Why include US-listed foreign stocks in our stock portfolio optimization analysis using a quantum algorithm?


In this post we give the logic to include the logic to include US-listed, foreign companies in our stock portfolio optimization.

About a year ago we decided to reduce the number of stocks from our CQNS LONG analysis. This has a few benefits:
1. The analysis runs faster with fewer stocks
2. We could apply heuristics and lessons learned to improve (or not worsen) results
3. It tells a good story to clients and potential investors that we found anomalies to avoid, and
4. Foreign stocks appear to move more aggressively based on ad-hoc analysis.

However, now we are not sure. Our model seems to ignore small caps and anomalous stocks in the best optimized portfolios without us having to remove them. It works as expected.

On the downside of removing foreign stocks:
1. We lose visibility on these stocks and their anomalous behavior (we could all short them)
2. There might be an occasional anomaly that helps clients and investors
3. This is a false view of the overall markets, and
4. The heuristics of the market change, and our model will not catch the latest effects.

So, starting Monday February 13 2023, we will add back the foreign stocks into our model and let them run. This will add a few hundred stocks back, and we would expect more odd and anomalous stocks to be in our secondary findings.

Here is the list of foreign stocks that we have been removing, in python code.

Jeffrey Cohen is the President of US Advanced Computing Infrastructure, an Illinois Registered Investment Advisor located in Highland Park, Illinois. For more information, and to read our brochure, please visit our website at www.chicagoquantum.com.



US Advanced Computing Infrastructure Inc.

Jeffrey Cohen, President, US Advanced Computing Infrastructure, Inc., d.b.a. Chicago Quantum (SM).