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01.01.2020
White paper/backtest: Qi S&P500 L/S portfolio
Qi’s Fair Value Gap (FVG) analysis was used to construct a long/short portfolio consisting of the 50 single name US stocks in the
S&P 500 with the most extreme FVGs; 25 longs ranked as cheapest according to Qi’s macro models and 25 shorts ranked as the most expensive. Over the last 12 years this L/S strategy returned an annualised 12.3% compared to an annualised return of
2.0% for the HFRX EH - Equity Market Neutral Index (HFRXEH Index).
See more
01.01.2020
White paper/backtest: Qi EuroStoxx L/S portfolio
Qi’s Fair Value Gap (FVG) analysis was used to construct a long/short portfolio consisting of the 50 single name European stocks in the Stoxx 600 with the most extreme FVGs; 25 longs ranked as cheapest according to Qi’s macro models and 25 shorts ranked as the most expensive. Over the last 12 years this L/S strategy returned an annualised 13.4% compared to an annualised return of
9.4% for the Stoxx 600 (SXXP) Total Return Index.
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01.01.2020
White paper/backtest: Qi FX Portfolio
Qi FX Portfolio signal backtesting
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01.01.2020
White paper/backtest: Summary of FVG
The Qi FVG report featuring all asset classes, hit rates and average returns.
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01.01.2020
White paper/backtest: Qi Rates portfolio
Methodology and Analysis whitepaper showcasing FVG
See more
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01.01.2020
White paper/backtest: Qi S&P500 L/S portfolio
Qi’s Fair Value Gap (FVG) analysis was used to construct a long/short portfolio consisting of the 50 single name US stocks in the
S&P 500 with the most extreme FVGs; 25 longs ranked as cheapest according to Qi’s macro models and 25 shorts ranked as the most expensive. Over the last 12 years this L/S strategy returned an annualised 12.3% compared to an annualised return of
2.0% for the HFRX EH - Equity Market Neutral Index (HFRXEH Index).
See more
01.01.2020
White paper/backtest: Qi EuroStoxx L/S portfolio
Qi’s Fair Value Gap (FVG) analysis was used to construct a long/short portfolio consisting of the 50 single name European stocks in the Stoxx 600 with the most extreme FVGs; 25 longs ranked as cheapest according to Qi’s macro models and 25 shorts ranked as the most expensive. Over the last 12 years this L/S strategy returned an annualised 13.4% compared to an annualised return of
9.4% for the Stoxx 600 (SXXP) Total Return Index.
See more
01.01.2020
White paper/backtest: Qi FX Portfolio
Qi FX Portfolio signal backtesting
See more
01.01.2020
White paper/backtest: Summary of FVG
The Qi FVG report featuring all asset classes, hit rates and average returns.
See more
01.01.2020
White paper/backtest: Qi Rates portfolio
Methodology and Analysis whitepaper showcasing FVG
See more
Qi’s machine learning process derives fair model value for any security relative to its prevailing macro regime. Qi’s Fair Value Gap
(FVG) is the difference between spot market price and model value. These FVGs can be used as trading signals to generate alpha.
Qi Labs back-tested the efficacy of model’s short term FVGs (83d look back) across its rates universe. This universe includes interest rate swaps, spreads, forwards, flys, Govt bonds, asset swaps and cross market spreads in US, Australian, UK, European, Canadian and Japanese markets. The sample period tested runs from 2nd January 2012 to 25th July 2019.
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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.