Morning Quant Ride Feb 20, 2018

Feb 20, 2018

Traders’ Corner

Asian markets closed down  with the Nikkei down 1.01%, the Hang Seng China Enterprise Index down 1.11% and the Hang Seng down 0.78%.  Mainland China was closed yesterday.  Energy, financials, and industrial stocks helped drive the Nikkei down with utilities the lone sector in the green.  A Reuters survey finds that a majority of companies do not plan on increasing wages this year.  This could limit price growth and potentially mitigate the argument for a rollback of expansionary monetary policy by the Bank of Japan.  While Hong Kong equities finished in the negative, consumer discretionary and tech stocks were up -  “New China” stocks decoupled from the general equities market.  Total volume trends in Asia were mixed with total volume in Japan 36% below its 10-day average. Hong Kong equities volume was in-line with its 10-day average.

 

Aussie equities finished their trading session flat with the ASX 200 down 1 bp.  Energy and Industrial stocks were outperformers while telecom, materials, consumer discretionary and financial stocks were the biggest laggards.  The release of the minutes of the recent Reserve Bank of Australia meeting re-affirms investor bias of a gradual improvement in inflation trends.  Total volume traded was 12% below its 10-day average.

European equities are mixed with the Euro Stoxx up 0.15%.  Regional indices highlight a dispersion of performance by country with the FTSE 100 down 0.15%, the DAX up 0.08% and the CAC 40  up 0.10%.  Materials, industrials and insurance stocks are outperformers this morning while autos, banks and food & beverage stocks are the biggest laggards.  Volume traded is trending 16% below its 10-day average.

US government bonds are selling off ahead of an upcoming USD$258bn auction.  The 10-year is currently above 2.9% with 10-year fixed swap rates imply 2.908%.  Over the past 30 days, the US swaps curve has experienced a parallel shift upwards of ~20 bps.  As a point of context for our readers, the 10-year swap has widened by 78 bps over the last 6-months.  We would encourage our readers to be cautious towards taking any additional duration risk in their portfolios as the rates markets appear to be re-pricing.  Our TLT Q-Option last week offered a play on rising rates:

TLT 117/113/109 Butterfly Put Spread

The US Dollar Index (DXY) is up 0.60% with the USD$ strong against all major currency pairs this morning.  The JPY has broken above 107 this morning while precious metals are trading down across the board.  In a previous note, we discussed correlations between the USD/JPY and precious metals spot prices.  A stronger USD$ is behaving as a support level with for WTI spot, up 0.80% this morning.  Unlike WTI, Brent is trading down in sympathy with a weaker EUR€ and GBP£.  Our XOP Q-Option last week offered a play on WTI:

XOP 35/38 Bull Call Spread

US equity futures are pointing to a negative open this morning. After closing below 20 on Friday, the VIX is now at 20.92.  On Friday, US equity markets were mixed with the S&P 500 up 0.04%, the Russell 2000 up 0.41%, and the Nasdaq down 0.23%. The S&P 500 was led higher by the defensive sectors on Friday, with utilities, health care, and real estate leading the market, while consumer discretionary, materials, and energy were the biggest underperformers. Small-Cap stocks outperformed Large-Cap stocks for the week, with the Russel 2000 up 4.48% and the S&P 500 up 4.37%. Tech stocks outperformed other stock with the Nasdaq outpacing both the S&P 500 and Russel 2000, returning 5.36% last week.  After the holiday weekend, we are watching the following consumer and technology stocks that underperformed on Friday:

QuantShot: Advanced Energy Industries – 30.99% off its 52wkH, reports earnings on 05/01/2018

QuantShot: Campbell Soup – 27.71% off its 52wkH, reports earnings on 5/18/2018

QuantShot: Cirrus Logic – 41.96% off its 52wkH, reports earnings on 5/03/2018

Deckers Outdoor Corp – 4.09% off its 52wkH, reports earnings on 05/24/2018

Lear Corporation – 6.35% off its 52wkh, reports earnings on 4/27/2018

Scripps Networks – 1.19% off its 52wkH, reports earnings on 2/27/2018

We also believe that these Industrial and Health Care stocks are worth looking at:

QuantShot: Allison Transmission Holdings - 13.94% off its 52wkH, reports earnings on 04/26/2018

Global Brass and Copper Holdings – 26.98% off its 52wkH, reports earnings on 03/06/2018

MSC Industrial – 16.06% off its 52wkH, reports earnings on 04/10/2018

QuantShot: Biogen Inc – 21.24% off its 52wkH, reports earnings on 4/26/2018

United Therapeutics Corporation – 20.58% off its 52wkh, reports earnings on 2/21/2018

Our Top Picks in the News

Click headline for story

Home Depot (HD)

Home Depot Q4 EPS of $1.52 negatively impacted by 17c due to tax reform (TheFly)
Top Conviction Long in February, please see Quantamize Global Top Picks US Consumer Discretionary report

 

See more on our Home Depot QuantShot company report from February 15th

Hasbro (HAS)

Hasbro CEO: No Long-Term Impact to Us From Toys 'R' Us Bankruptcy (The Street)
Top Conviction Long in February, please see Quantamize Global Top Picks US Consumer Discretionary report

 

See more on our Hasbro QuantShot company report from December 18th

AbbVie Inc (ABBV)

AbbVie, Voyager Therapeutics announce global strategic collaboration (TheFly)
Top Conviction Long in February, please see Quantamize Global Top Picks US Large Cap report

 

See more on our AbbVie QuantShot company report from January 23rd

Mattel, Inc. (MAT)

Mattel falls as execs talk strategy at New York Toy Fair (Seeking Alpha)
Top Conviction Short in February, please see Quantamize Global Top Picks US Consumer Discretionary report

 

See more on our Mattel QuantShot company report from February 9th

Campbell Soup (CPB)

Campbell Soup beats by $0.19, beats on revenue (Seeking Alpha)
Top Conviction Long in February, please see Quantamize Global Top Picks US Consumer Staples report

 

See more on our Campbell QuantShot company report from February 9th

Teledyne (TDY)

Teledyne awarded $45.7M missile defense contract (Seeking Alpha)
Top Conviction Long in February, please see Quantamize Global Top Picks US SMID Cap report

 

See more on our Teledyne QuantShot company report from February 12th

FedEx (FDX)

FedEx declares $0.50 dividend (Seeking Alpha)
Top Conviction Long in February, please see Quantamize Global Top Picks US Industrials report

 

See more on our FedEx QuantShot company report from January 8th

Apple Inc (AAPL)

Apple: How a New iPhone Lineup Could Shake Up Sales (Barron's)
Top Conviction Long in February, please see Quantamize Global Top Picks US Tech report

 

See more on our Apple QuantShot company report from January 5th

Global Indices

Index

Levels

1 Day Return

5 Day Return

MTD

YTD

S&P 500

2,732.22

0.00%

4.26%

-3.28%

2.15%

Russell 2000

1,543.55

0.00%

4.02%

-2.40%

0.11%

DJ Industrial Average

25,219.38

0.00%

4.17%

-3.63%

1.95%

NASDAQ Composite Index

7,239.47

0.00%

5.56%

-2.09%

5.11%

CBOE Market Volatility Index

20.93

-

-

-

-

Germany DAX (TR)

12,394.86

0.07%

1.97%

-5.78%

-4.42%

France CAC 40

5,262.32

0.12%

2.82%

-3.77%

-1.69%

Japan Nikkei 225

21,925.10

-1.01%

0.39%

-5.97%

-5.71%

Hang Seng Index

30,873.63

-0.78%

5.45%

-5.39%

4.00%

Hang Seng China Enterprises

12,396.87

-1.11%

5.33%

-7.57%

7.06%

S&P ASX 200

5,940.90

-0.01%

1.22%

-2.21%

-2.57%

Source: FactSet          

Large Cap Conviction Buy Movers

Large Cap A Winners Ticker Sector Industry 1 Day Return 5 Day Return YTD
Zoetis Inc. ZTS Healthcare Pharmaceuticals

1.57%

10.20%

10.67%

Euronet Worldwide, Inc. EEFT Information Technology Data Processing and Outsourced Services

0.88%

6.33%

-0.70%

Cisco Systems, Inc. CSCO Information Technology Communications Equipment

0.57%

12.14%

15.74%

Red Hat, Inc. RHT Information Technology Systems Software

1.88%

12.51%

18.83%

Pilgrim's Pride Corporation PPC Consumer Staples Packaged Foods and Meats

1.89%

7.06%

-13.07%

Large Cap A Losers Ticker Sector Industry 1 Day Return 5 Day Return YTD
NetApp, Inc. NTAP Information Technology Technology Hardware, Storage and Peripherals

-2.01%

0.61%

2.15%

Alliance Data Systems Corporation ADS Information Technology Data Processing and Outsourced Services

1.67%

1.67%

-3.47%

Louisiana-Pacific Corporation LPX Materials Forest Products

0.62%

6.56%

11.39%

Marriott International, Inc. MAR Consumer Discretionary Hotels, Resorts and Cruise Lines

-1.80%

1.47%

1.86%

Cigna Corporation CI Healthcare Managed Healthcare

0.97%

0.02%

-4.57%

Source: Capital IQ            

Large Cap Conviction Short Movers

Large Cap F Winners Ticker Sector Industry 1 Day Return 5 Day Return YTD
Fitbit, Inc. FIT Information Technology Electronic Equipment and Instruments

1.11%

6.42%

-4.20%

Nektar Therapeutics NKTR Healthcare Pharmaceuticals

1.57%

11.78%

39.70%

Carrizo Oil & Gas, Inc. CRZO Energy Oil and Gas Exploration and Production

-0.16%

1.03%

-12.78%

PlayAGS, Inc. AGS Consumer Discretionary Casinos and Gaming

0.55%

1.12%

0.00%

ADT Inc. ADT Industrials Security and Alarm Services

-0.94%

-8.39%

0.00%

Large Cap F Losers Ticker Sector Industry 1 Day Return 5 Day Return YTD
ARMO BioSciences, Inc. ARMO Healthcare Biotechnology

11.10%

40.08%

0.00%

Sarepta Therapeutics, Inc. SRPT Healthcare Biotechnology

1.36%

16.07%

15.03%

Uniti Group Inc. UNIT Real Estate Specialized REITs

1.07%

11.70%

-9.33%

Square, Inc. SQ Information Technology Data Processing and Outsourced Services

-0.41%

11.47%

27.23%

Laredo Petroleum, Inc. LPI Energy Oil and Gas Exploration and Production

0.36%

8.15%

-21.21%

Source: Capital IQ            

Upcoming Earnings

Company Name Ticker Earnings Date
Ligand Pharmaceuticals Incorporated LGND 02/21/2018
United Therapeutics Corporation UTHR 02/21/2018
Zebra Technologies Corporation Class A ZBRA 02/22/2018
Toro Company TTC 02/22/2018
PRA Health Sciences, Inc. PRAH 02/22/2018
HP Inc. HPQ 02/23/2018
Leucadia National Corporation LUK 02/27/2018
NuVasive, Inc. NUVA 02/27/2018
Scripps Networks Interactive, Inc. Class A SNI 02/27/2018
Snyder's-Lance, Inc. LNCE 02/28/2018
Priceline Group Inc PCLN 02/28/2018
Carter's, Inc. CRI 02/28/2018
TJX Companies Inc TJX 02/28/2018
Pinnacle Foods, Inc. PF 03/01/2018
Big Lots, Inc. BIG 03/02/2018
Children's Place, Inc. PLCE 03/07/2018
Costco Wholesale Corporation COST 03/08/2018
Adobe Systems Incorporated ADBE 03/15/2018

Line for QuantShots

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