Research Firm with a Qualitative Overlay, Pearl Gray Equity and Research

Pearl Gray Equity and Research

Research Firm with a Qualitative Overlay

Quantitative fund & research firm with a qualitative overlay. 

Our coverage: General U.S. with a skew towards the primary sector. 

Methods: Smart Beta/Factor Pricing, Neural Networks, Street Gossip, and Common Sense.

Equity Bottom-Up

Virtus Terranova U.S. Quality / Equity Bottom-Up

<ul>
<li>The Virtus Terranova U.S. Quality Momentum ETF has solid risk attribution, especially pertaining to downside risk.</li>
<li>The fund neglects idiosyncratic risks, its constituents are high-quality assets with few event-driven risks.</li>
<li>The fund's quality overlay significantly reduces momentum crash risk, according to the report.</li>
</ul>


The Virtus Terranova U.S. Quality Momentum ETF has solid risk attribution, especially pertaining to downside risk.
The fund neglects idiosyncratic risks, its constituents are high-quality assets with few event-driven risks.
The fund's quality overlay significantly reduces momentum crash risk, according to the report.


JOET: Preventing Momentum Crash Risk With Quality Overlay

Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

iShares Russell 2000 ETF / Technical Analysis

<ul>
<li>The false breakout in the Russell 2000 (IWM) tells us that the mixed market environment is back, and we no longer see a broad-based bull market.</li>
<li>Key supports: 4545 on S&amp;P 500, $383 on NDX (QQQ), $208 on Russell 2000 (IWM), $135 on MicroCaps (IWC), $76.50 on MSCI EAFE (EFA), $54 on MSCI ACWI exUS (ACWX)</li>
<li>If supports hold we expect more consolidation and mixed markets ahead. However, if supports start to break we would turn bearish as we would expect a more significant correction.</li>
</ul>


The false breakout in the Russell 2000 (IWM) tells us that the mixed market environment is back, and we no longer see a broad-based bull market.
Key supports: 4545 on S&amp;P 500, $383 on NDX (QQQ), $208 on Russell 2000 (IWM), $135 on MicroCaps (IWC), $76.50 on MSCI EAFE (EFA), $54 on MSCI ACWI exUS (ACWX)
If supports hold we expect more consolidation and mixed markets ahead. However, if supports start to break we would turn bearish as we would expect a more significant correction.


U.S. Equity Strategy: Major Indexes Testing Critical Supports; Buying Consumer Discretionary Stocks

Managing Director

Elan Gore

TMI Data Science

TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade & traditional media.  Our proprietary software, TMI Machine, is a text-mining platform designed with the buy-side & capital markets professional in mind, text-mining the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income & individual equities.  TMI provides custom leading indicators and systematic trading strategies, operating at the nexus of linguistics & statistics drawing on vast experience in investment banking and hedge fund settings in senior quantitative and fundamental roles.  

TMI Data Science was founded by Elan Gore, an award-winning Senior Global Basic Materials Equity Analyst & China Economist with 15 years of experience in North American hedge funds & institutional managers; and Alessandro Porrino, Ph.D., an Algorithmic Trading Analyst and Programmer with 10 years of front-office experience ranging from complex FX option pricing to auto-hedging strategies at Bank of America Merrill Lynch and Standard Chartered.  Mr. Gore holds an MBA in Finance from New York University Stern School of Business, and Mr. Porrino holds a Ph.D. in Systems Engineering from Brunel University London.

Cross Asset Strategy

<ul>
<li>The strength of US housing has been an unassailable consensus theme coming out of the March-April shock, aided by record-low rates and signs of deurbanization</li>
<li>We text-mine across a range of housing vectors to find greater nuance to the story than headlines imply</li>
<li>Extreme sentiment readings are seen in recent reporting on housing data releases (i.e. existing home sales, housing starts, NAHB); but our text-mined indicators of homebuyer intentions, deurbanization pressure and sales reported above asking price have turned softer</li>
<li>This is partially confirmed by Zillow app store data, which peaked on a Y/Y basis in July and on an absolute basis in August, recently turning roughly flat Y/Y; and by Redfin median square footage comps, which peaked in August</li>
<li>Similarly, our indicator of wood product shortages peaked in September and has stabilized since, in-line with forest products ETF relative performance and wood product pricing</li>
<li>We suspect US housing demand has been losing momentum, but remains at elevated absolute levels</li>
</ul><div class="content-highlight">TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. </div>


The strength of US housing has been an unassailable consensus theme coming out of the March-April shock, aided by record-low rates and signs of deurbanization
We text-mine across a range of housing vectors to find greater nuance to the story than headlines imply
Extreme sentiment readings are seen in recent reporting on housing data releases (i.e. existing home sales, housing starts, NAHB); but our text-mined indicators of homebuyer intentions, deurbanization pressure and sales reported above asking price have turned softer
This is partially confirmed by Zillow app store data, which peaked on a Y/Y basis in July and on an absolute basis in August, recently turning roughly flat Y/Y; and by Redfin median square footage comps, which peaked in August
Similarly, our indicator of wood product shortages peaked in September and has stabilized since, in-line with forest products ETF relative performance and wood product pricing
We suspect US housing demand has been losing momentum, but remains at elevated absolute levels
TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. 

TMI Snapshot: Some US Housing Indicators Lose Momentum as Deurbanization Theme Appears Transitory

And just like that, the S&amp;P 500, Nasdaq, and the Dow have reclaimed new highs despite ongoing coronavirus concerns, as a buy the dip strategy has paid off. Primarily responsible for new highs in these indexes is Technology (esp. software and semis/semi suppliers) and FAANG stocks. While these areas all remain bullish, we still have some reservations due to the massive disparity in performance between them and the Materials (XLB, XME) and Energy (RYE) Sectors, and also small-caps (IWM) which continue to hit new RS lows. In today’s report we highlight attractive Groups and stocks within Consumer Discretionary and Financials: Homebuilding, Large-Cap, Casinos &amp; Gaming, Small-Cap, Asset Management &amp; Custody Banks, Large-Cap, and Investment Banking &amp; Brokerage, Small-Cap.

And just like that, the S&amp;P 500, Nasdaq, and the Dow have reclaimed new highs despite ongoing coronavirus concerns, as a buy the dip strategy has paid off. Primarily responsible for new highs in these indexes is Technology (esp. software and semis/semi suppliers) and FAANG stocks. While these areas all remain bullish, we still have some reservations due to the massive disparity in performance between them and the Materials (XLB, XME) and Energy (RYE) Sectors, and also small-caps (IWM) which continue to hit new RS lows. In today’s report we highlight attractive Groups and stocks within Consumer Discretionary and Financials: Homebuilding, Large-Cap, Casinos &amp; Gaming, Small-Cap, Asset Management &amp; Custody Banks, Large-Cap, and Investment Banking &amp; Brokerage, Small-Cap.

U.S. Equities: Still Bullish, With Reservations

A combination of, optimism surrounding U.S.-China trade talks, and Fed Chairman Powell’s comments have led to a continuation of the oversold bounce which began on 12/26, and the S&amp;P 500 is now trading just below the 12/19 pre-Fed rate hike area. ~2,350 on the S&amp;P 500 remains the support level to monitor. A retest of this low remains the most likely scenario, though it is far from a guarantee due to the potential for a “V” reversal. We examine an array of factors leading to our intact cautious outlook, and highlight attractive set-ups within Consumer Discretionary and Health Care Sectors.

A combination of, optimism surrounding U.S.-China trade talks, and Fed Chairman Powell’s comments have led to a continuation of the oversold bounce which began on 12/26, and the S&amp;P 500 is now trading just below the 12/19 pre-Fed rate hike area. ~2,350 on the S&amp;P 500 remains the support level to monitor. A retest of this low remains the most likely scenario, though it is far from a guarantee due to the potential for a “V” reversal. We examine an array of factors leading to our intact cautious outlook, and highlight attractive set-ups within Consumer Discretionary and Health Care Sectors.

U.S. Equity Strategy: Oversold Rally Continues

United States

D.R. Horton, Inc. constructs and sells single-family homes designed primarily for the entry-level and move-up markets.  The Company operates in the Midwest, Mid-Atlantic, Southeast, Southwest, and Western regions of the United States. D.R. Horton also, through its financial services operations, provide mortgage financing and title agency services to homebuyers.

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Dr Horton Inc (DHI US)

JOET: Preventing Momentum Crash Risk With Quality Overlay

The Virtus Terranova U.S. Quality Momentum ETF has solid risk attribution, especially pertaining to downside risk. The fund neglects idiosyncratic...

Pearl Gray Equity and Research

U.S. Equity Strategy: Major Indexes Testing Critical Supports; Buying Consumer Discretionary Stocks

Market dynamics have deteriorated along with the major averages, and many are testing critical supports; as long as supports hold we expect more...

Vermilion Research

TMI Snapshot: Some US Housing Indicators Lose Momentum as Deurbanization Theme Appears Transitory

We see potentially peaking momentum in US housing, as data suggests the pandemic-driven deurbanization theme seen as a multi-year secular catalyst...

Elan Gore

U.S. Equities: Still Bullish, With Reservations

And just like that, the S&P 500, Nasdaq, and the Dow have reclaimed new highs despite ongoing coronavirus concerns, as a buy the dip strategy...

Vermilion Research

U.S. Equity Strategy: Oversold Rally Continues

A combination of, optimism surrounding U.S.-China trade talks, and Fed Chairman Powell’s comments have led to a continuation of the oversold bounce...

Vermilion Research

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