Morning Quant Ride Mar 1, 2018

Mar 01, 2018

Traders’ Corner

We are updating our Q-Factor scores for global equity this morning.  Come see our newest Global Top Picks for March!

 

Asian equity markets finished trading mixed with Japanese equity markets closing down while Chinese and Hong Kong equity markets finish positive.  The Nikkei 225 closed down 1.56% with materials, healthcare and industrials stocks driving down the benchmark Japanese equities index.  Utilities, telecom and tech stocks were outperformers.  Volume traded on the Tokyo Stock Exchange was 9.78% above its 10-day average.  Japan manufacturing PMI for February was in-line at 54.1 vs. consensus 54.0.  The Japanese consumer confidence index was 44.3 for February vs consensus of 44.8. 

In comparison to the Nikkei 225, the Hang Seng finished up 0.65% while the Hang Seng China Enterprise Index closed up 0.38% and the CSI 300 finished +0.63%.  In Hong Kong equity markets, tech, real estate and financials were outperformers while energy, consumer discretionary and consumer staples were the biggest laggards.  Volume traded on the Hong Kong Stock Exchange was 2.0% below its 10-day average. Chinese macro-economic data was positive with the China Caixin PMI for February coming in at 51.6 vs. consensus 51.3. 

In the Land Down Under, Aussie equities finished the trading session negative with the ASX 200 closing down 0.71%.  Energy, utilities and materials stocks were the biggest underperformers.  Real estate stocks were the only positive sector.  Weaker commodity prices weighed on Aussie miners with the big iron ore miners all down across the board.  The big banks were down with a lower rate backdrop and concerns about credit quality.

European equity markets are down across the board this morning with the Euro Stoxx 600 down 0.97%.  Regional indices are down across the board as well with the FTSE 100 down 0.79%, DAX down 1.50% and the CAC 40 down 1.07%. Consumer staples, real estate and healthcare stocks are all outperforming this morning while media, materials and retail stocks are the largest underperformers.   Media stocks are down in sympathy with WPP PLC (WPP LN) after it gave a negative revenue outlook for FY2018.  While regional manufacturing PMIs were positive across the board, worries about a potential trade war between the US and China are weighing on sentiment towards European stocks.

US government bond yields are down this AM with the yield on the 10-year US bond hovering around 2.822%.  Fed Funds futures continue to price in the probablity of 3 rate hikes ahead of Fed Chairman’s presentation to the Senate Banking committee today.  The US dollar index (DXY) is up +0.20% this morning with the USD$ up against all major currencies.  Concerns about a potential trade war between the US and China is also weighing on commodities markets with all major commodities down.  Oil continues to hold above USD$60/barrel while gold spot is down 1.00% and PGMs are down well over 1.00%. 

Major cryptocurrencies are mixed with this morning with both Bitcoin and Bitcoin Cash both above 1.0%.  In comparison, major coins like Litecoin, NEO, Ripple and Stellar are all down.  Monero is expecting to hard fork with MoneroV in mid-March.: Monero is up 1.54% on the news this morning.  Wellington Management, a global asset manager with over USD$1tn under management, is considering adding cryptocurrencies to some of their portfolios. 

US equity futures are pointing to a negative open in NY this morning with the VIX now up 20.79 after  trading up to 19.85 yesterday.  Implied volatility on index options for the S&P 500, Russell 2000 and Nasdaq are all more than 2 standard deviations above their 1-year mean.  Put-Call skew is not very expensive with skew on the index options for the S&P 500, Russell 2000 and Nasdaq well above the 90th percentile.

US Equity markets continued their slide yesterday, with the S&P 500 down 1.11%, Russell 2000 down 1.56%, and the Nasdaq down 0.78%. All sectors of the S&P 500 were negative yesterday, with Energy, Materials, and Healthcare lead the index lower, while Real Estate, Consumer Discretionary, and Utilities were the biggest outperformers.  The advance-decline ratio, a measure of market sentiment and breath, was negative for the second day in the a row: the ratio skewed to decline with 421 stocks in S&P 500 declining.  In contrast to negative market breadth in US equities, the options markets were neutral with the Put-Call ratio slightly below 1.0 yesterday. 

TJX Companies (TJX), Booking Holdings (BKNG), and Envision Healthcare (EVHC) were the biggest gainers in the S&P 500 yesterday, while Albemarle (ALB), Celgene (CELG), and Chesapeake Energy (CHK) were the biggest laggards. Axon Enterprise (AAXN) and PHH Corp (PHH) were two of the most notable gainers on the Russell 2000, while Stratasys (SYSS) and Huron Consulting Group (HRN) were two notable laggards. Booking Holdings (BKNG) and MercadoLibre (MELI) were the biggest positive movers in the Nasdaq, while Celgene (CELG) and DISH Network Corp (DISH) were the biggest negative movers.

Our Large Cap Quality Value factor group was the best performing group yesterday, falling 0.69%, outperforming our Low Volatility & Momentum and Technical factor groups, which fell 1.06% and 1.16%, respectively.

For the month of February, the S&P 500 fell 3.72%, while our US Large Cap A-rated stocks fell 3.08%. The Technical factor group was our best performing factor group for February, down 3.33%. Our Quality Value and Low Volatility & Momentum factor groups fell 3.47% and 4.47%, respectively.

Be on the lookout for our updated Global Top Picks around noon.

Our Top Picks in the News

Click headline for story

Kohl's Corporation (KSS)

Kohl's reports Q4 adjusted EPS $1.99, consensus $1.77 (TheFly)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Consumer Discretionary report

 

See more on our Kohl's QuantShot company report from February 15th

Motorola Solutions (MSI)

Motorola Solutions price target raised to $125 from $120 at Deutsche Bank (TheFly)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Large Cap report

 

See more on our Motorola Solutions QuantShot company report from December 6th

Cable One (CABO)

Cable One EPS of $24.89 (Seeking Alpha)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Consumer Discretionary report

 

See more on our Cable One QuantShot company report from December 6th

Tesla Inc (TSLA)

Increasing Costs Will Make Model 3 Unprofitable For Tesla (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

Pfizer Inc (PFE)

5 Reasons Why Pfizer (PFE) Could be a Great Pick in 2018 (Nasdaq)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Large Cap report

 

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

Walmart (WMT)

Walmart launches Allswell brand (Seeking Alpha)
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

Yum! Brands (YUM)

Pizza Hut steps in as NFL pizza sponsor (Seeking Alpha)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Consumer Discretionary report

 

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

TJX Companies (TJX)

The Hot Stock: TJX Climbs 7% (Barron's)
Top Conviction Buy in February, please see Quantamize Global Top Picks US Large Cap report

 

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

Global Indices

Index

Levels

1 Day Return

5 Day Return

MTD

YTD

S&P 500

2,713.83

0.00%

1.59%

-2.82%

2.64%

Russell 2000

1,512.45

0.00%

0.30%

-2.44%

0.06%

DJ Industrial Average

25,029.20

0.00%

2.47%

-2.83%

2.79%

NASDAQ Composite Index

7,273.01

0.00%

1.55%

-1.09%

6.18%

CBOE Market Volatility Index

20.79

-

-

-

-

Germany DAX (TR)

12,239.67

-1.58%

0.16%

-5.61%

-3.30%

France CAC 40

5,263.29

-1.08%

0.79%

-2.94%

0.59%

Japan Nikkei 225

21,724.47

-1.56%

1.91%

-4.46%

-1.65%

Hang Seng Index

31,044.25

0.65%

-0.52%

-6.21%

4.51%

Hang Seng China Enterprises

12,428.88

0.38%

-0.32%

-8.70%

8.00%

S&P ASX 200

5,973.30

-0.71%

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
The TJX Companies, Inc. TJX Consumer Discretionary Apparel Retail

6.95%

6.05%

8.13%

Booking Holdings Inc. BKNG Consumer Discretionary Internet and Direct Marketing Retail

6.77%

6.66%

17.05%

Marriott International, Inc. MAR Consumer Discretionary Hotels, Resorts and Cruise Lines

2.24%

-0.68%

4.04%

First Data Corporation FDC Information Technology Data Processing and Outsourced Services

0.84%

-2.62%

-6.52%

United Therapeutics Corporation UTHR Healthcare Biotechnology

0.70%

-1.86%

-21.70%

Large Cap A Losers Ticker Sector Industry 1 Day Return 5 Day Return YTD
Entercom Communications Corp. ETM Consumer Discretionary Broadcasting

-5.26%

-1.49%

-8.33%

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

-4.86%

-4.26%

-0.68%

Louisiana-Pacific Corporation LPX Materials Forest Products

-2.96%

-4.10%

8.53%

UnitedHealth Group Incorporated UNH Healthcare Managed Healthcare

-2.49%

-1.58%

2.35%

Lincoln National Corporation LNC Financials Life and Health Insurance

-2.62%

-2.37%

-0.91%

Source: Capital IQ            

Large Cap Conviction Short Movers

Large Cap F Winners Ticker Sector Industry 1 Day Return  5 Day Return YTD
ACADIA Pharmaceuticals Inc. ACAD Healthcare Biotechnology

-20.04%

-20.95%

-17.25%

Tesaro, Inc. TSRO Healthcare Biotechnology

-10.27%

-9.07%

-33.35%

ADT Inc. ADT Industrials Security and Alarm Services

-8.97%

-11.85%

0.00%

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

-8.37%

-10.45%

-6.30%

Dynavax Technologies Corporation DVAX Healthcare Biotechnology

-7.18%

-9.01%

-13.64%

Large Cap F Losers Ticker Sector Industry 1 Day Return  5 Day Return YTD
Etsy, Inc. ETSY Information Technology Internet Software and Services

20.35%

20.12%

23.77%

Teladoc, Inc. TDOC Healthcare Health Care Technology

7.51%

5.67%

15.06%

Riot Blockchain, Inc. RIOT Healthcare Biotechnology

6.22%

3.02%

-62.75%

PlayAGS, Inc. AGS Consumer Discretionary Casinos and Gaming

4.65%

3.50%

0.00%

ARMO BioSciences, Inc. ARMO Healthcare Biotechnology

3.63%

-1.32%

0.00%

Source: Capital IQ            

Upcoming Earnings

Company Name Ticker Date
Dominion Energy Inc D 01/29/2018
A. O. Smith Corporation AOS 01/30/2018
Amdocs Limited DOX 01/30/2018
IDEX Corporation IEX 01/30/2018
Principal Financial Group, Inc. PFG 01/30/2018
Advanced Energy Industries, Inc. AEIS 01/31/2018
Avery Dennison Corporation AVY 01/31/2018
Boeing Company BA 01/31/2018
Cadence Design Systems, Inc. CDNS 01/31/2018
Nasdaq, Inc. NDAQ 01/31/2018
Align Technology, Inc. ALGN 01/31/2018
SEI Investments Company SEIC 02/01/2018
Facebook, Inc. Class A FB 02/01/2018
Boston Scientific Corporation BSX 02/01/2018
IDEXX Laboratories, Inc. IDXX 02/01/2018
Ingredion Incorporated INGR 02/01/2018
Mastercard Incorporated Class A MA 02/01/2018
MKS Instruments, Inc. MKSI 02/01/2018
MSCI Inc. Class A MSCI 02/01/2018
Parker-Hannifin Corporation PH 02/01/2018
AMETEK, Inc. AME 02/01/2018
Xylem Inc. XYL 02/01/2018
Mid-America Apartment Communities, Inc. MAA 02/01/2018
Marsh & McLennan Companies, Inc. MMC 02/01/2018
Time Warner Inc. TWX 02/01/2018
Cigna Corporation CI 02/01/2018
C. R. Bard, Inc. BCR 02/01/2018
Edwards Lifesciences Corporation EW 02/02/2018
Roper Technologies, Inc. ROP 02/02/2018
Motorola Solutions, Inc. MSI 02/02/2018
Fortune Brands Home & Security, Inc. FBHS 02/02/2018
Spirit AeroSystems Holdings, Inc. Class A SPR 02/02/2018
Alphabet Inc. Class A GOOGL 02/02/2018
Estee Lauder Companies Inc. Class A EL 02/02/2018
Church & Dwight Co., Inc. CHD 02/05/2018

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