Alpha Navigator: Quest for Alpha [April 2022]

Introducing Alpha Navigator, our new institution-focused report that covers macro trends, market-neutral pair trades, style factor screening, thematic baskets, event driven ideas, and market insights.

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Executive Summary

Commodities was the best performing asset class in April 2022, returning 5.56%, while BTC and ETH dropped 18.67% and 17.19% respectively. Real assets performance was mixed, and fixed income was down across the board due to rising yields. BTC and ETH correlations with equities remain high.

We introduce style factor screening based on value, momentum, growth, and risk. Thematic baskets include tokens that are outperforming during the current market drawdown; as well as GameFi and NFT category baskets. Our market-neutral pair trades highlight BTC vs. ETH, BTC vs. DOT, LUNA vs. NEAR, and SOL vs. AVAX. 

The options put-call ratio has been falling for BTC but rising for ETH, potentially signalling that investors are increasingly hedging ETH exposure. Aggregated exchange balances for BTC and ETH continue to fall, although BTC balance on OTC desks rebounded.

Read the full report: Alpha Navigator [April 2022]