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NEW CHART (@ 2020-08-09 21:55:18)

We are particularly proud of how our crypto model portfolio has fared through 2020, generating +341% total return year-to-date and delivering positive returns averaging 25% in 7 out of 8 months. The performance has been very stable leading to a Sharpe ratio of 7.46 which is higher than any of the underlying assets in the portfolio. How do we achieve such relatively stable returns? It's really a two-pronged approach: in crypto we currently have assets that are highly correlated with Bitcoin (Ethereum, Litecoin, Ripple) and assets that are not (Cardano, Algorand, ChainLink). We allocate to both. The long-short signals ensure we tend to be on the right side of the trade most of the time, and dynamic position sizing that takes into account risk, Sharpe ratios and the recent success (win rate) of our models ensure the rest. The result is what you see here. Positive and negative contributors on any given day with the positive on average outweighing the negative leads to stable and strong returns. -LSS Marketing Team

NEW CHART (@ 2020-08-08 00:48:23)

We haven't been tracking Reddit sentiment for all that long and certainly are aware of its biases and pitfalls to the approach. Nevertheless here are some first interesting results: Reddit sentiment for some regions and countries since we started measuring it. Apparently China has been consistently negative and became even more so today (again, we are aware of the biases behind this approach), while Latin America dipped from neutral to deeply negative to positive. Europe and Asia have been mostly persistently positive, though Asia had a deeply negative dip around the end of July. -LSS Quant Team

NEW CHART (@ 2020-08-06 20:24:45)

Interesting... for the first time in a long while we see yen and gold diverging from the pack during a bout of USD strength (note we are showing JPY/USD and MXN/USD, that is the inverse of how they are normally quoted to facilitate comparison). Euro is weakening with EM currencies while yen and gold are maintaining strength. That is a clear trend break. -LSS Investment Team

NEW CHART (@ 2020-08-05 17:22:00)

I hope the guys at Real Vision don’t mind me stealing one of their charts. This one came up during their daily review of the markets and I think it’s incredibly striking to see how the likes of Amazon, Google, Facebook and Apple have decoupled from the S&P 500 this year. -LSS Investment Team

NEW CHART (@ 2020-08-05 05:00:35)

Want to understand why there’s a relentless everything rally that not even Covid could put a stop to? This chart explains part of the story. With real interest rates now at record lows, the hunt for yield and return is now on in nearly every asset class. -LSS Quant Team

NEW CHART (@ 2020-08-05 02:04:12)

Japan and the US are now officially locked in a currency debasing contest. Abenomics saw the yen (white line) weaken a lot in the preceding decade and since 2013/14 US quantitative easing started to taper off (green line) as the Japanese doubled up year after year (purple line). Now both are going at it *hard*. Obvious beneficiary of all this? Gold (red/orange line), which has just crossed >$2000. If I were a betting man, I'd say $2500 or $3000 from here? -LSS Quant Team

NEW CHART (@ 2020-08-04 03:01:03)

Wow, some serious movers in the crypto market out there today. Look at ChainLink which did a casual +15% over the last 24 hours! This cryptocurrency finds itself in the top 10 and is known to be a coin that has experienced the least amount of drawdown historically despite living through early 2018. ChainLink currently has a 8.3% LONG position in our model portfolio, in which by the way you can now directly invest through Tokenbox. -LSS Investment Team

NEW CHART (@ 2020-08-01 18:02:52)

Does Bitcoin do better during weekends? Yes and no. We just found that Bitcoin doesn't exactly outperform on the weekend if strictly defined as Saturday and Sunday. But does Bitcoin outperform on the days around the weekend? You bet! If in 2020 you had invested only on Friday, Saturday and Monday, you would have outperformed Tuesday, Wednesday, Thursday and Sunday by 63.5%. Interestingly though, a strategy of simple buying and holding throughout remains the easy winner. -LSS Quant Team

NEW CHART (@ 2020-07-31 16:55:11)

Bitcoin 2013-2016 vs 2017-2020. -LSS Quant Team

NEW CHART (@ 2020-07-31 16:39:49)

Are we entering a new crypto bull-run? That's the thought on everyone's mind. Bitcoin search interest on Google is increasing a little but not by much more than we saw earlier in the year, we've got hedge fund managers openly discussing investing in it and Joe Rogan tells 200m listeners to buy Bitcoin. Perhaps more interesting is which cryptocurrencies can be expected to move along with Bitcoin, and this chart tells us that certainly Ethereum, Ripple, Monero and EOS have done to a large degree. Their average correlation with Bitcoin is 0.39. Others that may not be so lucky? Possibly Cardano (correlation 0.07), ChainLink (correlation 0.01), VeChain (correlation 0.0) and Stellar (correlation 0.10). Are we seeing the crypto market split in two? -LSS Quant Team

NEW CHART (@ 2020-07-30 18:07:32)

Hat tip to Bloomberg who spotted this one: the change in price of gold (white line) vs the change of 1 year at-the-money implied volatility of gold (yellow line). Normally you would expect these to move in opposite directions: assets tend to become more volatile when markets sell off. Not so with gold these days, and that's pretty fascinating. -LSS Quant Team

NEW CHART (@ 2020-07-30 03:38:55)

Bitcoin vs S&P500 futures today. Decoupling, or? -Albert Ingles

NEW CHART (@ 2020-07-29 16:19:07)

So the Fed decided to leave rates unchanged and keep doing “whatever it takes”. The 10 year US interest rate chart fascinates us because what other asset over a period of 100+ years only really sees 3 different regimes? Down 1920-1940. Up 1950-1980. Down ever since. There does not seem to be an easy way out from this trend and we would be surprised if this figure hits anywhere above 2% again any time soon without serious economic turmoil as a result. -LSS Quant Team

NEW CHART (@ 2020-07-29 03:31:57)

Told you so... -LSS Quant Team

NEW CHART (@ 2020-07-29 02:33:31)

One interesting chart we have been looking at today depicts implied volatility across a few asset classes. This chart shows equity (VIX), gold (XAU), JPY (USDJPY), EM FX (JPMVXYEM) and interest rates (SRVIX). What is apparent here is that volatility on interest rates and stocks have steadily declined, but lately gold, JPY and EM FX are bucking the trend and increasing again. 2020 is truly a US dollar story. -LSS Quant Team