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 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.
We offer non-discretionary research on stock price movements to clients including institutional investors, high net-worth individuals (‘accredited’ investors), and financial services businesses. We provide information for you to make your own investment choices.
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.
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 of our analysis findings.
Our Ancillary Services (offered on an hourly or weekly basis)
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 of our analysis findings.
Our Ancillary Services (offered on an hourly or weekly basis)
- 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
October 13, 2021 update: We incorporated Intrinio, a professional market data services firm into our model and process. We are back online and better than ever. Chicago Quantum is a satisfied customer of Intrinio.
