Tuesday, February 26, 2013

When we wrote about Silvio Berlusconi last Thursday it wasn’t meant as an endorsement.  We were simply highlighting the SPDR DJ EURO STOXX 50 Fund (FEZ) and its 7th place rank.  Well, the Italians look to be buying back the beat of that heart grown cold which has solidified the US dominance of Quant’s upper ranks.  All of the top ten are US funds and our friend FEZ has dropped down to 40th place.

33 places isn’t all that much considering the circumstances.  The fund’s technical score was nothing special to begin with and has only dropped a couple of points down to 56.1.  Being a couple of percent cheaper gave the Fundamental Score a little boost up to a decent 78.4 but the sentiment score fell about 24 points down to 67.2.  Shorts are stable at 85.6 and volatility picked up to 92.3 from 89.4 on Thursday; Quant likes high volatility as scored in its proprietary way.  It’s the puts getting covered that caused the drop in rank as the put/call score dropped from 98.5 to 58.1.  The action provides a good example of how Quant reacts to market movements.  As far as the rest of Europe goes, we see positive and negative reactions but the names we’ve highlighted over recent days hold similar ranks today.  Italy’s EWI gained about 80 positions from Thursday up to 346th place out of 773 funds in today’s rankings, but that is lower than it was on Wednesday as it wallows in the lower ranks with a terrible 19.1 technical score.

So through all the echoes, Quant sees things similarly now that Silvio is back in the mix.  He’s as honest as the next jade rolling that stone, he came knocking and his people threw him a bone.  Those puts and calls can swing quickly so we’ll keep our eyes on anything that Quant sees as meaningful.  Maybe we’ll get Bernanke to put some calm to our markets when he flies his helicopter over to Congress today.  We’ll be back tomorrow to let you know.  Arrivederci.

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