Morning Quant Ride Feb 22, 2018

Feb 22, 2018

Traders’ Corner

Asian equity markets closed mixed with the Nikkei 225 down 1.07%, the Hang Seng down 1.48%, the Hang Seng China Enterprise index down 1.25% and the CSI 300 up 2.16%.  In Japan, all sectors finished down though healthcare, consumer staples and financials were top outperformers.  Energy, real estate and industrials stocks were the biggest laggards.  In Hong Kong markets, consumer staples stocks were the only group that closed positive.  Tech, financials and consumer discretionary stocks were the biggest underperformers.  Mainland Chinese stocks finished up for the first day of trading after the Lunar New Year holiday.

 

In the Land Down Under, Aussie stocks closed with a positive bias as the ASX 200 finished up 0.12%.  Consumer discretionary, healthcare and materials stocks were the largest outperformers while utilities, energy and real estate stocks were the biggest underperformers.  The outperformance of materials stocks was driven by precious metals miners as the mega-cap iron ore miners all ended the trading day down.  Aussie government bond yields have begun to back up in sympathy US government bond yields.

European equities are trading with a negative bias across the board with Euro Stoxx 600 down 0.56%.  Regional indices FTSE 100, DAX and CAC 40 are all down across the board.  Utilities are the only positive sector in the Euro Stoxx 600 with personal & household, basic resources and tech stocks underperforming this morning.  UK 4Q GDP was revised down to +1.4% from 1.5%.  This may explain weakness in UK equities and the GBP£ this morning.  French January CPI was in-line with expectations (1.3%) while the Germany Business Climate, Current Conditions survey was slightly below expectation.  Earnings results continue to drive equity markets in Europe more than general macro data points.  We encourage our readers to focus on corporate commentary/outlook to get a feel for market sentiment.

US bond yields are exhibiting a negative bias with the back-end of the treasury curve exhibiting the biggest move: the US government 10-year yield is currently at 2.921%.  The US dollar index continues its strength with the EUR€ and GBP£ both down against the USD$.  JPY¥ strength this morning is being attributed to a fund of flows issues with foreign purchases of bonds (primarily US treasuries) being unwound.  Oil prices are down this morning in sympathy with European equity markets.  WTI continues to trend above our target support level of USD$60/barrel.  At $60/barrel, many of our top quality value energy names may be becoming attractive investment opportunities for investors looking to increase exposure to energy.  The break-even for US domestic E&Ps is estimated to be around $40/barrel. 

Major cryptocurrencies are down across the board.  This price weakness is in the face declining transaction fees. Altcoins appear to underperforming Bitcoin with Bitcoin’s share of the total cryptocurrency market capitalization heading back to 40%. 

US equity futures are pointing to a positive open this morning in NY.  After breaking above 20 yesterday, the VIX is down below 20.  The release of the recent Fed minutes appears to have initially spooked investors yesterday.  However, cooler heads should begin to prevail: on a risk-adjusted basis, both the Fed and Yardeni models point to stocks offering a more attractive relative returns to bonds.  Investor sentiment continues to be positive with the advance-decline ratio favoring stocks which are up.  Put-call ratios have begun to normalize to 1.0 which suggests market sentiment, as measured by options breath, has stabilized .

US equity markets were mixed yesterday, with Small-cap stocks outperforming Large-caps. The Russell 2000 was up 0.12%, while the S&P 500 was 0.55% lower. All sectors of the S&P 500 were lower yesterday, with Real Estate, Energy, and Telecom the biggest underperformers, while Industrials, Financials, and Consumer Discretionary were the biggest outperformers. The Nasdaq fell 0.22%, outpacing the S&P 500 Information Technology sector, which fell by 0.60%.

Quality Value stocks appear to outperforming Low Volatility & Momentum stocks month to date.  In February, our top-rated Large-cap Quality Value stocks are down 3.42% on average, but are outperforming our top-rated Low Volatility & Momentum stocks which are down 4.47% (on average), and the S&P 500 which is down 4.23%. Our top-rated Technicals have actually been our top performing factor group with top ranked stocks for this factor group falling only 2.51% (on average). A sharp positive reversal in overall market sentiment may bias our top-rated Low Volatility and Momentum stocks.

QuantShot: Cirrus Logic - 40.39% off its 52wkH, reports earnings on 05/03/2018

QuantShot: Intel - 9.66% off its 52wkH, reports earnings on 04/27/2018

QuantShot: Micron Technology - 10.72% off its 52wkH, reports earnings on 03/23/2018

Ultra Clean Holdings - 42.30% off its 52wkH, reports earnings on 02/22/2018

We are also looking at these A-rated stocks:

QuantShot: Allison Transmission - 14.31% off its 52wkH, reports earnings on 04/26/2018

Big Lots - 14.81% off its 52wkH, reports earnings on 03/02/2018

QuantShot: Campbell Soup Company - 28.43% off its 52wkH, reports earnings on 05/18/2018

Thor Industries - 23.21% off its 52wkH, reports earnings on 03/08/2018

QuantShot: TJX Companies - 6.90% off its 52wkH, reports earnings on 02/28/2018

United Therapeutics Corp. - 28.09% off its 52wkH, reports earnings on 04/25/2018

Our Top Picks in the News

Click headline for story

Walmart (WMT)

Walmart launches 'All Things Home' (Seeking Alpha)
Top Conviction Long in February, please see Quantamize Global Top Picks US Consumer Staples report

 

See more on our Walmart QuantShot company report from February 6th

Pfizer (PFE)

Would Pfizer Investors Win With a Bristol-Myers Squibb Acquisition? ( The Motley Fool)
Top Conviction Long in February, please see Quantamize Global Top Picks US Large Cap report

 

See more on our Pfizer QuantShot company report from February 14th

Tesla (TSLA)

Tesla's cloud hacked to mine cryptos (Seeking Alpha)
Top Conviction Short in February, please see Quantamize Global Top Picks US Large Cap report

 

See more on our Tesla QuantShot company report from February 6th

Green Dot (GDOT)

Green Dot beats by $0.04, beats on revenue (Seeking Alpha)
Top Conviction Long in February, please see Quantamize Global Top Picks US SMID Cap report

 

See more on our Green Dot QuantShot company report from February 9th

Domino's Pizza (DPZ)

Domino's Pizza +3% amid M&A chatter (Seeking Alpha)
Top Conviction Long in February, please see Quantamize Global Top Picks US Consumer Discretionary report

 

See more on our Domino's QuantShot company report from February 9th

Yum! Brands (YUM)

Taco Bell passes Burger King in U.S. (Seeking Alpha)
Top Conviction Long in February, please see Quantamize Global Top Picks US Consumer Discretionary report

 

See more on our Yum! QuantShot company report from February 13th

Global Indices

Index

Levels

1 Day Return

5 Day Return

MTD

YTD

S&P 500

2,701.33

0.00%

0.10%

-4.34%

1.04%

Russell 2000

1,531.84

0.00%

0.64%

-2.74%

-0.24%

DJ Industrial Average

24,797.78

0.00%

-0.38%

-5.17%

0.32%

NASDAQ Composite Index

7,218.23

0.00%

1.04%

-2.61%

4.56%

CBOE Market Volatility Index

19.64

-

-

-

-

Germany DAX (TR)

12,397.36

-0.59%

1.06%

-6.02%

-3.46%

France CAC 40

5,290.34

-0.22%

2.65%

-3.50%

-0.20%

Japan Nikkei 225

21,736.44

-1.07%

3.86%

-5.90%

-3.49%

Hang Seng Index

30,965.68

-1.48%

3.00%

-5.84%

5.06%

Hang Seng China Enterprises

12,528.64

-1.25%

3.47%

-7.62%

8.35%

S&P ASX 200

5,950.90

0.12%

1.75%

-1.44%

-2.00%

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

2.58%

6.11%

3.01%

FleetCor Technologies, Inc. FLT Information Technology Data Processing and Outsourced Services

2.10%

2.54%

5.83%

RH RH Consumer Discretionary Home Furnishing Retail

1.70%

-3.05%

4.96%

Zions Bancorporation ZION Financials Regional Banks

1.64%

1.45%

9.92%

Intercontinental Exchange, Inc. ICE Financials Financial Exchanges and Data

1.58%

1.58%

3.26%

Large Cap A Losers Ticker Sector Industry 1 Day Return 5 Day Return YTD
United Therapeutics Corporation UTHR Healthcare Biotechnology

-9.48%

-9.46%

-17.42%

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

-5.76%

-7.93%

-19.96%

First Data Corporation FDC Information Technology Data Processing and Outsourced Services

-2.40%

-1.40%

-7.60%

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

-1.85%

-1.89%

-4.98%

Walgreens Boots Alliance, Inc. WBA Consumer Staples Drug Retail

-1.81%

-1.82%

-4.12%

Source: Capital IQ            

Large Cap Conviction Short Movers

Large Cap F Winners Ticker Sector Industry 1 Day Return  5 Day Return YTD
Pandora Media, Inc. P Information Technology Internet Software and Services

-8.63%

-5.62%

1.04%

Rite Aid Corporation RAD Consumer Staples Drug Retail

-8.18%

-5.16%

2.54%

Portola Pharmaceuticals, Inc. PTLA Healthcare Biotechnology

-6.86%

-5.83%

-7.74%

ARMO BioSciences, Inc. ARMO Healthcare Biotechnology

-6.55%

-5.35%

0.00%

Longfin Corp. LFIN Financials Financial Exchanges and Data

-5.60%

-0.58%

-39.25%

Large Cap F Losers Ticker Sector Industry 1 Day Return  5 Day Return YTD
Blueprint Medicines Corporation BPMC Healthcare Biotechnology

6.87%

7.39%

15.98%

Adamas Pharmaceuticals, Inc. ADMS Healthcare Biotechnology

3.68%

-18.98%

-19.27%

JetBlue Airways Corporation JBLU Industrials Airlines

3.65%

2.22%

-7.12%

Editas Medicine, Inc. EDIT Healthcare Biotechnology

3.64%

1.98%

12.24%

Nektar Therapeutics NKTR Healthcare Pharmaceuticals

3.59%

3.62%

44.76%

Source: Capital IQ            

Upcoming Earnings

Company Name Ticker Earnings Date
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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