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.

• 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 [September 2024]

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Research & Insights Team

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