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Sherpa Trend Signal Updates 2024-03-09
Another week, another 33 signal flips on our trend models (description at the end of you’re new here). All longs. After last week’s bounty, I speculated if that would go down as a notably large signal haul. Turns out its title defense didn’t last a week.
- Total signal flips: 33
- New longs: 33 (27 trad, 6 crypto)
- New shorts: 0
- Best crypto idea: meh.
- While everything pumps in a bull, we don’t like ghost chains (algorand) and ghost narratives (sandbox). Remain long majors and playing L2 airdrop games.
- Best trad idea: Long GOOGL
- Recent AI flubs just noise, still the quintessential tech monopoly
- Huge weight in Nasdaq-100 (flows beget flows)
- Solid sample size (66 signals) but high hit rate (83%) and forward returns (29% median return over next 12 months)
With markets continuing to plumb all-time highs, maybe we shouldn’t be too surprised with the volume. What is surprising to us this week is how broad the participation is from a sector standpoint.
While tech names like Google, Teradyne (TER), Texas Instruments (TXN) are no surprise, we are now seeing signals come from the utility sector (DUK, ED, CMS, ETR, CNP). Pharma (AZN), finance (MET), and other old-economy stalwarts like Kimberly-Clark (KMB) and Hormel Foods (HRL) are getting in on the momentum too.
(Not a ton to talk about in the crypto space, gotta think almost everything has already flipped long.)
You have to wonder if this sort of momentum permeating across sectors speaks to the broader health of the bull market. We shall see!
Let’s get to the sigs..
TRAD
Short Term Trend (3 month lookback)
| Asset | Fwd Return Horizon | Num Signals | Signal Hit Rate | Mean Fwd Return | Median Fwd Return | Fwd Return Std | Signal Direction |
|---|---|---|---|---|---|---|---|
| Devon Energy Corp (DVN) | 1m Fwd Return | 130 | 56.2% | 0.3% | 1.2% | 11.8% | Long |
| Devon Energy Corp (DVN) | 3m Fwd Return | 130 | 56.9% | 2.3% | 2.3% | 20.8% | Long |
| Devon Energy Corp (DVN) | 12m Fwd Return | 126 | 55.6% | 8.1% | 3.1% | 44.1% | Long |
| FMC Corp (FMC) | 1m Fwd Return | 142 | 59.2% | 1.3% | 1.5% | 9.3% | Long |
| FMC Corp (FMC) | 3m Fwd Return | 141 | 58.9% | 4.2% | 3.6% | 15.0% | Long |
| FMC Corp (FMC) | 12m Fwd Return | 141 | 68.1% | 12.4% | 17.3% | 33.5% | Long |
| Alphabet Inc - Class C (GOOG) | 1m Fwd Return | 40 | 57.5% | 0.4% | 0.5% | 6.5% | Long |
| Alphabet Inc - Class C (GOOG) | 3m Fwd Return | 38 | 65.8% | 3.5% | 4.7% | 11.2% | Long |
| Alphabet Inc - Class C (GOOG) | 12m Fwd Return | 35 | 82.9% | 21.1% | 25.3% | 27.9% | Long |
| Alphabet Inc - Class A (GOOGL) | 1m Fwd Return | 71 | 57.7% | 1.3% | 1.4% | 8.0% | Long |
| Alphabet Inc - Class A (GOOGL) | 3m Fwd Return | 69 | 66.7% | 5.6% | 4.4% | 12.9% | Long |
| Alphabet Inc - Class A (GOOGL) | 12m Fwd Return | 66 | 83.3% | 23.7% | 28.9% | 25.5% | Long |
| Hormel Foods Corp (HRL) | 1m Fwd Return | 131 | 56.5% | 0.6% | 0.7% | 6.1% | Long |
| Hormel Foods Corp (HRL) | 3m Fwd Return | 131 | 54.2% | 1.1% | 1.2% | 9.7% | Long |
| Hormel Foods Corp (HRL) | 12m Fwd Return | 128 | 78.9% | 13.1% | 12.8% | 19.7% | Long |
| International Flavors & Fragrances Inc (IFF) | 1m Fwd Return | 166 | 51.2% | 0.1% | 0.4% | 8.4% | Long |
| International Flavors & Fragrances Inc (IFF) | 3m Fwd Return | 166 | 59.0% | 1.2% | 2.3% | 12.3% | Long |
| International Flavors & Fragrances Inc (IFF) | 12m Fwd Return | 165 | 60.0% | 4.9% | 8.8% | 25.6% | Long |
| NiSource Inc (NI) | 1m Fwd Return | 131 | 53.4% | 0.3% | 0.3% | 5.3% | Long |
| NiSource Inc (NI) | 3m Fwd Return | 129 | 59.7% | 1.7% | 2.2% | 9.9% | Long |
| NiSource Inc (NI) | 12m Fwd Return | 122 | 70.5% | 12.6% | 12.3% | 24.1% | Long |
Long Term Trend (12 month lookback)
| Asset | Fwd Return Horizon | Num Signals | Signal Hit Rate | Mean Fwd Return | Median Fwd Return | Fwd Return Std | Signal Direction |
|---|---|---|---|---|---|---|---|
| Agilent Technologies Inc (A) | 1m Fwd Return | 48 | 54.2% | -0.2% | 0.4% | 8.5% | Long |
| Agilent Technologies Inc (A) | 3m Fwd Return | 48 | 54.2% | -1.1% | 0.4% | 15.0% | Long |
| Agilent Technologies Inc (A) | 12m Fwd Return | 44 | 63.6% | 5.9% | 10.9% | 26.9% | Long |
| Astrazeneca plc (AZN) | 1m Fwd Return | 48 | 56.2% | 1.5% | 0.8% | 7.1% | Long |
| Astrazeneca plc (AZN) | 3m Fwd Return | 45 | 57.8% | 3.0% | 1.9% | 12.8% | Long |
| Astrazeneca plc (AZN) | 12m Fwd Return | 43 | 76.7% | 11.9% | 12.8% | 17.0% | Long |
| CMS Energy Corporation (CMS) | 1m Fwd Return | 52 | 63.5% | 1.3% | 1.9% | 4.9% | Long |
| CMS Energy Corporation (CMS) | 3m Fwd Return | 52 | 73.1% | 4.3% | 3.1% | 9.7% | Long |
| CMS Energy Corporation (CMS) | 12m Fwd Return | 51 | 78.4% | 14.5% | 15.5% | 26.8% | Long |
| Centerpoint Energy Inc (CNP) | 1m Fwd Return | 88 | 50.0% | 0.1% | 0.1% | 6.9% | Long |
| Centerpoint Energy Inc (CNP) | 3m Fwd Return | 87 | 54.0% | 1.9% | 0.9% | 11.8% | Long |
| Centerpoint Energy Inc (CNP) | 12m Fwd Return | 83 | 62.7% | 13.0% | 12.9% | 24.6% | Long |
| Duke Energy Corp (DUK) | 1m Fwd Return | 64 | 48.4% | -0.3% | -0.2% | 5.3% | Long |
| Duke Energy Corp (DUK) | 3m Fwd Return | 62 | 62.9% | 2.9% | 2.3% | 9.3% | Long |
| Duke Energy Corp (DUK) | 12m Fwd Return | 61 | 83.6% | 14.7% | 16.7% | 20.0% | Long |
| iShares Select Dividend ETF (DVY) | 1m Fwd Return | 18 | 72.2% | 2.4% | 1.8% | 3.7% | Long |
| iShares Select Dividend ETF (DVY) | 3m Fwd Return | 17 | 76.5% | 5.2% | 3.6% | 7.8% | Long |
| iShares Select Dividend ETF (DVY) | 12m Fwd Return | 13 | 61.5% | 5.4% | 14.3% | 17.8% | Long |
| Consolidated Edison Inc (ED) | 1m Fwd Return | 101 | 55.4% | 0.3% | 0.9% | 5.2% | Long |
| Consolidated Edison Inc (ED) | 3m Fwd Return | 101 | 59.4% | 1.8% | 1.6% | 7.3% | Long |
| Consolidated Edison Inc (ED) | 12m Fwd Return | 98 | 79.6% | 12.3% | 13.0% | 15.7% | Long |
| Equity Residential Properties Trust (EQR) | 1m Fwd Return | 49 | 49.0% | 0.0% | 0.0% | 6.1% | Long |
| Equity Residential Properties Trust (EQR) | 3m Fwd Return | 48 | 60.4% | 0.6% | 1.8% | 10.8% | Long |
| Equity Residential Properties Trust (EQR) | 12m Fwd Return | 46 | 71.7% | 14.5% | 21.8% | 23.7% | Long |
| Entergy Corp (ETR) | 1m Fwd Return | 99 | 57.6% | 1.5% | 1.0% | 5.6% | Long |
| Entergy Corp (ETR) | 3m Fwd Return | 98 | 70.4% | 3.7% | 4.0% | 9.2% | Long |
| Entergy Corp (ETR) | 12m Fwd Return | 95 | 67.4% | 10.6% | 10.5% | 20.0% | Long |
| Hewlett Packard Enterprise Company (HPE) | 1m Fwd Return | 16 | 50.0% | -1.0% | -1.0% | 9.1% | Long |
| Hewlett Packard Enterprise Company (HPE) | 3m Fwd Return | 14 | 64.3% | 8.3% | 5.6% | 16.0% | Long |
| Hewlett Packard Enterprise Company (HPE) | 12m Fwd Return | 12 | 50.0% | 4.1% | 1.5% | 25.4% | Long |
| HP Inc (HPQ) | 1m Fwd Return | 106 | 55.7% | 0.8% | 1.9% | 9.8% | Long |
| HP Inc (HPQ) | 3m Fwd Return | 106 | 54.7% | 3.0% | 0.9% | 16.0% | Long |
| HP Inc (HPQ) | 12m Fwd Return | 103 | 60.2% | 16.0% | 7.4% | 40.3% | Long |
| Kimberly-Clark Corp (KMB) | 1m Fwd Return | 83 | 57.8% | 1.7% | 1.5% | 6.4% | Long |
| Kimberly-Clark Corp (KMB) | 3m Fwd Return | 83 | 54.2% | 1.5% | 0.8% | 8.3% | Long |
| Kimberly-Clark Corp (KMB) | 12m Fwd Return | 79 | 74.7% | 9.4% | 9.6% | 15.6% | Long |
| Metlife Inc (MET) | 1m Fwd Return | 45 | 62.2% | 2.0% | 1.4% | 7.0% | Long |
| Metlife Inc (MET) | 3m Fwd Return | 44 | 65.9% | 4.3% | 3.4% | 14.3% | Long |
| Metlife Inc (MET) | 12m Fwd Return | 41 | 46.3% | 6.4% | -0.9% | 29.9% | Long |
| PPL Corp (PPL) | 1m Fwd Return | 49 | 65.3% | 1.8% | 2.6% | 8.9% | Long |
| PPL Corp (PPL) | 3m Fwd Return | 49 | 55.1% | 0.9% | 1.0% | 9.4% | Long |
| PPL Corp (PPL) | 12m Fwd Return | 43 | 76.7% | 12.1% | 10.1% | 16.3% | Long |
| Teradyne Inc (TER) | 1m Fwd Return | 65 | 56.9% | 1.6% | 3.7% | 9.1% | Long |
| Teradyne Inc (TER) | 3m Fwd Return | 64 | 70.3% | 5.3% | 5.6% | 19.2% | Long |
| Teradyne Inc (TER) | 12m Fwd Return | 61 | 68.9% | 19.1% | 12.6% | 47.1% | Long |
| Texas Instruments Inc (TXN) | 1m Fwd Return | 101 | 54.5% | 1.9% | 0.7% | 8.9% | Long |
| Texas Instruments Inc (TXN) | 3m Fwd Return | 100 | 58.0% | 5.0% | 4.6% | 19.3% | Long |
| Texas Instruments Inc (TXN) | 12m Fwd Return | 94 | 64.9% | 14.9% | 9.0% | 38.3% | Long |
CRYPTO
Short Term Trend (3 month lookback)
| Asset | Fwd Return Horizon | Num Signals | Signal Hit Rate | Mean Fwd Return | Median Fwd Return | Fwd Return Std | Signal Direction |
|---|---|---|---|---|---|---|---|
| IOTA (iota) | 1m Fwd Return | 35 | 40.0% | 3.3% | -6.6% | 42.4% | Long |
| IOTA (iota) | 3m Fwd Return | 35 | 48.6% | 32.3% | -0.2% | 124.8% | Long |
| IOTA (iota) | 12m Fwd Return | 31 | 35.5% | 74.6% | -33.7% | 255.8% | Long |
Long Term Trend (12 month lookback)
| Asset | Fwd Return Horizon | Num Signals | Signal Hit Rate | Mean Fwd Return | Median Fwd Return | Fwd Return Std | Signal Direction |
|---|---|---|---|---|---|---|---|
| Algorand (algorand) | 1m Fwd Return | 5 | 20.0% | -16.6% | -14.2% | 20.9% | Long |
| Algorand (algorand) | 3m Fwd Return | 4 | 25.0% | 69.2% | -10.7% | 182.8% | Long |
| Algorand (algorand) | 12m Fwd Return | 4 | 100.0% | 361.1% | 433.0% | 179.6% | Long |
| Kava (kava) | 1m Fwd Return | 2 | 50.0% | 12.6% | 12.6% | 37.2% | Long |
| Kava (kava) | 3m Fwd Return | 1 | 0.0% | -23.8% | -23.8% | nan% | Long |
| Kava (kava) | 12m Fwd Return | 1 | 0.0% | -75.6% | -75.6% | nan% | Long |
| The Sandbox (the-sandbox) | 1m Fwd Return | 4 | 0.0% | -19.2% | -16.7% | 9.6% | Long |
| The Sandbox (the-sandbox) | 3m Fwd Return | 3 | 0.0% | -34.0% | -40.8% | 16.0% | Long |
| The Sandbox (the-sandbox) | 12m Fwd Return | 3 | 0.0% | -65.1% | -66.0% | 6.0% | Long |
| Shiba Inu (shiba-inu) | 1m Fwd Return | 3 | 33.3% | 0.8% | -6.7% | 17.8% | Long |
| Shiba Inu (shiba-inu) | 3m Fwd Return | 3 | 100.0% | 85.8% | 12.2% | 130.4% | Long |
| Shiba Inu (shiba-inu) | 12m Fwd Return | 2 | 0.0% | -23.2% | -23.2% | 5.7% | Long |
| Toncoin (the-open-network) | 1m Fwd Return | 5 | 20.0% | -7.0% | -12.4% | 15.5% | Long |
| Toncoin (the-open-network) | 3m Fwd Return | 4 | 25.0% | -9.0% | -15.2% | 33.8% | Long |
| Toncoin (the-open-network) | 12m Fwd Return | 1 | 0.0% | -12.9% | -12.9% | nan% | Long |
Nothing but green lights for now in trend land. 🟢 When that wave crests, you’ll read it here first.
until next week 🤙🏼
macro sherpa
Quick recap on the models:
- On the site we maintain daily time series momentum models with 3-month and 12-month lookback windows for hundreds of assets, ranging from s&p 500 constituents, sector, asset class, and country ETF's, to the top 100 cryptocurrencies by market cap. These signals come from this universe.
- The signals are calculated on a daily close basis, and for the purposes of this report, a new signal must persist for 5 days in order to be considered valid. The five days is arbitrary, but its a solid first-pass naive filter to help reduce chop and reduce market noise.