Alpha Navigator: Quest for Alpha [March 2024]

Asset classes were up in March, with crypto outperforming significantly. US and EU central banks kept interest rates unchanged.

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Executive Summary

• Asset classes mostly rose in March 2024, led by cryptocurrencies $BTC $ETH. BTC reached an all-time high above US$73,000 on 14 March.

• The US Federal Reserve kept its interest rate target range unchanged at 5.25-5.50% in its 20 March meeting, in line with market expectations. While officials maintained a forecast of three interest rate cuts in 2024, Fed Chairman Jerome Powell mentioned recently the US does not need to be in a hurry to implement rate cuts. This came on the back of a 2.5% year-on-year (YoY) increase in the personal consumption expenditures price index (PCE) in February, in line with expectations. Core PCE — which strips out food and energy prices — was up 2.8% YoY, both above the Fed’s 2% target. Powell reiterated that the overall story remains intact; inflation is expected to come down on a gradual and sometimes bumpy path towards 2%. 
• Key macro events coming in April include new US inflation data, FOMC minutes, and the ECB’s next interest rate decision.
• BTC 1-month correlations with equities dropped in the past month. Correlation with Gold increased (vs negative in February).

• US Spot Bitcoin ETFs continued to see total net inflows in March, albeit a week of net outflow in 18-22 March. The 11th Spot Bitcoin ETF, DEFI, launched on 27 March. 

• Market-Neutral Pair Trader hunts for strongly correlated tokens and potential market-neutral pair trades.

• For the BTC vs. SOL pair, the price ratio (BTC price divided by SOL price) dipped in March to the 2-standard deviation (SD) floor. Solana witnessed a surge in network demand in March fueled by a meme coin frenzy.

• 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. Tokens were mostly up in March, led by NEAR and SOL.

• 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 [March 2024]

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