Alpha Navigator: Quest for Alpha [October 2024]

Crypto and Equities had mixed performances in October; Fixed Income was down; BTC led the rise. Canada, China, Eurozone and New Zealand reduced interest rates; Australia and Japan kept interest rates unchanged.

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Executive Summary

• Crypto and Equities had mixed performances in October; Fixed Income was down; BTC led the rise. 

• Canada, China, Eurozone and New Zealand reduced interest rates; Australia and Japan kept interest rates unchanged. US and Eurozone reduced interest rates; Australia, China, Japan and UK kept interest rates unchanged. In the US, the September personal consumption expenditures price index increased 0.2% month-on-month and 2.1% year-on-year, close to the Fed’s 2% target. In the Eurozone, inflation fell to 1.8% in September, below the ECB’s 2% target for the first time in three years. China’s Q3 GDP grew 4.6% (vs 4.7% in Q2), the slowest pace since early 2023, partially driven by a weak property sector.  

• Key macro events in November include the US presidential election and interest rate decisions from China, New Zealand, US, and UK. 

• BTC’s performance correlations with Equities dropped in October (vs >~0.5 for all benchmarked equity indices in September) and was weak with Fixed Income

• US spot Bitcoin ETFs saw total net inflows of $5.4 billion in October; BlackRock’s IBIT recorded its largest daily net inflow of $872 million on 30 October

• Market-Neutral Pair Trader hunts for strongly correlated tokens and potential market-neutral pair trades. ADA/DOT (0.83) shows the strongest price correlation, followed by BTC/ETH (0.80) and ARB/OP (0.80).

• For the BTC vs. ETH pair, the price ratio (BTC price divided by ETH price) surpassed the 2-standard deviation (SD) ceiling at the end of October.

• Our style-factor screens track momentum, value, growth, and risk for the Layer-1 and Layer-2, DeFi, Gaming, and NFT categories. Below is the screen for selected top crypto tokens by market cap in the Layer-1 and Layer-2 category. Price movements of major L1 and L2 tokens were mixed. The top four tokens by market cap outperformed, notably SOL and BTC, while the others mostly declined.

• Our events section shows recent and upcoming events for selected tokens, as well as important macroeconomic events.

Read the full Alpha Navigator report: Alpha Navigator: Quest for Alpha [October 2024]

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Research & Insights Team

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