An Equity Playbook for the Italian Election

Italians will vote this Sunday March 4th in the parliamentary elections. As a risk barometer, BTP-Bund spreads have been narrowing from their April’17 highs and remain close to 1yr lows (inverted and white line below). Meanwhile, despite the FTSMIB...


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The VIX was “out or regime” for most of 2017. Macro factors in any combination could not explain VIX variation. This has changed abruptly. VIX is now well explained by and highly sensitive to actual volatility and real yields...


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VIX : Looking at the correlation with the Rsq measure

We did some work on RSq and thought you might find the following interesting. Essentially, we wanted to see if a broad drop in RSq (the measurement of the explanatory power of our model) across markets was a vol...


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Update: USD, Global Growth, Valuations, GBP

USD & Exogenous Factors. We had an active discussion with clients yesterday about trying to explain recent USD weakness, versus EUR in particular. This is an active topic in the financial press as well. As mentioned in yesterday’s “Regime Watch”...


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Macro Regime Watch

Both Short Term and Long Term regimes remain weak (almost all showing RSq below 65%). Long Term regimes in particular continue to weaken across most major markets. While there are pockets of high explanatory power, the big picture remains...


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Trading a USD/Oil Retracement through Equities

Qi’s fund analysis identified a number of consensus positions amongst the investment community early in 2018. Among them – short the Dollar and long Oil.   The email just sent shows a 20 stock long / 20 stock short...


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Revealing positioning and sentiment

Qi’s unique sensitivity analysis has the ability to identify the key macro factors different funds are exposed to. From there, Qi can derive the implicit positions each fund type is currently running. The analysis below quickly identifies consensus positions...


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Trading the Euro through Equities

The most important driver for SX5E is the Euro (followed by a steeper curve). We note that SX5E is at 1year highs at +1.6 sigma on the LT model (59% RSq). Thus, the question is how does Draghi thread...


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The Japan Effect- Quantified

Qi added JPY ZC inflation swaps & JPY 1y5y rate vol to a number of major market models to test the idea the Japanese economic cycle / BoJ policy stance is the cusp of a major turning point. The...


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EUR fx focus

EUR fx focus Qi’s Long Term model now shows EURUSD fx as +1.7 sigma (2%) above model value. Our model for 3month implied EURUSD fx vol is slightly cheap versus macro- warranted fair value. Positioning is starting to look...


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WTI focus

Focus On WTI Looking at the custom Qi Long Term WTI model we see that: WTI spot price (61.90) is 1.65 sigma above model value (12%). That is to say, even given the strong shift higher in global growth,...


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Macro Regime and Context

Macro Regime and Context for 2018 In the “Regime Watch” & “USD Warning – Drivers on the Move” research pieces (sent on 6th December and 27th November respectively) we noted that the Qi framework was pointing to a fading...


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Macro Regime Watch

A review of major macro drivers across asset classes once again underlines the importance of US inflation expectations – the “reflation theme” remains front and centre. Inflation expectations are key for US rates. The US Dollar against the majors...


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US Dollar Warning: Drivers are on the move

US Dollar weakness into Thanksgiving was underpinned by a move in the major drivers of the USD. Where these drivers move next will be important for the USD in December. There are a number of key events coming up...


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Closer look at the US 2s10s curve

At a time when a lot of market debate has focused on the dynamic between interest rate differentials and spot FX, and whether the regime is shifting, the two custom Qi models below attribute a large part of the...


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Roadmap for Middle East conflict

It is a curious and potentially worrying day. Saudi Arabia has advised its nationals to leave Lebanon (Saudi Press Agency earlier today). This follows the resignation a few days ago of the Lebanese Prime Minister in Riyadh and the...


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Italian Politics and the EURO

Downside risk for EURfx from Italian politics?


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Catalonia Impact

The IBEX stands out as the cheapest index to QI model value on our country index dashboard


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Macro Regime Watch

Fed policy is more important now for FX, US rates and European/EM equities. US equities (S&P and Nasdaq100) are not well explained by macro factors…


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