Quant Insight

@Quant_Insight

Qi employs advanced algorithms that analyse lots of data to identify what is really moving markets. Not investment advice.

London, UK
Vrijeme pridruživanja: listopad 2015.

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  1. 17. sij

    What if spreads widen? Empirically identify US single stocks most sensitive to HY spds. A robust quantitative solution for equity investors worried about credit risk.

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  2. 14. sij

    Style factors like growth, value & momentum are widely used to explain equity returns, but is also a source of factor return. Even with , a style which should be about micro company fundamentals, macro has strong explanatory power in US & EU. .

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  3. 9. sij

    matters for . 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 signal.

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  4. 8. sij

    mkts were in robust macro regimes throughout 2019. Now model explanatory power is falling. Increased risk is the obvious culprit but there are implications for risk appetite / . Ask info@quant-insight.com

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  5. 7. sij

    is critical for US equities, even into 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

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  6. 4. pro 2019.

    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?

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  7. 27. stu 2019.

    It's not extreme but it is consistent - starting to look rich versus macro across a range of crosses. One to monitor, not just for fx players but a rich suggests "risk on" is well entrenched.

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  8. 14. stu 2019.

    Laggards in US cyclicals. Believe risky assets continue to rally into year-end? Which areas have lagged the rally? Consumer Discretionary looks cheap versus its regime, both outright & versus peers like & versus the broader

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  9. 13. stu 2019.
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  10. 11. stu 2019.

    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 fundamentals?

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  11. 5. stu 2019.

    dips back < 7.00 on trade war optimism. Yet amongst global indices is a clear outlier. Most DM & EM equity mkts are rich versus . Several near 1y highs. equities yet to feel any of the love - still languishing near 1y lows vs its macro regime.

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  12. 4. stu 2019.

    After Oct's rally, is now +0.8 sigma rich vs macro model value. Risk aversion & credit spreads dominate the 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...

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  13. 1. stu 2019.

    Shanghai Comp at a 1yr low vs Qi's model. GDP growth the biggest single driver. "Risk on" may be the dominant narrative globally but Chinese equities are pricing in even slower growth.

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  14. 31. lis 2019.

    Global index RV. 5 of the top 6 biggest Valuation Gaps on Qi models show as cheap vs its European peers. Micro may have driven the u/p ( earnings) but has strong explanatory power & even bottom-up funds need to know the macro regime.

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  15. 18. lis 2019.

    Increasing chat about a new bull run for . Versus , the Nikkei is starting to look extended vs its regime. For bulls, the onus is on macro drivers to support further o/p. Qi identifies the key drivers & the potential for a tactical correction

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  16. 18. lis 2019.

    Check out my latest article: What Drives US Financials ? via

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  17. 11. lis 2019.

    The / ratio is extended vs its 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. shows they key drivers

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  18. 10. lis 2019.

    What drives ESG? Qi models the / ratio to identify exposure for an Environmental, Social, Governance investment relative to the broader US market. ESG needs Goldilocks not trade wars. Empirical evidence of macro's impact.

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  19. 10. lis 2019.

    Where is important for sectors? , 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? empirically demonstrates the key drivers

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  20. 9. lis 2019.

    How does a Euro fund react if morph into a capital war? Qi highlights the single names in the that are most sensitive to if were to weaponize the . Use quant to empirically road test potential tail risks.

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