Chicago Quantum Net Score CQNS Analysis (what it includes)
When a client purchases 'a run' or a full market analysis, the client receives a text report with various analyses, and a spreadsheet of summary information on all stocks included in the analysis.
The report comes in a text file, and runs about 50 pages in length. Here is a snapshot of the top of the most recent report.
In this webpage, we provide a description of the analysis deliverables in the report.
The report comes in a text file, and runs about 50 pages in length. Here is a snapshot of the top of the most recent report.
In this webpage, we provide a description of the analysis deliverables in the report.
Every CQNS Market Analysis (the run) outputs an ordered spreadsheet (by CQNS score) with a row for each U.S. Common Stock that passed data validation and is included in our analysis. This spreadsheet makes it easy to sort, filter, search and analyze all stocks that we analyzed.
The spreadsheet currently includes the following fields:
We have access to significant amounts of data and analysis for each stock. We are open to client requests.
The spreadsheet currently includes the following fields:
- Ticker
- Company Name
- CQNS Score
- Expected Return for the next year (%)
- Last Day Volume vs. One-Year Average (%)
- Last Day Close Price vs. One-Year Average (%)
- Variance vs. Average Close (normalized and comparable across stocks)
- Actual Dividend Yield (%) where 1.00 means no dividend paid in the past year
- BETA (#) based on daily adjusted close prices vs. SPY (S&P 500 ETF) for 1-year
- Equity Market Capitalization ($)
We have access to significant amounts of data and analysis for each stock. We are open to client requests.
Here are the sections of the report that you will receive as our client:
Section |
Deliverable |
Description |
Introduction |
Initial description Model calibration (output) values Best and worst CQNS stocks Highest and lowest relative volume stocks Largest and smallest percentage price changes Highest and lowest BETA |
|
Core Analysis |
Best CQNS portfolios |
|
Non-Normal Distributions and Anomalies |
Highest actual dividend stocks Negative BETA stocks Positive and negative SKEW outliers Leptokurtic and platykurtic stock outliers (and with low variance) Stock split list Full list of all stocks with CQNS score and other metrics |
These stocks 'make the list' based on whether the meet a pre-conditioned filter or hurdle. |
Close |
Chicago Quantum Disclosures |
Standard disclosures |
The pages below (one page per button) describe some of the content in the CQNS Management Report
Question:
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' or 'high rate').
The expected future returns of stocks, which is the historical one-year return with floors and ceilings. 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, is currently unchanged, but can be adjusted.
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 3 hours. This is a deep analysis.
Data Validation Parameters. We currently filter out stocks with a minimum stock price, minimum daily trading volume, and whether they have traded each day for the past year. We filter out OTC and un-listed stocks, only included stocks listed on major US stock exchanges. We also exclude duplicates (e.g., GOOG and GOOGL) and any preferred stocks or bonds that trade as stocks. We can exclude stocks for any number of reasons upon client request, such as for things like minimum market capitalization, profitability or cash flow minimum requirements, book value, AOCI, and other 'tests' of a stock's liquidity, valuation or capitalization. In the past, we have excluded foreign stocks and investment companies, and stocks that pay too high of a dividend (which can distort their math). We currently allow almost all companies into the analysis, and let the model decide which is best.
Number and type of ETFs to include in the model. We currently include a broad range of commodities, VIX-based ETFs, currencies, bitcoin and even a few ultra 3x leveraged funds in our model. They are great for determining BETA of those asset classes, and occasionally show up in the top 25 stock portfolios. This helps us understand correlations to non-stock asset classes.
We hope you enjoy consuming the information as much as we enjoy producing it. It gives a very comprehensive look into the US - listed common stock market.
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' or 'high rate').
The expected future returns of stocks, which is the historical one-year return with floors and ceilings. 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, is currently unchanged, but can be adjusted.
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 3 hours. This is a deep analysis.
Data Validation Parameters. We currently filter out stocks with a minimum stock price, minimum daily trading volume, and whether they have traded each day for the past year. We filter out OTC and un-listed stocks, only included stocks listed on major US stock exchanges. We also exclude duplicates (e.g., GOOG and GOOGL) and any preferred stocks or bonds that trade as stocks. We can exclude stocks for any number of reasons upon client request, such as for things like minimum market capitalization, profitability or cash flow minimum requirements, book value, AOCI, and other 'tests' of a stock's liquidity, valuation or capitalization. In the past, we have excluded foreign stocks and investment companies, and stocks that pay too high of a dividend (which can distort their math). We currently allow almost all companies into the analysis, and let the model decide which is best.
Number and type of ETFs to include in the model. We currently include a broad range of commodities, VIX-based ETFs, currencies, bitcoin and even a few ultra 3x leveraged funds in our model. They are great for determining BETA of those asset classes, and occasionally show up in the top 25 stock portfolios. This helps us understand correlations to non-stock asset classes.
We hope you enjoy consuming the information as much as we enjoy producing it. It gives a very comprehensive look into the US - listed common stock market.