Macro Valuation Model
A cross-asset signal that flags when price has diverged from macro conditions.
Across FX, rates, credit, commodities, indices, sectors and single stocks
Spotting Market Dislocations in Real-Time
Our Macro Valuation Engine pinpoints when securities diverge from macro fundamentals. Actionable opportunities revealed.
Example:
• June 2024: 10-year US Treasury yields fell on recession fears
• Our model showed fair value above 4.50%—Treasuries were mispriced
• Yields realigned with macro conditions, confirming our signal
Detecting Market Stress before Price Action
Sharp declines in modelconfidence often foreshadow market volatility. An early warning system.
Example:
• March 2024: Our model flaggedrising stress despite a market rally
• Increased sensitivity to realyields and VIX signaled a regime shift
• A 5% correction followed,validating our early warning
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Benefits
Spot Cross-Asset Opportunities
See where price has diverged from macro fair value across 18,000+ securities.
Generate Trade Ideas
Uncover signals pointing to securities poised to revert to fair value.
Unified Factor Framework
Understand how shared macro factors drive different assets for cross-asset allocation.
Superior Timing
Time entries and exits using measurable deviations from macro fair value.
How it works
Macro Share of Risk
Proprietary modelling splits every stock’s total volatility into a macro share and an idiosyncratic share — the signal the strategy trades on.
Macro Premia Framework
Each month allocate to one of three states: Macro (high/rising MSR), Idio (low/falling MSR), or a Safety Buffer when signals are ambiguous.
Portable Alpha
Inside the Idio sleeve, tilt toward names whose entity-specific returns are already being realised.
Tail Guardrails
Override into low- or high-volatility portfolios when market-wide macro risk reaches its tails — risk management and convexity.
Return Stacking
Layer the engines into one long-only return stream — the shared base of every Macro Index.
Set the Product
Independent Publication — QiMRP
Solactive calculates and publishes the long-only index; you implement it in the wrapper of your choice.
Market-Neutral Cross-Cancellation — QiMNA
Cancel positions overlapping the S&P 500 and lever the residual long/short book to a risk target, run as a TRS on margin.
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