Alpha Navigator: Quest for Alpha [May 2024]

Asset classes were all up in May. Cryptocurrencies led the increase, which coincided with US SEC’s approval of Spot Ether ETFs.

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Executive Summary

• Asset classes were all up in May. Cryptocurrencies led the increase, which coincided with US SEC’s approval of Spot Ether ETFs.

• The US FOMC released the minutes of its 1 May meeting, mentioning ‘a lack of further progress toward the Committee’s 2 percent (inflation) objective’. The US unveiled personal consumption expenditures (PCE) data, which rose 2.7% Year-on-Year (YoY) in April, in line with expectations but still above Fed’s 2% target. Retail sales were unexpectedly flat in April, despite a 0.4% increase estimate, which suggests a slowdown in consumer spending momentum. This potentially reflects a lack of confidence to move forward with interest rate cuts. According to the latest CME FedWatch data, the earliest rate cut is expected in September (54% probability).

• Key macro events coming in June include interest rate decisions from the US, EU, UK, Japan, and China.

• BTC correlations with other assets were all positive.

• US Spot Bitcoin ETFs saw total net inflows of US$2.07 billion in May, compared to a net outflow of US$344 million in April. BlackRock’s IBIT overtook Grayscale’s GBTC as the largest US Spot Bitcoin ETF by total assets. GBTC had a net outflow of $599 million in May.

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

• For the BTC vs. ETH pair, the price ratio (BTC price divided by ETH price) approaches the mean in May.

• 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. L1 and L2 token prices experienced volatility in May, with SOL outperforming the market.

• 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 [May 2024]

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Research & Insights Team

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