Morning Quant Ride Mar 12, 2018

Mar 12, 2018

Traders’ Corner

Asian & Australia Equities Recap

 

Asian markets finished up across the board, continuing the rally in equities markets which began with US equities this past Friday.  In Japan, the Nikkei 225 and Topix finished up 1.65% and 1.51% respectively.  All sectors of the Nikkei finished up with energy, industrials and tech stocks the largest outperformers.  Volume traded in Tokyo was tepid with total shares traded ~9.45% below its 10-year average.

In China/Hong Kong, the Hang Seng closed the trading sessions +1.93% while the Hang Seng China Enterprise index was +2.14% and the CSI 300 +0.46%.  All sectors of the Hang Seng finished up with consumer discretionary, tech and financial stocks the larger outperformers.  Utilities and consumer staples stocks were the largest laggards.  Similar to Japan, volume in Hong Kong was anemic with total volume traded 20.46% below its 10-year average.  In contrast, volume in mainland China was relatively strong with volume traded at the Shanghai Stock Exchange +21.80% above its 10-day average.

Indian stocks closed positive with the Senses finished +1.83%.  The rebound in global equities was a relief for Indian equities as concerns about a global trade war and the impact of an expanding investigation into a USD$2bn fraud at state-run banks has weighed on investment sentiment.

In the Land Down Under, Aussies stocks finished positive in sympathy with Chinese stocks  The ASX 200 closed +0.55% with energy, materials and healthcare stocks the biggest outperformers.  Real estate, consumer discretionary and consumer staples were the only sectors negative in Sydney.

European Equities Recap

Continuing the rally in global equity markets, European equities, in aggregate, are up this morning with the Euro Stoxx +0.30%.  Regional indices are mixed with a positive bias: FTSE 100 -0.50%, DAX +0.61%, and CAC 40 +0.23%.  Utilities, insurance and chemicals stocks are the largest outperformed E&Ps, personal & household goods, and materials are the largest laggards.  Optimism about global growth appears to be driving positive investor sentiment and is overshadowing concerns about a global trade war.

Rates & Commodities Recap

US bond yields are continuing Friday’s positive move with the yield on the 10-year inching up towards 2.90%.  In comparison, the 10-year fixed swap rate is currently at 2.915%.  The USD$ is relatively flat this morning with the US Dollar index +0.08%.  Both the JPY¥ and EUR€ are nominally down this morning; strength in the AUD$ is in sympathy with a rally in Chinese equities.  Outside of a rally in copper and aluminum, commodities markets are negative.  WTI remains above the USD$60/barrel psychological level though it is off 0.37% and is currently at USD$61.81/barrel.  Precious metals, in aggregate, are down with a negative move in Gold spot tracking weakness in the JPY¥.

Cryptocurrencies Recap

Major cryptocurrencies are rallying this morning following price weakness last week.  The European cryptocurrency exchange Bitpanda GmbH has come out saying it believes that cryptocurrency transactions above EUR€10,000 should be subject to anti-money laundering rules.  Thomson Reuters announced it will track and analyze chatter about Bitcoin to generate a sentiment indicator.  The company will scan over 400 websites to capture investment sentiment and themes.  Korn Chatikavanij, Chairman of The Thai Fintech Association, a start-up accelerator, said in an interview last week that his organization supports the Thailand Securities and Exchange Commission's plan to introduce dedicated rules for activities around the tech.

US Markets Pre-Market Preview & Recap

US equity futures are pointing to a positive open in NY this morning.  The VIX is currently below 16.  Implied volatility on US index options continues to mean-revert downward; in constrast to last week, Skew has begun to mean-revert and is currently, more or less fairly valued.

US Equity Markets were higher on Friday following the jobs report. Large-cap stocks outperformed small-caps, with the S&P 500 up 1.74%, and the Russell 2000 up 1.60%. The S&P 500 was led higher by Financials, Industrials, and Tech stocks, while Telecom was the only negative sector. The S&P 500 Tech sector outperformed the Nasdaq, returning +2.03 % and +1.79%, respectively.   Market breadth was positive with advances outpacing declines.  The US composite put/call ratio was below 1.0, which also emphasizes the positive market sentiment last Friday.

Lam Research (LRCX), Wynn Resorts (WYNN), and Kroger (KR) were the biggest gainers in the S&P 500 yesterday, while Mattel (MAT), SCANA Corp. (SCG), and Kimco Realty Corp (KIM) were the biggest laggards. Spark Energy (SPKE) and Coherus Biosciences (CHRS) were two of the most notable gainers on the Russell 2000, while Big Lots (BIG) and Collegium Pharmaceuticals (COLL) were two notable laggards. Lam Research (LRCX) and Wynn Resorts (WYNN) were the biggest positive movers in the Nasdaq 100, while Hasbro (HAS) and DISH Network (DISH) were the biggest negative movers.

This morning we are watching a few of our A-Rated stocks that lagged the market on Friday:

AT&T Inc. - 13.23% off its 52wkH, reports earnings on 04/26/2018

Gentex Corporation - 3.41% off its 52wkH, reports earnings on 04/25/2018

Huntington Ingalls Industries, Inc. - 4.58% off its 52wkH, reports earnings on 05/03/2018

QuantShot: Pfizer Inc. - 6.75% off its 52wkH, reports earnings on 05/01/2018

QuantShot: Target Corporation - 10.43% off its 52wkH, reports earnings on 05/16/2018

The J. M. Smucker Company - 7.49% off its 52wkH, reports earnings on 06/07/2018

Time Warner Inc. - 8.32% off its 52wkH, reports earnings on 05/02/2018

Our Top Picks in the News

Click headline for story

AT&T Inc (T)

AT&T: Cheap For A Reason (Seeking Alpha)
Top Conviction Buy in March, please see Quantamize Global Top Picks US Large Cap report

 

See more on our AT&T QuantShot company report from September 12th

Campbell Soup (CPB)

Campbell Soup shares could be a bargain after decline: Barron's (Reuters)
Top Conviction Buy in March, please see Quantamize Global Top Picks US Consumer Staples report

 

See more on our Campbell QuantShot company report from February 9th

First Data Corp (FDC)

First Data Signs Deal With India's RBL Bank To Provide Card Processing Services (Nasdaq)
Top Conviction Buy in March, please see Quantamize Global Top Picks US Tech report

Roper Technology (ROP)

Roper Technologies Announces Dividend (Roper Investor Relations) 
Top Conviction Buy in March, please see Quantamize Global Top Picks US Large Cap report

 

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

Wynn Resorts (WYNN)

Wynn: The $2.6b Settlement Of The Okada Case Sets The Tabs For Another Big Runway Ahead (Seeking Alpha)
Top Conviction Buy in March, please see Quantamize Global Top Picks US Consumer Discretionary report

 

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

Conagra Brands (CAG)

Conagra Brands: Good Buy Vs. Good Long-Term Holding (Seeking Alpha)
Top Conviction Buy in March, please see Quantamize Global Top Picks US Consumer Staples report

 

See more on our Conagra QuantShot company report from February 7th

Amazon.com (AMZN)

Amazon’s Expanding Grocery Delivery Is Opening Salvo: Report (Barron's)
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

Mattel (MAT)

The Biggest Loser: Mattel Drops 7.1% (Barron's)
Top Conviction Short in March, please see Quantamize Global Top Picks US Consumer Discretionary report

 

See more on our Mattel QuantShot company report from February 9th

Kohl's Corporation (KSS)

Kohl’s: Registering a Bullish View (Barron's)
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

Global Indices

Index

Levels

1 Day Return

5 Day Return

MTD

YTD

S&P 500

2,786.57

0.00%

2.41%

2.68%

4.22%

Russell 2000

1,597.14

0.00%

3.30%

5.60%

4.01%

DJ Industrial Average

25,335.74

0.00%

1.85%

1.22%

2.49%

NASDAQ Composite Index

7,560.81

0.00%

3.14%

3.96%

9.52%

CBOE Market Volatility Index

15.45

-

-

-

-

Germany DAX (TR)

12,422.18

0.61%

2.12%

-0.14%

-4.42%

France CAC 40

5,287.88

0.26%

2.07%

-0.65%

-0.72%

Japan Nikkei 225

21,824.03

1.65%

2.03%

-1.11%

-5.69%

Hang Seng Index

31,594.33

1.93%

3.71%

2.43%

3.60%

Hang Seng China Enterprises

12,697.31

2.14%

3.66%

2.55%

6.17%

S&P ASX 200

5,996.10

0.55%

1.16%

-0.33%

-1.68%

Source: FactSet          

Large Cap Conviction Buy Movers

Large Cap A Winners Ticker Sector Industry 1 Day Return 5 Day Return YTD
Union Pacific Corporation UNP Industrials Railroads

3.78%

6.83%

2.37%

Berkshire Hathaway Inc. BRK.B Financials Multi-Sector Holdings

3.73%

5.76%

7.43%

Arthur J. Gallagher & Co. AJG Financials Insurance Brokers

3.68%

5.78%

14.78%

Norfolk Southern Corporation NSC Industrials Railroads

3.62%

4.95%

0.43%

Domino's Pizza, Inc. DPZ Consumer Discretionary Restaurants

3.36%

3.21%

21.86%

Large Cap A Losers Ticker Sector Industry 1 Day Return 5 Day Return YTD
National Beverage Corp. FIZZ Consumer Staples Soft Drinks

-8.23%

-5.67%

-7.49%

Lockheed Martin Corporation LMT Industrials Aerospace and Defense

-0.38%

-0.36%

-3.39%

AT&T Inc. T Telecommunication Services Integrated Telecommunication Services

-0.15%

1.75%

1.88%

SS&C Technologies Holdings, Inc. SSNC Information Technology Application Software

0.02%

3.40%

4.89%

Post Holdings, Inc. POST Consumer Staples Packaged Foods and Meats

0.09%

4.12%

6.68%

Source: Capital IQ            

Large Cap Conviction Short Movers

Large Cap F Winners Ticker Sector Industry 1 Day Return  5 Day Return YTD
Mattel, Inc. MAT Consumer Discretionary Leisure Products

-7.11%

-10.47%

-6.70%

Kimco Realty Corporation KIM Real Estate Retail REITs

-4.36%

-5.30%

-3.21%

GoPro, Inc. GPRO Consumer Discretionary Consumer Electronics

-4.01%

-0.90%

2.42%

Riot Blockchain, Inc. RIOT Healthcare Biotechnology

-3.45%

-12.67%

-12.67%

Dynavax Technologies Corporation DVAX Healthcare Biotechnology

-2.50%

6.04%

8.67%

Large Cap F Losers Ticker Sector Industry 1 Day Return  5 Day Return YTD
Adamas Pharmaceuticals, Inc. ADMS Healthcare Biotechnology

6.79%

13.62%

-18.29%

Whiting Petroleum Corporation WLL Energy Oil and Gas Exploration and Production

6.12%

3.18%

12.58%

Nutanix, Inc. NTNX Information Technology Internet Software and Services

5.99%

26.31%

39.16%

Etsy, Inc. ETSY Information Technology Internet Software and Services

5.88%

8.63%

36.58%

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

5.67%

14.37%

2.49%

Source: Capital IQ            

Upcoming Earnings

Company Name Ticker Earnings Date
Darden Restaurants, Inc. DRI 03/22/2018
MSC Industrial Direct Co., Inc. Class A MSM 04/10/2018
J.B. Hunt Transport Services, Inc. JBHT 04/16/2018
M&T Bank Corporation MTB 04/16/2018
Celanese Corporation Class A CE 04/17/2018
Comerica Incorporated CMA 04/17/2018
Quest Diagnostics Incorporated DGX 04/18/2018
United Rentals, Inc. URI 04/18/2018
Alliance Data Systems Corporation ADS 04/19/2018
BB&T Corporation BBT 04/19/2018
SEI Investments Company SEIC 04/19/2018
Union Pacific Corporation UNP 04/19/2018
UnitedHealth Group Incorporated UNH 04/19/2018
Kansas City Southern KSU 04/20/2018
Visa Inc. Class A V 04/20/2018

Line for QuantShots

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