Morning Quant Ride Feb 21, 2018

Feb 21, 2018

Traders’ Corner

Asian markets closed up across the board with the Nikkei 225 up 0.21%, Hang Seng up 1.81%, and the Hang Seng China Enterprise Index up 2.34%.  Mainland China was closed again for the Lunar New Year.  Tech, materials and consumer discretionary stocks led Japanese equities while financials, utilities and healthcare were underperformers.  Investors are now focusing on commentary from the Bank of Japan regarding signals that its quantitative easing program will be rolled back.  Energy, tech and consumer staples were outperformers in Hong Kong markets while utilities, consumer discretionary and industrials were the largest underperformers.  Trading volume across Asia remains light which is the result of the recent Lunar New Year holiday.  Weak volume trends make it very difficult to make any serious conclusions about market sentiment towards Asian equities.

 

In the Land Down Under, Aussie equities were flat with a positive bias as the ASX 200 closed up 0.05%.  Consumer staples, real estate, and consumer discretionary stocks were outperformers while materials, tech and telecom stocks were the largest laggards.  Positive earnings results helped Aussie stocks overcome a weak beginning to the trading session.  Rising prices and a subsequent increase in interest rates continue to be a concern for investors.  Household debt remains at high levels (primarily mortgage debt) and rising rates may lead to a stronger than expected contraction in economic output.

European equities are down across the board with the Euro Stoxx 600 down 0.43%.  Regional indices are mixed with the FTSE 100 up 0.04%, the DAX down 0.67% and the CAC 40 down 0.28%.  Materials stocks are the only sector up in Europe with utilities, healthcare, personal & household stocks the biggest underperformers.  Earnings results have been mixed this morning which may explain today’s weakness in European equities more any larger macro concerns.

Bond yields are mixed this morning with the yield on the 10-year flat but still below 2.9%.  The front-end of the treasury curve remains weak with 2-year yields up to 2.26%.  2-year fixed swap rates imply a move to 2.50%.  The US Dollar Index (DXY) continues to its positive move this week, up 0.27% this morning and up almost 1.0% this week so far.  The USD$ is strong against all major currency pairs with the JPY¥ trading at 107.56 while both the EUR€ and GBP€ are trending down this morning.  Oil prices appear to have decoupled from the USD$ move this morning with WTI spot down 0.53% and Brent spot down 0.17%.  While production trends support price strength in oil, if rising rates lead to a contraction in global growth, downward pressure could overwhelm any positive supply data points.  We continue to be biased to a USD$60-level for WTI.  Currently, WTI is trading above USD$61.83/barrel.  Precious metals are down in sympathy with the JPY.  As we have discussed previously, we observe a strong positive correlation between the JPY¥ and major precious metals.

Cryptocurrency markets have a downward bias this morning (a continuation from last night) with major cryptocurrencies like Bitcoin down 5.95% and Ethereum down 2.82%.  A shift in attitudes by government regulators to a more crypto-friendly approach has led to the recent rebound in prices across the  board.

US equity future are pointing to a negative open in NY this morning.  Tech stocks appear poised to outperform broader US equity markets with Nasdaq 100 futures up 0.11%.  After increasing back above 20 yesterday, the VIX appears to be trending down this morning.  Our models suggest a long-run mean level of 16 for the VIX.  This implies a 4 point contract from current levels for the VIX.

Yesterday, US markets were down across the board. Large-cap stocks outperformed Small-caps with the S&P 500 down 0.58% and the Russell 2000 down 0.88%. Defensive sectors led the market lower with consumer staples, telecom, utilities, and healthcare the largest underperformers. Tech was the only positive sector of the S&P, led mostly by the 1.42% gain in Semiconductors. Following yesterday’s decline, we are watching a few of our A-Rated consumer stocks that were our biggest laggards:

Big Lots, Inc. - 14.41% off its 52wkH, reports earnings on 03/02/2018

Ingredion Incorporated - 11.64% off its 52wkH, reports earnings on 05/02/2018

QuantShot: Kimberly Clark - 15.98% off its 52wkH, reports earnings on 04/20/2018

QuantShot: Six Flags Entertainment - 6.05% off its 52wkH, reports earnings on 04/25/2018

QuantShot: TJX Companies - 6.25% off its 52wkH, reports earnings on 02/28/2018

We are also keeping an eye on these A-rated stocks:

Acuity Brands - 33.97% off its 52wkH, reports earnings on 04/04/2018

QuantShot: Biogen Inc. - 22.43% off its 52wkH, reports earnings on 04/26/2018

Ennis, Inc. - 8.60% off its 52wkH, reports earnings on 04/24/2018

Global Brass and Copper Holdings -  28.73% off its 52wkH, reports earnings on 03/06/2018

Laboratory Corporation of America - 4.02% off its 52wkH, reports earnings on 04/24/2018

Louisiana-Pacific Corporation - 7.79% off its 52wkH, reports earnings on 05/04/2018

Our Top Picks in the News

Click headline for story

Alphabet (GOOGL)

Google Pay all set for roll out (Yahoo Finance)
Top Conviction Long in February, please see Quantamize Global Top Picks US Large Cap report

 

See more on our Alphabet QuantShot company report from January 11th

AbbVie (ABBV)

AbbVie turns to tau for Alzheimer’s in $1.1bn deal (Pharmafile)
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

United Therapeutics (UTHR)

United Therapeutics beats Street 4Q forecasts (CNBC)
Top Conviction Long in February, please see Quantamize Global Top Picks US Large Cap report

Curtiss-Wright (CW)

Curtiss-Wright buys Siemens' Dresser-Rand government assets for $212M (Seeking Alpha)
Top Conviction Long in February, please see Quantamize Global Top Picks US SMID Cap report

 

See more on our Curtiss-Wright QuantShot company report from February 8th

Walgreens Boots Alliance (WBA)

Big Stock Buys: Bluebird, Walgreens, Mallinckrodt (Barron's)
Top Conviction Long in February, please see Quantamize Global Top Picks US Large Cap report

 

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

Home Depot (HD)

Home Depot Sidesteps the E-Commerce Threat (Barron's)
Home Depot: Rising mortgage rates won't hurt housing market (Fox Business)
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

Biogen Inc (BIIB)

Biogen chief says market overreacted to increased enrollment in aducanumab studies; shares up 1% premarket (Seeking Alpha)
Top Conviction Long in February, please see Quantamize Global Top Picks US Large Cap report

 

See more on our Biogen QuantShot company report from February 16th

Global Indices

Index

Levels

1 Day Return

5 Day Return

MTD

YTD

S&P 500

2,716.26

0.00%

4.26%

-3.28%

2.15%

Russell 2000

1,529.99

0.00%

4.02%

-2.40%

0.11%

DJ Industrial Average

24,964.75

0.00%

4.17%

-3.63%

1.95%

NASDAQ Composite Index

7,234.31

0.00%

5.56%

-2.09%

5.11%

CBOE Market Volatility Index

20.47

-

-

-

-

Germany DAX (TR)

12,401.09

-0.70%

1.97%

-5.78%

-4.42%

France CAC 40

5,272.46

-0.33%

2.82%

-3.77%

-1.69%

Japan Nikkei 225

21,970.81

0.21%

0.39%

-5.97%

-5.71%

Hang Seng Index

31,431.89

1.81%

5.45%

-5.39%

4.00%

Hang Seng China Enterprises

12,686.88

2.34%

5.33%

-7.57%

7.06%

S&P ASX 200

5,943.70

0.05%

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
PetMed Express, Inc. PETS Consumer Discretionary Internet and Direct Marketing Retail

3.44%

1.80%

0.42%

NetApp, Inc. NTAP Information Technology Technology Hardware, Storage and Peripherals

2.78%

0.71%

4.99%

Advanced Energy Industries, Inc. AEIS Information Technology Semiconductor Equipment

2.68%

0.99%

-0.24%

United Rentals, Inc. URI Industrials Trading Companies and Distributors

2.52%

3.00%

0.20%

Intercontinental Exchange, Inc. ICE Financials Financial Exchanges and Data

1.58%

0.43%

3.26%

Large Cap A Losers Ticker Sector Industry 1 Day Return 5 Day Return YTD
RH RH Consumer Discretionary Home Furnishing Retail

-4.67%

-3.27%

3.21%

Pinnacle Foods Inc. PF Consumer Staples Packaged Foods and Meats

-3.68%

-3.58%

-5.28%

The Children's Place, Inc. PLCE Consumer Discretionary Apparel Retail

-3.59%

-4.61%

-1.07%

Lennar Corporation LEN Consumer Discretionary Homebuilding

-2.55%

-1.88%

-5.88%

Big Lots, Inc. BIG Consumer Discretionary General Merchandise Stores

-2.75%

-6.14%

-1.80%

Source: Capital IQ            

Large Cap Conviction Short Movers

Large Cap F Winners Ticker Sector Industry 1 Day Return  5 Day Return YTD
Adamas Pharmaceuticals, Inc. ADMS Healthcare Biotechnology

-21.85%

-23.35%

-22.13%

Realogy Holdings Corp. RLGY Real Estate Real Estate Services

-5.97%

-3.35%

-7.36%

Riot Blockchain, Inc. RIOT Healthcare Biotechnology

-4.71%

-36.51%

-61.55%

Uniti Group Inc. UNIT Real Estate Specialized REITs

-4.28%

-3.26%

-13.21%

PBF Energy Inc. PBF Energy Oil and Gas Refining and Marketing

-4.04%

-2.52%

-16.98%

Large Cap F Losers Ticker Sector Industry 1 Day Return  5 Day Return YTD
Noble Energy, Inc. NBL Energy Oil and Gas Exploration and Production

10.81%

10.43%

-0.07%

Roku, Inc. ROKU Consumer Discretionary Consumer Electronics

6.34%

12.14%

-1.16%

Longfin Corp. LFIN Financials Financial Exchanges and Data

5.32%

-14.15%

-35.65%

Superior Energy Services, Inc. SPN Energy Oil and Gas Equipment and Services

5.16%

4.81%

-2.70%

Tesaro, Inc. TSRO Healthcare Biotechnology

3.83%

2.08%

-24.82%

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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