Included with the CQNS Analysis
March 26 2024 CQNS Stock Market Analysis - Long
This is the report for the CQNS stock market analysis. We ran it after hours on March 26, 2024, and it is available to buyers for $20.00.
This is the full text report with full commentary. No other files are included.
Our hope is that you use this report to profit in the stock market. We also request feedback, comments and questions if you are into that kind of relationship with a registered financial advisor (we are located in Highland Park, Illinois).
You can also use this report with the other historical report we make available to purchase to see the changes in the stocks selected by our model, and to better understand the stocks that are showing either significant improvement, or that are falling behind the pack.
You have two days to download the report after purchase.
US stock market analysis (SHORT)
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 currently), then it searches within a very great many U.S. stock portfolio combinations 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 often seem like 'scam' stocks. 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 company stocks. Unprofitable company stocks tend to have far higher price volatility. Couple that with a company that is not 'going anywhere' and you can start to build a picture. 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.
US stock market analysis (LONG)
A comprehensive, quantitative analysis of the US stock market to find optimal portfolios.
It is performed daily after market close based on a year of historical data. It checks ~10,000 US tickers that traded that day, finds those that pass data validation (~3,000), then searches through potential U.S. equity portfolio combinations to find optimal US-listed common stock portfolios.
We run the analysis on our in-house platform using data provided by Intrinio, our premium, market data services provider. Once complete, we review and send you a report and data files.
Our model finds the U.S. common stock portfolio with the largest net difference between expected returns and historical risk, on a normalized basis (equalize the units, then subtract the values). This finds portfolios with the largest difference between historical risk and expected returns (using BETA values calculated using the S&P 500 Equity Index ETF, applied against historical U.S. stock market returns and current risk-free interest rates).
For more information on the math and logic, we released the Chicago Quantum Net Score into the academic domain via via three arXiv pre-print articles that have been cited numerous times in other academic works.
We provide clients with the top 25 U.S. equity portfolios in order of their Chicago Quantum Net Score. We also provide a spreadsheet with summary statistics, in order of their individual Chicago Quantum Net Score, for all stocks that pass data validation.
We provide numerous descriptive statistics about the stocks we analyze that are produced by our model and highlight non-normal distributions we find interesting.
How does this work for investors?
Optimized portfolios near the top of the list may outperform the US equity market by having lower price volatility and higher expected returns because it attracts investor attention and investment. Optimized at portfolio should advance aggressively and with less volatility as markets advance. We have seen significant investor attention and volume in stocks at or near the top of our Chicago Quantum Net Score stocks. Anecdotal evidence suggests that this model currently works. The stocks at the top of the list are doing well, stocks rising towards to top of the list do well, and many of these stocks have risen (and fallen) aggressively as they trend higher.
In our managed separate accounts offering based on this model, we typically hedge against market declines as markets do not move in a single direction.
Clients may suggest change requests to evolve our analysis.
What you receive:
A system generated output text report, containing the results of the analysis, including the 25 most optimized U.S. common stock portfolios we found that day. The report includes the following:
- Market index variance
- Expected market return to risk, and risk-free rate
- Calibration: Normalizing our 'all stock portfolio' and what it looks like.
- 25 stocks with the best CQNS scores
- 25 stocks with the worst CQNS scores
- 25 stocks with the highest relative volume vs. 253 day average
- 25 stocks with the lowest relative volume
- 25 stocks with the largest increases in stock price
- 25 stocks with the largest decrease in stock price
- 25 stocks with the largest BETA
- 25 stocks with the smallest, positive BETA
- All stocks with excessive positive skewness
- All stocks with excessive negative skewness
- All stocks that are extremely leptokurtic and have low variance
- All stocks that are extremely platykurtic and have low variance
- 25 optimized portfolios (in order of CQNS)
- All stocks that passed data validation, in order of CQNS score, with the following values:
- Rank (integer)
- Ticker (text)
- Company Name (text)
- CQNS Score (decimal)
- Expected Return (%)
- Actual Dividend Yield (1 + % yield)
- BETA (decimal)
- Market Capitalization (equity, $)
- All stocks that paid 7% or more in dividends or distributions in the past year
- All stocks with negative BETA (this list may contain select ETFs)
A spreadsheet with individual, descriptive metrics on each stock that passed data validation, including individual Chicago Quantum Net Scores. The spreadsheet contains a row for each stock including:
- Company ticker and name
- CQNS ranking & score (a decimal value)
- Expected returns (% for next year)
- Volume for each stock (% prior year average)
- Price Change (% prior year average)
- Stock variance (one year actual, normalized to allow comparison)
- Dividends paid (% prior year average price)
- BETA (vs. SPY, daily over one year)
- Equity market capitalization ($)
We are considering to add new statistics we use such as skewness and kurtosis. Please let us know your preferences for future runs.
Timing:
We run our analysis each night after 6pm ET to ensure complete trading day information, and will send you the report and spreadsheet once completed.
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, Whatsapp, 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
Please pay at the time of online order. You may request and pay based on an invoice. We accept payment via cash, check, ACH, or through online payment processor.
- We will never sell, nor use your personal information.
- We will only share your information if legally required. We request your physical address for FINRA/U.S. S.E.C./State reporting purposes.
Thank you for your order and your business.
Consulting Session
This is a one-hour meeting, remote or in-person, with Jeffrey Cohen, President of U.S. Advanced Computing Infrastructure, Inc.
You choose the topic and deliverables.
You may buy multiple hours to fund a project.
We believe management consulting is pursuing "the art of the possible." These are areas where we believe we may be helpful:
- We will discuss our research into the South China Sea
- We offer traditional IT management consulting services.
- We offer quantum computing consulting
- We offer financial investment analysis of stock portfolios based on our Chicago Quantum Net Score (read more in our published research). Today we run a model that analyzes ~3,000 U.S. listed equities and optimizes both 'long' and 'short' stock portfolios.
- Project and program management.
- Outsourcing advisory.
- We run your business problem on our discrete mathematical models (on our own server equipment using our own solvers).
- We may configure and run your problem on quantum annealing computers from D-Wave Systems Inc.
- We ALWAYS work confidentially, diligently, free of conflict of interest, and bring our best thinking and insights.
We can 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, and use of quantum and classical solvers. The President has a strategic perspective from ~ 30 years of executive corporate management in IT and professional services, and also rolls up his sleeves and codes when there is a good fit with the problem and his expertise.
Absolute discretion and professionalism is assured.
In closing
If you would prefer to discuss this 1:1 and negotiate a scope of work and level of effort, please contact us at jeffrey@quantum-usaci.com or call (312) 515-7333. We will develop a quotation and will invoice for our services.
We have added a page in the drop-down menu on this website / webpage where we discuss a few of the analysis deliverables in the report.
This spreadsheet makes it easy to sort, filter, search and analyze all stocks that we analyzed.
The spreadsheet currently includes the following fields:
- Ticker
- Company Name
- CQNS Score
- Expected Return (%)
- Last Day Volume vs. One-Year Average (%)
- Last Day Close Price vs. One-Year Average (%)
- Variance vs. Average Close (normalized and comparable across stocks)
- Average Dividend Yield (%)
- BETA (1-year vs. SPY)
- Equity Market Capitalization ($)
Over time we have added and removed data fields. We are open to client requests.
What are some of the important parameters of your Chicago Quantum Net Score model as it runs currently?
Answer:
The risk-free rate of interest (we use the 13 week US Treasury 'investment rate').
The expected future returns of stocks, which is the historical one-year return with floors and ceilings. Those floors and ceilings are material and can be adjusted to client requirements. We use the average of the one-year historical return for SPY, QQQ and IWM excluding dividends.
The balancing of risk and reward, or the importance of each to the model. We currently do this systematically, making them even when raised to a power, and we do not introduce a 'high risk' or 'low risk' modifier as we used to in the past.
The depth of analysis (meaning the amount of computational power consumed in the model). We are currently set to have the model run in about 2 hours.
Data Validation Parameters, such as minimum stock price, minimum daily trading volume, minimum market capitalization, profitability or cash flow minimum requirements, book value, and other 'tests' of a stock's liquidity, valuation or capitalization. We have even done runs where we exclude certain types of companies (e.g., global HQ, BDC or investment company). We currently are allowing most companies into the analysis, and let the model decide.
Number and type of ETFs to include in the model. We currently only include the SPY, or S&P 500 Equity Index ETF. In the past we have included many non-equity asset classes.