Technical Analyst, Vermilion Research

Joe Jasper

Technical Analyst

Technical and Quantitative Research

Vermilion Research

Vermilion’s objective is to deliver timely, actionable, and unique technical research to professional investors through the application of our various technical indicators.

Our research strategists seek to highlight securities which we believe are at major inflection points, based on our various technical and quantitative indicators, and offer asymmetric risk/return profiles. Our unique research methodology, centered on relative strength, enables our strategists to deliver superior investment recommendations.

Our process begins by organizing the universe of actively traded stocks into discrete sectors, then into industry groups. We then apply our technical and quantitative tools to identify developing price trends. Once attractive trends are identified within a selected sector or group, we screen for individual stocks which we believe offer the best risk/reward profile. We provide a historical perspective that often reveals, through our long-term charts, how price patterns often repeat themselves over time.

Technical Analysis

First Trust Dj Internet Ind / Technical Analysis

<ul>
<li>Last week (8/22/23) we discussed our expectations for an oversold bounce due to an overwhelming number of indexes/Sectors/industries testing multi-month supports, combined with Treasury yields and the DXY testing resistance.</li>
<li>The bounce has begun with the SPP ending higher last week for the first time in a month, and it is possible we have seen the lows for this pause/pullback.</li>
<li>A meaningful correction cannot happen if the SPX is above 4300-4325, but we would not be surprised to see another month or more of consolidation between 4300 and 4600.</li>
</ul>


Last week (8/22/23) we discussed our expectations for an oversold bounce due to an overwhelming number of indexes/Sectors/industries testing multi-month supports, combined with Treasury yields and the DXY testing resistance.
The bounce has begun with the SPP ending higher last week for the first time in a month, and it is possible we have seen the lows for this pause/pullback.
A meaningful correction cannot happen if the SPX is above 4300-4325, but we would not be surprised to see another month or more of consolidation between 4300 and 4600.


Oversold Bounce Underway Amid Consolidation Phase; Buys in IT Consulting, Uranium, Technology

Managing Director

Elan Gore

TMI Data Science

TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade & traditional media.  Our proprietary software, TMI Machine, is a text-mining platform designed with the buy-side & capital markets professional in mind, text-mining the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income & individual equities.  TMI provides custom leading indicators and systematic trading strategies, operating at the nexus of linguistics & statistics drawing on vast experience in investment banking and hedge fund settings in senior quantitative and fundamental roles.  

TMI Data Science was founded by Elan Gore, an award-winning Senior Global Basic Materials Equity Analyst & China Economist with 15 years of experience in North American hedge funds & institutional managers; and Alessandro Porrino, Ph.D., an Algorithmic Trading Analyst and Programmer with 10 years of front-office experience ranging from complex FX option pricing to auto-hedging strategies at Bank of America Merrill Lynch and Standard Chartered.  Mr. Gore holds an MBA in Finance from New York University Stern School of Business, and Mr. Porrino holds a Ph.D. in Systems Engineering from Brunel University London.

Cross Asset Strategy

<ul>
<li>Our US Defense Composite Indicator is showing signs of bottoming following pre-election uncertainty; the indicator is strongly correlated with defense prime equity relative returns</li>
<li>The momentum of decline was arrested immediately post-elections as "Blue Wave" predictions failed to materialize, followed on by Biden's announcement of a relatively hawkish Pentagon transition team</li>
<li>Cyclical rotation and an October lull in Department of Defense contracting may have magnified the negative trend, but incoming data suggests the worst may be over</li>
<li>In October, our Hydrogen Economy Sentiment Indicator took a hit as the Nikola (NKLA) scandal unfolded and the GM/NKLA partnership was in doubt</li>
<li>Following some volatility in key hydrogen economy equities, our indicator surged in the MTD on a barrage of positive news flow from multiple auto &amp; truck players, as well as hydrogen infrastructure news; though "Blue Wave" expectations of a supercharged renewables push were initially questioned, the theme resumed its rally in November </li>
</ul><div class="content-highlight">TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. </div>


Our US Defense Composite Indicator is showing signs of bottoming following pre-election uncertainty; the indicator is strongly correlated with defense prime equity relative returns
The momentum of decline was arrested immediately post-elections as "Blue Wave" predictions failed to materialize, followed on by Biden's announcement of a relatively hawkish Pentagon transition team
Cyclical rotation and an October lull in Department of Defense contracting may have magnified the negative trend, but incoming data suggests the worst may be over
In October, our Hydrogen Economy Sentiment Indicator took a hit as the Nikola (NKLA) scandal unfolded and the GM/NKLA partnership was in doubt
Following some volatility in key hydrogen economy equities, our indicator surged in the MTD on a barrage of positive news flow from multiple auto &amp; truck players, as well as hydrogen infrastructure news; though "Blue Wave" expectations of a supercharged renewables push were initially questioned, the theme resumed its rally in November 
TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. 

TMI Snapshots: US Defense Equity Sentiment Bottoming; Hydrogen Economy Sentiment Surges Again

Now that the initial/primary low has been established and with the S&amp;P 500 roughly 20% off the lows, we believe it is time to map out potential areas where this rally could run into resistance. After this type of major waterfall decline there is often a test of the initial low - and there is often an undercut of the initial low. Barring approval of a first-line therapy for COVID-19 (chloroquine/hydroxychloroquine?) we are of the belief that a test of this initial low (likely 2-12 weeks out) and potentially an undercut of roughly 10% are likely.

Now that the initial/primary low has been established and with the S&amp;P 500 roughly 20% off the lows, we believe it is time to map out potential areas where this rally could run into resistance. After this type of major waterfall decline there is often a test of the initial low - and there is often an undercut of the initial low. Barring approval of a first-line therapy for COVID-19 (chloroquine/hydroxychloroquine?) we are of the belief that a test of this initial low (likely 2-12 weeks out) and potentially an undercut of roughly 10% are likely.

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Index Rebalance

<ul>
<li>
<a href="https://www.smartkarma.com/entities/kongsberg-gruppen-asa" target="_blank" data-smartkarma-citation="entities:22235:1" rel="noopener">Kongsberg Gruppen (KOG NO)</a>, <a href="https://www.smartkarma.com/entities/tkms-ag-co-kgaa" target="_blank" data-smartkarma-citation="entities:46044:1" rel="noopener">TKMS (TKMS GR)</a>, <a href="https://www.smartkarma.com/entities/v2x-inc" target="_blank" data-smartkarma-citation="entities:20443:1" rel="noopener">V2X (VVX US)</a>, <a href="https://www.smartkarma.com/entities/voyager-technologies-inc" target="_blank" data-smartkarma-citation="entities:45210:1" rel="noopener">Voyager Technologies (VOYG US)</a> and <a href="https://www.smartkarma.com/entities/red-cat-holdings-inc" target="_blank" data-smartkarma-citation="entities:37829:1" rel="noopener">Red Cat Holdings (RCAT US)</a> will be added to the MarketVector Global Defense Industry Index.</li>
<li>The 5 adds, float changes and capping changes will result in an estimated one-way turnover of 5.3% resulting in a round-trip trade of US$830m.</li>
<li>Most adds have traded higher over the last few months with <a href="https://www.smartkarma.com/entities/v2x-inc" target="_blank" data-smartkarma-citation="entities:20443:1" rel="noopener">V2X</a> breaking out to new highs and <a href="https://www.smartkarma.com/entities/voyager-technologies-inc" target="_blank" data-smartkarma-citation="entities:45210:1" rel="noopener">Voyager Technologies</a> nearing its earlier highs. Positioning could be unwound into strength.</li>
</ul>



Kongsberg Gruppen (KOG NO), TKMS (TKMS GR), V2X (VVX US), Voyager Technologies (VOYG US) and Red Cat Holdings (RCAT US) will be added to the MarketVector Global Defense Industry Index.
The 5 adds, float changes and capping changes will result in an estimated one-way turnover of 5.3% resulting in a round-trip trade of US$830m.
Most adds have traded higher over the last few months with V2X breaking out to new highs and Voyager Technologies nearing its earlier highs. Positioning could be unwound into strength.


MV Global Defense Industry Index Rebalance: 5 Adds; 5.3% Turnover; US$830m Trade

As we write this, fears of a reprisal attack by Saudi Arabia are being priced into the markets. Oil is surging on the back of the largest ever supply disruption in history.  Investment managers are likely caught on the wrong side of the Energy Sector move and were very underweight as the Sector’s performance has, year-to-date, been nothing but an anchor on performance.  The Energy Sector has underperformed for well over a decade and the sector is at its lowest weighting in the S&amp;P 500 going back to 2005. We are taking this opportunity to upgrade the Energy Sector to a Market Weight from an Underweight as we believe retaliatory action is highly likely.The move to value is a trend that we see likely to continue. Small-caps have also done an about face vs large caps (Russell 2000 vs Russell 1000) after having broken to RS lows not seen since 2009. We believe this will result in a move that would likely take us back up to the top of the range assuming a recession is off the table. In this report, we lay out our complete U.S. equity strategy, and make detailed comments and recommendations on each of our 12 Sectors.

 As we write this, fears of a reprisal attack by Saudi Arabia are being priced into the markets. Oil is surging on the back of the largest ever supply disruption in history.  Investment managers are likely caught on the wrong side of the Energy Sector move and were very underweight as the Sector’s performance has, year-to-date, been nothing but an anchor on performance.  The Energy Sector has underperformed for well over a decade and the sector is at its lowest weighting in the S&amp;P 500 going back to 2005. We are taking this opportunity to upgrade the Energy Sector to a Market Weight from an Underweight as we believe retaliatory action is highly likely.The move to value is a trend that we see likely to continue. Small-caps have also done an about face vs large caps (Russell 2000 vs Russell 1000) after having broken to RS lows not seen since 2009. We believe this will result in a move that would likely take us back up to the top of the range assuming a recession is off the table. In this report, we lay out our complete U.S. equity strategy, and make detailed comments and recommendations on each of our 12 Sectors.

U.S. Equity Strategy: Value and Small-Caps Appear to Be on the Cusp of Major Bullish Moves

United States

Leidos Holdings Inc. provides scientific, engineering, systems integration and technical services and solutions. The Company provides its services in the areas of national security, engineering and health.

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Leidos Holdings (LDOS US)

Oversold Bounce Underway Amid Consolidation Phase; Buys in IT Consulting, Uranium, Technology

Our 8/22 expectations for oversold bounce coming to fruition as major multi-month supports hold $SPX $DJI $XLK $ACWI, & Treasury yields $TNX $TYX...

Vermilion Research

TMI Snapshots: US Defense Equity Sentiment Bottoming; Hydrogen Economy Sentiment Surges Again

We see clear signs of a bottom forming in US defense equities with a split government and hawkish Biden Pentagon transition team. In addition, our...

Elan Gore

U.S. Equities: Test Of The Lows Coming?

Now that the initial/primary low has been established and with the S&P 500 roughly 20% off the lows, we believe it is time to map out potential...

Vermilion Research

MV Global Defense Industry Index Rebalance: 5 Adds; 5.3% Turnover; US$830m Trade

The 5 adds, float changes and capping changes result in an estimated one-way turnover of 5.3% and in a round-trip trade of US$830m. Multiple days...

Brian Freitas

U.S. Equity Strategy: Value and Small-Caps Appear to Be on the Cusp of Major Bullish Moves

As we write this, fears of a reprisal attack by Saudi Arabia are being priced into the markets. Oil is surging on the back of the largest ever...

Vermilion Research

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