Alpha Navigator: Quest for Alpha [August 2024]

Cryptocurrencies were down in August; Fixed Income and Equities were up. New Zealand and Canada reduced interest rates; China and Australia kept interest rates unchanged.

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Executive Summary

• Cryptocurrencies were down in August; Fixed Income and Equities were up. 

• New Zealand and Canada reduced interest rates; China and Australia kept interest rates unchanged. US Consumer Price Index (CPI) rose 2.9% year-on-year in July, the first time in nearly 3.5 years that the annual increase was below 3%. Fed Chairman Powell mentioned that “the time has come for policy to adjust”. The timing of rate cuts would depend on the economy’s data, and the US has made good progress so far towards restoring price stability and maintaining a strong labour market. In the EU, inflation fell to 2.2% in August, its lowest level in three years, as it inches closer to the ECB’s 2% target.

• Key macro events coming in September include interest rate decisions from the US, Eurozone, Japan, China, UK, Australia.

• BTC’s price performance showed weak correlations with Equities, and mostly negative correlations with Fixed Income.

• US spot Ethereum ETFs recorded total net inflows of $6 million in August. 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 in August.

• 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 declined in August, with ETH and ARB dropping the most.

• 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 [August 2024]

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Research & Insights Team

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