Alpha Navigator: Quest for Alpha [October 2023]

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Executive Summary

• Asset classes were mixed in October. BTC outperformed significantly and notched another positive October, living up to the “Uptober” moniker.

• The US Federal Reserve (Fed) held interest rates steady at its 1 Nov meeting as policymakers debated whether financial conditions were already tight enough to control inflation or if the economy needed more restraint. Fed Chair Jerome Powell said the situation remained unclear, with officials willing to raise rates if progress on inflation stalls but wary of slowing the economy too much. In the press conference, Powell said given the uncertainties, it was best now to keep rates at 5.25-5.50% and evaluate upcoming economic data before the next meeting in December.
• BTC’s 1-month correlation with gold is strongly positive, while negative with equities.

• BTC options implied volatilities (vols) increased in October.

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

• For the AVAX vs. ATOM pair, the price ratio (AVAX price divided by ATOM price) increased during the past month approaching the 2-standard deviation (SD) ceiling.

• 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 prices all rose in October. SOL shows notable positive price momentum.

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

Read the full Alpha Navigator report: Alpha Navigator: Quest for Alpha [October 2023]

Author

Andrew Ho (Senior Research Analyst)

Research & Insights Team

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