morning-quant-ride

Morning Brief

Wake up to the Morning Quant Ride, your global markets update every morning!

Global stocks advancing with positive earnings announcements boosting investor sentiment going into President’s Day

Feb 15, 2019

Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research
Actionable and Transparent Quantitative ResearchActionable and Transparent Quantitative Research

 

 

Market data as of 7am EST

 

US Stocks

  • US stocks index futures are inching up this morning, off early morning lows, with front-month Dow Jones minis +0.09%, S&P 500 minis +0.08%, and Nasdaq 100 minis +0.04% 
  • The S&P 500 is on pace for its third weekly gain in a row 
  • The South China Morning Post reports that US and China trade officials continue to be far apart on many key trade issues.  Unnamed persons have described the negotiations as “like pulling teeth”. 
  • Commodity stocks look undervalued according to quantitative strategists at JP Morgan who argue energy and materials stocks have missed the post-Christmas rally in stocks. 
  • Low volatility stocks continue to make new highs while high-beta stocks continue to trend well below their 2018 peak.  This is an interesting divergence given the fact that investors continue to favor “less volatile” stocks in spite of the YTD rally in the S&P 500, which is +9.8% as of yesterday’s close. 
  • The VIX is little changed this morning and is currently at 16.04 after closing at 16.22 yesterday
  • Eli Lilly (LLY) March 15 OTM Calls & Puts, SPY February 15 OTM Calls & Puts, and Bristol-Myers Squibb (BMY) February 15 OTM Calls & Puts are some of the most heavily traded options in the US pre-market this morning. 
  • US 10-Year Treasury Bonds are flat with yields little changed 0 basis points to 2.6536%
  • The US Treasury 2s-10s Spread has narrowed 0.61 basis points to 0.15%
  • WTI Crude is currently up 0.95% to USD$54.41/bbl with the Brent-WTI spread down USD$-0.55 to USD$10.11/bbl
  • Gold is currently up 0.47% to USD$1318.73/oz

Stocks Trending in the News

Click name for Q-Factor breakdown, latest price details, more financial info and sentiment data.
 

  • Allianz (DB: ALV) saw significant outflows in the fourth quarter of 2018 with market volatility.  Allianz saw 31bn euros of outflows with 29bn of that exiting its Pimco unit.  For all of 2018, Allianz saw 51bn euros of outflows.  Allianz is rated “Neutral” in our European Large-Cap Global Top Stock Ideas.
  • Applied Materials (AMAT) reported first quarter 2019 adjusted EPS of USD$0.81 beating consensus of USD$0.79. Applied Materials reported first quarter 2019 net revenue of USD$3.75bn matching consensus of USD$3.71bn.  Applied Materials gave second quarter guidance for revenue of USD$3.33-3.63bn.  Applied Materials is rated “Attractive” in our US Large-Cap Global Top Stock Ideas and “Attractive” in our US Information Technology Global Top Stock Ideas.
  • Drax Group plc (LSE: DRX) shares fell after Citi said that the power plant operator’s share price does not account for capacity market risks or the possible impact of a review of the UK retail energy market. Citi slashed its recommendation for Drax from neutral to sell while also noting that shares remain elevated despite falling commodity prices. Drax is rated “Unattractive” in our United Kingdom All-Cap Global Top Stock Ideas.
  • Moody's Corp (MCO) announced CY4Q2018 adjusted EPS of USD$1.63 while consensus was for USD$1.69. Moody's Corp reported net sales of USD$1.06bn in CY4Q2018 while analysts expected USD$1.13bn. Moody's Corp sees FY2019 adjusted EPS between USD$7.85 and USD$8.10, in line with consensus of USD$7.82. Moody's Corp is rated “Top Buy” in our US Large-Cap Global Top Stock Ideas.
  • Pepsi (PEP) reported fourth quarter adjusted EPS of USD$1.49 beating consensus of USD$1.49.  Pepsi reported fourth quarter total sales of USD$19.5bn matching consensus of USD$19.5bn.  Pepsi is making a strong cost-cutting push and expects USD$2.5bn in charges until 2023 resulting from the cost initiative.  15% of that will be for plants closures and USD$800mm will be in 2019.  Pepsi is rated “Neutral” in our US Large-Cap Global Top Stock Ideas and “Neutral” in our US Consumer Discretionary Global Top Stock Ideas.
  • Newell Brands (NWL) reported fourth quarter normalized EPS of USD$0.70 beating consensus of USD$0.60.  Newell Brands reported fourth quarter revenue of USD$2.3bn just below consensus of USD$2.35bn.  Newell Brands is rated “Neutral” in our US Large-Cap Global Top Stock Ideas and “Attractive” in our US Consumer Discretionary Global Top Stock Ideas.
  • Nvidia (NVDA) reported fourth quarter adjusted EPS of USD$0.80 beating consensus of USD$0.78.  Nvidia reported fourth quarter total sales of USD$2.21bn matching consensus of USD$2.2bn.  Nvidia gave 2019 revenue guidance growth of flat to slightly down, above consensus.  Nvidia is rated “Neutral” in our US Large-Cap Global Top Stock Ideas and “Top Buy” in our US Information Technology Global Top Stock Ideas.
  • Deere & Co (DE) reported first quarter 2019 adjusted EPS of USD$1.54 missing consensus of USD$1.75. Applied Materials reported first quarter 2019 net revenue of USD$6.94bn matching consensus of USD$6.95bn.  Deere & Co. reaffirmed guidance for full-year net income of USD$3.6bn.  Deere & Co is rated “Attractive” in our US Large-Cap Global Top Stock Ideas and “Attractive” in our US Information Technology Global Top Stock Ideas.
  • Scout24 AG (XTRA: G24) shares popped after the company received a USD$5.5bn boost from two private equity groups to compete with Axel Springer SE (DB: SPR) and EBay Inc. (EBAY) for dominance in Europe. The USD$5.5bn increase sweetens an equity bid from private equity groups Hellman & Friedman and Blackstone Group LP to 46 euros/share, giving Scout24 an equity value of 4.9bn euros. Scout24 is rated “Neutral” in our European SMID-Cap Global Top Stock Ideas. Axel Springer is rated “Neutral” in our European SMID-Cap Global Top Stock Ideas. EBay is rated “Top Buy” in our US Large-Cap Global Top Stock Ideas and “Attractive” in our US Information Technology Global Top Stock Ideas.
  • Vivendi SA (ENXTPA: VIV) shares rose after the company said it will begin to select financial advisers for the partial sale of Universal Music Group. Vivendi also told investors that it will buy back as much as a quarter of its stock. Vivendi is rated “Neutral” in our European Large-Cap Global Top Stock Ideas.
  • Wabco (WBC) reported fourth quarter adjusted EPS of USD$2.13 beating consensus of USD$1.98.  Wabco reported fourth quarter revenue of USD$911.6mm missing consensus of USD$2.35bn.  Wabco gave full-year EPS guidance of USD$7.60-8.10.  Wabco is not rated in our Global Top Stock Ideas.
     
Better Data for Better Investment DecisionsBetter Data for Better Investment Decisions
Better Data for Better Investment DecisionsBetter Data for Better Investment Decisions

European Stocks

  • European stocks are advancing this morning to their highest levels since November as positive earnings announcements boost investor sentiment 
  • The Euro Stoxx 600 is currently up +0.82%, the FTSE 100 is higher by +0.43%, the DAX has advanced +1.01%, and the CAC 40 has risen +1.1%
  • The bounce back in European stocks may be reaching a near-term ceiling after the regional mutual funds saw outflows of USD$5.9bn for the week ending February 13, the second largest weekly outflow on record 
  • Investor sentiment for European stocks is positive with the advance/decline ratio for the Euro Stoxx 600 currently at 3.2x
  • Basic Resources (+1.34%), Industrial Goods & Services (+1.26%), and Media (+1.11%) stocks are the top performers in the Euro Stoxx 600 today
  • Utilities (-0.23%), Real Estate (+0.23%), and Financial Services (+0.31%) stocks are the worst performers in the Euro Stoxx 600 today
  • 169 stocks in the Euro Stoxx 600 are at 4-week highs while 28 stocks are at 4-week lows
  • 44 stocks in the Euro Stoxx 600 are overbought while 8 stocks are oversold according to the 16-day RSI Measure
  • VSTOXX, the European stocks equivalent of the VIX, is little changed this morning and is currently at 14.98 after closing at 15.76 yesterday
  • EUR€ is currently down -0.204% against the USD$ to 1.1272
  • GBP£ is currently little changed against the USD$ at 1.2817
  • CHF is currently little changed against the USD$ at 0.9938
  • German 10-Year Bunds are higher with yields down -0.7 basis points to 0.096%
  • UK 10-Year GILTs are higher with yields down -0.2 basis points to 1.148%

Asian Stocks

  • The Nikkei 225 finished down --1.13%, the Hang Seng ended down -1.87%, the Hang Seng China Enterprise declined -2.09%, and the CSI 300 was -1.86%
  • Investor sentiment for Japanese stocks finished negative with the advance/decline ratio for the Nikkei 225 closing at 0.37x
  • 30 stocks in the Nikkei 225 hit 4-week highs while 7 stocks reached 4-week lows
  • 4 stocks in the Nikkei 225 closed overbought while 3 stocks closed oversold according to the 16-day RSI Measure
  • Investor sentiment for Hong Kong stocks finished negative with the advance/decline ratio for the Hang Seng closing at 0.04x
  • 19 stocks in the Hang Seng hit 4-week highs while 0 stocks reached 4-week lows
  • 12 stocks in the Hang Seng closed overbought while 0 stocks closed oversold according to the 16-day RSI Measure
  • Japan 2-Year Government Bonds are flat with yields little changed 0 basis points to -0.168%
  • Japan 10-Year Government Bonds are higher with yields down -0.7 basis points to -0.021%
  • JGBs 2s-10s Spread has narrowed 0.7 basis points to 0.15%
  • JPY¥ is currently little changed against the USD$ at 110.42

 

*Data in Price Return and Updated Real-Time (with a delay), Source: StockDio

We Crunch the Numbers, You Make the Trade.We Crunch the Numbers, You Make the Trade.
We Crunch the Numbers, You Make the Trade.We Crunch the Numbers, You Make the Trade.

Stock Sentiment

Top Stocks by 7-day News Volume

On Mobile/Tablet scroll to the right.

Name 7 Day News
Volume
7 Day Average
News Buzz
1M EPS Net
Revisions
3M EPS Net
Revisions
1M EPS
% Chg
3M EPS
% Chg
Amazon.com Inc 253 2.71 7 8 15.37% 15.36%
Apple Inc 159 5.71 -29 -36 -1.86% -11.87%
Facebook Inc 88 5.14 11 11 5.13% 5.95%
Alphabet Inc 75 2.71 -9 -13 5.44% 5.26%
Netflix Inc 55 2.14 -3 -5 23.89% 19.45%

Note: Please see our General FAQs to learn how we define and measure News Volume

Top Stocks by 7-Day Average News Buzz

On Mobile/Tablet scroll to the right.

Name 7 Day News
Volume
7 Day Average
News Buzz
1M EPS Net
Revisions
3M EPS Net
Revisions
1M EPS
% Chg
3M EPS
% Chg
Apple Inc 159 5.71 -29 -36 -1.86% -11.87%
3M Co 14 5.29 -13 -9 2.13% 1.13%
Facebook Inc 88 5.14 11 11 5.13% 5.95%
QUALCOMM Inc 9 4.86 -2 -2 -5.27% -7.28%
Starbucks Corp 14 4.86 28 29 4.14% 4.18%

Note: Please see our General FAQs to learn how we define and measure News Buzz

Implied Volatility Data For Liquid Macro Index ETFs

On Mobile/Tablet scroll to the right.

ETF 30D IV 30D IV
Percentile
90D IV 90D IV
Percentile
90D/30D IV 90D/30D IV
Percentile
30D IV-
20D HV
30D IV-20D HV
Percentile
90D IV-
60D HV
90D IV-60D HV
Percentile
SPY 13.52 57.14% 13.39 45.24% 0.99 23.41% 1.77 78.17% -8.96 1.59%
QQQ 16.82 44.05% 18.01 51.98% 1.07 68.85% -0.49 57.74% -11.06 6.75%
IWM 15.69 57.14% 16.06 56.94% 1.02 47.02% 3.75 85.12% -7.76 3.97%
FEZ 15.07 48.61% 14.14 27.38% 0.94 22.02% 2.21 73.41% -3.68 10.12%
EEM 16.63 18.25% 18.15 32.34% 1.09 93.25% 0.56 63.1% -1.46 46.23%

Note: Please see our Options FAQs to learn more about Implied Volatility and other advanced options volatility measures

S&P 500 Sector Performance

*Data in Price Return as of Previous Day's EOD, Source: StockDio

Russell 1000 Factor Performance

*Data in Price Return as of Previous Day's EOD, Source: StockDio

Quantitatively-Derived Options Trades: Transparent and Easily ExecutableQuantitatively-Derived Options Trades: Transparent and Easily Executable
Quantitatively-Derived Options Trades: Transparent and Easily ExecutableQuantitatively-Derived Options Trades: Transparent and Easily Executable

Stock Movers From Our US Large-Cap Model

Top Buy Winners and Losers

On Mobile/Tablet scroll to the right

Winners Ticker Sector Industry 1D Return 5D Return YTD
ZEBRA TECHNOLOGIES CP  -CL A ZBRA Information Technology Electronic Equipment, Instruments & Components 6.57% 10.55% 63.89%
ZOETIS INC ZTS Health Care Pharmaceuticals 5.52% 7.86% 26.99%
EPAM SYSTEMS INC EPAM Information Technology IT Services 2.97% 6.49% 35.17%
INSPERITY INC NSP Industrials Professional Services 2.3% 13.84% 79.91%
CIGNA CORP CI Health Care Health Care Providers & Services 1.8% 3.31% -5.24%
 
Losers Ticker Sector Industry 1D Return 5D Return YTD
ASGN INC ASGN Industrials Professional Services -3.01% 3.02% 2.23%
FIDELITY NATL FINL FNF GROUP FNF Financials Insurance -2.53% 2.11% -4.76%
NUCOR CORP NUE Materials Metals & Mining -2.51% 0.66% -8.16%
DUKE ENERGY CORP DUK Utilities Electric Utilities -2.0% -1.87% 9.92%
CME GROUP INC CME Financials Capital Markets -1.68% 0.1% 22.85%

Source: S&P Capital IQ, StockDio

Top Short Winners and Losers

On Mobile/Tablet scroll to the right

Winners Ticker Sector Industry 1D Return 5D Return YTD
AMERICAN INTERNATIONAL GROUP AIG Financials Insurance -9.47% -6.36% -36.6%
MGM RESORTS INTERNATIONAL MGM Consumer Discretionary Hotels, Restaurants & Leisure -6.57% -5.44% -18.62%
ESPERION THERAPEUTICS INC ESPR Health Care Biotechnology -4.53% -1.49% -40.17%
GENERAL ELECTRIC CO GE Industrials Industrial Conglomerates -3.23% -0.2% -55.45%
PBF ENERGY INC PBF Energy Oil, Gas & Consumable Fuels -3.15% 0.14% -0.51%
 
Losers Ticker Sector Industry 1D Return 5D Return YTD
MARATHON OIL CORP MRO Energy Oil, Gas & Consumable Fuels 8.38% 10.2% -1.64%
AGIOS PHARMACEUTICALS AGIO Health Care Biotechnology 6.09% 8.14% -4.11%
SUPERIOR ENERGY SERVICES INC SPN Energy Energy Equipment & Services 5.78% 1.42% -86.19%
PIVOTAL SOFTWARE INC PVTL Information Technology Software 5.02% 4.76% 25.11%
MADRIGAL PHARMACEUTICALS INC MDGL Health Care Biotechnology 12.58% 15.64% 31.87%

Source: S&P Capital IQ, StockDio

Cryptos

  • Cryptocurrencies are trading broadly higher as the price of Bitcoin (BTC) is up 0.51% in the last 24 hours to USD$3,634.13. Binance Coin (BNB) is posting the largest gains among major cryptocurrencies, up 6.91% in the last 24 hours to USD$9.32. TRON (TRX) and Stellar (XLM) are also posting significant gains, each up more than 3% in the last 24 hours. Bitcoin SV (BSV), meanwhile, is moving against the broad crypto market, down 0.58% in the last 24 hours to USD$63.08 -- BSV is likely falling on news that Coinbase, the largest crypto exchange in the US, enabled BSV withdrawals for its users.  
  • Coinsquare, a major Canada-based cryptocurrency exchange, announced the acquisition of StellarX, a zero-fee decentralized payment network based on the Stellar network based in Bermuda. Coinsquare will now aim to seek regulatory approval for StellarX to operate and expand its services through Coinsquare’s compliance. In December 2018, Coinsquare acquired BlockE, a private Stellar wallet that will likely become the new anchor wallet for the StellarX exchange.  
  • Fold, a cryptocurrency payments startup, saw over 150 people use its Domino’s web-based portal to buy pizza this week. Through Fold’s web-based portal to Domino’s, users can purchase pizza and other items from the popular US-based chain using the Lightning Network, an off-chain Bitcoin (BTC) scaling solution. According to Fold product lead Will Reeves, “We’re trying to make bitcoin fun again and illustrate that lightning is at a point where it is mainstream-ready.” Fold plans to integrate shopping options at Starbucks, Whole Foods, Dunking Donuts, Target, and Uber in its web portal over the next 6 months.  
  • Luxembourg officially passed a bill that creates legal framework pertaining to securities issued on a blockchain. According to an official release published by the country’s Chamber of Deputies, the bill was passed on February 8th with 58 members voting in support of the legislation and only 2 voting against it. In its release, the Chamber of Deputies said, “The bill should provide greater certainty for investors and make the transfer of securities more efficient by reducing the number of intermediaries.” 

Cryptocurrencies Today

*Data in Price Return and Updated Real-Time (with a delay), Source: StockDio

High Machine Learning Accuracy Rates for CryptocurrenciesHigh Machine Learning Accuracy Rates for Cryptocurrencies
High Machine Learning Accuracy Rates for CryptocurrenciesHigh Machine Learning Accuracy Rates for Cryptocurrencies

Events Calendar

On Mobile/Tablet scroll to the right

Company Name Ticker Event Date Event Type Q-Factor Score
PepsiCo, Inc. PEP 2/15/2019 Earnings Release Date US Large-Cap: B, US Consumer Staples: A
Newell Brands Inc. NWL 2/15/2019 Earnings Release Date US Large-Cap: C, US Consumer Discretionary: B
American Axle & Manufacturing Holdings, Inc. AXL 2/15/2019 Earnings Release Date US Large-Cap: C, US Consumer Discretionary: D
Moody's Corporation MCO 2/15/2019 Earnings Release Date US Large-Cap: A
Deere & Company DE 2/15/2019 Earnings Release Date US Large-Cap: C, US Industrials: D
Portland General Electric Company POR 2/15/2019 Earnings Release Date US Large-Cap: C
Encompass Health Corporation EHC 2/17/2019 Earnings Release Date US Large-Cap: B
Service Corporation International SCI 2/18/2019 Earnings Release Date US Large-Cap: B, US Consumer Discretionary: B
Continental Resources, Inc. CLR 2/18/2019 Earnings Release Date US Large-Cap: C
Superior Energy Services, Inc. SPN 2/18/2019 Earnings Release Date US Large-Cap: F
Imperva, Inc. IMPV 2/18/2019 Estimated Earnings Release Date US Large-Cap: C, US Information Technology: C
Ubiquiti Networks, Inc. UBNT 2/18/2019 Estimated Earnings Release Date US Large-Cap: C, US Information Technology: B
Sabre Corporation SABR 2/18/2019 Estimated Earnings Release Date US Large-Cap: C, US Information Technology: A
Ultragenyx Pharmaceutical Inc. RARE 2/18/2019 Estimated Earnings Release Date US Large-Cap: D
Carter's, Inc. CRI 2/18/2019 Estimated Earnings Release Date US Large-Cap: C, US Consumer Discretionary: C
Expeditors International of Washington, Inc. EXPD 2/18/2019 Earnings Release Date US Large-Cap: B, US Industrials: C
Newfield Exploration Company NFX 2/18/2019 Estimated Earnings Release Date US Large-Cap: D
U.S. Silica Holdings, Inc. SLCA 2/18/2019 Estimated Earnings Release Date US Large-Cap: F
Sage Therapeutics, Inc. SAGE 2/18/2019 Estimated Earnings Release Date US Large-Cap: F

Source: S&P Capital IQ

 

Stock Model PortfoliosMulti-factor quantitatively optimized portfolios risk-adjusted to provide investors an ATTRACTIVERISK/RETURN TRADE-OFF
Stock Model PortfoliosMulti-factor quantitatively optimized portfolios risk-adjusted to provide investors an ATTRACTIVERISK/RETURN TRADE-OFF