We Perform Quantitative Analysis on 3,000 US-Listed Stocks
- We are a Highland Park, Illinois investment advisor.
- Jeffrey Cohen is our investment advisor representative.
- The Chicago Quantum Net Score (CQNS) is our proprietary algorithm and platform.
Phone: (312) 515-7333 (Monday - Friday, 7am - 5pm: call or by appointment)
Working from our office in Highland Park, Illinois
We offer research on stock price movements, and seek out optimized stock portfolios, for clients including institutional investors, high net-worth individuals (‘accredited’ investors), and financial services businesses.
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 was originally designed to run on quantum computers.
Our primary service is a daily, comprehensive US-listed stock analysis
We score individual common stocks on multiple dimensions. Our main score is its efficiency, or how a stock’s expected return compares to its 1-year price volatility.
We create and test billions of multiple-stock portfolios, equally weighted, to find optimized portfolios which either maximize or minimize their efficiency. We create a hilbert search space of every combination of over 3,000 stocks that pass daily data validation (and base filters). This is data rich and computationally intensive (takes hours on our powerful server). Before we had a powerful server, we developed and executed our algorithm on a quantum computer. We retain the ability to re-run on D-Wave Systems quantum computers.
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.
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 was originally designed to run on quantum computers.
Our primary service is a daily, comprehensive US-listed stock analysis
We score individual common stocks on multiple dimensions. Our main score is its efficiency, or how a stock’s expected return compares to its 1-year price volatility.
- A stock portfolio with minimum risk and maximum expected return is efficient. We believe investors prefer maximizing returns while minimizing risks. We work to identify portfolios significantly better or worse than market indices.
- A stock with maximum risk and minimum expected return is inefficient, and will likely have more chop or movement than overall direction. These stocks also tend to decline rapidly once they start to fall.
- Anecdotally, we found these portfolios will move quickly as the market detects and corrects for these pockets of smart, or dumb volatility.
- Fundamental measures like dividend yields, profitability, book value, net debt and even AOCI tell us about company valuation, while technical measures like anomalous price distributions, significant volume and price spikes, and price volatility can tell much 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 a typical day over the past year had the stock advancing or declining.
- We assess kurtosis, which measures whether the stock has made unexpectedly large daily price moves, either up or down, while generally being low variance. Does the stock surprise investors more than normally?
- 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 create and test billions of multiple-stock portfolios, equally weighted, to find optimized portfolios which either maximize or minimize their efficiency. We create a hilbert search space of every combination of over 3,000 stocks that pass daily data validation (and base filters). This is data rich and computationally intensive (takes hours on our powerful server). Before we had a powerful server, we developed and executed our algorithm on a quantum computer. We retain the ability to re-run on D-Wave Systems quantum computers.
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.
Chicago Quantum Value Proposition:
- We created a repeatable, scalable analytic service that we have run, analyzed and improved over the past three years. We have tracked performance and tested alternative hypotheses. We keep growing our data input sizes and platform effectiveness. We learn from our successes and our failures. We grow our expertise in the US equities markets.
- This algorithm is free from emotion. This is a fact-based analysis, run repeatedly. The stocks selected change over time. We believe the underlying 'math' in the market creates creates consistently high-performing, or very low performing US-listed stock portfolios.
- 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, expenses and expertise.
Comprehensive US stock market analysis (UP or LONG)
$100.00
A comprehensive, quantitative analysis of the US stock market to find the optimal long portfolios.
It is performed after market close based on a year of historical data. It checks ~10,000 US tickers that trade, finds those that pass data validation (~3,000), then searches through centillions of portfolio combinations (~10^1000) to find the optimal US-listed common stock portfolio to buy and hold.
It takes us a few hours to run the analysis on our powerful in-house server using our proprietary software platform and code, accessing a full set of premium, market data services from Intrinio with every run.
Finally, we then spend a few minutes reviewing the results and pulling them together into an email or data drop for you.
The optimal US-listed common stock portfolio is one the largest difference between expected returns and historical risk. It should perform better than a passive US equity index fund such as the famous 500, technology 100 or small cap 2000.
We invented the Chicago Quantum Net Score and wrote the code to determine the best way to do this. We released the ideas into the public domain before COVID via three arXiv articles and have been cited numerous times in other academic works. The logic still holds.
We don't like the idea of giving a potential investor only one option as it could cause crowding into a specific portfolio. Therefore, we give clients the top 25 portfolios in order of their Chicago Quantum Net Score. We also provide a spreadsheet with summary statistics for all stocks that passed data validation.
We also provide other interesting statistics about the stocks we analyzed that are produced by our model (see list).
How does this work for investors?
The optimal portfolio, if things continue as they were, is expected to outperform the US equity market by having lower price volatility and higher expected returns. That should result in a portfolio that rises quickly and steadily when markets advance.
This portfolio can be hedged to protect against downside market risk. We did that when we ran our portfolio simulation for our separately managed accounts. We hedged the optimal long portfolio with the optimal short portfolio since that made the most logical sense to us.
If you become a repeat client, you can ask us to customize things.
What you receive:
A set of 25 optimized stock portfolios that are the most efficient, and have the best risk-return trade-off, along with their portfolio CQNS score. This allows our clients to tailor their holdings with known impacts to their mathematical advantage over a passive US equity index.
In addition to finding and providing a set of optimized stock portfolios by CQNS score, we provide additional analytical deliverables, as follows:
For each stock that passed data validation, over the past 253 trading days:
For stocks that beat a threshold value over the past 253 trading days:
Timing:
Once we see that you purchased the service, we initiate the analysis after 7pm ET to ensure complete trading day information.
We email, upload or file transfer to you the model output in a text file with a spreadsheet (.CSV) before the next market open, and sometimes before midnight ET.
What you do:
You provide us with the following information as you place your order:
You may also call or email us with your information.
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.
It is performed after market close based on a year of historical data. It checks ~10,000 US tickers that trade, finds those that pass data validation (~3,000), then searches through centillions of portfolio combinations (~10^1000) to find the optimal US-listed common stock portfolio to buy and hold.
It takes us a few hours to run the analysis on our powerful in-house server using our proprietary software platform and code, accessing a full set of premium, market data services from Intrinio with every run.
Finally, we then spend a few minutes reviewing the results and pulling them together into an email or data drop for you.
The optimal US-listed common stock portfolio is one the largest difference between expected returns and historical risk. It should perform better than a passive US equity index fund such as the famous 500, technology 100 or small cap 2000.
We invented the Chicago Quantum Net Score and wrote the code to determine the best way to do this. We released the ideas into the public domain before COVID via three arXiv articles and have been cited numerous times in other academic works. The logic still holds.
We don't like the idea of giving a potential investor only one option as it could cause crowding into a specific portfolio. Therefore, we give clients the top 25 portfolios in order of their Chicago Quantum Net Score. We also provide a spreadsheet with summary statistics for all stocks that passed data validation.
We also provide other interesting statistics about the stocks we analyzed that are produced by our model (see list).
How does this work for investors?
The optimal portfolio, if things continue as they were, is expected to outperform the US equity market by having lower price volatility and higher expected returns. That should result in a portfolio that rises quickly and steadily when markets advance.
This portfolio can be hedged to protect against downside market risk. We did that when we ran our portfolio simulation for our separately managed accounts. We hedged the optimal long portfolio with the optimal short portfolio since that made the most logical sense to us.
If you become a repeat client, you can ask us to customize things.
What you receive:
A set of 25 optimized stock portfolios that are the most efficient, and have the best risk-return trade-off, along with their portfolio CQNS score. This allows our clients to tailor their holdings with known impacts to their mathematical advantage over a passive US equity index.
In addition to finding and providing a set of optimized stock portfolios by CQNS score, we provide additional analytical deliverables, as follows:
For each stock that passed data validation, over the past 253 trading days:
- CQNS score for each stock
- Volume for each stock (% prior year average)
- Price Change (% prior year average)
- BETA (vs. SPY)
- Dividends paid (% prior year average price)
- Expected returns (% for next year)
- Equity market capitalization ($)
- Stock variance for each stock, normalized to allow comparison.
For stocks that beat a threshold value over the past 253 trading days:
- Non-normal distributions in fourth-order price distribution (kurtosis) and low daily price variance
- Non-normal distributions in the third-order price distribution (skewness)
- Stocks with negative, high, or low BETA values (BETA vs. SPY).
- Stocks with large price changes (% of average)
- Stocks with volume spikes (# of days volume)
Timing:
Once we see that you purchased the service, we initiate the analysis after 7pm ET to ensure complete trading day information.
We email, upload or file transfer to you the model output in a text file with a spreadsheet (.CSV) before the next market open, and sometimes 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.
Comprehensive US stock market analysis (DOWN or SHORT)
$100.00
This service is a comprehensive analysis of the US stock market to find a portfolio of stocks to short or avoid in your portfolio. It is performed after market close. It checks ~10,000 US tickers that trade, finds those that pass data validation (~3,000), then it searches through centillions of portfolio combinations (~10^1000) to find the optimal US-listed common stock portfolio to avoid, or short.
It takes us a few hours to run the analysis on our powerful in-house server using our proprietary software platform and code, accessing a full set of premium, market data services from Intrinio with every run.
Finally, we then spend a few minutes reviewing the results and pulling them together into an email or data drop for you.
The optimal "DOWN or SHORT" US-listed common stock portfolio is one with the largest net historical risk less expected future return. It should perform worse than a passive US equity index fund such as the famous 500, technology 100 or small cap 2000.
We invented the Chicago Quantum Net Score and wrote the code to determine the best way to do this. We released the ideas into the public domain before COVID via three arXiv articles and have been cited numerous times in other academic works. The logic still holds.
We don't like the idea of giving a potential investor only one option as it could cause crowding into a specific portfolio. Therefore, we give clients the top 25 portfolios in order of their Chicago Quantum Net Score. We also provide a spreadsheet with summary statistics for all stocks that passed data validation.
We also provide other interesting statistics about the stocks we analyzed that are produced by our model (see list).
How does this work for investors?
The optimal "DOWN" portfolio, if things continue as they were, is expected to underperform the US equity market by having higher price volatility and lower expected returns. That should result in a portfolio that moves erratically but does not advance quickly and steadily when markets advance.
What we found anecdotally is that these stocks are often MEME stocks or move very quickly without a true sense of direction. They are very risky stocks to hold, and tend to fall in price.
This portfolio can be used as a hedge for long US stock portfolios to protect against downside market risk. We did that when we ran our portfolio simulation for our separately managed accounts. We hedged the optimal long portfolio with the optimal short portfolio since that made the most logical sense to us.
By way of a proof point, we have run A/B analysis of profitable and unprofitable stocks, and unprofitable stocks tend to have far higher price volatility. With supporting fundamental analysis, you can select short stocks with significantly negative net income, negative book value, and debt to really drive poor stock performance.
If you become a repeat client, you can ask us to customize things.
What you receive:
A set of 25 optimized stock portfolios that are the most inefficient, and have the worst risk-return trade-off, along with their portfolio CQNS score. This allows our clients to tailor their holdings with known impacts to their mathematical advantage over a passive US equity index.
These tend to be very small portfolios of one to three stocks, because diversification improves them too much. When we used this analysis for our separate managed accounts simulation, we only had three short stocks at a time. A client can pick a few short names from the ordered list of stocks and usually back up the quantitative analysis with supporting fundamental analysis.
In addition to finding and providing a set of optimized stock portfolios by CQNS score, we provide additional analytical deliverables, as follows:
For each stock that passed data validation, over the past 253 trading days:
For stocks that beat a threshold value over the past 253 trading days:
Timing:
Once we see that you purchased the service, we initiate the analysis after 7pm ET to ensure complete trading day information.
We email, upload or file transfer to you the model output in a text file with a spreadsheet (.CSV) before the next market open, and sometimes before midnight ET.
What you do:
You provide us with the following information as you place your order:
You may also call or email us with your information.
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.
It takes us a few hours to run the analysis on our powerful in-house server using our proprietary software platform and code, accessing a full set of premium, market data services from Intrinio with every run.
Finally, we then spend a few minutes reviewing the results and pulling them together into an email or data drop for you.
The optimal "DOWN or SHORT" US-listed common stock portfolio is one with the largest net historical risk less expected future return. It should perform worse than a passive US equity index fund such as the famous 500, technology 100 or small cap 2000.
We invented the Chicago Quantum Net Score and wrote the code to determine the best way to do this. We released the ideas into the public domain before COVID via three arXiv articles and have been cited numerous times in other academic works. The logic still holds.
We don't like the idea of giving a potential investor only one option as it could cause crowding into a specific portfolio. Therefore, we give clients the top 25 portfolios in order of their Chicago Quantum Net Score. We also provide a spreadsheet with summary statistics for all stocks that passed data validation.
We also provide other interesting statistics about the stocks we analyzed that are produced by our model (see list).
How does this work for investors?
The optimal "DOWN" portfolio, if things continue as they were, is expected to underperform the US equity market by having higher price volatility and lower expected returns. That should result in a portfolio that moves erratically but does not advance quickly and steadily when markets advance.
What we found anecdotally is that these stocks are often MEME stocks or move very quickly without a true sense of direction. They are very risky stocks to hold, and tend to fall in price.
This portfolio can be used as a hedge for long US stock portfolios to protect against downside market risk. We did that when we ran our portfolio simulation for our separately managed accounts. We hedged the optimal long portfolio with the optimal short portfolio since that made the most logical sense to us.
By way of a proof point, we have run A/B analysis of profitable and unprofitable stocks, and unprofitable stocks tend to have far higher price volatility. With supporting fundamental analysis, you can select short stocks with significantly negative net income, negative book value, and debt to really drive poor stock performance.
If you become a repeat client, you can ask us to customize things.
What you receive:
A set of 25 optimized stock portfolios that are the most inefficient, and have the worst risk-return trade-off, along with their portfolio CQNS score. This allows our clients to tailor their holdings with known impacts to their mathematical advantage over a passive US equity index.
These tend to be very small portfolios of one to three stocks, because diversification improves them too much. When we used this analysis for our separate managed accounts simulation, we only had three short stocks at a time. A client can pick a few short names from the ordered list of stocks and usually back up the quantitative analysis with supporting fundamental analysis.
In addition to finding and providing a set of optimized stock portfolios by CQNS score, we provide additional analytical deliverables, as follows:
For each stock that passed data validation, over the past 253 trading days:
- CQNS score for each stock
- Volume for each stock (% prior year average)
- Price Change (% prior year average)
- BETA (vs. SPY)
- Dividends paid (% prior year average price)
- Expected returns (% for next year)
- Equity market capitalization ($)
- Stock variance for each stock, normalized to allow comparison.
For stocks that beat a threshold value over the past 253 trading days:
- Non-normal distributions in fourth-order price distribution (kurtosis) and low daily price variance
- Non-normal distributions in the third-order price distribution (skewness)
- Stocks with negative, high, or low BETA values (BETA vs. SPY).
- Stocks with large price changes (% of average)
- Stocks with volume spikes (# of days volume)
Timing:
Once we see that you purchased the service, we initiate the analysis after 7pm ET to ensure complete trading day information.
We email, upload or file transfer to you the model output in a text file with a spreadsheet (.CSV) before the next market open, and sometimes 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
$1,500.00
This service delivers a comprehensive investment plan for our client. The investment plan consists of a summary of assets, expenses, timelines, objectives, and matches those with a set of investment options, services and products to meet client needs.
We will spend time to understand your investing experience, your degree of risk aversion, your needs and wants for future income, and any special circumstances relevant to your investments.
We run a Chicago Quantum Net Score analysis for the client in advance of the workshop. If relevant to the discussion, we will present those findings.
This service consists of multiple calls and meetings, document and account reviews, a live workshop to discuss potential strategies and options, time to document, analyze and conclude with an investment strategy. We include time for open discussion and to answer client questions.
By the end of the workshop, and through the development of the investment plan, we have built a better understanding of your situation and found a mix of investment options, including stock portfolios that may be attractive (either long or short).
The client benefits from a better understanding of their financial situation, any gaps between their investments and their investment strategy, and (hopefully) has increased their financial literacy with a trusted service provider.
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 work from our Investment Advisor Representative over a one-week period.
Custom Development
$5,000.00
We will code for a week on your behalf.
We will identify, describe, document and code your algorithm ideas into algorithms that run on our platform (python on Windows).
This service includes one full week of custom development effort, and 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.
We will identify, describe, document and code your algorithm ideas into algorithms that run on our platform (python on Windows).
This service includes one full week of custom development effort, and 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.
Monthly membership
$100.00
Gain insider access to our research and analysis.
Members receive these deliverables:
Pre-market alerts: We may send pre-market alerts on top picks or key findings from our Chicago Quantum Net Score model. We may alert shifts in market conditions, such as changes in volatility, model positioning as strongly RISK-ON, RISK-OFF (or if it changes significantly). This is all before US equity markets open.
Thank you. Your membership helps to support our business. We will bill your payment method monthly.
Members receive these deliverables:
- Access to our stock market and macroeconomic analysis videos (new recordings each week).
- Access to our written BLOG posts and Medium articles (we will alert if time-sensitive, else a weekly write-up).
- Access to key social media posts.
- One 30-minute phone call each month to discuss your topic of interest.
- Monthly newsletter via email.
Pre-market alerts: We may send pre-market alerts on top picks or key findings from our Chicago Quantum Net Score model. We may alert shifts in market conditions, such as changes in volatility, model positioning as strongly RISK-ON, RISK-OFF (or if it changes significantly). This is all before US equity markets open.
Thank you. Your membership helps to support our business. We will bill your payment method monthly.
Other Advisory Services (offered on an hourly or weekly basis)
- We discuss our approach, methodology, findings and recommendations in detail. We conduct customized research.
- 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.
