Daily Watchlist · Macro Market · Newsletter · On Our Radar

Daily Commentary – Rotation Out of Safe Havens

That was the main theme yesterday, as the safe haven trio of Treasuries, Gold and Yen were all dumped yesterday. Firstly let’s ‘get started with Gold, which was the hardest hit on a magnitude basis, falling more than 40 dollars. Gold had been range trading until it fell off a cliff from 1310, the bottom of the 4-month range:

 

20161005-GOLD.png

Next is the yen, which dropped through a year-long bullish trendline and tide maybe finally turning in favor of yen bears like BoJ & Abe & co.

20161005-JPY.png

Treasuries followed through on yesterday’s weakness with TLT down more than 1%. On a bigger picture, the TLT continues to ominously resemble the chart pattern from late 2014-2015 which foreshadowed further losses beneath the 50WMA.

20161005-TLT.png

And that essentially would mean further pressure on rate-sensitive sectors in REITs (IYR) and Utilities (XLU), which extended their steep losses in recent days with -1.4% and -2% drop respectively. For the latter, it plunged through multiple important supports including 200DMA and is firmly back inside a rather steep bearish down channel. Would stay away until 45 area, or if we can break back above 200DMA and channel.

20161005-XLU.png

Back to the broader indices, not much new to report as SPX and Dow were down 10 and 85pts respectively and continue chopping inside a tightening wedge that should break one way or another. It is advised to wait for the market to reveal us the ultimate direction.

20161005-DIA.png

The key US data from ADP to NFP are due to be released from Wednesday to Friday. Should data continue to surprise to the upside, watch the dump in safe havens to continue with a vengeance.

Daily Market Snapshot

Sector ETFs by Daily Return %

SYMBOL NAME CLOSE DAILY (%) MTD % YTD %
KRE SPDR KBW Regional Banking ETF 42.46  

0.6

1.42%

0.45% 1.29%
XLF SPDR Select Sector Fund – Financial 19.29  

0.08

0.42%

-0.05% 1.21%
XLFS S&P SmallCap Financials Portfolio 30.45  

0.12

0.39%

0% -1.39%
XRT SPDR S&P Retail ETF 43.41  

-0.02

-0.05%

-0.32% 0.39%
QQQ PowerShares QQQ Trust 118.37  

-0.18

-0.15%

-0.29% 5.82%
XLV SPDR Select Sector Fund – Health Care 71.91  

-0.14

-0.19%

-0.28% -0.17%
PFF iShares S&P US Preferred Stock Fund 39.22  

-0.11

-0.28%

-0.71% 0.95%
XLG Rydex Russell Top 50 ETF 151.86  

-0.47

-0.31%

-0.60% 5.04%
XLY SPDR Select Sector Fund – Consumer Discretionary 79.71  

-0.28

-0.35%

-0.41% 1.98%
XLK SPDR Select Sector Fund – Technology 47.47  

-0.17

-0.36%

-0.65% 10.83%
SMH HOLDRS Merrill Lynch Semiconductor 68.64  

-0.29

-0.42%

-1.19% 28.83%
DIA Dow Jones Industrial Average ETF 181.48  

-0.84

-0.46%

-0.71% 4.36%
IWM iShares Russell 2000 123.21  

-0.61

-0.49%

-0.81% 9.40%
SPY SPDR S&P 500 214.68  

-1.1

-0.51%

-0.75% 5.30%
IBB iShares Nasdaq Biotechnology 288.26  

-1.74

-0.60%

-0.41% -14.80%
XLI SPDR Select Sector Fund – Industrial 57.94  

-0.49

-0.84%

-0.75% 9.30%
XLP SPDR Select Sector Fund – Consumer Staples 52.42  

-0.45

-0.85%

-1.48% 3.82%
XLE SPDR Select Sector Fund – Energy Select Sector 69.84  

-0.72

-1.03%

-1.09% 15.78%
XLB Materials Select Sector SPDR 47.04  

-0.65

-1.37%

-1.49% 8.34%
IYR iShares Dow Jones U.S. Real Estate Index Fund 78.04  

-1.14

-1.45%

-3.22% 3.94%
XLU SPDR Select Sector Fund – Utilities 47.29 -1.01

-2.11%

-3.47% 9.27%

 

Commodity & Bond ETFs

SYMBOL NAME CLOSE DAILY  (%) MTD % YTD %
DBA PowerShares DB Agriculture Fund 20.13  

0.13

0.65%

0.75% -2.33%
USO United States Oil Fund 11.09  

-0.01

-0.09%

1.46% 0.82%
HYG iShares iBoxx $ HY Corp Bond Fund 86.67  

-0.15

-0.17%

-0.68% 7.56%
AGG iShares Barclays Aggregate Bond Fund 111.71  

-0.38

-0.34%

-0.63% 3.43%
LQD iBoxx $ Investment Grade Corporate Bond Fund 121.94  

-0.57

-0.47%

-1.01% 6.96%
TLT iShares Barclays 20 Year Treasury Bond Fund 135.21  

-1.6

-1.18%

-1.50% 12.13%
GLD SPDR Gold Trust 120.97  

-4.35

-3.53%

-3.72% 19.23%
SLV iShares Silver Trust 16.94  

-0.93

-5.34%

-6.92% 28.43%
GDX Market Vectors TR Gold Miners 23.4  

-2.56

-10.38%

-11.46% 70.55%

 


Country ETFs

SYMBOL NAME CLOSE DAILY (%) MTD % YTD %
DXJ WisdomTree Japan Total Dividend Fund 43.26  

0.47

1.09%

0.82% -13.62%
EWW iShares MSCI Mexico Index Fund 49.4  

0.24

0.49%

1.90% -0.86%
EWG iShares MSCI Germany Index Fund 26.28  

0.12

0.46%

0.04% 0.34%
EWN iShares MSCI Netherlands Index Fund 25.12  

0.1

0.40%

0.24% 5.37%
EWU iShares MSCI United Kingdom Index Fund 15.88  

0.05

0.32%

0.25% -1.61%
EWQ iShares MSCI France Index Fund 24.14  

0.05

0.21%

-0.08% -0.29%
EWL iShares MSCI Switzerland Index Fund 30.42  

-0.06

-0.20%

-0.43% -2%
EWD iShares MSCI Sweden Index Fund 29.13  

-0.06

-0.21%

0.21% -0.17%
EWK iShares MSCI Belgium Index Fund 18.7  

-0.05

-0.27%

-0.85% 3.54%
EWP iShares MSCI Spain Index Fund 26.59  

-0.11

-0.41%

-0.86% -5.94%
EWO iShares MSCI Austria Index Fund 16.23  

-0.07

-0.43%

-0.55% 3.71%
EWH iShares MSCI Hong Kong Index Fund 21.94  

-0.11

-0.50%

-0.32% 10.70%
EWJ iShares MSCI Japan Index Fund 12.43  

-0.07

-0.56%

-0.88% 2.56%
EWA iShares MSCI Australia Index Fund 20.78  

-0.16

-0.77%

-0.57% 9.60%
EWT iShares MSCI Taiwan Index Fund 15.58  

-0.12

-0.77%

-0.76% 22%
FXI iShares FTSE/Xinhua China 25 Index Fund 37.74  

-0.31

-0.82%

-0.71% 6.94%
EWI iShares MSCI Italy Index Fund 10.85  

-0.09

-0.83%

-1.54% -21.03%
EWX SPDR S&P Emerging Markets Small Cap ETF 43.14  

-0.36

-0.83%

-0.05% 14.40%
EWS iShares MSCI Singapore Index Fund 10.71  

-0.1

-0.93%

-1.38% 4.18%
EEM iShares MSCI Emerging Index Fund 37.29  

-0.42

-1.12%

-0.43% 15.84%
EWM iShares MSCI Malaysia Index Fund 8.02  

-0.13

-1.61%

-1.11% 3.62%
EWC iShares MSCI Canada Index Fund 25.23  

-0.41

-1.61%

-1.79% 17.35%
EWZ iShares MSCI Brazil Index Fund 34.04  

-0.62

-1.80%

0.92% 64.60%
EWY iShares MSCI South Korea Index Fund 56.92  

-1.12

-1.95%

-2.08% 14.60%

 

Days Ahead – Events and Economic Data

10/5 Wednesday

Time Event / Data
8:15am ADP Nonfarm Employment Change
10am ISM Non Manufacturing
10:30am Crude Oil Inventories

10/6 Thursday

Time Event / Data
8:30am Initial Jobless Claims

10/7 Friday

Time Event / Data
8:30am Nonfarm Payroll (NFP)

 

 

Quantitative Strategy – Automated Portfolio Update

Performance

ASSET CLASS TYPE LONG or SHORT DAILY % MTD % QTD % YTD%
Equities Short-Term Long Only
-0.45% -1.21% -1.21% 45.10%
Short Only
  1.45% 2.50% 2.50% 36.81%
Long/Short
  0.33% 0.33% 0.33% 42.02%
Medium-Term Long Only
  -0.93% -1.44% -1.44% 19.31%
ETF Short-Term Long Only
  0% 0% 0% 30.97%
Short Only
  0.86% 1.75% 1.75% 8.55%
Long/Short
  0.86% 1.75% 1.75% 30.23%
Medium-Term Long Only
  -0.62% -1.15% -1.15% 24.40%
Futures Short-Term Long/Short
  1.14% 1.27% 1.27% 7.83%
FX Short-Term Long/Short
  0% 0% 0% 15.11%
SPX Benchmark Index
-0.50% -0.82% -0.82% 5.21%
 

Portfolio Commentary

We exited another long time energy name SWN for an 18% profit as our quantitative portfolio continues its rebalancing. In light of yesterday’s clobbering of precious metals, our signal has detected a potential oversold bounce which we look to capitalize by going long NEM (our favorite single name), GDX & GDXJ (ETFs) and Gold futures in our portfolios. Does look risky trying to pick bottoms given the conviction on this plunge, but that is also a major element of the success of our quant strategies – systematically buy  with statistical edge, take away the fear and emotion.

Financials were top performer yesterday on the back of move higher in interest rates, and likely this outperformance will continue with rates trending higher heading into the continuation of rate hike cycle.

 

Chart in Focus

NOV  –  Medium-Term Long

Target: 40

Entry Point(s): 35.68

Comments:  Pulled back this week after being ST overbought, and now retesting major swing point after last week’s breakout. Should continue ascending towards major swing point of 40

 20161005-NOV.png

ESRX – Short-Term Short

Target: 67

Entry Point(s): 69.91

Comments: Very large H&S shoulder forming and in ST should hit the neckline near 67 to complete the formation. Should the neckline break, the LT downside would be down at 52

20161005-ESRX.png

 


 

Day Trading Charts & Parameters

Futures

 

Dow 30

Support: 18050, 18025

Resistance:18200, 18405

20161005-YM.png

S&P 500

Support: 2143, 2126                       *

Resistance: 2160, 2174

20161005-ES.png

NDX 100

Support: 4820

Resistance: 4888

20161005-NDX.png

Crude Oil

Support: 49, 46

Resistance: 50

20161005-CLIntra.png

 

Gold

Support: 1265, 1260

Resistance: 1310

20161005-GC.png

10-Yr Treasury Note

Support: 129.93

Resistance: 130.75

20161005-TY.png

 

US Dollar Index

Support: 95.36, 96

Resistance: 96.6

20161005-DX.png

Nikkei 225

Support: 16575, 16400

Resistance: 16900

20161005-NIKK.png

 

 

Currency Pairs

USD/JPY

Support: 102

Resistance: 103.17, 104

20161005-USDJPY.png

EUR/USD

Support: 1.1172, 1.10

Resistance: 1.1243

20161005-EURUSD.png

GBP/USD

Support: 1.2687

Resistance: 1.2837

20161006-GBPUSD.png

 

AUD/USD

Support: 0.7600, 0.7460

Resistance: 0.7688

20161006-AUDUSD.png

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