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What if
#credit spreads widen? Empirically identify US single stocks most sensitive to HY spds. A robust quantitative solution for equity investors worried about credit risk.pic.twitter.com/BoxBj5aOD9
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Style factors like growth, value & momentum are widely used to explain equity returns, but
#macro is also a source of factor return. Even with#Earnings, a style which should be about micro company fundamentals, macro has strong explanatory power in US & EU.#knowyourmacrorisk.pic.twitter.com/97shbwh7Pv
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#Macro matters for#equities. Even in health care, a sector widely perceived to be about idiosyncratic risk, macro has strong explanatory power. In fact, RSq's are high across US sectors. Moreover, Qi's Value Gap analysis has clear value as a potential#trading signal.pic.twitter.com/1DQPKxrRRE
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#equity mkts were in robust macro regimes throughout 2019. Now model explanatory power is falling. Increased#geopolitical risk is the obvious culprit but there are implications for risk appetite /#riskmanagement. Ask info@quant-insight.compic.twitter.com/7eJzULGgJj
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#macro is critical for US equities, even into#earnings season. Identify which stocks are being driven by micro so stock picking skills dominate; & which are in a macro regime. For the latter, Qi's valuation overlay can then be used to finesse#investmentspic.twitter.com/bYPmQ6MFl7
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Time for that year end Risk meeting? Geographical, sector, style, VaR, liquidity, curve, credit, geopol risk all on the table. What about your macro risk? The Fed, China, inflation, credit and the other macro factors? What's the impact on your portfolio if these factors shift?pic.twitter.com/OyeQRCsgWp
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It's not extreme but it is consistent -
#NZD starting to look rich versus macro across a range of#Currency crosses. One to monitor, not just for#Kiwi fx players but a rich$NZDCHF suggests "risk on" is well entrenched.pic.twitter.com/fWqWXDd3gq
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Laggards in US cyclicals. Believe risky assets continue to rally into year-end? Which areas have lagged the rally? Consumer Discretionary
$XLY looks cheap versus its#macro regime, both outright & versus peers like$XLK & versus the broader#SPX500pic.twitter.com/2yDjW6Z4pM
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The VIX and Machine Learning.
#quantfinance#globalmacro#MachineLearning#hedging Article link below:https://www.linkedin.com/pulse/free-convexity-mahmood-noorani …Hvala. Twitter će to iskoristiti za poboljšanje vaše vremenske crte. PoništiPoništi -
Renewed confidence in the global outlook has seen safe haven trades retrace. Which equity style, sector, ETF RV, FX cross, commodity or part of rates world has moved the most versus
#macro fundamentals?#AskQi http://quant.insight.com pic.twitter.com/1tlPPYo5Yl
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$CNY dips back < 7.00 on trade war optimism. Yet amongst global#equity indices$SHCOMP is a clear outlier. Most DM & EM equity mkts are rich versus#macro. Several near 1y highs.#Chinese equities yet to feel any of the love - still languishing near 1y lows vs its macro regime.pic.twitter.com/zGSeqqQles
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After Oct's rally,
$AUDUSD is now +0.8 sigma rich vs macro model value. Risk aversion & credit spreads dominate the#macro regime. Typically +1 sigma defines the top of the valuation range. A potential vehicle for those worried about a bout of "risk off" into year-end...pic.twitter.com/dhF5h8bFYm
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Shanghai Comp at a 1yr low vs Qi's
#macro model.#China GDP growth the biggest single driver. "Risk on" may be the dominant narrative globally but Chinese equities are pricing in even slower growth.pic.twitter.com/33fnNRtwcA
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Increasing chat about a new bull run for
#Japan#Equities. Versus#SPX, the Nikkei is starting to look extended vs its#macro regime. For$NKY bulls, the onus is on macro drivers to support further o/p. Qi identifies the key drivers & the potential for a tactical correctionpic.twitter.com/FVqXV7cR4B
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Check out my latest article: What Drives US Financials ? https://www.linkedin.com/pulse/what-drives-us-financials-mahmood-noorani … via
@LinkedInHvala. Twitter će to iskoristiti za poboljšanje vaše vremenske crte. PoništiPoništi -
The
#CAC40 /$SXXP ratio is extended vs its#Macro regime. Back testing Qi's valuation gap signal over the last 10yrs reveals a 71% hit rate for an avg return of 0.7% for times like this when the ratio is 1σ from fair model value. http://quant-insight.com shows they key driverspic.twitter.com/VLp3xbjPRP
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What drives ESG? Qi models the
$SUSA /$SPY ratio to identify#Macro exposure for an Environmental, Social, Governance investment relative to the broader US#equity market. ESG needs Goldilocks not trade wars. Empirical evidence of macro's impact.pic.twitter.com/CRUFNiA0Vj
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Where is
#macro important for#equity sectors?$SXKP, European Telecos has seen Short Term model RSq jump from 6% to 85% in the last 4wks. Even bottom-up investors need to know the macro regime. What is that regime? http://www.quant-insight.com empirically demonstrates the key driverspic.twitter.com/cOPButrFPF
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How does a Euro
#equity fund react if#tradewars morph into a capital war? Qi highlights the single names in the$SXXP that are most sensitive to$CNH if#China were to weaponize the#YUAN. Use quant to empirically road test potential tail risks.http://www.quant-insight.comHvala. Twitter će to iskoristiti za poboljšanje vaše vremenske crte. PoništiPoništi
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