We perform quantitative analysis of the US stock market and provide investment advice based on our proprietary algorithm & approach
This video explains how we would build a managed account using a hedged Chicago Quantum Net Score / Smart Volatility model (alpha)
Since we made this video we have taken steps towards offering our own fund based on the CQNS UP and DOWN models.
What is an 'up run' or efficient portfolio?
- It identifies a portfolio of stocks that may out-perform a market index while demonstrating lower price volatility.
- These portfolios have less price volatility and more expected return than other portfolios.
What is a 'down run' or inefficient portfolio?
- It identifies a set of stocks that may decline in price more quickly than a market index while demonstrating higher price volatility.
- These portfolios have more price volatility and less expected return than other portfolios.
Our research is based on a proprietary quantitative algorithm (derived from the Sharpe Ratio), analysis model and a high-performance platform that we run both classically and on quantum annealing computers. Our Chicago Quantum Net Score algorithm is designed to run on quantum computers. It is ‘a little different’ from other models.
Our primary service is stock analysis (offered on a fixed-price basis)
We score individual common stocks on multiple dimensions. Our main score is its efficiency, or how a stock’s expected return compares to its daily price volatility.
- A stock with minimum risk and maximum expected return is efficient, and will likely move ‘up’ faster than the underlying stock index.
- A stock with maximum risk and minimum expected return is inefficient, and will likely move ‘down’ faster than the underlying stock index.
- Sometimes these stocks move very quickly and aggressively as the market detects and corrects for this mis-pricing.
- Traditional measures like dividend yields, stock splits, anomalous volume and price spikes can tell us about a stock’s history and help build the story for a stock.
- We assess skewness, which measures the daily price move bias (or asymmetry). Skewness tells us whether the tail of daily stock price changes has favored advances or declines.
- We assess kurtosis, which measures whether the stock makes unexpectedly large daily price moves, either up or down.
- We measure the BETA score against the index, which indicates the systematic risk in a stock, or how it moves with the market, and is a factor in determining expected ‘future’ returns.
We find multiple-stock portfolios, equally weighted, which either maximize or minimize their efficiency as a portfolio. This is computationally intensive (takes hours on our powerful desktop servers), and was the reason for developing a quantum computing algorithm.
Our services are delivered via a written management report and spreadsheet of our analysis findings. They include the information contained in the two tables below.
- We create and invest a repeatable, scalable service that we continually run, analyze and improve. Over time we better serve our clients. We keep growing our data input sizes and solver effectiveness. We learn from our successes and our failures over time. We are growing our expertise in the US equities markets.
- We offer an alternative, which is to pay us to code, test and operate a custom analysis and model. This makes sense for clients that want to 'own' the analysis and have a very specific idea in mind of how they want to select stock portfolios. We welcome this business.
- This algorithm is free from emotion. This is a fact-based analysis, run repeatedly. The stocks selected change over time.
- Finally, this is a proprietary algorithm run on an in-house technology platform that uses professional market data services. You get the benefit of those investments and expenses.
Consulting Workday
You are buying a one-day engagement with the President (Jeffrey Cohen) delivered over a full day.
We operate at both the strategic and tactical level depending on client need. This includes business strategy, business problem decomposition, mathematical and data design, algorithm design, tactical business optimization problem, Information Technology, and use of quantum and classical solvers.
We will work diligently and in a focused matter on one of your agenda items (e.g., business strategy question, client challenge, IT department plan, or optimization effort). Please specify your requirements.
Typically, this would be conducted onsite with your team (either in your offices or in a remote facility). However, due to Covid 19, we can deliver this service remotely via video conference.
This standard offering comes packaged with:
- travel time to your client location
- Deliverable: a Management Report with three sections: 1) Topics discussed, 2) Agreements and decisions, & 3) Consultant recommendations.
You may buy multiple days to fund a project. We work an 8-hour day, or longer if requested.
Actual travel expenses, supplies, computer hardware and software, and other materials that we must purchase to deliver this service are billed separately, as incurred, plus 8% administrative and financing markup.
Notes:
The President, Jeffrey Cohen, has been a management consultant for ~ 30 years, with experience as a Global Consulting Partner at IBM, Consulting Partner at HPe, Managing Vice President, N.A. Professional Services at Siemens, Associate Partner at McKinsey & Company, and Senior Manager, Consulting at KPMG.
We believe management consulting is pursuing "the art of the possible"
- We offer traditional IT management consulting services.
- We offer quantum computing consulting, including the development of a quantum computing strategy and corporate initiative.
- We offer IT outsourcing and vendor management consulting
- We offer to code and run your business problem on our discrete mathematical models & quantum annealing computers from D-Wave Systems Inc.
- We work on helping you to structure and solve a business analysis problem.
- We offer to help you understand the quantum computing ecosystem (hardware, software and services).
- We work with two suppliers who offer quantum security, or secure communication hardware and services. We can facilitate a discussion on quantum-related security.
- We offer to help you identify and propose a quantum computing use case.
- We offer financial analysis of stock portfolios based on our Chicago Quantum Net Score and Chicago Quantum Ratio.
- We ALWAYS work confidentially, diligently, free of conflict of interest. We bring our best thinking and insights.
We believe that a strategy discussion is also a training and enablement session. This is about visualizing the art of the possible in regards to advanced computing infrastructure. We will come prepared to apply what we collectively know about your industry, your challenges, and the state of the union of the technology to drive towards a conclusion that makes sense.
Most of us have spent our professional lives structuring and solving problems with pencil and paper (we still do), and using classical or traditional means. We may end up doing that, or we might find and define problems that are solved better with quantum computers.
CQNS UP or LONG analysis
Are you looking to find efficient stocks portfolios to hold that have lower historical price volatility and higher expected returns than other stocks or portfolios?
CQNS UP is a quantitative analysis of US listed stocks that an investor might like to hold, or take a long position, while hedging downside risk. It is based on the CQNS UP algorithm and the analysis finds portfolios with a better CQNS score than holding any individual stock. It finds many portfolio options, with a range of portfolio sizes, and we provide those options to clients to choose from.
These are expected to outperform the US equity market by having lower prior price volatility and higher expected returns than other stocks or portfolios.
These stock portfolios are not only efficient, but they contain stocks of US companies that are profitable (net income > 0).
What you receive:
A set of optimized stock portfolios that are the most efficient, and have the best risk-return trade-off. We typically provide the top 25 of these portfolios, along with their portfolio CQNS score. This allows our clients to tailor their holdings with known impacts to their mathematical advantage.
In addition to finding and providing a set of optimized stock portfolios by CQNS score, we provide additional analytical deliverables, as follows:
- Key data validation parameters
- Overall stock market returns over the past year for SPY, QQQ and IWM ETFs, our riskfree rate, and the expected return from risk assets.
For each stock that passed data validation, over the past 253 trading days:
- Stock variance for each stock, normalized to allow comparison.
- CQNS score for each stock
- Volume for each stock (% average)
- Price Change (% average)
- BETA (versus index ETF used)
- Stocks that meet a threshold for non-normal distributions in fourth-order price distribution (kurtosis) with low or high daily price variance
- Stocks that meet a threshold for non-normal distributions in the third-order price distribution (skewness)
- Dividends paid (% average price)
- Variance of daily closing stock price (value, normalized)
- Expected returns (%)
- Stocks with negative, high, or low BETA values (BETA value).
- Stocks with stock price change (% of average)
- Stocks with volume spikes (# of days volume)
- Stocks that split (split ratio)
- Market capitalization ($)*
- Cash Flow From Operations ($)*
- Long Term Debt ($)*
- Net Income ($)*
- Common Equity ($)*
- Accumulated Other Comprehensive Income (AOCI) ($)*
* If data provided by Intrinio, only provided for CQNS UP run service.
Timing:
We initiate the analysis after 7pm ET to ensure complete trading day information.
We email to you (or upload in a pre-agreed way e.g., Google Drive) a management report along with a spreadsheet (.CSV) before the next market open, and often before midnight ET.
What you do:
You provide us with the following information as you place your order:
- Your name, physical address, email address & phone number
- Any special requests, instructions, or actionable objectives
- How you would like to receive your report and spreadsheet (if not by email). We use Google Drive, Slack, Microsoft Teams/Office, and other collaboration technologies.
You may also call or email us with your information.
- Email: jeffrey@quantum-usaci.com
- Cell: +1.312.515.7333
For repeat orders, you may request an invoice. We accept payment via check, ACH, or through an online payment processor (secure).
We will not sell or share your information unless legally required.
Thank you for your order and your business.
One week of custom portfolio algorithm development & coding (quantum & classical)
One week is defined as a continuous 5 day period (e.g., Monday - Friday).
We work in Python in Jupyter Notebooks. We code our proprietary solvers into the notebooks along with code to run the D-Wave Systems quantum annealing computers. You may want to software engineer the code afterwards to harden and speed up the models.
We will apply our skills, experience, and knowledge of the D-Wave Systems quantum annealing computers as well as with coding and running classical solvers. We apply our domain expertise in financial services and equities.
We will work with your team as requested (independently or collaboratively). We can provide training and mentorship as requested.
We will leverage your expertise in coding these if/when we work together with your development or trading teams. We are happy to work with you in your facility (safely due to Covid 19), work on video, or work remotely against your specifications.
You receive and own the code and documentation that we built upon payment for the time you have purchased. If you pay in advance, you may request access to the code and documentation at any time.
You will need to license any third-party libraries, modules, functions or SDKs we utilize. If you choose to use our professional market data services provider, Intrinio, you will need to acquire a license for that data (optionally through us).
We would like to run and maintain the code we develop for you and provide management reports (for a fee) at your option.
We will invoice our time and bill any expenses as incurred, or you may pay for our time in advance through this website.
CQNS DOWN or SHORT analysis
Are you looking to find stocks or portfolios to avoid holding or to short / bet against?
Do you want to identify inefficient stocks that have more historical price risk than expected return than other stocks?
CQNS DOWN is a quantitative analysis of US listed stocks that an investor might like to avoid or short, while also hedging upside risk. These are inefficient portfolios of stocks of money-losing companies with significantly poor CQNS scores. These have significantly more risk than expected return, and are based on our CQNS DOWN algorithm. Inefficient portfolios are often one or a few stocks, as diversification removed the exceptional level of risk in these stocks.
These stocks are not just inefficient. The companies behind these stocks have negative net income. Currently, stocks of companies with negative net income have 3.5x the price risk as investing in the S&P 500 ETF.
What you receive:
A set of optimized stock portfolios that are the most inefficient, and have the worst risk-return trade-off. We typically provide the top 25 of these portfolios, along with their portfolio CQNS score.
In addition to finding and providing a set of optimized stock portfolios by CQNS score, we provide additional analytical deliverables, as follows:
- Key data validation parameters
- Overall stock market returns over the past year for SPY, QQQ and IWM ETFs, our riskfree rate, and the expected return from risk assets.
For each stock that passed data validation, over the past 253 trading days:
- Stock variance for each stock, normalized to allow comparison.
- CQNS score for each stock
- Volume for each stock (% average)
- Price Change (% average)
- BETA (versus index ETF used)
- Stocks that meet a threshold for non-normal distributions in fourth-order price distribution (kurtosis) with low or high daily price variance
- Stocks that meet a threshold for non-normal distributions in the third-order price distribution (skewness)
- Dividends paid (% average price)
- Variance of daily closing stock price (value, normalized)
- Expected returns (%)
- Stocks with negative, high, or low BETA values (BETA value).
- Stocks with stock price change (% of average)
- Stocks with volume spikes (# of days volume)
- Stocks that split (split ratio)
Timing:
We initiate the analysis after 7pm ET to ensure complete trading day information.
We email to you (or upload in a pre-agreed way e.g., Google Drive) a management report along with a spreadsheet (.CSV) before the next market open, and often before midnight ET.
What you do:
You provide us with the following information as you place your order:
- Your name, physical address, email address & phone number
- Any special requests, instructions, or actionable objectives
- How you would like to receive your report and spreadsheet (if not by email). We use Google Drive, Slack, Microsoft Teams/Office, and other collaboration technologies.
You may also call or email us with your information.
- Email: jeffrey@quantum-usaci.com
- Cell: +1.312.515.7333
For repeat orders, you may request an invoice. We accept payment via check, ACH, or through an online payment processor (secure).
We will not sell or share your information unless legally required.
Thank you for your order and your business.
Investment Planning Workshop
This service consists of multiple preparation calls and meetings, a workshop (in-person) where we build a firm understanding of our client's financial situation and objectives, discuss topics and answer questions they may have.
We also run a pair of 'Chicago Quantum Net Score' runs (both UP and DOWN) for the client in advance of the workshop and walk through the insights and findings. This is a $1,500 value.
By the end of the workshop, and through the development of the investment plan, we have built a better understanding of the client's situation and found stock portfolios that may be attractive (either long or short). The client benefits from understanding then current information and analysis our firm has performed on the financial markets and increases their financial literacy.
We may also suggest the client watch a few of our YouTube videos and we can discuss the data sources and analyses we perform daily on overall financial markets.
The workshop portion of the service is intended to be delivered onsite with the client. It can also be spread over two days to accommodate schedules.
This includes up to 15 hours of effort from our Investment Advisor Representative.
- We discuss our approach, methodology, findings and recommendations in detail.
- We program a client’s proprietary ideas, methods and models on our platform. The resulting code is run and maintained by our firm. The code is jointly owned.
- We conduct quantitative macro-economic and monetary policy discussions with clients to share 'big picture' ideas.
- We provide client-directed research and analysis of companies, industries or economies.
Review our recent stock portfolio analyses & market results
We incorporated Intrinio, a professional market data services firm into our model and process. Chicago Quantum is a satisfied customer of Intrinio.
