Morning Quant Ride Mar 13, 2018

Mar 13, 2018

Traders’ Corner

Asian & Australia Equities Recap

 

Asian markets finished the trading session mixed.  Japanese equities continued their rally with the Nikkei 225 +0.66% and the Topix +0.56%.  Utilities, tech and materials stocks were outperformers in Tokyo while energy stocks were the only sector negative.  The market impact of the Moritomo Scandal has been limited. 

Hong Kong equities closed positive with the Hang Seng +0.02% and the Hang Seng China Enterprise index +0.39% while mainland Chinese equities finished negative with the CSI 300 -0.88%.  The CCP unveiled a bureaucratic overhaul with the PBOC taking over some of the functions of China Banking Regulatory Commission and China insurance regulatory commission.  The consensus appears to be that that PBOC is gaining more power as President Xi Jingping continues to pursue his regulatory overhaul of the CCP’s bureaucracy. 

Indian equities finished mixed with the Sensex falling 0.18% while the Nifty 50 finished up 0.05%.   India’s February wholesale prices index was +2.50% vs, 2.84% for January , giving the Reserve Bank of India space to hold on raising rates.  Factory output for January expanded more than expected.

In the Land Down Under, Aussie equities finished negative with the ASX down 0.36%.  Consumer staples, real estate and utilities stocks were the only positive sectors while materials, telecom  and energy stocks were the largest underperformers.  The NAB index climbed to +21 in February from +18 in January. 

European Equities Recap

European equities are currently flat with a positive bias as the Euro Stoxx 600 is +0.16%.  Regional indices are mixed with the FTSE 100 -0.07%, DAX +0.02% and the CAC 40 +0.32%.  E&Ps, materials and autos & parts stocks are outperformers while media, personal & household and insurance stocks are the biggest laggards.  Volume traded across European exchanges remains healthy with total volume traded for the European composite +11.06% above its 10-day average.  In Italian politics, Giancarlo Giorgetti, the deputy leader of the La Lega, sees a more than 50% likelihood that there will be another round of parliamentary elections in Italy in CY2018.  European Central Bank (ECB) board member Phillip Lane cautioned attention to swings in the EUR€ as the ECB get closer to the end of its fiscal stimulus policy.

Rates & Commodities Recap

US bond yields are flat with the yield on the 10-year currently at 2.866%.  The US Dollar index (DXY) is +0.14% with weakness in JPY¥ driving the majority of the move in the USD$ this AM.  Commodities markets are mixed with energy and precious metals commodities down vs. positive moves in soft commodities like corn, wheat and soy. 

Cryptocurrencies Recap

Major cryptocurrencies are selling off this morning.  Coinbase released a cryptocurrency tax calculator that can be used to generate a report to outline capital gains/losses by its users.  SCB, one of the largest Thai Banks, is extending its cross-border Ripple remittance system to EUR€ and GBP£.  Mariya Gabriel, European Commissioner for Digital Economy and Society, says the EU can’t ban Bitcoin mining over energy concerns.  The Chinese IT Ministry announced it will create official Blockchain standards to boost the development of blockchain and distributed ledger technology in China. 

US Markets Pre-Market Preview & Recap

US equity futures are pointing to a positive open in NY ahead of the February CPI report.  One month Volatility on index options remains slightly elevated, roughly 1 standard deviation above their 1-year averages, though the overall trends remains downwards.  Skew has re-priced from rich levels last week and is currently fairly priced. 

US Equity Markets were mixed yesterday. Small-Cap stocks outperformed Large-Caps with the Russell 2000 up 0.25%, and the S&P 500 falling 0.13%. Industrials, Healthcare, and Financials were the biggest laggards in the S&P 500, while Real Estate, Utilities, and Tech outperformed. The Nasdaq outperformed the S&P 500 Tech sector, returning 0.36% and 0.30% respectively.   Market breadth for the S&P 500 was negative with 290 stocks declining while 209 stocks advancing.  The Put-Call ratio on S&P 500 options closed at 0.57, implying investor sentiment may not have been too negative.

We are watching these A-rated laggards from yesterday’s market action:

Allison Transmission Holdings, Inc. - 15.93% off its 52wkH, reports earnings on 04/25/2018

Cognizant Technology Solutions Corporation - 1.04% off its 52wkH, reports earnings on 05/04/2018

CVS Health Corporation - 17.85% off its 52wkH, reports earnings on 05/02/2018

DXC Technology Company - 0.98% off its 52wkH, reports earnings on 05/22/2018

Lear Corporation - 6.40% off its 52wkH, reports earnings on 04/24/2018

United Rentals, Inc. - 1.55% off its 52wkH, reports earnings on 04/20/2018

Our Top Picks in the News

Click headline for story

Tencent (TCEHY)

Tencent video unit buys stake in Chinese production house for $524mn (Nikkei Asian Review)
Top Conviction Buy in March, please see Quantamize Global Top Picks Investable China report

Kraft Heinz (KHC)

Can Kraft Heinz Reinvent Breakfast With This "Big Bet"? (Fox Business)
Top Conviction Buy in March, please see Quantamize Global Top Picks US Consumer Staples report

Wynn Resorts (WYNN)

Stocks With Rising Relative Price Strength: Wynn Resorts (Investor's Business Daily)
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

Pfizer Inc (PFE)

Pfizer: All Of A Sudden Looking Cheap? (Seeking Alpha)
Top Conviction Buy in March, please see Quantamize Global Top Picks US Large Cap report

 

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

Lockheed Martin (LMT)

Lockheed Martin, 2 local firms score $61M in defense contracts (Orlando Business Journal)
Top Conviction Buy in March, please see Quantamize Global Top Picks US Large Cap report

Amazon (AMZN)

Amazon Turbocharged Audible’s Domination of Audiobooks (Bloomberg)
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

Large Cap Conviction Buy Movers

Large Cap A Winners Ticker Sector Industry 1 Day Return  5 Day Return YTD
Liberty Broadband Corporation LBRD.K Consumer Discretionary Cable and Satellite

3.44%

5.48%

8.76%

Copart, Inc. CPRT Industrials Diversified Support Services

2.00%

3.19%

18.34%

Time Warner Inc. TWX Consumer Discretionary Movies and Entertainment

1.56%

1.84%

5.77%

AmerisourceBergen Corporation ABC Healthcare Healthcare Distributors

1.30%

4.91%

9.22%

DENTSPLY SIRONA Inc. XRAY Healthcare Healthcare Supplies

1.30%

3.53%

-11.26%

Large Cap A Losers Ticker Sector Industry 1 Day Return  5 Day Return YTD
The Cooper Companies, Inc. COO Healthcare Healthcare Supplies

-4.17%

-2.14%

4.52%

Cigna Corporation CI Healthcare Managed Healthcare

-3.49%

-13.87%

-14.59%

Federated Investors, Inc. FII Financials Asset Management and Custody Banks

-2.38%

0.24%

4.49%

Caterpillar Inc. CAT Industrials Construction Machinery and Heavy Trucks

-2.37%

1.97%

-0.08%

Huntington Ingalls Industries, Inc. HII Industrials Aerospace and Defense

-2.22%

-0.54%

-1.47%

Source: S&P Capital IQ            

Large Cap Conviction Short Movers

Large Cap F Winners Ticker Sector Industry 1 Day Return 5 Day Return YTD
Editas Medicine, Inc. EDIT Healthcare Biotechnology

-5.24%

-1.21%

14.00%

Nektar Therapeutics NKTR Healthcare Pharmaceuticals

-4.86%

1.75%

19.07%

PBF Energy Inc. PBF Energy Oil and Gas Refining and Marketing

-4.14%

-3.63%

4.30%

Dynavax Technologies Corporation DVAX Healthcare Biotechnology

-3.99%

-4.26%

4.33%

HubSpot, Inc. HUBS Information Technology Application Software

-3.49%

-3.08%

4.73%

Large Cap F Losers Ticker Sector Industry 1 Day Return 5 Day Return YTD
Longfin Corp. LFIN Financials Financial Exchanges and Data

13.30%

12.44%

-30.02%

Alnylam Pharmaceuticals, Inc. ALNY Healthcare Biotechnology

6.78%

14.56%

11.80%

Sarepta Therapeutics, Inc. SRPT Healthcare Biotechnology

6.37%

6.42%

42.16%

Esperion Therapeutics, Inc. ESPR Healthcare Biotechnology

6.36%

4.93%

21.58%

Etsy, Inc. ETSY Information Technology Internet Software and Services

5.88%

7.05%

36.58%

Source: S&P 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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