As we start the year, I wanted to take a look at QI’s models on various sectors away from my own inclinations.
As a reminder, I established a partnership with QI as discussed here: Quant Insight Partnership. If you would like to explore their services via a trial or a demo, please get in touch and I can facilitate the discussion.
First, let’s look at the major indices in the U.S. Note that in some cases, I am showing the model confidence and in others I am showing the valuation gap (in std deviation terms). Model value is visible for all on the right.
SPY is cheap to fair value by 0.7 sigma.
As is QQQ.
IWM is the most dislocated from model, at 1.2 sigma, but notice model confidence is lower.
Let’s look at sectors.