4 Oct, 2024|RESEARCH

Alpha Navigator: Quest for Alpha [September 2024]

Cryptocurrencies, equities and fixed income were all up in September and BTC led the rise. US and Eurozone reduced interest rates; Australia, China, Japan and UK kept interest rates unchanged.

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Executive Summary

Cryptocurrencies, equities and fixed income were all up in September and BTC led the rise.

US and Eurozone reduced interest rates; Australia, China, Japan and UK kept interest rates unchanged. In the US, the Fed cut interest rates by 0.5% and stated the Committee has greater confidence that inflation is moving sustainably towards the 2% target. US personal consumption expenditures (PCE) price index rose 2.2% year-over-year, the lowest since February 2021. In China, the central bank unveiled a stimulus package, which includes cutting the seven-day reverse repurchase rate by 20 bps to 1.5%, and the reserve requirement ratio (RRR) by 50 bps. It is expected to release CN¥1 trillion (~US$143 billion) of long-term liquidity into the market.

Key macro events in October include US FOMC minutes, and interest rate decisions from Australia, China, Canada, Eurozone, Japan, and New Zealand.

BTC’s price performance showed moderately positive correlations with Equities, and a weak correlation with Fixed Income.

US spot Ether ETFs recorded total net outflows of $46 million in September. All the ETFs recorded zero or net inflows except Grayscale’s converted Ethereum Trust (ETHE).

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) surpassed the 2-standard deviation (SD) ceiling almost the whole month in September.

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. The main L1 and L2 token prices all grew in September, with ZK and NEAR gaining the most.