Q1 Securities Finance Quarterly Review


This post is by Sam Pierson from Data Explorers Research and News


Click here to view on the original site: Original Post




Welcome to the Securities Finance Review for Q1 2019. Two
commentary features from the review are excerpted below. The full
report is available for download via the link at the bottom of this
page. Feedback is welcome and appreciated, please direct to msf-media@ihsmarkit.com

Q1 Revenue Update

  • Lending revenues improve 3% compared with Q4 2018
  • Government bond balances and revenues decline
  • EUR denominated corporate bonds in demand
  • Asia remains bright spot for equity lending, particularly Japan
    & South Korea

Global securities lending revenues for Q1 2019 came in at
$2.4bn; 10 percent lower than Q1 2018, and 3% higher than Q4 2018.
Equity lenders have seen a lack of special balances, while there
has been some marginal cooling in previously hot market segments,
including: government bonds, corporate bonds and ETFs. The revenues
are within the range of the preceding four quarters, however the
breakdown of returns continues to evolve

Continue reading “Q1 Securities Finance Quarterly Review”

Global economy gains momentum for second month running in March but manufacturing malaise deepens


This post is by Chris Williamson from Data Explorers Research and News


Click here to view on the original site: Original Post




The following is an extract from IHS Markit's monthly PMI
overview presentation. For the full report please click on the link
at the bottom of the article.

Global economy gains momentum but sentiment grows
gloomier

The pace of global economic growth picked up again in March from
a near two-and-a-half year low seen at the start of the year, but
remained among the weakest since 2016. At 52.8 in March compared to
52.6 in February, the JPMorgan Global PMI, compiled by IHS Markit,
rose for a second successive month to signal the strongest
expansion of global output since November. The first quarter
average PMI reading is indicative of worldwide GDP rising at an
annual pace of just over 2% (at market prices).

Business sentiment meanwhile sank lower, however, casting doubt
over whether the current improvement in growth momentum can be
sustained. The current level of business confidence is

Continue reading “Global economy gains momentum for second month running in March but manufacturing malaise deepens”

March 2019 Model Performance Report


This post is by Data Explorers Research and News from Data Explorers Research and News


Click here to view on the original site: Original Post




  • US: Within the US Large Cap universe the Price
    Momentum model had the strongest one month decile return spread
    performance returning 0.82% during the month while the rest of the
    models lagged, especially Relative Value. Over the US Small Cap
    universe our Price Momentum model had the strongest one month
    decile return spread performance, returning 2.46%, while the
    Relative Value model lagged.
  • Developed Europe: Within the Developed Europe
    universe our Price Momentum model was the top performer on a one
    month decile return spread basis, returning 5.05%, while the Deep
    Value model trailed.
  • Developed Pacific: Over the Developed Pacific
    universe, the Price Momentum model had the strongest one month
    decile return spread performance, returning 3.72%, while the Value
    Momentum model lagged. The Deep Value model's one year cumulative
    performance is currently 17.39%.
  • Emerging Markets: Within the Emerging Markets
    universe our models struggled. The Price Momentum

    Continue reading “March 2019 Model Performance Report”

The next catalyst


This post is by Data Explorers Research and News from Data Explorers Research and News


Click here to view on the original site: Original Post




Research Signals – March 2019

Stocks strengthened worldwide as global equities posted their
strongest quarter in several years, supporting high momentum
strategies at the expense of valuation (Table 1). Investors put
their hopes on China and the US reigniting the lackluster global
manufacturing economy, despite the global manufacturing sector's
unchanged J.P.Morgan Global Manufacturing PMI reading from
February's 32-month low. However, if progress on the long-running
trade dispute between the US and China has already been priced into
the market, what will the next catalyst be to sustain momentum in
equity markets?

  • US: Top performing factors among large caps captured a blend of
    low risk and high momentum, as represented by 60-Month Beta and
    Rational Decay Alpha, respectively
  • Developed Europe: Investors favored stocks with strong momentum
    and avoided firms with weak revisions, as captured by
    Industry-adjusted 12-month Relative Price Strength and 3-M Revision
    in FY2 EPS Forecasts, respectively
  • Developed

    Continue reading “The next catalyst”

Securities Lending Q1 Update


This post is by Sam Pierson from Data Explorers Research and News


Click here to view on the original site: Original Post




  • Lending revenues improve 3% compared with Q4 2018
  • Government bond balances and revenues decline
  • EUR denominated corporate bonds in demand
  • Asia remains bright spot for equity lending, particularly Japan
    & South Korea

Global securities lending revenues for Q1 2019 came in at
$2.4bn, 10% lower than Q1 2018. The good news is that the Q1
revenue also reflects 3% sequential improvement compared with Q4
2018. Equity lenders have seen a lack of specials balances, while
there has been some marginal cooling in previously hot market
segments including government bonds, corporate bonds and ETFs. The
revenues are within the range of the preceding four quarters,
however the breakdown of returns continues to evolve with changing
needs of market participants.

Lending of government bonds, particularly US Treasuries, has
taken on an increased significance in recent years. The demand
driver has largely been the collateral needs of broker-dealers in
relation to regulatory

Continue reading “Securities Lending Q1 Update”

Overstock.com: Lendable shares in short supply


This post is by Sam Pierson from Data Explorers Research and News


Click here to view on the original site: Original Post




  • New borrows most expensive on record
  • Re-rates driving up borrow costs for existing short positions
  • Share price 75% below all-time high observed Jan 5th 2018

Overstock.com announced last Friday that it will report Q4 2018 earnings before markets open on March 18th. The current short interest is at the highest level recorded in terms of shares (16.7m), which equates to 68.7% of the free float. It is also the 4th most expensive US equity to borrow with at least $25m on loan. The shares are trading 75% below the all-time high of $86.9 per share, however the current share price $22 reflects a 70% rally from the 2018 low on Dec 13th. Bears may have gotten the better of the bulls over the last year, however short positions have been put under pressure by the rise in borrow costs along with the rally in share

Continue reading “Overstock.com: Lendable shares in short supply”

February 2019 Model Performance Report


This post is by Data Explorers Research and News from Data Explorers Research and News


Click here to view on the original site: Original Post




  • US: Within the US Large Cap universe the
    Historical Growth model had the strongest one month decile return
    spread performance returning 3.15% during the month while the Deep
    Value model lagged. The performance of our models over the US Small
    Cap universe was weak with the Earnings Momentum returning only
    1.39%.
  • Developed Europe: The models over the
    Developed Europe universe struggled during the month. The poor
    performance of the models was driven by the long portfolios.
  • Developed Pacific: Our models struggled over
    the Developed Pacific universe during the month, with Earnings
    Momentum returning only 0.89%. The Deep Value model's one year
    cumulative performance is currently 14.08%.
  • Emerging Markets: Within the Emerging Markets
    universe our Earnings Momentum model had the strongest one month
    decile return spread performance, returning 0.92%. The Price
    Momentum model's one year cumulative performance has improved to
    20.39%.
  • Sector Rotation: The US

    Continue reading “February 2019 Model Performance Report”

Hedging the corporate profit cycle


This post is by Data Explorers Research and News from Data Explorers Research and News


Click here to view on the original site: Original Post




Research Signals – February 2019

The global manufacturing sector eased to a 32-month low,
according to the February J.P.Morgan Global Manufacturing PMI, with
major economies including the US, the euro area and Japan all
slowing. However, partially offsetting the global slowdown was
China, whose Shanghai Composite moved from being the worst
performer last year to the best at the start of this year. In turn,
while high beta stocks initially led the market rebound off
December's low, high quality took over as a much more prominent
theme in February (Table 1), perhaps as investors postured for a
maturing business cycle and as major markets showed signs of having
already priced in optimism toward the end of February.

Social media indicators in the UK


This post is by Data Explorers Research and News from Data Explorers Research and News


Click here to view on the original site: Original Post




Research Signals – February 2019

In March 2014, we introduced a set of social
media indicators for US markets, in partnership with Social Market
Analytics, Inc., that classify the text content in daily Twitter
posts to construct a family of social media signals. We now expand
our coverage to the UK market using a similar factor structure.

  • For names at the extreme tails (2 standard deviations) of the
    factor distribution, we report notable S-Score™ average daily
    return spreads of 0.097% since August 2015, with robustness out to
    longer 10- and 20-day holding periods
  • When focusing on frequently tweeted names, average 20-day
    return spreads improve to 0.383% from 0.298% for the stand-alone
    strategy, while, for long-only strategies, our empirical results
    again demonstrate positive performance for names at the
    2-standard-deviation tail, with average excess returns of 0.049% on
    an open-to-close basis, extending to 0.389% out to

    Continue reading “Social media indicators in the UK”

January 2019 Model Performance Report


This post is by Data Explorers Research and News from Data Explorers Research and News


Click here to view on the original site: Original Post




  • US: Within the US Large Cap universe the Price
    Momentum model had the strongest one month decile return spread
    performance returning 0.51% during the month while the Deep Value
    model lagged. The performance of our models over the US Small Cap
    universe was weak with the QSG Small Cap returning only
    -0.06%.
  • Developed Europe: Within the Developed Europe
    universe our Deep Value model was the top performer on a one month
    decile return spread basis, returning 2.62%, while the Earnings
    Momentum model trailed.
  • Developed Pacific: Over the Developed Pacific
    universe, the Deep Value model had the strongest one month decile
    return spread performance, returning 5.24%, while the Price
    Momentum model lagged. The Deep Value model's one year cumulative
    performance is currently 15.53%.
  • Emerging Markets: Within the Emerging Markets
    universe our Relative Value model had the strongest one month
    decile return spread performance, returning 5.91%.

    Continue reading “January 2019 Model Performance Report”

January melt-up


This post is by Data Explorers Research and News from Data Explorers Research and News


Click here to view on the original site: Original Post




Research Signals – January 2019

Contrary to the bitter cold temperatures that gripped a large
swath of the US in January as the polar vortex sent frigid Arctic
air southward, warming thoughts of patience from the Federal
Reserve and other central banks and improving US-China trade
developments sent stocks soaring in the first trading month of the
year. In turn, high risk stocks heated up, resulting in negative
performance from 60-Month Beta and 24-Month Value at Risk across
all our coverage universes, reversing December's trends (Table 1).
Investors must now wait and see if January's thawing of the
December stock market chill will continue, while the global
manufacturing sector slowed closer to stagnation, according to the
January J.P.Morgan Global Manufacturing PMI which fell to its
lowest reading since August 2016.

Factor and style model performance: 2018 in review


This post is by Data Explorers Research and News from Data Explorers Research and News


Click here to view on the original site: Original Post




Research Signals – December 2018

Major global equity markets came close to or entered bear
territory in 2018, as many regional benchmarks posted their worst
annual declines since the financial crisis or longer. Markets
succumbed to slowing economic growth and trade tensions, especially
between the US and China. The resulting increased volatility lent
support to the risk-off trade, as demonstrated by outperformance of
60-Month Beta across all our coverage universes in 2018 (Table 1).
The economic outlook for the coming year may well reflect divergent
regional growth trends which developed over the course of 2018,
undoing the strong, synchronized growth which the global economy
began the year with. One major risk to the global economy in the
coming year is further contraction in world trade, as manifested by
the December J.P.Morgan Global Composite Index which eased to a
27-month low.

December 2018 Model Performance Report


This post is by Data Explorers Research and News from Data Explorers Research and News


Click here to view on the original site: Original Post




  • US: Within the US Large Cap universe the Value
    Momentum 2 model had the strongest one month decile return spread
    performance returning 1.41% during the month while the Earnings
    Momentum model lagged. Over the US Small Cap universe our Relative
    Value model had the strongest one month decile return spread
    performance, returning 6.23%, while the Price Momentum model
    lagged.
  • Developed Europe: Within the Developed Europe
    universe our Price Momentum model was the top performer on a one
    month decile return spread basis, returning 2.57%, while the Deep
    Value model trailed.
  • Developed Pacific: Over the Developed Pacific
    universe, the Price Momentum model had the strongest one month
    decile return spread performance, returning 5.27%, while the
    Earnings Momentum model lagged. The Price Momentum model's one year
    cumulative performance is currently 16.10%.
  • Emerging Markets: Within the Emerging Markets
    universe our Price Momentum model had the strongest one month

    Continue reading “December 2018 Model Performance Report”

Should auld volatility be forgot


This post is by Data Explorers Research and News from Data Explorers Research and News


Click here to view on the original site: Original Post




Research Signals – December 2018

Traders rang in the New Year to the tune of “Auld Lang Syne”, as
they bid farewell to a rough year for stocks. Regional markets were
in harmony with the risk-off trade, as trade wars and slowing
economic growth gave global equity investors reason to be
concerned. In turn, low beta, low value at risk and short sentiment
signals were consistently positive indicators across all our
coverage universes (Table 1). The economic outlook for the coming
year is set by the common refrain of the J.P.Morgan Global
Manufacturing PMI which fell to a 27-month low last month, as
international trade flows deteriorated, rates of growth in new
orders slowed and business confidence dropped to its lowest level
in the series history.

November 2018 Model Performance Report


This post is by Data Explorers Research and News from Data Explorers Research and News


Click here to view on the original site: Original Post




  • US: Within the US Large Cap universe the Value
    Momentum 2 model had the strongest one month decile return spread
    performance returning 2.28% during the month while the Historical
    Growth model lagged. Over the US Small Cap universe our Relative
    Value model had the strongest one month decile return spread
    performance, returning 6.04%, while the Price Momentum model
    lagged.
  • Developed Europe: Within the Developed Europe
    universe our Relative Value model was the top performer on a one
    month decile return spread basis, returning 1.20%, while the Price
    Momentum model trailed.
  • Developed Pacific: Over the Developed Pacific
    universe, the Deep Value and Relative Value models had the
    strongest one month decile return spread performance, returning
    7.02% and 6.32%, while the Earnings Momentum model lagged. The
    Price Momentum model's one year cumulative performance is currently
    13.68%.
  • Emerging Markets: Within the Emerging Markets
    universe our Price Momentum

    Continue reading “November 2018 Model Performance Report”

Risk trade tariffs


This post is by Data Explorers Research and News from Data Explorers Research and News


Click here to view on the original site: Original Post




Research Signals – November 2018

The risk-off trade, which prevailed in October, carried over to
November, as markets reacted to trade and tariff headlines over the
course of a month that culminated with the G-20 summit in Buenos
Aires. In turn, low beta was again a successful signal in several
of our developed market coverage universes (Table 1). While crude
oil prices slumped and Brexit uncertainty loomed, US-China
relations and their impact on global growth remain forefront, as
international trade flows were the main drag on the new orders
component of the J.P.Morgan Global Manufacturing PMI which remained
unchanged last month.

  • US: 60-Month Beta posted a second month of strong performance,
    complemented by Demand Supply Ratio and Implied Loan Rate, gauges
    of short sentiment
  • Developed Europe: Measures based on analyst outlook were
    negative signals for the month, as captured by the downturn in 3-M
    Revision in FY2 EPS

    Continue reading “Risk trade tariffs”

October 2018 Model Performance Report


This post is by Data Explorers Research and News from Data Explorers Research and News


Click here to view on the original site: Original Post




  • US: Within the US Large Cap universe the Value
    Momentum 2 model had the strongest one month decile return spread
    performance returning 2.28% during the month while the Historical
    Growth model lagged. Over the US Small Cap universe our Relative
    Value model had the strongest one month decile return spread
    performance, returning 6.04%, while the Price Momentum model
    lagged.
  • Developed Europe: Within the Developed Europe
    universe our Relative Value model was the top performer on a one
    month decile return spread basis, returning 1.20%, while the Price
    Momentum model trailed.
  • Developed Pacific: Over the Developed Pacific
    universe, the Deep Value and Relative Value models had the
    strongest one month decile return spread performance, returning
    7.02% and 6.32%, while the Earnings Momentum model lagged. The
    Price Momentum model's one year cumulative performance is currently
    13.68%.
  • Emerging Markets: Within the Emerging Markets
    universe our Price Momentum

    Continue reading “October 2018 Model Performance Report”

The best defense is a good risk off-ense


This post is by Data Explorers Research and News from Data Explorers Research and News


Click here to view on the original site: Original Post




Research Signals – October 2018

The month of October has witnessed some of the worst stock
market corrections in history and this year saw it live up to this
tendency toward volatility. As such, volatility-based metrics were
successful signals in general, as demonstrated by positive
performance from low beta in each of our developed market coverage
universes (Table 1). Market participants will now wait to see if
confidence can be restored from concerns of rising interest rates,
trade wars and contracting growth outside the US, as confirmed by
the slowdown in the J.P.Morgan Global Manufacturing PMI to a near
two-year low.

  • US: 60-Month Beta posted a significant double-digit spread
    performance among large caps, a level not seen since January
    2016
  • Developed Europe: Industry Relative TTM Dividend Yield sat
    alongside 60-Month Beta as positive indicators for the month
  • Developed Pacific: 24-Month Value at Risk was a significant
    signal, especially

    Continue reading “The best defense is a good risk off-ense”

Growing pressure on Casino’s dividend


This post is by Jonathan Chatelain from Data Explorers Research and News


Click here to view on the original site: Original Post




Casino posted good operational performance at half stage
and confirmed its 2018 outlook at 3Q18. But the focus is on Casino
and its parent company's Rallye leverage

  • Casino forward dividend yield is at a ten-year high, and more
    than twice peers' level
  • The negative sentiment persists and Casino is the most shorted
    stock in France
  • But operational performance and ownership structure encourages
    Casino's dividend prospects, despite payout ratio above 100% of net
    income estimates

Casino's share price has been under pressure in 2018, reflecting
concerns about high levels of debt at Casino and its parent
company's Rallye, its complex structure, a fierce competitive
retail market in France and exposure to Latam markets. Casino
reported stronger profitability than Carrefour at the half-year
stage but failed to convince on its debt causing its share price to
plummet (-9%) and reached a ten-year low in early September after
intense news flow. And despite

Continue reading “Growing pressure on Casino’s dividend”