Morning Quant Ride Mar 14, 2018

Mar 14, 2018

Traders’ Corner

Asian & Australia Equities Recap

Asian markets closed down across the board, continuing the sell-off that occurred in US equities.  In Japan, the Nikkei 225 and Topix were both down 0.87% and 0.45% respectively.  All sectors were negative with materials, consumer discretionary and tech stocks the worst performers.  The sell-off in Japanese equities had a risk-off feel with consumer staples, real estate and utilities the larges outperformers.  Finance Minister Taro Aso announced on Tuesday that he will cooperate with the ongoing investigation into the altered documents related to Moritomo Gakuen.  He remains under political pressure to resign.  The minutes of the January Bank of Japan (BOJ) meeting suggests that board members are sensitive to US policy normalization and stressed the importance of direct market communication/management by the BOJ.Chinese equities finished negative with the Hang Seng -0.53%, Hang Seng China Enterprise index -0.49% and CSI 300 -0.44%.  Consumer discretionary, financials and industrials stocks were the biggest laggards with utilities, energy and real estate the largest outperformers.  After the announcement by the White House that CIA Director Mike Pompeo (who shares similar protectionist views to President Donald Trump) is the nominee to replace Rex Tillerson as Secretary of State, investor concerns about a global trade war weighed on investor sentiment with the threat that the US will apply tariffs on US goods.  The China Statistics bureau expressed full confidence in meeting the CCP’s Real GDP growth target of ~6.5% for CY2018.  Industrial production (IP) from February was +7.2% vs. consensus +6.2%.  The positive surprise in February IP caused Chinese/Hong Kong stocks to bounce off their intraday lows this morning.Indian equities finished in the red with the Sensex down 0.18% and the Nifty Fifty down 0.15%.  The S&P BSE Bank index, an index of the 10 largest banks in Indian, climbed 0.6%; financials were the best performing sector in Indian equities.  The positive move in Indian banks was in spite of the Reserve Bank India rule change to avoid future problems of fraud in the banking system was expected to hurt National banks because of their higher exposure to trade financing.In the Land Down Under, Aussie equities were down in sympathy with Japanese and Chinese/Hong Kong equity markets.  The ASX 200 closed -0.66% with telecom, real estate and financials stocks leading the move downward.  Materials, tech and utilities stocks were the largest outperformers.  Volume traded in Sydney continues to pick up with the total volume traded 14.7% above its 10-day average.  RBA Assistant Governor Christopher Kent highlighted that residential mortgage-backed security issuances climbed to their highest level since the global financial crisis in CY2017.

European Equities Recap

European equities, in aggregate, modestly positive with the Euro Stoxx 600 +0.32%.  Major regional indices are all trending upwards with the FTSE 100 +0.30%, DAX +0.38% and the CAC 40 +0.36%.  Materials, insurance and personal & household goods stocks are the biggest outperformers across European exchanges while chemicals, banks and retail stocks are the largest underperformers.  Germany February CPI was +1.4% Y/Y vs. a preliminary measure of +1.4%.  In Italy, the center-right La Lega has agreed to talk with the anti-establishment Five Star Movement about establishing a coalition government.  Italian equities don’t appear to be reacting to this news with the FTSE MIB +0.20%.European options remain fairly valued with implied volatility on Euro Stoxx 50 options fairly priced.

Rates & Commodities Recap

The big news this morning in rates is the flattening of the US yield curve.  The 2s-10s is currently at 58 bps compared to a range of 63 to 64 bps last week.  The yield on the 10-yr has dropped to 2.848% after fliring with 2.90% for the last 5 trading days.  The US Dollar index is up 9 bps this morning with USD$ strength against the JPY¥, GBP£ and ZAR$ offsetting USD$ weakness against the EUR€.  Commodities markets are up in aggregate with crude oil and PGMs leading the move upwards.  The move in Platinum (+0.67%) and Palladium (+1.29%) is notable given the fact that Gold Spot is flat this AM.  WTI continues to hold above the USD$60/barrel psychological level, currently at USD$61.15.

Cryptocurrencies Recap

Major cryptocurrencies are down across the board.  Notably, Bitcoin is slumping to a one-month low after Google announced a plan to bad ads for ICO and digital currency trading platforms.  Bitcoin, currently, is trading ~USD$8,788.  Binance announced it is developing a public blockchain to create a new decentralized exchange.  Circle is rolling out a cryptocurrency investment app in 46 US States; the app charges no commissions and has no minimum investment. The Circle app will allow users to trade Bitcoin, Etherueum, Bitcoin Cash, Ethereum Classic and Litecoin with more coins in the future

US Markets Pre-Market Preview & Recap

US equity futures are pointing to a positive open in NY this morning.  Even after yesterday’s negative move in US equities, 1-month implied volatility remains fairly valued across all major US indices.  Skew continues to trend above 1-year averages, suggesting investors continue to buy puts.  This would imply investors remain cautious towards the prospects of US equities in general.

US Markets Recap

US equity markets moved collectively lower yesterday. Sentiment driving news from the region included CPI data for the month of February being in line with consensus estimates of 0.2%, as well as the rejection of Broadcom's acquisition of Qualcomm. Market breadth was negative with 143 net declines. The put/call ratio for the S&P 500 was 1.365, indicating negative investor sentiment in options markets as well.The S&P was down 0.64%, led lower by information technology stocks which declined 1.21%. Tech stocks were the largest underperforming sector, curtailing 7 consecutive sessions of positive trading. Financials also slid 1.09%, with bank stocks exhibiting share-price weakness. Consumer discretionary stocks, as a whole, dipped 0.69% lower as media stocks weighed on the sector, while retail stocks were the best performing group in the consumer discretionary sectors. Utilities stocks +0.21% and real estate stocks +0.26% were the best performing sectors. Increasing strength in the home building industry has been a boon to real estate equities. Industrials, as a sector, were a strong performer largely due to higher returns in the airline industry.The Russell 2000 ended yesterday's session down 0.56% with healthcare stocks the largest underperformers, falling 1.03%. Small-cap technology stocks fell 0.98%, in-line with the decline in the large-cap S&P technology index. Energy equities struggled as well, retreating 0.94%. Oil-service industry stocks were generally lower contributing to the fall. Consumer staples +0.08%, durable goods +0.15%, and materials +0.17% were the best performers within the Russell 2000.

Market Movers

  • DSW +10.7%
  • MDC +5.0%
  • M +3.7%
  • UNH +1.87%
  • KSS +1.71%
  • FDX +1.72
Market Laggards
  • TLYS -17.5%
  • X -7.6%
  • GE -4.4%
  • QCOM -5.0%
  • UAA -4.33%
  • MAT -3.47%

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

Berkshire Hathaway Inc. - 2.67% off its 52wkH, reports earnings on 05/01/2018

QuantShot: Comcast Corporation - 16.00% off its 52wkH, reports earnings on 04/26/2018

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

Eaton Vance Corp. - 5.10% off its 52wkH, reports earnings on 05/23/2018

Ennis, Inc. - 4.65% off its 52wkH, reports earnings on 04/23/2018

ON Semiconductor Corporation - 0.09% off its 52wkH, reports earnings on 05/08/2018

Quest Diagnostics Incorporated - 6.52% off its 52wkH, reports earnings on 04/19/2018

Rudolph Technologies, Inc. - 0.33% off its 52wkH, reports earnings on 04/27/2018

Our Top Picks in the News

Click headline for story

Alibaba (BABA)

China: Big Companies Are Gobbling Up Offline Shoppers (Barron's)
Top Conviction Buy in March, please see Quantamize Global Top Picks Investable China report

See more on our Alibaba QuantShot company report from December 5th

Amazon (AMZN)

Amazon Considered Buying Texture Before Apple Deal (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

AT&T Inc (T)

T-Mobile: The Best Bet in Telecom? (Barron's)
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

CVS Health Corp (CVS)

Stockholders Approve CVS Health's Acquisition of Aetna (WSJ)
Top Conviction Buy in March, please see Quantamize Global Top Picks US Consumer Staples report

General Mills (GIS)

General Mills: It's About Time (Seeking Alpha)
Top Conviction Buy in March, please see Quantamize Global Top Picks US Consumer Staples report

Walmart Inc (WMT)

Walmart set to be largest shareholder in Flipkart, Economic Times reports (TheFly)
Top Conviction Buy in March, please see Quantamize Global Top Picks US Consumer Staples report

See more on our  Walmart QuantShot company report from March 9th

Wynn Resorts (WYNN)

Wynn Resorts Drops Litigation Against Former Largest Shareholder Kazuo Okada (WSJ)
Top Conviction Buy in March, please see Quantamize Global Top Picks US Consumer Discretionary report

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

Large-Cap Conviction Buy Movers

Large Cap A Winners Ticker Sector Industry 1 Day Return 5 Day Return YTD
UnitedHealth Group Incorporated UNH Healthcare Managed Healthcare

1.87%

0.98%

2.94%

National Beverage Corp. FIZZ Consumer Staples Soft Drinks

1.84%

-5.71%

-4.46%

The Allstate Corporation ALL Financials Property and Casualty Insurance

1.64%

2.21%

-7.93%

First American Financial Corporation FAF Financials Property and Casualty Insurance

1.41%

3.22%

6.37%

AbbVie Inc. ABBV Healthcare Biotechnology

1.23%

2.34%

23.82%

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

-2.61%

1.99%

2.64%

Alliance Data Systems Corporation ADS Information Technology Data Processing and Outsourced Services

-2.28%

-1.50%

-3.46%

Cigna Corporation CI Healthcare Managed Healthcare

-1.59%

-4.02%

-14.62%

The Cooper Companies, Inc. COO Healthcare Healthcare Supplies

-1.70%

-4.71%

2.75%

MSCI Inc. MSCI Financials Financial Exchanges and Data

-1.56%

0.70%

7.15%

Source: S&P Capital IQ            

Large-Cap Conviction Short Movers

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

-7.52%

2.47%

8.67%

Puma Biotechnology, Inc. PBYI Healthcare Biotechnology

-7.11%

-8.72%

12.93%

MACOM Technology Solutions Holdings, Inc. MTSI Information Technology Semiconductors

-6.24%

-1.77%

4.12%

CNX Resources Corporation CNX Energy Oil and Gas Exploration and Production

-5.08%

-9.22%

1.12%

QUALCOMM Incorporated QCOM Information Technology Semiconductors

-4.95%

-3.43%

-8.15%

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

8.38%

21.90%

-24.16%

Southwestern Energy Company SWN Energy Oil and Gas Exploration and Production

3.91%

5.85%

-19.00%

Nutanix, Inc. NTNX Information Technology Internet Software and Services

3.03%

14.51%

50.34%

Loxo Oncology, Inc. LOXO Healthcare Biotechnology

3.00%

2.42%

57.84%

Sarepta Therapeutics, Inc. SRPT Healthcare Biotechnology

2.28%

8.47%

45.40%

Source: S&P Capital IQ            

Upcoming Earnings & Events

Company Name Ticker Earnings Date Event Type
Darden Restaurants, Inc. DRI

3/21/2018

Earnings Release Date
MSC Industrial Direct Co., Inc. MSM

4/9/2018

Estimated Earnings Release Date (S&P Global Derived)
Celanese Corporation CE

4/15/2018

Estimated Earnings Release Date (S&P Global Derived)
J.B. Hunt Transport Services, Inc. JBHT

4/15/2018

Estimated Earnings Release Date (S&P Global Derived)
UnitedHealth Group Incorporated UNH

4/15/2018

Estimated Earnings Release Date (S&P Global Derived)
Comerica Incorporated CMA

4/17/2018

Earnings Release Date
M&T Bank Corporation MTB

4/17/2018

Estimated Earnings Release Date (S&P Global Derived)
Quest Diagnostics Incorporated DGX

4/18/2018

Estimated Earnings Release Date (S&P Global Derived)
BB&T Corporation BBT

4/19/2018

Earnings Release Date
AT&T Inc. T

4/19/2018

Estimated Earnings Release Date (S&P Global Derived)
Caterpillar Inc. CAT

4/19/2018

Estimated Earnings Release Date (S&P Global Derived)
Gentex Corporation GNTX

4/19/2018

Estimated Earnings Release Date (S&P Global Derived)
IDEX Corporation IEX

4/19/2018

Estimated Earnings Release Date (S&P Global Derived)
Kansas City Southern KSU

4/19/2018

Estimated Earnings Release Date (S&P Global Derived)
Lockheed Martin Corporation LMT

4/19/2018

Estimated Earnings Release Date (S&P Global Derived)
Norfolk Southern Corporation NSC

4/19/2018

Estimated Earnings Release Date (S&P Global Derived)

Line for QuantShots

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