Morning Quant Ride Feb 28, 2018

Feb 28, 2018

Traders’ Corner

Asian markets closed down with the Nikkei 225, Hang Seng, CSI 300 and the Hang Seng China Enterprise Index all lower.  In Japanese equity markets, healthcare, consumer staples and tech stocks were the biggest outperformers.  Macro-economic data in Japan was disappointing with industrial production for January contracting more than expected.  Volume traded on the Tokyo Stock Exchange was 7.59% above its rolling 10-day average.  In Hong Kong equity markets, only consumer staples stocks were up while tech, energy and financials stocks were the largest underperformers.  Volume traded in Hong Kong was 19.15% above its rolling 10-day average.  Weaker than expected February PMI data weighed on sentiment: PMI was 50.3 vs consensus 51.1; non-manufacturing PMI was 54.4 vs. consensus 55.0.

 

In the Land Down Under, Aussie equities closed down with the ASX 200 down 0.68%.  Utilities, industrials and consumer staples stocks were the only sectors positive while telecom, real estate and materials were the largest underperformers.  Private sector credit growth remains weak, growing 0.3% in January vs. consensus of 0.4%.  Private sector credit remains a big concern with Aussie households already heavily in debt.  Iron ore miners were down across the board with weakness in China equity markets.  Volume traded, like Asian equity markets, trended above the rolling 10-day average.

European stocks are negative with the Euro Stoxx 600 down 0.45%.  Regional indices are down with the FTSE 100 down 0.31%, DAX down 0.34% and the CAC 40 down 0.46%.  Materials, utilities and healthcare stocks are weighing on stocks across the region.  In the case of materials stocks, they are down in sympathy with weakness in Aussie materials stocks and overall sentiment in Chinese equities yesterday.  European macro-economic data this morning is neutral with the second estimate for France 4Q GDP in-line with the preliminary estimate of 0.6% while preliminary French February CPI +1.2% vs. consensus of 1.4% (prior period 1.3%).  German February unemployment rate remained flat vs. January, holding steady at 5.4%.

After Chairman Powell’s commentary yesterday, the yield on the 10-year remains below 2.9%, currently trading 2.881%.  We expect rates markets to be quiet ahead of the release of second revisions to 4Q GDP this morning at 8:30am.  The US Dollar index is up 0.19% this morning following a positive 0.56% move yesterday.  Weakness in the Euro€ and GBP£ are driving strength in the USD$.  Commodities markets are mixed this AM: oil is down this morning while precious metals are up across the board.  As we have highlighted in previous notes, as long as WTI holds above USD$60/barrel, US E&Ps should continue to generate positive cash flow.

Major cryptocurrencies are down across the board following a lackluster launch of LitePay.

US equity futures are mixed this morning with only Nasdaq index futures up this morning.  The VIX remains above 18 this morning though it is off yesterday’s close of 18.59.

US equity markets pulled back on Tuesday after its two-day rally. Large-cap stocks outperformed small-caps, with the S&P 500 falling 1.27% and Russell 2000 down 1.47%. All sectors of the S&P 500 were lower, with Real Estate, Consumer Discretionary, and Telecom the worst performers, and Financials, Tech, and Healthcare outperforming, but still negative.  Market sentiment was extremely negative with the advance decline ratio turning sharply negative after being positive for three days in a row.  Index implied volatility remains elevated with implied volatility more than 1 standard deviation above the 1-year mean for the S&P 500, Russell 2000, and Nasdaq.  While the aggregate put/call ratio is biased to call volume, Skew is elevated for options on all three indices.  Earlier this week, we published a put butterfly on QQQs to take advantage of inexpensive skew on tech stocks:

PowerShares QQQ Trust (QQQ) 165/155/145 Butterfly Put Spread

AES Corp (AES), Discovery Communications (DISCA), and Macy’s (M) were the biggest gainers in the S&P 500 yesterday, while AutoZone (AZO), Comcast (CMCSA), and Perrigo (PRGO) were the biggest laggards. Dillard’s (DDS) and Douglass Dynamics (PLOW) were two of the most notable gainers on the Russell 2000, while Akcea Therapeutics (AKCA) and Lantheus Holdings (LNTH) were two notable laggards. Ulta Beauty (ULTA) and Microchip Technology (MCHP) were the biggest positive movers in the Nasdaq, while Comcast (CMCSA) and O’Reilly Automotive (ORLY) were the biggest negative movers.

Our Large Cap Quality Value factor group was the best performing group yesterday, falling 0.97%, outperforming our Low Volatility & Momentum and Technicals factor groups, which fell 1.20% and 1.05%, respectively.

After yesterday’s pullback we are watching a few of our A-Rated laggards:

QuantShot: Applied Optoelectronics - 73.57% off its 52wkH, reports earnings on 05/04/2018

QuantShot: Axcelis Technologies - 33.06% off its 52wkH, reports earnings on 05/03/2018

Global Brass & Copper Holdings - 28.11% off its 52wkH, reports earnings on 03/02/2018

Cracker Barrel Old Country Style - 12.30% off its 52wkH, reports earnings on 05/22/2018

Kellogg - 10.86% off its 52wkH, reports earnings on 05/03/2018

NVR Inc. - 21.46% off its 52wkH, reports earnings on 04/19/2018

Patrick Industries - 14.93% off its 52wkH, reports earnings on 04/26/2018

Synnex Corp. - 11.72% off its 52wkH, reports earnings on 03/26/2018

QuantShot: Thor Industries - 21.08% off its 52wkH, reports earnings on 03/08/2018

QuantShot: Union Pacific Corp. - 6.51% off its 52wkH, reports earnings on 04/19/2018

Our Top Picks in the News

Click headline for story

Intel Corp (INTC)

Citi makes Intel a ‘top pick’ because of chipmaker's booming corporate sales (CNBC)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Tech report

 

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

Micron Technology (MU)

Micron Technology Is One of the Best Tech Stocks to Own (The Street)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Tech report

 

See more on our Micron QuantShot company report from January 10th

Lowe's Companies (LOW)

Lowe's expands Sherwin-Williams partnership (Seeking Alpha)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Consumer Discretionary report

 

See more on our Lowe's QuantShot company report from February 14th

Alphabet Inc (GOOGL)

Google's Clips Camera is Latest Effort to Bring AI Into Home Gadgets (Yahoo Finance)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Tech report

 

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

Cisco (CSCO)

Cisco is working with Three Group and Entel Peru to provide new IoT services to a global market (TechRepublic)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Tech report

 

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

Apple Inc (AAPL)

Surprise: Apple Is Crushing It After All (Seeking Alpha)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Tech report

 

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

Booking Holdings (BKNG)

Booking Holdings beats by $2.74, beats on revenue (Seeking Alpha)
Priceline Sports New Name, Solid Growth (Fox Business)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Large Cap report

 

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

*Priceline (PCLN) changed their name to Booking Holdings (BKNG) on February 27th

Tyson Foods (TSN)

Tyson Foods goes ex-dividend (Seeking Alpha)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Consumer Staples report

 

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

Global Indices

Index

Levels

1 Day Return

5 Day Return

MTD

YTD

S&P 500

2,744.28

0.00%

1.59%

-2.82%

2.64%

Russell 2000

1,536.47

0.00%

0.30%

-2.44%

0.06%

DJ Industrial Average

25,410.03

0.00%

2.47%

-2.83%

2.79%

NASDAQ Composite Index

7,330.35

0.00%

1.55%

-1.09%

6.18%

CBOE Market Volatility Index

18.24

-

-

-

-

Germany DAX (TR)

12,449.08

-0.33%

0.16%

-5.61%

-3.30%

France CAC 40

5,320.70

-0.43%

0.79%

-2.94%

0.59%

Japan Nikkei 225

22,068.24

-1.44%

1.91%

-4.46%

-1.65%

Hang Seng Index

30,844.72

-1.36%

-0.52%

-6.21%

4.51%

Hang Seng China Enterprises

12,382.08

-2.09%

-0.32%

-8.70%

8.00%

S&P ASX 200

6,016.00

-0.68%

1.90%

-0.36%

-0.14%

Source: FactSet          

Large Cap Conviction Buy Movers

Large Cap A Winners Ticker Sector Industry 1 Day Return 5 Day Return YTD
Scripps Networks Interactive, Inc. SNI Consumer Discretionary Broadcasting

1.37%

2.23%

5.08%

Raymond James Financial, Inc. RJF Financials Investment Banking and Brokerage

1.19%

4.02%

4.93%

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

0.72%

5.02%

4.40%

Cigna Corporation CI Healthcare Managed Healthcare

0.50%

2.58%

-3.07%

NuVasive, Inc. NUVA Healthcare Healthcare Equipment

0.46%

3.13%

-17.17%

Large Cap A Losers Ticker Sector Industry 1 Day Return 5 Day Return YTD
Carter's, Inc. CRI Consumer Discretionary Apparel, Accessories and Luxury Goods

-4.72%

-3.47%

-0.43%

Darden Restaurants, Inc. DRI Consumer Discretionary Restaurants

-3.57%

-2.43%

-3.27%

Lennar Corporation LEN Consumer Discretionary Homebuilding

-3.01%

-1.32%

-8.82%

First Data Corporation FDC Information Technology Data Processing and Outsourced Services

-2.51%

-1.04%

-6.64%

AbbVie Inc. ABBV Healthcare Biotechnology

-2.70%

0.60%

22.28%

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

-18.34%

-20.55%

-32.31%

Fitbit, Inc. FIT Information Technology Electronic Equipment and Instruments

-12.27%

-6.54%

-14.89%

Taubman Centers, Inc. TCO Real Estate Retail REITs

-5.24%

-2.90%

-10.48%

Longfin Corp. LFIN Financials Financial Exchanges and Data

-4.83%

6.07%

-36.70%

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

-4.72%

-2.84%

-7.79%

Large Cap F Losers Ticker Sector Industry 1 Day Return  5 Day Return YTD
CNX Resources Corporation CNX Energy Oil and Gas Exploration and Production

6.28%

9.49%

8.82%

Delek US Holdings, Inc. DK Energy Oil and Gas Refining and Marketing

5.73%

5.92%

2.98%

Realogy Holdings Corp. RLGY Real Estate Real Estate Services

4.61%

7.84%

-2.45%

Exact Sciences Corporation EXAS Healthcare Biotechnology

4.25%

-1.38%

-15.55%

Tesaro, Inc. TSRO Healthcare Biotechnology

2.98%

1.08%

-25.73%

Source: Capital IQ            

Upcoming Earnings

Company Name Ticker Earnings Date
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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