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NEW QUICK VIEW (@ 2020-07-26 17:15:06)
Markets in Asia have opened with the dollar going ever weaker. DXY is ticking down to 94.4 and technically looks like it may be headed to 88. Gold is up another .7% and we are seeing strength in JPY with the EUR and AUD still moving around indecisively. Bitcoin broke 10K on Sunday and bounced back a little but is now swinging up again, which comes against the backdrop of currently lower moving S&P stock futures (E-mini). The trend breaking narrative we first discussed last week remains intact, although our signals remain LONG on the S&P indicating we may see range-bound trading. Elsewhere in markets we see US rates little changed, oil a tad weaker at 43.2 and no huge changes across the EM FX complex. -LSS Quant Team

NEW QUICK VIEW (@ 2020-07-26 04:54:23)
... and Bitcoin just showed a $500 green candle. Predictably a lot of the altcoins got whipsawed (much of the crypto market is traded in BTC terms, making Bitcoin the granddaddy of all crypto assets in a very similar role as USD in traditional financial markets), but they are in fact just cooling off from the immense strength shown earlier today. This is something we saw coming, as per our note on Friday: “I just wonder if we may be witnessing a third trend break that will catch everybody off guard. As long as there is not an obvious catalyst for stocks strongly dropping again (but remember - the market never does what you think is most obvious) crypto may for now be able to shake off the relationship with traditional markets, and we may be ready for some range-bound stock trading and eventually skyrocketing crypto.” -LSS Quant Team

NEW DATA INSIGHT (@ 2020-07-26 03:21:23)
LongShortSignal now tracks Google Trends for all assets that we cover (and even some we do not publicly show)! As of today, the largest declines in Google search popularity compared to a month ago were seen for Crude oil (-34), EM Equity (-33), Nikkei 225 (-19) and Japanese yen (-19). Meanwhile the largest increases in search popularity were seen for US Treasury Bonds (67), US dollar index (64), Ethereum (50) and EM LC Bonds (44). -Albert Ingles

NEW QUICK VIEW (@ 2020-07-26 01:01:35)
Wow... what an amazing return on our crypto model portfolio earlier today! +5.2% on daily basis, which easily ranks in one of the top 10 returns year-to-date. The main driving forces were Cardano (contributing +1.5%), Litecoin (+1.2%), Ethereum (+0.9%) and EOS (+0.5%). Our model portfolio is now up +276% during 2020, beating not only Bitcoin by a huge margin (it did +40% so far), but also many of the smaller altcoins. Best of all, it has done this with a volatility of 46%, which is significantly lower volatility than altcoins like Cardano which have been flying (+329% return and 90% vol). -LSS Quant Team

NEW DAILY MODEL PORTFOLIO RETURN (@ 2020-07-26 00:00:00)
Latest daily return for the model portfolio: -0.02%. (Sign up or upgrade to Premium to see attribution and model portfolio composition).

NEW DAILY CRYPTO MODEL PORTFOLIO RETURN (@ 2020-07-26 00:00:00)
Latest daily return for the crypto model portfolio: 5.21%. (Sign up or upgrade to Crypto or Premium to see attribution and model portfolio composition).

NEW DATA INSIGHT (@ 2020-07-25 21:23:23)
Correlation calculations have completed based on the latest market data. Average cross asset correlation over the last 3 months came in at 0.20 (3 weeks ago it was 0.18 which means correlations are rising). Maximum correlation between any pair was 0.70 (3 weeks ago it was 0.72), and minimum correlation between any pair was -0.57 (3 weeks ago it was -0.57). A few randomly picked correlation pairs are: LSS Model Portfolio - S&P500: 0.52. Nikkei 225 - Bitcoin Cash: 0.07. Bitcoin - Ethereum: 0.61. -Albert Ingles

NEW DATA INSIGHT (@ 2020-07-25 20:46:09)
The largest latest daily returns (in absolute or negative sense) were on Cardano (13.67%), followed by Litecoin (10.48%), Ethereum (7.80%), Bitcoin SV (7.66%) and Bitcoin Cash (7.26%). -Albert Ingles

NEW DATA INSIGHT (@ 2020-07-25 20:46:07)
The latest performance calculations have been updated. Month-to-date performance on VeChain was the highest at 95.21% (our signals delivered 78.24%). Second and third highest came from ChainLink and Cardano which delivered 62.70%(vs 62.70% in our models) and 47.71% (vs 47.71% in our models) respectively. On the negative side, the lowest returns came from US Treasury Bonds with a return of 1.32% (our signals delivered 1.32%). Second and third worst came from Japanese yen and Cardano which delivered 1.64% (vs 1.64% in our models) and 2.08% (vs -3.43% in our models) respectively. -Albert Ingles

NEW DATA INSIGHT (@ 2020-07-25 20:46:05)
Daily risk numbers have been updated. The 1 month 99% VaR (statistical max. expected loss over a one month period with 99% certainty, assuming a normal statistical distribution) for Stellar came in at 50.4% (a month ago it was 35.3% so it has been rising). Meanwhile, VaR for ChainLink came in at 87.3% (previously 35.7% meaning it has been rising). Finally, for Monero we see VaR at 22.3% (which was 26.5% meaning it has been falling). -Albert Ingles

NEW QUICK VIEW (@ 2020-07-25 20:45:00)
Cardano (ADA) is breaking from the altcoin pack again today, rising 10.82% in the last 24 hours to a new long-term high of $0.14426. Whilst primarily fundamental, as we are long-term proponents of this revolutionary defi project, both technical and momentum forces are helping to drive this large move. Cardano is part of our ‘flagship’ model portfolio and our crypto portfolio, and for good reason is still a LONG. -LSS Quant Team

NEW DATA INSIGHT (@ 2020-07-25 17:48:25)
The latest performance calculations have been updated. Month-to-date performance on VeChain was the highest at 95.21% (our signals delivered 78.24%). Second and third highest came from ChainLink and Cardano which delivered 62.70%(vs 62.70% in our models) and 47.71% (vs 47.71% in our models) respectively. On the negative side, the lowest returns came from US Treasury Bonds with a return of 1.32% (our signals delivered 1.32%). Second and third worst came from Japanese yen and Cardano which delivered 1.64% (vs 1.64% in our models) and 2.08% (vs -3.43% in our models) respectively. -Albert Ingles

NEW DATA INSIGHT (@ 2020-07-25 17:48:25)
The largest latest daily returns (in absolute or negative sense) were on ChainLink (-4.21%), followed by Tezos (-2.86%), Binance Coin (2.61%), Ethereum (2.40%) and VeChain (-2.23%). -Albert Ingles

NEW QUICK VIEW (@ 2020-07-25 17:26:29)
The cryptocurrency world just keeps surprising. Up until yesterday, this month alone we had seen Cardano up +47%, ChainLink up +63% and VeChain up 95%. In the case of Cardano (one of our hands down favorite projects in the space) we captured this entire ride up and had you LONG all the way in both individual signal and model portfolios. For VeChain our long model did +78% which is slightly less than the asset itself, but keep in mind we had you out entirely in March where VeChain dropped like a rock and lost nearly half its value... I continue to believe our models are particularly well suited to invest in cryptocurrencies. Happy Sunday all. -LSS Quant Team

NEW DATA INSIGHT (@ 2020-07-25 17:15:47)
Daily risk numbers have been updated. The 1 month 99% VaR (statistical max. expected loss over a one month period with 99% certainty, assuming a normal statistical distribution) for Cardano came in at 50.4% (a month ago it was 49.3% so it has been rising). Meanwhile, VaR for Crypto.com Coin came in at 17.7% (previously 39.0% meaning it has been falling). Finally, for Bitcoin we see VaR at 12.0% (which was 24.8% meaning it has been falling). -Albert Ingles

NEW DATA INSIGHT (@ 2020-07-25 03:36:53)
Correlation calculations have completed based on the latest market data. Average cross asset correlation over the last 3 months came in at 0.20 (3 weeks ago it was 0.18 which means correlations are rising). Maximum correlation between any pair was 0.70 (3 weeks ago it was 0.72), and minimum correlation between any pair was -0.57 (3 weeks ago it was -0.57). A few randomly picked correlation pairs are: Model Portfolio Crypto - Global High Yield: 0.14. Gold - Ripple: 0.20. US Treasury Bonds - Cardano: -0.11. -Albert Ingles

NEW QUICK VIEW (@ 2020-07-25 03:02:37)
Good evening LSS Premium and Crypto members. Quick update to let you know we have added this "feed" section which features all of the latest signals, research and views in one convenient place, coupled with daily modelportfolio returns (and soon to add more we are sure). In addition, we have added this QUICK VIEWS section where we will be sharing some quick signal and market insights with you all in due course. Enjoy your weekend. -Albert Ingles

NEW DAILY MODEL PORTFOLIO RETURN (@ 2020-07-25 00:00:00)
Latest daily return for the model portfolio: 0.16%. (Sign up or upgrade to Premium to see attribution and model portfolio composition).

NEW DAILY CRYPTO MODEL PORTFOLIO RETURN (@ 2020-07-25 00:00:00)
Latest daily return for the crypto model portfolio: -0.51%. (Sign up or upgrade to Crypto or Premium to see attribution and model portfolio composition).

NEW DAILY TRADITIONAL MODEL PORTFOLIO RETURN (@ 2020-07-25 00:00:00)
Latest daily return for the traditional model portfolio: -0.05%. (Sign up or upgrade to Premium to see attribution and model portfolio composition).

NEW VIEW (@ 2020-07-24 11:28:09)
Weekend thoughts on the market (July 24th 2020): I make it a habit to study both the micro structure and the macro structure of the market. What I mean by that is that I may spend a lot of time looking through correlation matrices, studying market structure and broader patterns over longer term data, but despite not really being much of a day trader I also find myself glued to Bloomberg screens daily to watch the minute and second ticks of a large number of asset classes. The reason I do that is that I believe often the micro charts provide information about market changes that are going to go on to become longer term trends. (est. 2 minutes reading time)

NEW SIGNAL (@ 2020-07-24 00:00:00)
New signal for S&P500: *LONG*. Our model flipped short on the S&P on 21st June, and is now flipping back long again after realizing all of a +0.7% positive return. But nevermind, let us focus on the fact that our long and short signals model has outperformed the S&P500 (just about positive for the year but hanging in the balance) by a whopping +19%. That's a result we're pretty satisfied/smug about! (See all signals here)

NEW DAILY MODEL PORTFOLIO RETURN (@ 2020-07-24 00:00:00)
Latest daily return for the model portfolio: 0.53%. (Sign up or upgrade to Premium to see attribution and model portfolio composition).

NEW DAILY CRYPTO MODEL PORTFOLIO RETURN (@ 2020-07-24 00:00:00)
Latest daily return for the crypto model portfolio: 0.97%. (Sign up or upgrade to Crypto or Premium to see attribution and model portfolio composition).

NEW DAILY TRADITIONAL MODEL PORTFOLIO RETURN (@ 2020-07-24 00:00:00)
Latest daily return for the traditional model portfolio: 0.30%. (Sign up or upgrade to Premium to see attribution and model portfolio composition).

NEW DAILY MODEL PORTFOLIO RETURN (@ 2020-07-23 00:00:00)
Latest daily return for the model portfolio: 0.56%. (Sign up or upgrade to Premium to see attribution and model portfolio composition).

NEW DAILY CRYPTO MODEL PORTFOLIO RETURN (@ 2020-07-23 00:00:00)
Latest daily return for the crypto model portfolio: 3.70%. (Sign up or upgrade to Crypto or Premium to see attribution and model portfolio composition).

NEW DAILY TRADITIONAL MODEL PORTFOLIO RETURN (@ 2020-07-23 00:00:00)
Latest daily return for the traditional model portfolio: 0.10%. (Sign up or upgrade to Premium to see attribution and model portfolio composition).

NEW SIGNAL (@ 2020-07-22 00:00:00)
New signal for S&P500: *SHORT*. This new SHORT signal for SPX closes the previous LONG signal which was held for 99 days at a return of 18.5%. It has captured a large portion of the rebound since the Covid-19 March sell-off up to where the underlying is now relatively flat year-to-date. The long/short model is up 18.5%, whilst long-only is 15.1% and the underlying's buy and hold return is up 2.5% ytd. Whilst a SHORT signal here is better expressed as part our 'flagship' Model Portfolio which contributes a 20% weighting to it. Given the other signals within the portfolio are all long, high correlations suggest, our portfolio should continue to perform even if the market remains buoyant. (See all signals here)

NEW DAILY MODEL PORTFOLIO RETURN (@ 2020-07-22 00:00:00)
Latest daily return for the model portfolio: 0.20%. (Sign up or upgrade to Premium to see attribution and model portfolio composition).

NEW DAILY CRYPTO MODEL PORTFOLIO RETURN (@ 2020-07-22 00:00:00)
Latest daily return for the crypto model portfolio: 1.66%. (Sign up or upgrade to Crypto or Premium to see attribution and model portfolio composition).

NEW DAILY TRADITIONAL MODEL PORTFOLIO RETURN (@ 2020-07-22 00:00:00)
Latest daily return for the traditional model portfolio: 0.78%. (Sign up or upgrade to Premium to see attribution and model portfolio composition).

NEW DAILY MODEL PORTFOLIO RETURN (@ 2020-07-21 00:00:00)
Latest daily return for the model portfolio: 0.23%. (Sign up or upgrade to Premium to see attribution and model portfolio composition).

NEW DAILY CRYPTO MODEL PORTFOLIO RETURN (@ 2020-07-21 00:00:00)
Latest daily return for the crypto model portfolio: -1.87%. (Sign up or upgrade to Crypto or Premium to see attribution and model portfolio composition).

NEW DAILY TRADITIONAL MODEL PORTFOLIO RETURN (@ 2020-07-21 00:00:00)
Latest daily return for the traditional model portfolio: 0.32%. (Sign up or upgrade to Premium to see attribution and model portfolio composition).

NEW SIGNAL (@ 2020-07-20 00:00:00)
New signal for Bitcoin: *LONG*. We have a new LONG signal for Bitcoin which closes the previous short for a scratch trade. Bitcoin's supporting quantitative model has been calibrated to capture the majority of market movement within this asset for the past decade. What we are seeing now in this coiling tight range has produced some noisy signals resulting in very minor losses. We are anticipating a larger move soon and we trust our models will be on the right side of that to continue its outperformance. (See all signals here)

NEW DAILY MODEL PORTFOLIO RETURN (@ 2020-07-20 00:00:00)
Latest daily return for the model portfolio: 0.07%. (Sign up or upgrade to Premium to see attribution and model portfolio composition).

NEW DAILY CRYPTO MODEL PORTFOLIO RETURN (@ 2020-07-20 00:00:00)
Latest daily return for the crypto model portfolio: 1.55%. (Sign up or upgrade to Crypto or Premium to see attribution and model portfolio composition).