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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.

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Casey Horner Rmowqdcqn2E Unsplash
29.06.2022
Staying on top of the changing
macro environment
Equity PMs already have their hands full analysing the fundamentals of hundreds of companies, plus monitoring whether their picks have a growth or value tilt.

Macro adds another layer again. And a complex one at that given the number of macro indicators, & the need to sift through them, screening for importance & impact.

It is this perceived noise & complexity that makes the macro space such a turn off.

Is there a clean, easy to understand way to monitor the constant shifts in the macro environment?

Yes, Qi. And RETINA™ in particular which will push alerts into your workflow.

The chart below popped into RETINA™ users Symphony / Slack / email channels this morning, alerting them to the fact that tracking Japanese GDP growth has edged into negative territory. Why? Because weak vehicle sales overnight detracted 0.23% from Q2 economic growth.
See more
Ferenc Horvath Skcfibu91Aa Unsplash
27.06.2022
Stagflation vs. Recession
- how to get macro transparency
How can an asset manager stay on top of the shifting macro narrative? Discerning between stagflation & recession is a tricky call, but a vital one that will dictate performance over H2’22.

Take last week’s bounce in risky assets for instance. The chart below, which can be found on Qi’s portal homepage, shows the 10 macro factors that shifted the most last week.

The good news? Several key measures of financial conditions which had deteriorated significantly in recent months, enjoyed a respite.

The Dollar liquidity squeeze eased up, real rates fell, the stress in European government bond markets reversed course & money markets started to relax expectations for Central Bank rate hikes.
See more
Nasa Hi5Dx2Obas Unsplash
23.06.2022
Recession fears escalate
- how Ai helps asset allocation
Powell’s testimony & the fall in crude oil has driven recession fears to the forefront of investors’ minds.

Traditionally, equity allocators needed to process hundreds of variables (bottom up & top down) to decide the relative winners & losers should the economic cycle turn deflationary.

Or, they can use Ai to screen global equity markets for their independent relationship with inflation expectations.

The chart below shows global equity indices. Markets to the right of the vertical line want rising inflation expectations & therefore suffer in a deflation scenario.

The y-axis is the Qi Fair Value Gap: macro-warranted fair value. Indices in red above the zero bound are rich to model, the green below are cheap.
See more
20.06.2022
How to survive higher real rates
Central Banks have been explicit – they mean to tighten financial conditions in order to get inflation down.

Qi’s Credit Impulse chart aggregates together all the macro factors that capture financial conditions – credit spreads, the level of real yields, slope of the yield curve, currency strength, money market liquidity etc.

The widespread perception would be that the Fed is the most hawkish, & the ECB only just starting to catch-up. Actually, relative to trend, European financial conditions have tightened to multi-year extremes.
Premium content, for a full analysis sign up to a month of insights
Spy Vs Govt
16.06.2022
SPY vs. GOVT
Model confidence for SPY vs. GOVT is 65%. The relationship between US equities & bonds is back in a clearly defined macro regime.

On Qi, SPY is 1.9 sigma (7.2%) cheap to GOVT relative to prevailing macro conditions. This is a historically significant level – we have only been in regime & this cheap to model once before going back to 2009.

That Fair Value Gap has arisen because recently equities have significantly underperformed Treasuries, but macro-warranted model value has moved sideways.
Premium content, for a full analysis sign up to a month of insights
Fed Day
15.06.2022
Fed day
Qi has no view on the likelihood or not of a 75bp hike today. Or what that WSJ ‘leak’ does for Fed credibility. We’re not in the prediction business. What the Qi framework does capture is the current relationship between any security & a wide range of macro factors.

One of the biggest moves in this recent re-pricing has been the spike in 10y US real yields. Up ~35bp this week alone.

A material tightening of financial conditions that presumably acts as a headwind to most equity markets. But which are most vulnerable? Are there any beneficiaries?

The chart below shows global equity index models that are in macro regimes, & overlays sensitivity to US real yields with Qi’s Fair Value Gap. Unsurprisingly, nearly all equity markets lie to the left hand side of the chart – they want lower real rates. ChiNext is particularly reliant on the risk free rate remaining low.

There is one outlier – MSCI Indonesia, EIDO – that is okay with higher real yields.
See more
Xle Buy The Dip
15.06.2022
XLE - buy the dip
Qi remains negative on risky assets. Macro-warranted model value continues to point lower for critical benchmarks like the S&P500 and US corporate credit.

In fact, both Investment Grade LQD & High Yield HYG US credit are lagging the deterioration in macro conditions & trade more than one sigma rich to model fair value.

Energy has already proven a star performer in 2022 but, on Qi, it’s outlook is improving again. The chart shows XLE falling in this recent risk off rout. But macro fair value has risen 16.3% over June. That divergence has opened up a 1.1 sigma (15.4%) Fair Value Gap &, on RETINA™, a bullish divergence pattern.

The improvement in macro model value reflects some of Energy’s defensive qualities. Unlike many of its peers, Energy benefits from rising real rates, wider credit spreads & tighter Dollar liquidity.
Premium content, for a full analysis sign up to a month of insights
More To Go
14.06.2022
More to go
RETINA™ has a number of new bearish signals on speculative technology. Yes the sell-off has been brutal, but it has not kept pace with the deterioration in overall macro conditions.
Premium content, for a full analysis sign up to a month of insights
Value Vs Growth A Big Macro Shift
13.06.2022
Value vs. Growth
- a big macro shift
RETINA™ has a number of new signals with a very clear message for US equity allocations. Macro conditions support Value, are negative on Growth, both in outright terms & in terms of the RV between the two.

RETINA™ has a 3 bar bullish signal on US Value outright. The Fair Value Gap shows it as 1.1 sigma (6.1%) cheap to model. The chart shows a classic divergence signal – that FVG has arisen because spot has slipped while macro conditions have noticeably improved
Premium content, for a full analysis sign up to a month of insights
Zone Defence
13.06.2022
Zone defence
Friday’s CPI report was unambiguously bad & prompted a significant re-pricing of Fed rate hikes.

It is tempting to view US equity market price action exclusively from an inflation perspective. While it is the dominant topic in financial markets today, inflation is not the only macro factor at play.

S&P500 model confidence is 80% & trending higher. Macro matters! Over the last month Qi model value has fallen 6.0%.

The single biggest driver of that downgrade was European peripheral spreads. It alone accounts for almost half of that deterioration in macro warranted fair value. And, as per the second chart, sensitivity is rising strongly.
See more
Close
Casey Horner Rmowqdcqn2E Unsplash
29.06.2022
Staying on top of the changing
macro environment
Equity PMs already have their hands full analysing the fundamentals of hundreds of companies, plus monitoring whether their picks have a growth or value tilt.

Macro adds another layer again. And a complex one at that given the number of macro indicators, & the need to sift through them, screening for importance & impact.

It is this perceived noise & complexity that makes the macro space such a turn off.

Is there a clean, easy to understand way to monitor the constant shifts in the macro environment?

Yes, Qi. And RETINA™ in particular which will push alerts into your workflow.

The chart below popped into RETINA™ users Symphony / Slack / email channels this morning, alerting them to the fact that tracking Japanese GDP growth has edged into negative territory. Why? Because weak vehicle sales overnight detracted 0.23% from Q2 economic growth.
See more
Japangdpnowcasting
When will a stock picker ever have time to track second tier high frequency economic data like Japanese auto sales?

Qi’s Ai driven process makes macro easy to digest, thereby solving a universal problem – how to make macro simple to understand & an integral part of your investment process.
Ferenc Horvath Skcfibu91Aa Unsplash
27.06.2022
Stagflation vs. Recession
- how to get macro transparency
How can an asset manager stay on top of the shifting macro narrative? Discerning between stagflation & recession is a tricky call, but a vital one that will dictate performance over H2’22.

Take last week’s bounce in risky assets for instance. The chart below, which can be found on Qi’s portal homepage, shows the 10 macro factors that shifted the most last week.

The good news? Several key measures of financial conditions which had deteriorated significantly in recent months, enjoyed a respite.

The Dollar liquidity squeeze eased up, real rates fell, the stress in European government bond markets reversed course & money markets started to relax expectations for Central Bank rate hikes.
See more
Macrotop10
The bad news? The catalyst for that shift in financial conditions was increased recession risk. Tracking GDP growth fell significantly in the US & Europe. “Doctor” copper, often used as a leading indicator for the global business cycle, fell sharply.

A macro backdrop that supports peak inflation, less monetary tightening & a potential soft landing is risky asset positive. But one that heralds recession is anything but.

Somehow money managers need to find a way to calibrate between these two scenarios. How? Qi model value shows fair value for any security given its sensitivity to the macro factor shifts seen above.

For example, currently the mix between recession risks & easier financial conditions are producing a stalemate for the S&P500. Macro warranted model value is flat-lining at the lows.

But macro conditions have improved noticeably for US High Yield credit HYG.

Both show current market levels close to macro model value, but only credit is enjoying an improvement in underlying macro fundamentals.
Nasa Hi5Dx2Obas Unsplash
23.06.2022
Recession fears escalate
- how Ai helps asset allocation
Powell’s testimony & the fall in crude oil has driven recession fears to the forefront of investors’ minds.

Traditionally, equity allocators needed to process hundreds of variables (bottom up & top down) to decide the relative winners & losers should the economic cycle turn deflationary.

Or, they can use Ai to screen global equity markets for their independent relationship with inflation expectations.

The chart below shows global equity indices. Markets to the right of the vertical line want rising inflation expectations & therefore suffer in a deflation scenario.

The y-axis is the Qi Fair Value Gap: macro-warranted fair value. Indices in red above the zero bound are rich to model, the green below are cheap.
See more
Globalequitiesinfl
For a US equity allocator, for example, the chart immediately identifies the Russell 2000 as the most vulnerable to recession – highly reliant on rising inflation expectations & slightly rich to macro.

For anyone with an Asian focus, Singapore EWS is slightly cheap to model but it is the most reliant on reflation.
  • Qi portal users – use Optimise Trade Selection to screen your asset class for sensitivity to inflation expectations.
  • Qi API users – replicate the chart above on your portfolio’s holdings.
Fed Day
15.06.2022
Fed day
Qi has no view on the likelihood or not of a 75bp hike today. Or what that WSJ ‘leak’ does for Fed credibility. We’re not in the prediction business. What the Qi framework does capture is the current relationship between any security & a wide range of macro factors.

One of the biggest moves in this recent re-pricing has been the spike in 10y US real yields. Up ~35bp this week alone.

A material tightening of financial conditions that presumably acts as a headwind to most equity markets. But which are most vulnerable? Are there any beneficiaries?

The chart below shows global equity index models that are in macro regimes, & overlays sensitivity to US real yields with Qi’s Fair Value Gap. Unsurprisingly, nearly all equity markets lie to the left hand side of the chart – they want lower real rates. ChiNext is particularly reliant on the risk free rate remaining low.

There is one outlier – MSCI Indonesia, EIDO – that is okay with higher real yields.
See more
Global Equities 10Y Us Real Rates
Interestingly, ChiNext is rich to model value, Indonesia is cheap. That gives bears two possible trade ideas. A hawkish Fed that pushes real rates higher still would hurt ChiNext when it is already almost 2 sigma (27.1%) rich to model.

Prior to the US CPI shock, many investors were buying into the idea of a bounce in Chinese tech. That was predicated on the idea Beijing's regulatory onslaught is easing up. Be aware there is a macro dynamic at play too &, on that front, a fair degree of good news is already priced.

Indonesia’s sensitivity is significantly less but, at the margin, higher real yields help & it is two sigma (10%) cheap to macro.

Two ideas for global equity allocators to consider should real yields spike further.
Zone Defence
13.06.2022
Zone defence
Friday’s CPI report was unambiguously bad & prompted a significant re-pricing of Fed rate hikes.

It is tempting to view US equity market price action exclusively from an inflation perspective. While it is the dominant topic in financial markets today, inflation is not the only macro factor at play.

S&P500 model confidence is 80% & trending higher. Macro matters! Over the last month Qi model value has fallen 6.0%.

The single biggest driver of that downgrade was European peripheral spreads. It alone accounts for almost half of that deterioration in macro warranted fair value. And, as per the second chart, sensitivity is rising strongly.
See more
Spx AttributionSpx Euperiph
Higher real rates are the next biggest contributor & the only other factor with a 1% plus impact on model value. This bear move is about tighter financial conditions, both at home & abroad.

A key premise of Qi is that to better predict future price levels, you need a robust understanding of what is driving price action today. For US equity managers that means focusing exclusively on inflation, as important as that is, risks taking too narrow a view.

In sporting terms, it’s the same as man-to-man marking leaving you vulnerable to not seeing the plays being run behind your back. Qi offers you the chance to play zone defence with one click of a button.
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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.