Morning Quant Ride Feb 23, 2018

Feb 23, 2018

Traders’ Corner

Asian equities closed up across the board this morning with the Nikkei 225 up 0.72%, Hang Seng up 0.97%, Hang Seng China Enterprise Index up 1.65% and the CSI 300 up 0.45%.  Consumer staples stocks were the only sector down in Japanese equity markets with energy, real estate and materials outperforming.  Japanese CPI for the month of January was slightly ahead of expectations at 1.4% vs 1.3%.  Increasing prices may begin to stoke fears about the potential for the Bank of Japan to begin unwinding its quantitative easing program.  A contraction in credit would be negative for Japanese equities as it may finally lead to Japanese government bonds offering a legitimate economic attractiveness. Similar to Japanese equities, only consumer staples stocks were down this morning in Hong Kong equity markets.  Energy, real estate and tech stocks were the largest outperformers.  The major news out of China is the decision by Chinese regulators to take over Anbang Insurance (for one year). In the Land Down Under, Aussie equities finished with a positive bias as the ASX 200 closed up 0.82%.  Materials, telecom, and healthcare stocks led the move upwards.  Consumer staples stocks, like both Japan and Hong Kong equity markets, was the only negative sector.  The move in materials stocks was led by a rebound in mega-cap iron ore stocks; yesterday’s move in Aussie materials stocks was in spite of this group.  Overall, there was a defensive feel to the move in the ASX 200 with the biggest moving stocks all in defensive sectors (outside of the move in iron ore stocks). European stocks are mixed this morning with the Euro Stoxx 600 up 0.06%.  Regional indices are mixed with the FTSE 100 down 0.11% and IBEX 35 down 0.65%; in contrast, the DAC us up 0.22% and the CAC 40 is flat.  All regional indices are trading above their intraday lows though with Developed European bond yields trending down this morning, European stocks will probably remain mixed until US equities open.  Telecom, real estate and utilities stocks are the largest outperforming this morning in Europe while retail, autos & parts, and traveler & leisure stocks are the biggest laggards. US government bond yields are down this morning with the yield on the 10-year below 2.9% this AM.  The move in US government bond yields appears to be in sympathy with Developed European bond yields.  The US Dollar index (DXY) is flat with a positive bias.  Strength in EUR€ this morning (up 0.18%) is weighing on the USD$: week to date, the DXY is up 0.79%.  Oil prices are down this morning following a 1.77% rally in WTI after US oil stocks fell to their lowest level in more than 3 years.  We continue to be biased to finding high-rated quality value stocks in our US models that are set to benefit from a rebound in energy markets.  Our XOP Q-options idea is also another way to get exposure to this bounce back: XOP 35/38 Bull Call Spread Our readers should keep in mind that break-even for US shale E&Ps is USD$40/barrel.  In comparison, WTI us currently trading above USD$62/barrel.  Precious metals are down this morning which is in sympathy with a pull-back in investor risk-aversion. Major cryptocurrencies are rebounding this morning, with Ethereum and Ripple leading the rebound.  Robinhood’s zero-fee bitcoin and Ethereum trading app was launched in California, Massachusetts, Missouri, Montana, and New Hampshire. US equity futures are trading with a positive bias this morning.   The VIX is trading down again today as implied volatility normalizes from its spike two weeks ago.  Earnings results should drive market sentiment this morning with market breadth continuing its positive trajectory: the advance-decline ratio was gain positive with a slight acceleration from Wednesday.  In contrast to market breadth indicators, US equity indices were mixed yesterday, with large-cap stocks outperforming small-caps. The S&P 500 was up 0.10% yesterday, while the Russell 2000 was down 0.12%. Most of the sectors of the S&P 500 were positive yesterday, with Real Estate, Energy, and Materials leading the way. Healthcare and Financials were the only sectors in the red. Chesapeake Energy (CHK), SCANA Corporation (SCG), and TechnipFMC PLC (FTI) were the biggest gainers in the S&P, while Stericycle (SRCL), Apache Corporation (APA), and Synopsys Inc. (SNPS) were the biggest losers. All of the moves in stocks listed above were reactions to earnings announcements. Our Top Rated Large Cap Low Volatility & Momentum stocks were our best performers yesterday, returning 0.08%. Our Quality Value and Technicals underperformed yesterday, falling 0.39% and 0.74%, respectively.

 

This morning we are watching a few of our A-rated Tech stocks that lagged the market yesterday:

QuantShot: Applied Optoelectronics - 73.40% off its 52wkH, reports earnings on 05/04/2018

QuantShot: Advanced Energy Industries - 30.01% off its 52wkH, reports earnings on 05/01/2018

Ultra Clean Holdings - 46.02% off its 52wkH, reports earnings on 04/26/2018

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

Deluxe Corp. - 7.46% off its 52wkH, reports earnings on 04/26/2018

Ennis Inc. - 6.74% off its 52wkH, reports earnings on 04/24/2018

Huntington Ingalls Industries - 5.10% off its 52wkH, reports earnings on 05/03/2018

Lear Corporation - 6.55% off its 52wkH, reports earnings on 04/27/2018

QuantShot: Tyson Foods Inc. - 11.77% off its 52wkH, reports earnings on 05/07/2018

United Therapeutics Corp. - 27.12% off its 52wkH, reports earnings on 04/25/2018

Our Top Picks in the News

Click headline for story

TJX Companies (TJX)

Will TJX Companies (TJX) Q4 Earnings Grow Despite High Costs? (Yahoo Finance)
Top Conviction Long in February, please see Quantamize Global Top Picks US Large Cap report

 

See more on our TJX Companies QuantShot company report from February 16th

Domino's Pizza (DPZ)

Domino’s grabs title of world’s largest pizza chain (Detroit News)
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

Home Depot (HD)

Home Depot: High Growth Fuels 16% Dividend Increase (Seeking Alpha)
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

Apple (AAPL)

Apple Repatriation To Drive EPS By As Much As 22% (Seeking Alpha)
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

Intel Corp (INTC)

Intel collaborates with PC makers for 5G connection (Seeking Alpha)
Top Conviction Long in February, please see Quantamize Global Top Picks US Tech report

 

See more on our Intel QuantShot company report from February 5th

Leucadia National Corp (LUK)

Leucadia National beats by $0.01, beats on revenue (Seeking Alpha)

Top Conviction Long in February, please see Quantamize Global Top Picks US Large Cap report

 

See more on our Leucadia QuantShot company report from February 20th

HP Inc. (HPQ)

Hewlett Packard Jumps 14%: FYQ1 Easily Beats, Hikes Dvd 50% (Barron's)
Top Conviction Long in February, please see Quantamize Global Top Picks US Info Tech report

Global Indices

Index

Levels

1 Day Return

5 Day Return

MTD

YTD

S&P 500

2,703.96

0.00%

0.10%

-4.34%

1.04%

Russell 2000

1,529.99

0.00%

0.64%

-2.74%

-0.24%

DJ Industrial Average

24,962.48

0.00%

-0.38%

-5.17%

0.32%

NASDAQ Composite Index

7,210.09

0.00%

1.04%

-2.61%

4.56%

CBOE Market Volatility Index

18.35

-

-

-

-

Germany DAX (TR)

12,496.41

0.28%

1.06%

-6.02%

-3.46%

France CAC 40

5,309.67

0.01%

2.65%

-3.50%

-0.20%

Japan Nikkei 225

21,892.78

0.72%

3.86%

-5.90%

-3.49%

Hang Seng Index

31,267.17

0.97%

3.00%

-5.84%

5.06%

Hang Seng China Enterprises

12,735.06

1.65%

3.47%

-7.62%

8.35%

S&P ASX 200

5,999.80

0.82%

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
Zebra Technologies Corporation ZBRA Information Technology Electronic Equipment and Instruments

12.37%

12.47%

30.29%

Align Technology, Inc. ALGN Healthcare Healthcare Supplies

2.99%

3.25%

16.87%

Big Lots, Inc. BIG Consumer Discretionary General Merchandise Stores

2.21%

-1.11%

-0.14%

United Rentals, Inc. URI Industrials Trading Companies and Distributors

1.90%

4.25%

1.89%

Eagle Materials Inc. EXP Materials Construction Materials

1.79%

0.64%

-8.73%

Large Cap A Losers Ticker Sector Industry 1 Day Return  5 Day Return YTD
PRA Health Sciences, Inc. PRAH Healthcare Life Sciences Tools and Services

-6.74%

-6.65%

-8.87%

United Therapeutics Corporation UTHR Healthcare Biotechnology

-3.78%

-12.88%

-20.55%

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

-3.50%

2.40%

-0.59%

KeyCorp KEY Financials Regional Banks

-2.25%

-2.12%

1.62%

Synovus Financial Corp. SNV Financials Regional Banks

-2.44%

-2.51%

3.57%

Source: Capital IQ            

Large Cap Conviction Short Movers

Large Cap F Winners Ticker Sector Industry 1 Day Return  5 Day Return YTD
Roku, Inc. ROKU Consumer Discretionary Consumer Electronics

-17.71%

-12.63%

-18.79%

Pandora Media, Inc. P Information Technology Internet Software and Services

-7.19%

-12.40%

-6.22%

Apache Corporation APA Energy Oil and Gas Exploration and Production

-6.32%

-8.55%

-17.46%

Riot Blockchain, Inc. RIOT Healthcare Biotechnology

-5.85%

-12.91%

-64.86%

The Medicines Company MDCO Healthcare Pharmaceuticals

-5.66%

-10.04%

9.11%

Large Cap F Losers Ticker Sector Industry 1 Day Return  5 Day Return YTD
Whiting Petroleum Corporation WLL Energy Oil and Gas Exploration and Production

25.21%

21.13%

6.72%

Parsley Energy, Inc. PE Energy Oil and Gas Exploration and Production

8.40%

6.73%

-14.95%

Oasis Petroleum Inc. OAS Energy Oil and Gas Exploration and Production

7.58%

5.55%

-0.48%

Rite Aid Corporation RAD Consumer Staples Drug Retail

5.45%

0.00%

8.12%

Southwestern Energy Company SWN Energy Oil and Gas Exploration and Production

5.43%

3.07%

-33.87%

Source: Capital IQ            

Upcoming Earnings

Company Name Ticker Earnings Date
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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