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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.

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.

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.

14 years of evidence.
Quant Insight extracts the sensitivities of asset prices to various key macro factors covering economic fundamentals, financial conditions and measures of investor risk aversion.