Mika Romanoff

Investigation of Lead-Lag Effect in Easily-Mistyped Tickers Our new study aims to investigate the lead-lag effect between prominent, widely recognized stocks and smaller, less-known stocks with similar ticker symbols (for example, TSLA / TLSA), a phenomenon that has received limited attention in financial literature. The motivation behind this exploration stems from the hypothesis that investors, especially retail investors, may inadvertently trade on less-known stocks due to ticker symbol confusion, thereby impacting their price movements in a manner that correlates with the leading stocks. By examining this potential misidentification effect, our research seeks to shed some light on this interesting factor. https://lnkd.in/dCB5297T

18

2 kommenttia

📢Market topics discussed U.S. markets may remain volatile this week, but UBS still sees the current situation as favorable for U.S. stocks. Supported by strong earnings growth, a potential Fed pivot later this year, and accelerated investments in artificial intelligence. "We remain constructive on U.S. stocks and expect AI-related companies to provide strong earnings growth in the coming years." "For investors, it is crucial to maintain a sensible strategic allocation of tech stocks, diversifying investments across regions and sectors."

5

Alarm bells are ringing. Both the bond market and the stock market appear to have drawn the conclusion that the Fed committed a policy error by staying put at this week’s FOMC meeting, especially after seeing the weak ISM and unemployment data released after the decision (and after the deadline for the comment below). The 2-year yield is now below 4%, which historically is the level where the correlation with equities changes sign and bad news is bad news again. So how bad is the news? Friday’s unemployment data triggered ‘Sahm’s rule’, one of the strongest recession warning signals going back more than 70 years. This is still not corroborated by credit and demand indicators, so a recession can still be avoided – but the recession probability has increased to close to 50% and the Fed will need to address this risk more aggressively. If it’s not a recession, there are two types of correction within bull markets: mild ones with an average drawdown of 7% (like in April this year) are frequent, bigger ones with average  drawdown of 14%  are less frequent, but typically associated with tactical downswings – and with the World manufacturing PMI dropping below 50 in July, we should at least be prepared for such an outcome in the remaining part of Q3.

105

1 kommentti

✨ARTICLE SPOTLIGHT✨: "The alphabet and idiosyncratic volatility," published in the Fall 2024 issue of the JFR, looks at the alphabetic ordering of stocks. Authors Okke Bergers and Magnus Blomkvist find that stocks with names earlier in an alphabetic ordering exhibit greater idiosyncratic volatility, and that the effect is strongest during periods of high investor sentiment and among stocks with high turnover. READ the full article HERE: https://lnkd.in/geHspPmy

2

https://lnkd.in/dqNj2wpR Apollo Global Management, the global leader in alternative asset management has taken the route pioneered by Warren Buffett and then followed by all the major private equity and alternative asset management groups int the world of owning an insurance business and using the proceeds for long-term investing in its private equity, real estate and private credit lines, according to Wolfteam Ltd.'s analysis. Nearly 60% of Apollo’s total AUM is comprised of perpetual capital, which is highly scalable and does not rely on cyclical drawdown fundraising dynamics according to Apollo's second quarter 2024 earnings statement. #stocks #stockmarket #investing #investments #capital #equities #mergers #mergersandacquisitions #capital #wallstreet #deals #privateequity #stock #SP500 #realestate #privatecredit #credit #finance #economy

1

ECB CUTS RATES? WILL IT DO MORE? One cut doesn’t necessarily make for a starting gun. While the ECB became the second G7 central bank to cut rates, it is by no means certain that it will follow through with more than one cuts this year. A rate cut cycle faces two headwinds.   For one, inflation ticked up in the Eurozone last month. While prices of goods have been lower, services inflation remains sticky. We are at a point where China is deliberately lowering export prices to capture market share. One way or another, this practice has a time limit. If services inflation hasn’t come down by then, Europe could find itself having to raise rates again. Second, even if prices continue to come down, the ECB still depends on the Fed. If Christine Lagarde lowers rates before the Fed has kicked off, she risks significant capital flight towards higher yielding savings accounts in Dollars, not to mention importing inflation from goods and commodities priced in Dollars. #ECB #Interestrates #economy #europe

23

4 kommenttia

What faster trading cycles will mean for US markets? Does this narrower window cause problems? And what could go wrong? Read this article by Financial Times https://lnkd.in/ednYAFS7 #fastersettlement #tplus1 #tradingcycles #reconciliation

12

Bloomberg picks up on the insanity of Ozempic maker Novo Nordisk’s massive bubble I have highlighted before (they stop short of labeling it a bubble). Students of financial history will recognize elements of the Dutch and the British East India Companies, the South Seas Company and more recently Icelandic banks… "…little in Denmark can escape Novo’s gravitational pull. Its agenda influences educational and research priorities, and politicians consider the company’s perspective before making decisions on immigration policy or new infrastructure development … Novo’s ascendance has ensured access to high-ranking politicians and influence over national policy. Jorgensen, Novo’s CEO, is now on the board of Denmark’s central bank. Mads Krogsgaard Thomsen, CEO of the Novo Nordisk Foundation and former research and development chief at Novo, said he meets “very often” with government ministers to compare notes on where Denmark is heading…." #Investing #equities #markets #stocks #stockmarket #hnwi #uhnwi #investments #pensionfunds #familyoffice #familywealth #retirementsavings #endowments #institutionalinvestors #retirement #investment #invest #investors #investmentmanager #alpha #investmentmanagement #financialadvisor #fiduciary #bonds #fixedincome #money #realestate #dollar #gold #fed #federalreserve #economy #interestrates #inflation #deflation #unemployment #recession #commodities #ecb #jobs #privatecredit #treasuries #cpi #layoffs #gdp #stagflation #ozempic #bubble #denmark

2

Following Friday's US data release (NFPs) and the BoJ rate rise markets have taken a significant tumble these last 2 days. Below some changes in our positioning since the end of the 1st quarter and anticipated changes going forward. In fixed income, we increased our exposure to government bonds in order to benefit from the expected easing of interest rates, but also as a hedge against a more pronounced economic slowdown. This growing preference for rates over credit is bearing fruit in this uncertain environment. We are currently evaluating whether to continue the rebalancing of our bond portfolio, but we should be in a better position in the coming months to reduce our most cyclically sensitive positions, such as high yield. In equities, we gradually became more cautious during the second quarter, reducing our equity allocation and favouring more defensive strategies such as long/short in the US and, more recently, in Europe. We had no positions in Japanese equities and until recently were rather cautious on emerging markets. Conclusion: Our more diversified positioning should allow us to ride out this turbulent period with greater composure and to take advantage of any opportunities that may arise in the event of an exaggeration. Given the current market dynamics, we are maintaining our position as long as the technical levels of the uptrend remain intact e.g. 4’950 on the S&P 500. However, we are aware that the market's momentum has slowed and this alone could justify a continuation of the adjustments we have made in recent months. If such a reversal were to occur, we would initially reduce our equity exposure (now neutral at 50) to a target range of 46-48% and reduce our credit exposure in developed and emerging markets in favour of intermediate and long government bonds. Do not hesitate to contact us for any further information. The Forum Finance Group SA | Geneva | Switzerland

5

Here is some EV/GP analysis for the universe of stocks in which the NDI-FutureTech portfolio is constructed from (available on eToro and managed by NewDeal Invest) The chart shows where each stock's current EV/GP is relative to their upper and lower bounds, based on 2 standard deviations away from the their mean. This is based on 2 years of daily EV/GP multiples. The chart also shows the group's mean EV/GP and the mean upper and lower bounds (based on 2 standard deviations). As an initial screening for undervalued stocks, we can cross reference the stocks with current EV/GP multiples that are low compared to their 2-year history, with stocks that have current EV/GPs that are also low compared to whole group. Some stocks that stand out as potentially attractive include: OPEN, COUR, JAMF, FTNT, SE, ROKU, S, MELI, & FSLY. Some stocks that are potentially pricey include: DUOL, PLTR, AVGO, CRWD, IOT, & MVRL. Of course, any insights from this should be combined with qualitative analysis, as is done in the NDI-FutureTech portfolio. The reason for choosing only a 2-year period of EV/GP data is because I wanted to exclude the 2020/21 period which is regarded as abnormal. The choice of using a GP multiples was due to the fact that many of the stocks in the universe are FCF negative. Caveat: According to kurtosis and skewness metrics, most of these EV/GP distributions are non-normal, so be cautious in applying such analysis for any mean-reversion strategies.

1

Great to see HANetf topping the charts in March for #ETF AUM flows by issuer in Europe according to Bloomberg. #etfs #thematicinvesting #activeetfs #commodityetfs #goldetfs #nato #defence #uranium #copper

135

13 kommenttia

This post by the #bankofengland #boe "explores the similarities and differences between the activity of #assetmanagers and #hedgefunds in #US #Treasury (UST) #futures #markets, and the relationship between #liabilitydriveninvestment (#LDI) #funds and #lenders in the #gilt #repo #market. https://lnkd.in/eG77bPSP

1

Stock Forecast: AI-Powered ETF Strategy https://lnkd.in/dhWZyE5T We have evaluated the performance of the AI-Powered ETF strategy during the period from January 1st, 2020, to April 12th, 2024. #stocks #stockmarket #stocktrading #investing

1

It's Jensen "Nvidia" Huang's world, and we're just living in it. NVIDIA’s market value now surpasses that of the entire German stock market and the entire Italian stock market combined. And if you believe Jensen, we might still be in the early innings of NVIDIA’s growth. Just take a look at the capital expenditure plans of hyperscalers—those are essentially checks to #NVIDIA. Yesterday, #Tesla outlined its capital expenditure plan for next year, setting it at $11 billion. Meanwhile, #Meta's CapEx is expected to be at $35 billion- $40 billion #Microsoft CapEx has significantly increased to $58 billion, up from $28 billion 2 years ago #Google’s CapEx for 2024 is $50 billion, up from $30 billion 2 years ago These massive increases highlight the tech giants' push into AI and infrastructure investments and expense on Nvidia's Blackwell chips. A Blackwell GB200 CPU+GPU combo chip can cost $60,000 to $70,000 #JensenHuang #Nvidia #Tech #Semis #Investing *** Not an investment advice. Please do your research***

21

2 kommenttia

#Deribit Option Market has its own expectation on #ETH price through Implied Risk Neutral Density (RND). Sounds fancy, but with right visualization becomes clear: #bullrun ETH price has recently risen, but distribution remains steady #expectation of mean price is decreasing, so the small correction is feasible #risk by May 2024: 5% Value at Risk at $2,400 #scenarios by June 2024: feasible price to be high at  $5,000 or low at $1,800 Full article: https://lnkd.in/dRFpREaY

8

A curiosity: Although consumption growth has softened markedly in Iceland during its recent rate hike cycle, this softening has taken place against a backdrop of sharply accelerating growth in household deposits. In other words, it doesn’t look as though households are holding back on consumption because they can’t afford to maintain spending, but because they are conserving cash. Meanwhile, liquid wealth literally keeps piling up. It’s not entirely straightforward what to make of it. Some observations: The increase in household deposit balances in the 18 months since the start of 2023 is a whopping 27%, which translates to a real term increase of around 15%. However, it has probably only modestly outpaced growth in aggregate disposable income over the same period, so it's not obvious the level of deposits in the system exceeds some sustainable liquidity preference. Partly the deposit growth reflects portfolio rebalancing; after all, when yield curves become inverted, short-term instruments like deposits tend to suck liquidity away from other asset classes (this is one of the reasons why inverted yield curves not only signal recession, but can actually cause it). The payout of disaster relief due to seismic activity may also be a contributing factor. Even so, it stands in pretty sharp contrast to many other advanced economies where households have tended to run down their liquid savings post-pandemic (at least in real terms). My reading of the data is that rate hikes in Iceland probably haven’t massively squeezed households on mortgage service in the aggregate, as they have been able to limit the cashflow impact by taking out indexed loans at sharply lower interest rates. In other words, softening consumption has more to do with intertemporal substitution (i.e. postponing consumption) or precautionary savings than direct cash flow effects. I’m still grappling with what, if anything, this means for the monetary policy calculus. As a policy maker, do you care about which channel of the transmission mechanism is at play, so long as the net impact is to curb demand? Would you be more cautious cutting rates if you knew there’s an overhang of deposits waiting on the sidelines once rates come down? FWIW, my answers would be “no” and “yes” respectively, but I’d be curious to hear other readings?

28

2 kommenttia