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Topical observations from the Qi macro lens. Build your investment roadmap with the best-in-class quantitative analysis and global data.
24.03.2021
Beware Risk Off?
The Kiwi has turned sharply lower – a warning for broader risk appetite?
The fall in spot NZDUSD fx has prompted spot price to diverge from macro model value & open up a Fair Value Gap of -1.15 sigma (-4.7%)
The fall in spot NZDUSD fx has prompted spot price to diverge from macro model value & open up a Fair Value Gap of -1.15 sigma (-4.7%)
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23.03.2021
Momentum loves Value
The one year anniversary of the 2020 Covid lows has factor investors on watch for a potentially significant shift in momentum strategies. A shift where the composition of momentum pivots away from technology & towards value stocks.
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22.03.2021
US bond sell-off: What's the impact on EM rates
While Chairman Powell seems relaxed about recent moves in the long end of the US Treasury market, it does raise increasing concerns for EM debt markets. More specifically, which EM rates markets are most sensitive to the gyrations in US bond markets?
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19.03.2021
Crude Oil
The sharp fall in spot crude oil prices over the last 10days sits in sharp contrast to macro-warranted model value. In the case of Brent, while spot has fallen 5.2%, macro fair value has risen 8.7%. For WTI, the equivalent numbers are -6.0% & +11.6%.
Commodities always come with a health warning & require strong risk management given the propensity for adverse weather, geopolitical headlines or supply shocks to spark substantial volatility. However, macro model confidence is robust & both have now triggered Divergence signals on Qi. Moreover, back-testing the current -1.1 sigma FVGs on Brent & WTI, results in hit rates in the 70-75% area with double digit average returns.
Commodities always come with a health warning & require strong risk management given the propensity for adverse weather, geopolitical headlines or supply shocks to spark substantial volatility. However, macro model confidence is robust & both have now triggered Divergence signals on Qi. Moreover, back-testing the current -1.1 sigma FVGs on Brent & WTI, results in hit rates in the 70-75% area with double digit average returns.
See more
18.03.2021
The big picture
After last night's Fed meeting the picture left is one of stronger growth, higher inflation, easy monetary policy – it’s a combination that inevitably leads investors to yield curve steepeners, cyclical & value stocks, EM & commodities. But what’s the quantitative picture?
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17.03.2021
A cheap European reflation play
European Basic Resources are cheap versus their peers on macro model valuations; there is a new Qi Divergence buy signal; it is a bet on European reflation.
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02.01.2020
Watching Credit TEST MODE PDF
This is draft example of the new idea and how to access the PDF
>Credit spreads continue to grind tighter and provide sponsorship for the equity rally.
>A rally that is still being led by the Magnificent Seven but which has recently shown signs of broadening out.
>Various metrics show cash is coming in from the side-lines, shorts are being covered, speculative/high beta stocks are performing strongly.
Premium content, for a full analysis sign up to a month of insights>Credit spreads continue to grind tighter and provide sponsorship for the equity rally.
>A rally that is still being led by the Magnificent Seven but which has recently shown signs of broadening out.
>Various metrics show cash is coming in from the side-lines, shorts are being covered, speculative/high beta stocks are performing strongly.
01.01.2020
Upgrade: Macro factor shifts
Qi now displays the top 10 moves in macro factors over the last week, immediately highlighting where big macro shifts have taken place. For time poor investors, the chart makes any big regime shift - a tightening in financial conditions, a deteriorating in risk appetite or a spike in inflation fears - obvious & easy to follow.
Premium content, for a full analysis sign up to a month of insights01.01.2020
Upgrade: Tactical Asset Allocation framework
Qi takes the traditional investment clock to the next level, helping clients identify which regime – Goldilocks, boom, stagflation, recession - any security resides. No opinion but the empirically observed pattern of association over time.
Premium content, for a full analysis sign up to a month of insights01.01.2020
White paper: Understanding China exposure
One way Qi can help investors navigate China dynamics is to screen your portfolio for sensitivity to our Chinese macro factors.
This white paper looks at the October / November 2022 period when markets got excited that China’s Covid rules would be relaxed & a re-opening trade helped fuel a ‘risk on’ rally in markets.
Premium content, for a full analysis sign up to a month of insightsThis white paper looks at the October / November 2022 period when markets got excited that China’s Covid rules would be relaxed & a re-opening trade helped fuel a ‘risk on’ rally in markets.
24.03.2021
Beware Risk Off?
The Kiwi has turned sharply lower – a warning for broader risk appetite?
The fall in spot NZDUSD fx has prompted spot price to diverge from macro model value & open up a Fair Value Gap of -1.15 sigma (-4.7%)
The fall in spot NZDUSD fx has prompted spot price to diverge from macro model value & open up a Fair Value Gap of -1.15 sigma (-4.7%)
See more
23.03.2021
Momentum loves Value
The one year anniversary of the 2020 Covid lows has factor investors on watch for a potentially significant shift in momentum strategies. A shift where the composition of momentum pivots away from technology & towards value stocks.
See more
22.03.2021
US bond sell-off: What's the impact on EM rates
While Chairman Powell seems relaxed about recent moves in the long end of the US Treasury market, it does raise increasing concerns for EM debt markets. More specifically, which EM rates markets are most sensitive to the gyrations in US bond markets?
See more
19.03.2021
Crude Oil
The sharp fall in spot crude oil prices over the last 10days sits in sharp contrast to macro-warranted model value. In the case of Brent, while spot has fallen 5.2%, macro fair value has risen 8.7%. For WTI, the equivalent numbers are -6.0% & +11.6%.
Commodities always come with a health warning & require strong risk management given the propensity for adverse weather, geopolitical headlines or supply shocks to spark substantial volatility. However, macro model confidence is robust & both have now triggered Divergence signals on Qi. Moreover, back-testing the current -1.1 sigma FVGs on Brent & WTI, results in hit rates in the 70-75% area with double digit average returns.
Commodities always come with a health warning & require strong risk management given the propensity for adverse weather, geopolitical headlines or supply shocks to spark substantial volatility. However, macro model confidence is robust & both have now triggered Divergence signals on Qi. Moreover, back-testing the current -1.1 sigma FVGs on Brent & WTI, results in hit rates in the 70-75% area with double digit average returns.
See more
18.03.2021
The big picture
After last night's Fed meeting the picture left is one of stronger growth, higher inflation, easy monetary policy – it’s a combination that inevitably leads investors to yield curve steepeners, cyclical & value stocks, EM & commodities. But what’s the quantitative picture?
See more
17.03.2021
A cheap European reflation play
European Basic Resources are cheap versus their peers on macro model valuations; there is a new Qi Divergence buy signal; it is a bet on European reflation.
See more