iQ-FOXX Index Workflow Process

iQ-FOXX Index Workflow

Untitled Document
Selection of influencing factors for an underlying market
INFLUENCING VARIABLES
Macroeconomic variables
CONSUMER CONFIDENCE
UNEMPLOYMENT
BUSINESS CLIMATE
STATE OF ECONOMY
INFLATION
Fundamental variables
YIELD CURVE SHIFT RISK
CURRENCY RISK
MARKET RISK
COMMODITY RISK
SENTIMENT
Technical variables
TREND
VOLATILITY
PSYCHOLOGY
MONEY FLOW
STOCHASTIC
Multivariate Regression Forecast Univariate Rules-based Forecast Technical Forecast
Quantifying the quality of the selected influencing variables and calculation of iQ-FOXX Forecast Indicators
Market Phases Forecast Indicator Transition Forecast Indicator Market Neutral Indicator Market Direction Forecat Indicator I Market Direction Forecast Indicator II Market Direction Forecast Indicator III Leverage Forecast Indicator
Rules-based aggregation of the iQ-FOXX Forecast Indicators to a Forecat Signal
Market Phase
TRENDING-UP
Market Phase Forecast Indicator = +1
TRENDING-DOWN
Market Phase Forecast Indicator = -1
SIDEWAY
Market Phase Indicator = 0
Transition
NO
Transition Forecast Indicator = 0
NO
Transition Forecast Indicator = 0
YES
Transition Forecast Indicator = +1
Risk
LESS RISKY
Market Neutral Forecast Indicator = 0
LESS RISKY
Market Neutral Forecast Indicator = 0
LESS RISKY
Market Neutral Forecast Indicator = 0
TO RISKY
Market Neutral Forecast Indicator = +1
Forecast
Market Direction Forecast Indicator I
Market Direction Forecast Indicator II
Market Direction Forecast Indicator III Market Direction Forecast Indicator III
Leverage
YES
Leverage Forecast Indicator = +1.5 or +2
NO
Leverage Forecast Indicator = -1
NO
Leverage Forecast Indicators does not apply
NO
Leverage Forecast Indicators does not apply
Exposure
-100% 0%
+100%
+150%
+200%
-100% 0% +100%
-100% 0% +100%
0%

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