Alpha Navigator: Quest for Alpha [July 2024]

Cryptocurrencies showed mixed performance in July, Fixed Income was up while Equities were down. US, EU maintain interest rates; UK cuts rates while Japan hikes rates for the second time since 2007.

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Executive Summary

• Cryptocurrencies showed mixed performances in July, Fixed Income was up while Equities were down.

• US and EU maintain interest rates; Canada, UK, and China cut rates; Japan hikes rates for the second time since 2007. US consumer prices fell for the first time in four years in June, with the CPI index dropping 0.1% month-on-month, increasing 3% year-on-year (YoY). Personal consumption expenditures in June rose 2.5% YoY, lower than the 2.6% YoY growth in May, suggesting price hikes may be slowing. In addition, US Q2 GDP came in stronger than expected. Real GDP increased 2.8% YoY, compared to the Dow Jones estimate of 2.1%.

• Key macro events coming in August include US Consumer Price Index and US FOMC minutes.

• BTC’s price performance showed weak correlations with equities, and exhibited negative correlations with fixed income.

• US spot Ethereum ETFs launched on 23 July. The ETFs recorded total net outflows of $484 million in July (7 trading days). All the ETFs recorded 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) approaches the 1-standard deviation (SD) ceiling in July.

• 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 see price volatility in July, with SOL outperforming in terms of price appreciation.

• 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 [July 2024]

Author

Research & Insights Team

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