Morning Quant Ride Feb 27, 2018

Feb 27, 2018

Traders’ Corner

Asian equity markets closed mixed with Japanese equities finishing up while Chinese equities were down across the board.  The Nikkei 225 finished up 1.07% with all sectors closing positive.  Tech, energy and materials stocks led Japanese equities.  In China/Hong Kong equity markets, the CSI 300 closed down 1.44% while the Hang Seng China Enterprise index finishing down 1.46%.  The broader Hang Seng was down 0.73%.  Consumer staples, tech and energy stocks led the negative move in Chinese and Hong Kong markets.  Utilities, consumer discretionary and telecom stocks were outperformers.  Volume traded picked up in Hong Kong with total volume traded more than 10% above its 10-day average.  In comparison, volume traded in Japan was mixed with total volume 6.75% below the 10-day average for the Tokyo Stock Exchange. 

 

In the Land Down Under, Aussie equities were up 0.24% with healthcare, financials and real estate stocks outperformers.  Telecom, utilities and industrials were underperformers.  Iron ore producers were up across the board in contrast to weakness in weakness in Dalian iron ore futures. 

The broader European equities market is down with the Euro Stoxx off 0.32% this AM.  Regional indices are mixed with the FTSE 100 up 0.02% while continental European indices like the DAX and CAC 40 are down 0.39% and 0.02% respectively.  Media, insurance and tech stocks are outperformers in European equity markets this morning while telecom, healthcare and real estate stocks are the largest laggards.  Comcast’s counter-offer for the Pay-TV group Sky appears to be driving Media stocks up.

Ahead of Fed Chairman Powell’s presentation to House Finance Committee this morning, US government bond yields are flat.  Currently, the yield on the US 10-year is trading at 2.871%.  The US Dollar index is flat this AM with major currency pairs relatively flat.  The GBP£ is the only notable mover, down 0.19% against the USD$.  Commodities markets are down across the board with energy commodities the largest underperformers.  WTI is down 0.27% but still trading above USD$63/barrel.  As we have highlighted to our readers previously, the current level for WTI offers significant profit for most shale E&Ps: total cash break-evens for most shale drillers has been estimated to be USD$40/barrel.  Precious metals are down this morning, which is in sympathy with a weaker JPY¥.

The major cryptocurrencies are up across the board except Litecoin, which is off 3.67% this AM.  Litecoin’s underperformance appears related to the lackluster launch of Litepay.  Yesterday’s announcement that mobile payments app Circle’s acquisition of the cryptocurrency exchange Poloniex (for USD$400mm) continues to reverberate.  Circle plans to make Poloniex more mainstream and is part of its strategy to “formalize” the use of cryptocurrencies.

US equity futures are pointing to a negative open in NY ahead of Chairman Powell’s testimony.  The VIX, after closing below 16 yesterday, is back above that level at 16.21.  Implied volatility remains elevated for US stocks with implied volatilities for the S&P 500 and Russell 2000 indices both 1 standard deviation above their 1-year average.  However, while implied volatilities for US stocks are higher than normal, skew on the S&P 500 and Russell 2000 is not relatively expensive which implies that put buying is not pronounced.  Yesterday, US equity markets continued their rally with the S&P 500 up 1.18%, Russell 2000 up 0.65%, and the Nasdaq up 1.15%. Most sectors of the S&P 500 were higher with telecom, information technology, and financials leading, while utilities was the only negative sector.

HP Inc (HPQ), Qualcomm (QCOM), and Discovery Communications (DISCA) were the biggest gainers in the S&P 500 yesterday, while Albemarle Corporation (ALB), Citizens Financial Group (CFG), and Ulta Beauty (ULTA) were the biggest laggards. Veritone Inc. (VERI) and Apelliss Pharmaceuticals (APLS) were two of the most notable gainers on the Rusell 2000, while Quad/Graphics, Inc. (QUAD) and Eagle Pharmaceuticals (EGRX) were two notable laggards. Qualcomm (QCOM), KLA-Tencor Corp. (KLAC) and Applied Materials (AMAT) were the biggest positive movers in the Nasdaq, while Ulta Beauty (ULTA), Liberty Interactive Ventures Group (LVNTA) and Charter Communications (CHTR) were the biggest negative movers.

Our Large Cap Technicals factor group was the best performing group yesterday, rising 1.05%, while our Low Volatility & Momentum and Quality Value factor groups rose 0.71% and 0.67%, respectively.

After yesterday’s rally we are looking for buying opportunities in our A-Rated laggards:

QuantShot: Applied Optoelectronics - 72.92% off its 52wkH, reports earnings on 05/04/2018

QuantShot: Advanced Energy Industries - 28.94% off its 52wkH, reports earnings on 05/01/2018

Global Brass & Copper Holdings - 26.60% off its 52wkH, reports earnings on 03/02/2018

Cracker Barrel Old Country Store - 9.91% off its 52wkH, reports earnings on 05/22/2018

QuantShot: Campbell Soup Company - 25.98% off its 52wkH, reports earnings on 05/18/2018

Deckers Outdoor Corp. - 2.55% off its 52wkH, reports earnings on 05/24/2018

Huntington Ingalls Industries - 3.80% off its 52wkH, reports earnings on 05/03/2018

Louisiana Pacific Corp. - 4.41% off its 52wkH, reports earnings on 05/04/2018

NVR Inc. - 19.38% off its 52wkH, reports earnings on 04/19/2018

United Therapeutics Corp. - 24.50% off its 52wkH, reports earnings on 04/25/2018

Our Top Picks in the News

Click headline for story

ExlService (EXLS)

ExlService beats by $0.02, beats on revenue (Seeking Alpha)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Tech report

See more on our ExlService QuantShot company report from December 14th

Scripps Networks (SNI)

Scripps Networks beats Street 4Q forecasts (Yahoo Finance)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Large Cap report

Stryker Corporation (SYK)

Stryker upgraded to Neutral from Sell at Citi (TheFly)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Large Cap report

Walmart (WMT)

Sam's Club Jumps Into Same-Day Grocery Delivery With Instacart's Help (Fortune)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Consumer Staples report

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

Mattel (MAT)

Mattel slips after Jefferies warns (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

Roper Technologies (ROP)

Roper Technologies: Growth By Acquisition Of Small, Niche Companies (Seeking Alpha)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Large Cap report

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

Apple Inc (AAPL)

Fitbit Inc (FIT)

Fitbit Crashes 12%: Fit Trackers Succumb to the Smartwatch (Barron's)
Top Conviction Short in February, please see Quantamize Global Top Picks US Large Cap report

Global Indices

Index

Levels

1 Day Return

5 Day Return

MTD

YTD

S&P 500

2,779.60

0.00%

2.33%

-1.57%

3.96%

Russell 2000

1,559.33

0.00%

1.92%

-0.99%

1.55%

DJ Industrial Average

25,709.27

0.00%

2.98%

-1.68%

4.01%

NASDAQ Composite Index

7,421.46

0.00%

2.59%

0.13%

7.50%

CBOE Market Volatility Index

16.21

-

-

-

-

Germany DAX (TR)

12,479.25

-0.38%

0.31%

-5.37%

-3.02%

France CAC 40

5,344.36

0.00%

1.03%

-2.49%

0.60%

Japan Nikkei 225

22,389.86

1.07%

1.04%

-3.07%

-2.69%

Hang Seng Index

31,268.66

-0.73%

2.02%

-4.92%

5.28%

Hang Seng China Enterprises

12,646.54

-1.46%

3.53%

-6.75%

9.61%

S&P ASX 200

6,056.90

0.24%

1.71%

0.32%

-0.38%

Source: FactSet          

Large Cap Conviction Buy Movers

Large Cap A Winners Ticker Sector Industry 1 Day Return 5 Day Return YTD
HP Inc. HPQ Information Technology Technology Hardware, Storage and Peripherals

6.01%

10.82%

11.66%

Entercom Communications Corp. ETM Consumer Discretionary Broadcasting

4.48%

2.94%

-2.78%

Cisco Systems, Inc. CSCO Information Technology Communications Equipment

3.09%

4.73%

18.43%

BlackRock, Inc. BLK Financials Asset Management and Custody Banks

2.59%

3.75%

9.78%

Stryker Corporation SYK Healthcare Healthcare Equipment

2.52%

5.00%

7.06%

Large Cap A Losers Ticker Sector Industry 1 Day Return 5 Day Return YTD
Citizens Financial Group, Inc. CFG Financials Regional Banks

-4.07%

-3.80%

6.10%

RH RH Consumer Discretionary Home Furnishing Retail

-2.49%

-4.63%

0.10%

PRA Health Sciences, Inc. PRAH Healthcare Life Sciences Tools and Services

-2.29%

-5.37%

-7.53%

United Therapeutics Corporation UTHR Healthcare Biotechnology

-1.60%

-4.62%

-19.66%

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

-1.08%

0.16%

5.99%

Source: Capital IQ            

Large Cap Conviction Short Movers

Large Cap F Winners Ticker Sector Industry 1 Day Return  5 Day Return YTD
Carrizo Oil & Gas, Inc. CRZO Energy Oil and Gas Exploration and Production

-4.34%

0.11%

-17.11%

Riot Blockchain, Inc. RIOT Healthcare Biotechnology

-3.60%

-6.60%

-65.14%

Mattel, Inc. MAT Consumer Discretionary Leisure Products

-3.37%

-5.52%

4.55%

CF Industries Holdings, Inc. CF Materials Fertilizers and Agricultural Chemicals

-3.29%

0.09%

0.31%

Roku, Inc. ROKU Consumer Discretionary Consumer Electronics

-2.60%

-20.86%

-21.90%

Large Cap F Losers Ticker Sector Industry 1 Day Return  5 Day Return YTD
QUALCOMM Incorporated QCOM Information Technology Semiconductors

5.78%

5.65%

4.62%

Editas Medicine, Inc. EDIT Healthcare Biotechnology

5.66%

9.94%

23.40%

Fitbit, Inc. FIT Information Technology Electronic Equipment and Instruments

4.92%

2.40%

-2.98%

MACOM Technology Solutions Holdings, Inc. MTSI Information Technology Semiconductors

4.78%

2.26%

-31.96%

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

4.67%

13.46%

-10.97%

Source: Capital IQ            

Upcoming Earnings

Company Name Ticker Earnings Date
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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