Macro Regime Watch

Oil, US equities and the Euro were amongst the major financial assets that endured a tough October. Meanwhile, after the wage component of the November Payrolls report, US bond yields are back at local highs. What macro factors are...


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Macro Regime Watch

There are a number of longer term macro themes being discussed among our client base, and we wanted to highlight some of these as well as tie in Qi macro regime analysis. Key points below: Qi sensitivities show that...


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10yr US Yields & VIX: An unexpected result

The recent simple correlation between US 10y rates and VIX may be misleading. Looking at all possible drivers of 10y yields together within the Qi framework presents a very different picture of the underlying independent effect of VIX on...


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Macro Matters

Global financial markets face increasing political risks but, for now, those risks appear idiosyncratic rather than systemic. Despite Italian headlines, IBEX trades with one of the biggest valuation gaps at +0.9 sigma above Qi model value. The SPTSX Canadian...


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Breathing room for MXN

With NAFTA talks continuing and the July 1 Mexican general election drawing closer, QI’s macro indicators and Predata’s political risk signals suggest the Peso may have room to rally. These same signals correctly captured complacency around the Peso in...


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Regime Update: US Banks

Qi has developed two new custom models for US and European banks including macro factors such as the shape of the yield curve and money market strip, nominal yields plus the relevant Economic Data Surprise Indices. The aim was...


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Oil & US vs Europe spreads

US-Europe cross market spreads are reaching historical extremes most notably in the front end of the yield curve. Yet, on Qi, these spreads are within touching distance of fair model value. Higher oil prices are driving that move. Investors...


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Equities for a Fixed Income Bear market

The Fed hiking cycle and indeed global “rate normalisation” themes remain front and centre. The challenge for equity investors is to identify stocks which are sensitive to US rates and inflation expectations. Qi’s sensitivity data enables the creation of...


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EM Equities

The MSCI Emerging Market Index (MXEF) is now 1 sigma (3.5%) below Qi’s Short Term model value. As the chart below shows, -1 sigma typically marks the extreme downside within the historical range for the valuation gap for EM...


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The Macro Consensus

Qi’s unique sensitivity analysis can be applied at the fund as well as security level. That enables us to identify key macro themes that are dominating fund positioning. What is striking is how European reflation and tighter credit spreads...


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Outcome based investing for The Family Office

It’s summer 2018. The good news is Trump’s selected tariffs have not escalated into a fully blown global trade war. The bad news is his combination of tax cuts & infrastructure spending amount to an almost unprecedented easing of...


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Macro Regime Watch

Ahead of tonight’s FOMC, Qi’s sensitivity analysis suggests that on the current regime a hawkish surprise from the Fed would result in lower equities and lower bond prices. On the current pattern of associations, tighter US financial conditions equates to a...


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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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