Alpha Navigator (February 2024)

Crypto and equities were up in February, while fixed income was under pressure. Interest rate decisions from major central banks upcoming in March.

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Executive Summary

• Asset classes were mixed in February, with crypto posting gains and outperforming by a significant margin.

• The US headline Consumer Price Index (CPI) was up 3.1% YoY in January, above market expectations. Core CPI — which strips out volatile food and energy prices — was up 3.9% YoY. Meanwhile, the Personal Consumption Expenditures Price Index (PCE) increased 2.4% YoY. All are still tracking higher than the Fed’s 2% inflation target. Fed fund futures data are suggesting unchanged interest rates for the next two FOMC meetings (20 March and 1 May).
• Key macro events coming up in March are interest rate decisions from the major central banks (US Fed, ECB, PBoC, BoJ), and new US and Eurozone inflation data.
• BTC correlations with equities were positive in the past 1 month.

• BTC options implied volatilities (vols) increased notably in the past month.

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

• For the ATOM vs. MATIC pair, the price ratio (ATOM price divided by MATIC price) dipped in February to the 2-standard deviation (SD) floor but has since bounced back up.

• 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. Token were all up in February, led by ETH.

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

Author

Andrew Ho (Senior Research Analyst)

Research & Insights Team

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