Unsplash
20.07.2022
How to measure
Italian political risk
Marrying bottom up & top down analysis is hard enough. How are portfolio managers supposed to handicap political risk?

Instead of relying on the opinion of geopolitical strategists, the Qi framework uses financial securities to capture the markets’ current perceptions of the risk around certain political scenarios.

Asset swap spreads for peripheral EuroZone sovereigns like Italy, Spain & Greece can be used to measure the degree of stress markets are pricing in for highly indebted southern European economies.

Qi’s algorithm de-trends & vol adjusts each spread, & then runs Principal Component Regression to capture the independent sensitivity of any security to this factor.

In the chart below we look at European equity sectors & overlay sensitivity to peripheral spreads with aggregate macro valuations.

Sectors to the right of the vertical zero bound want Italian spreads to remain well behaved. The further to the right, the greater the sensitivity; i.e. the more vulnerable they are if BTP spreads blow wider.

Red dots above the horizontal zero bound are currently rich relative to overall macro fair value.
See more
Pexels Sam Willis 3934512
19.07.2022
Company fundamentals & a strong
Dollar - how to blend macro & micro
Last week we illustrated how Qi can help equity long/short managers identify when company fundamentals are more important than macro factors.

If nothing else, that makes Qi a valuable productivity tool. As we move through earnings season, stock pickers can concentrate their time & energy on the stocks currently being driven by idiosyncratic risks.

But in reality the bottom up & top down worlds often meet in a the middle. An example of where macro & company fundamentals collide is the US Dollar. With the Dollar at multi-year highs, where is currency strength an issue; & how to know whether it represents a tailwind or a headwind.
See more
Blue Planet
12.07.2022
How an equity PM achieved 4% outperformance using Qi macro sensitivities
An equity PM running a large cap, long only US equity portfolio started 2022 with some concerns. The PM was concerned about higher inflation pushing the Fed to hike rates aggressively and what this might do to financial conditions.
See more
Close
Aaron Burden Nxt5Prob 7U Unsplash
10.08.2022
Integrating systematic signals into
a discretionary process - Gold
On one level Qi is a simple productivity tool.

Portfolio managers have multiple distractions competing for their time. Qi can quickly signal when a security is in a macro regime, when there is a valuation story.

It’s US CPI day & analysis around the inflation outlook will flow thick-&-fast. Qi has a few simple observations.
See more
Gold
Gold is back being a macro play. Model confidence is now 65%, our threshold for a new regime.

The new regime is diverse but gold’s role as an inflation hedge is evident with rising positive sensitivity to global inflation expectations.

Model fair value has stopped falling but is yet to display any new highs consistent with trend reversal. But spot has rallied of late & that has created a 0.7 standard deviation (2.8%) valuation gap.

API users can back-test the efficacy of Qi FVGs as a signal. From here to +1.25 sigma looks like a coin toss – hit rates of around 50%. For potential bears, history suggests waiting for valuation gaps of +1.5 sigma where the hit rate rises to 60%.

Three quick steps – check model confidence, identify FVG, back-test the efficacy of that signal.

In short, from a macro perspective, another upside inflation surprise & this doesn’t look the optimal entry level to buy gold as an inflation hedge.

It’s not the optimal sell level either but, at these valuations, risk-reward suggests a downside surprise hurts more.
Omega Nebula 11053 1920
08.08.2022
Macro in one chart
One of the problems trying to integrate macro into an equity manager’s investment process, is the subject itself. It can be tricky to follow & fit into one, easy story.

On the Qi portal the first chart you will see is the “Top 10 Macro Driver Shifts”. It shows the 10 biggest shifts in macro factors over the last week.

For time poor equity PMs it is an effective cheat sheet. Take today’s for example.
See more
The biggest shift last week was a positive move in US GDP growth. In z-score terms, Friday’s Payrolls report pushed tracking US growth higher by over one standard deviation. The move wasn’t as big, but European & Chinese GDP also enjoyed a decent bounce.

The next biggest moves came from US & European yield curves. Both experienced a sharp flattening.

Qi uses the 5s30s curve shape as a proxy for forward growth expectations. Yield curves typically steepen in a reflationary environment, flatten as markets worry about futures levels of growth.

And there you have today’s basic macro story summed up. The US labour market remains hot. But that increases fears of more aggressive Fed rate hikes, & that is pushing the bond market to flatten (invert) the yield curve & price in a 2023 recession.

Macro box ticked; time to move on with your bottom up analysis of company fundamentals.

And as an aside, note an improvement in Italian Sovereign Confidence also features. Given Moody’s downgrade to Italy’s rating outlook late on Friday, recent complacency here could be threatened.
Screenshot 2022 08 08 At 091406
04.08.2022
Global Energy Majors
Watchlists enable clients to focus in on a particular topic - in this instance the worlds' major energy companies.

In one glance ascertain:
See more
  • which stocks are in macro regimes, & which are trading off idiosyncratic risks
  • identify potential trading opportunities - which names are rich or cheap versus prevailing macro conditions
  • charts which can help with your marketing / investor relations work
03.08.2022
Qi Dashboards
- a case study for multi asset investors
This short 3 minute video provides an example of Qi dashboards. In this instance customised to show equity, government bond, credit, FX, commodity & crypto markets. A comprehensive overview for global multi-asset investors.

In one glance, investors can see where each asset class & each geographical region is priced relative to macro-warranted model value.

That means the asset classes that are leading or lagging relative to prevailing macro conditions becomes instantly apparent.
See more
Evgeni Tcherkasski Bfbhwj4Qafo Unsplash
01.08.2022
How to measure a bear
market rally versus a genuine turn
The bottom is in, or another bear market rally? Probably the biggest question facing equity managers today.

To help answer that question, surely the very first step requires a firm understanding of what’s driven the squeeze higher thus far.

The chart below shows the attribution of Qi model value for the S&P500 over the last 2 weeks.

Over that time, macro-warranted fair value for SPX has increased 8.35%. The biggest driver of that has been credit. The tightening of credit spreads has had twice as much impact as the next beneficial factor move.
See more
Spx Attribution
The next 3 big tailwinds have come from inflation, real rates & European bond spreads, each contributing to around a 1% gain in model fair value.

Earnings are undoubtedly part of the puzzle, but macro currently explains 81% of S&P500 price action. Rising inflation expectations, lower real rates & tighter BTP spreads are critical.

Put another way, if equity managers aren’t watching the bond market they are blind to a big reason for July’s rally.

If the Fed endorse this easing of financial conditions, then the current macro regime will remain positive for equities.

Those who fear inflation has yet to peak, may wonder if the Fed really are happy to see the 2022 tightening of financial conditions start to unwind.

Qi macro attribution identifies what’s driving US equities. Adding this transparency into your framework means you start the process of forecasting H2 2022 performance from a far stronger position.
Weightless 60632
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.
See more
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.
Adam Birkett 77Hmm5Tg N4 Unsplash
25.07.2022
Blending micro & macro
during earnings season
This week, 175 S&P500 companies release earnings. But Q2 GDP may herald a technical recession, the Fed will hike rates & further inflation data are also due.

There are so many moving parts, how is an equity manager supposed to keep up?

Qi’s RETINA™ is a pipeline of potential trade ideas. Amongst a list of tailored assets, it highlights when securities become divorced from macro fundamentals.

One current example is RSP, the Invesco ETF that tracks an equally weighted S&P500 index rather than a market-cap one.

RETINA is flagging that RSP is now 0.9 sigma (5.5%) rich to macro model value. Spot RSP has accelerated ahead of macro conditions & Qi’s Fair Value Gap is at the richest levels recorded in 2022.
See more
Rsp
Aside from crunching the numbers on single stocks, bottom-up analysis will be thinking about concentration risks.

There are fears that the big stocks by earnings contribution distort the overall earnings picture for the broader index. Put another way, that the earnings picture is worse outside of the biggest mega cap names.

Analysing company fundamentals during earnings season is a big drain on time. Fundamentally, Qi’s provides a low touch way to identify when stocks become divorced from macro.

RETINA™ is an efficient productivity tool to help blend micro & macro into one investment process.
Juskteez Vu Tirxot28Znc Unsplash
20.07.2022
How to measure
Italian political risk
Marrying bottom up & top down analysis is hard enough. How are portfolio managers supposed to handicap political risk?

Instead of relying on the opinion of geopolitical strategists, the Qi framework uses financial securities to capture the markets’ current perceptions of the risk around certain political scenarios.

Asset swap spreads for peripheral EuroZone sovereigns like Italy, Spain & Greece can be used to measure the degree of stress markets are pricing in for highly indebted southern European economies.

Qi’s algorithm de-trends & vol adjusts each spread, & then runs Principal Component Regression to capture the independent sensitivity of any security to this factor.

In the chart below we look at European equity sectors & overlay sensitivity to peripheral spreads with aggregate macro valuations.

Sectors to the right of the vertical zero bound want Italian spreads to remain well behaved. The further to the right, the greater the sensitivity; i.e. the more vulnerable they are if BTP spreads blow wider.

Red dots above the horizontal zero bound are currently rich relative to overall macro fair value.
See more
Europe Equity Sectors Btps
Today, Mario Draghi addresses the Senate; tomorrow the ECB meet. A new Draghi coalition government plus details of a credible anti—fragmentation tool would help assuage market fears about a blow-out in BTP spreads.

If you hold that view, European Chemicals look an interesting prospect. If your fear further political instability ahead, choose between EU Technology (highly sensitive) or Media (rich valuation).

Qi's Optimise Trade Selection function enables you to run this search across a range of assets. Instead of sectors, screen Euro Stoxx 600 single stocks for their sensitivity to BTP spreads. API users can go a step further & screen their own portfolio for shifts in the Italian political landscape.

#nextgenerationstresstests
Pexels Sam Willis 3934512
19.07.2022
Company fundamentals & a strong
Dollar - how to blend macro & micro
Last week we illustrated how Qi can help equity long/short managers identify when company fundamentals are more important than macro factors.

If nothing else, that makes Qi a valuable productivity tool. As we move through earnings season, stock pickers can concentrate their time & energy on the stocks currently being driven by idiosyncratic risks.

But in reality the bottom up & top down worlds often meet in a the middle. An example of where macro & company fundamentals collide is the US Dollar. With the Dollar at multi-year highs, where is currency strength an issue; & how to know whether it represents a tailwind or a headwind.
See more
Earnings Spotflight Quadrants Usd Twi 18072022 1
The chart shows some of this week’s reporting companies. Firstly, it shows whether a stock is in a macro regime (those to the right of the 65% model confidence threshold) or being driven by company news. Then we’ve added sensitivity to the US Dollar on the y-axis.

Netflix is interesting. Just below our threshold for a regime but the most vulnerable to a strong Dollar. Note also, running the same chart but for sensitivity to interest rates, Netflix is also the most reliant on real yields not marching higher.

Most of this week’s reporters who are in macro regimes favour a weaker Dollar. The outlier is AT&T which also screens as 2.1% cheap to model fair value.

API users can run this on customised lists of assets – here the companies reporting earnings this week, but it could be equally applied to different portfolios or trading strategies.
Blue Planet
12.07.2022
How an equity PM achieved 4% outperformance using Qi macro sensitivities
An equity PM running a large cap, long only US equity portfolio started 2022 with some concerns. The PM was concerned about higher inflation pushing the Fed to hike rates aggressively and what this might do to financial conditions.
See more
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Microsoftteams Image 3
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.