Morning Quant Ride Mar 5, 2018

Mar 05, 2018

Traders’ Corner

Asian & Australian Equities Recap

 

Asian markets closed mixed with Japanese and Hong Kong equity markets closing down while Mainland China was flat.  The Nikkei 225 finished the trading session down 0.66% with materials, tech and real estate stocks leading the move down.  Consumer staples, consumer discretionary and telecom stocks were outperformers.  Volume traded on the Tokyo Stock Exchange continues its positive trend upwards with total shares traded 11.46% above the 10-day average.  The Bank of Japan Governor Haruhiko Kuroda maintained a dovish tone during the parliamentary confirmation for his next 5-year term.

In Hong Kong, the Hang Seng and Hang Seng China Enterprise Index closed down 2.28% and 1.74% down respectively.  All sectors were down in Hong Kong equities with utilities, energy and industrials stocks outperformers; telecom, consumer discretionary and consumer staples stocks were the largest underperformers.  The CSI 300, in contrast to sentiment in Hong Kong, was flat.  The National People’s Congress started today where the CY2018 GDP growth rate was set to 6.5% (unchanged from CY2017). 

In the Land Down Under, Aussie equities finished down with the ASX 200 closing -0.57% for the trading sessions.  Utilities, materials and industrials stocks were the largest underperformers among Aussie equities while industrials, telecom and tech stocks were the biggest outperformers.  The announcement that the US will impose tariffs on aluminum and steel weighed on iron ore producers.

European Equities Recap

European equities are up this morning with the Euro Stoxx 600 +0.51%.  Regional indices are up across the board with the FTSE 100 +0.14%, CAC 40 +0.14% and the DAX +0.56%.  Tech, chemical and telecom stocks are outperformers in European markets while insurance and Auto & parts stocks are underperforming.  The Italian parliamentary elections were mixed no significant majority chosen to run the country.  The FTSE MIB is down 0.47% with concerns about a hung parliament and concerns about the gains made by the anti-establishment parties. 

Rates & Commodities Recap

US government bond yields continue to fall with the yield on the 10-year now at 2.842%.  Fed Funds futures continue to price in a probability of 3 to 4 rate hikes in CY2018.  The US Dollar Index is up this morning with strength against the EUR€ overcoming USD$ weakness against both the GBP£ and JPY¥.  Commodities markets are trading sideways this AM following a negative trading session this past Friday.  WTI remains above USD$60/barrel, favoring our recommend options trade on the US E&Ps ETF (XOP)XOP Bull Call SpreadPrecious metals are mixed with Gold spot trading slightly positive.  Last Friday, we released a new Gold-related traded which focuses only the gold commodity (GLD) to go along with the Gold miners (GDX) trade we recommended:GLD Bull Call SpreadGDX Bull Call SpreadCryptocurrencies Recap

Major cryptocurrencies are up this morning with Ripple (XRP) the largest outperformer, up 18.12%.  PayPal announced it is seeking ways to boost the speed of cryptocurrency payments through the use of secondary wallets.  PayPal already has several partnership with several Bitcoin payment processors.  Roger Ver, one of the early Bitcoin investors (and a supporter of Bitcoin Cash), sees Ethererum overtaking Bitcoin to become the largest coin (measured by market capitalization).

US Markets Pre-Market Preview & Recap

US equity futures are pointing to a negative open in NY.  The VIX, after closing below 20 on Friday, is now back over 20 but nowhere near the highs it reached intraday.  On Friday, US equities rebounded  in the afternoon to overcome the negative open. Small-cap stocks outpaced large-caps, with the Russell 2000 up 1.71%, and the S&P500 up 0.51%.  The S&P 500 was led higher by Healthcare, Tech, and Consumer Staples, while Real Estate, Materials, and Utilities lagged.  Market breadth turned positive with advances outpacing declines after 3 days of negative market sentiment.  Implied volatility levels are beginning to mean revert with 1-month implied volatility on the S&P 500, Russell 200 and Nasdaq 2 standard deviations above their 1-year averages (after reaching close to 4 standard deviations on Friday!).

Gap Inc. (GPS), Universal Health Services (UHS), and Range Resources (RRC) were the biggest gainers in the S&P 500 yesterday, while Foot Locker (FL), McDonald's (MCD), and Ulta Beauty (ULTA) were the biggest laggards. Vectrus Inc (VEC) and Quality Care Properties (QCP) were two of the most notable gainers on the Russell 2000, while Atlas Financial Holdings (AFH) and Engility Holdings Inc (EGL) were two notable laggards. Workday (WDAY) and Incyte (INCY) were the biggest positive movers in the Nasdaq, while JD.com (JD) and Ulta Beauty (ULTA) were the biggest negative movers.

After Friday's rally, we are watching some of our A-Rated Laggards: 

Aflac Incorporated - 4.60% off its 52wkH, reports earnings on 04/25/2018

QuantShot: Campbell Soup Company - 29.90% off its 52wkH, reports earnings on 05/18/2018

Cognizant Technology Solutions Corporation - 3.00% off its 52wkH, reports earnings on 05/04/2018

Lear Corporation - 9.94% off its 52wkH, reports earnings on 04/27/2018

Target Corporation - 4.51% off its 52wkH, reports earnings on 03/06/2018

Union Pacific Corporation - 10.17% off its 52wkH, reports earnings on 04/19/2018

Our Top Picks in the News

Click headline for story

World Wrestling Entertainment (WWE)

WWE in deal to put 'Raw' on French sports channel (Seeking Alpha)
Top Conviction Buy in March, please see Quantamize Global Top Picks US Consumer Discretionary report

 

See more on our World Wrestling Entertainment QuantShot company report from February 12th

J.C. Penny (JCP)

J.C. Penney, Foot Locker Fumble Amid Retail Rebound (Barron's)
Top Conviction Short in March, please see Quantamize Global Top Picks US Consumer Discretionary report

Kohl's Corporation (KSS)

Kohl's Stock Is All Over The Place, Unlike The Fundamentals (Seeking Alpha)
Top Conviction Buy in March, please see Quantamize Global Top Picks US Consumer Discretionary report

 

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

Amazon.com (AMZN)

Are You Ready for an Amazon-Branded Checking Account? (Wall Street Journal)
Top Conviction Buy in March, please see Quantamize Global Top Picks US Consumer Discretionary report

 

See more on our Amazon QuantShot company report from March 2nd

Walmart (WMT)

Walmart Is Introducing Prepared Meals and Its Own Blue Apron-Like Kits Amid Grocery War With Amazon (Fortune)
Top Conviction Buy in March, please see Quantamize Global Top Picks US Large Cap report

 

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

Global Indices

Index

Levels

1 Day Return

5 Day Return

MTD

YTD

S&P 500

2,691.25

0.00%

-3.18%

-0.83%

0.66%

Russell 2000

1,533.17

0.00%

-1.68%

1.37%

-0.15%

DJ Industrial Average

24,538.06

0.00%

-4.56%

-1.96%

-0.73%

NASDAQ Composite Index

7,257.87

0.00%

-2.20%

-0.21%

5.13%

CBOE Market Volatility Index

20.56

-

-

-

-

Germany DAX (TR)

11,998.21

0.71%

-4.90%

-3.64%

-7.77%

France CAC 40

5,146.74

0.20%

-3.89%

-3.32%

-3.31%

Japan Nikkei 225

21,042.09

-0.66%

-4.39%

-4.65%

-6.95%

Hang Seng Index

29,886.39

-2.28%

-2.91%

-3.11%

2.22%

Hang Seng China Enterprises

11,991.79

-1.74%

-4.91%

-3.15%

4.22%

S&P ASX 200

5,895.00

-0.57%

-1.88%

-2.01%

-2.25%

Source: FactSet          

Large Cap Conviction Buy Movers

Large Cap A Winners Ticker Sector Industry 1 Day Return 5 Day Return YTD
Prestige Brands Holdings, Inc. PBH Healthcare Pharmaceuticals

5.01%

0.77%

-20.24%

Darden Restaurants, Inc. DRI Consumer Discretionary Restaurants

3.21%

0.13%

-0.57%

The Cooper Companies, Inc. COO Healthcare Healthcare Supplies

3.31%

1.67%

7.57%

Encompass Health Corporation EHC Healthcare Healthcare Facilities

2.40%

3.89%

11.48%

DENTSPLY SIRONA Inc. XRAY Healthcare Healthcare Supplies

3.02%

-1.23%

-13.47%

Large Cap A Losers Ticker Sector Industry 1 Day Return 5 Day Return YTD
Mohawk Industries, Inc. MHK Consumer Discretionary Home Furnishings

-1.88%

-5.90%

-1.38%

Caterpillar Inc. CAT Industrials Construction Machinery and Heavy Trucks

-2.56%

-9.87%

-5.34%

The Toro Company TTC Industrials Agricultural and Farm Machinery

-1.17%

-3.55%

-3.25%

ServiceMaster Global Holdings, Inc. SERV Consumer Discretionary Specialized Consumer Services

-0.89%

-7.57%

-2.32%

Liberty Broadband Corporation LBRD.K Consumer Discretionary Cable and Satellite

-1.19%

-6.08%

-1.95%

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

-2.97%

-9.51%

-7.85%

Uniti Group Inc. UNIT Real Estate Specialized REITs

-3.99%

-5.16%

-4.30%

PlayAGS, Inc. AGS Consumer Discretionary Casinos and Gaming

-0.70%

6.20%

2.61%

Charter Communications, Inc. CHTR Consumer Discretionary Cable and Satellite

-1.96%

-8.85%

-2.68%

Digital Realty Trust, Inc. DLR Real Estate Specialized REITs

-0.69%

-3.89%

-2.40%

Large Cap F Losers Ticker Sector Industry 1 Day Return 5 Day Return YTD
Nektar Therapeutics NKTR Healthcare Pharmaceuticals

21.67%

14.81%

72.25%

Ambarella, Inc. AMBA Information Technology Semiconductors

13.47%

5.99%

-11.80%

Puma Biotechnology, Inc. PBYI Healthcare Biotechnology

15.06%

4.10%

-28.12%

Southwestern Energy Company SWN Energy Oil and Gas Exploration and Production

20.49%

19.52%

-19.89%

Sarepta Therapeutics, Inc. SRPT Healthcare Biotechnology

9.42%

6.34%

22.14%

Source: Capital IQ            

Upcoming Earnings

Company Name Ticker Earnings Date
Entercom Communications Corp. Class A ETM 03/08/2018
National Beverage Corp. FIZZ 03/08/2018
Cooper Companies, Inc. COO 03/09/2018
Darden Restaurants, Inc. DRI 03/22/2018
MSC Industrial Direct Co., Inc. Class A MSM 04/10/2018

Line for QuantShots

Quantalytics Research is the trade name of Quantalytics Research, LLC.

Disclaimer

Quantalytics Research, LLC is not an investment adviser, brokerage firm, or investment company. Any data, information, or opinions presented by Quantalytics Research are for general information purposes only. Such data, information, or opinions are not an offer to sell or to buy, or a solicitation to buy or sell any securities. All investments and investment recommendations entail risks. Any forward looking estimates presented by Quantalytics Research through Quantalytics Edge may prove to be incorrect and not be realized. Any data, information, or opinions expressed in Quantalytics Research in any form may change without notice. Any data, information, or opinions in Quantalytics Research in any form attributed to a third party represent Quantalytics Research's interpretation of the data, information, or opinions provided by that third party either publicly or through a subscription service, and such use and interpretation have not been reviewed by the third party. The data, information and opinions presented have been obtained or derived from sources believed by Quantalytics Research in any form to be reliable. Quantalytics Research, doesn't make any representations as to their accuracy or completeness. Nothing discussed or presented in Quantalytics Research constitutes a representation that any investment, investment strategy, or recommendation is suitable or appropriate to an investor's individual circumstances or otherwise constitutes a personal recommendation. Data, information, or opinions contained in Quantalytics Research in any form give no consideration to any particular individuals' investment needs or objectives, nor do they consider any individuals' financial condition. Consequently, any such data, information, or opinions do not in any way represent a personal recommendation to any individual investor or any entities, whatever the type. Quantalytics Research does not accept any liability for any losses or damages arising from the use of the data, information, or opinions included in Quantalytics Research in any form. All investments involve risks of loss and potential permanent impairment of capital. Investors should diversify risks and exercise prudence and their own judgement in making their investment decisions. Quantalytics Research and any information contained therein is not intended for distribution to or use by any person, or entity, who is a citizen or resident of or located in any locality, state, country, or jurisdiction where such distribution, publication, availability or use would be contrary to law or regulation or cause Quantalytics Research, LLC to be required to register or be licensed within any such venues. All data, information, and opinions expressed in Quantalytics Research in any form are as of the date of publication and are subject to change. Quantalytics Research partners and employees may own or have positions in any investment(s) mentioned respectively therein or related thereto and may, from time to time add to, or dispose of, any such investment(s).