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Chart: Quants Strategy

May 2020

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Top 20 Index Longs Based on Momentum

MLIndexnameweek1monthytd6months1yrRank
JGOLD IndexFTSEFTSE/JSE AFRICA GOLD MNG-10.85-11.4213.1741.83144.1340.92
FNGDTSWR IndexFNGuide IncFnGuide Inc Software Index8.1625.1626.8535.5458.6131.87

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Top 20 Index Shorts Based on Momentum

MLIndexnameweek1monthytd6months1yrRank
SIBF3M IndexThe Association of Banks in SiAssociation of Banks in Singap-1.52-41.3-68.95-68.85-72.51-46.05
US0012M IndexICE Benchmark AdministrationICE LIBOR USD 12 Month-3.49-26.31-65.85-65.08-73.97-42.21

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Top 20 Funds Longs Based on Momentum

Name1week1monthytd6months1yrRank
49 NORTH RESOURCES INC (FNR)44.0668.488.55221.1539.7893.35
UBS HANA AMBATOVY NICKEL OVERSEAS INVESTMENT COMPANY 1 (099340)-0.91-8.74120.12124.12123.2459.43

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Top 20 Funds Shorts Based on Momentum

Name1week1monthytd6months1yrRank
VELOCITYSHARES 3X LONG NATURAL GAS ETN (UGAZ)2.84-38.38-76.18-81.26-92.8-52.40
DIREXION DAILY BRAZIL BULL 3X SHARES (BRZU)23.8928.29-95.27-93.17-92.13-33.28

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Top 5 Commodities Longs Based on Momentum

Tickernameunitsweek1monthytd6months1yrRank
RR1 ComdtyRough Rice (CBOT)USD/cwt15.1915.1922.7534.9046.0527.83
XB1 ComdtyRBOB Gasoline (Nymex)USd/gal.94.9994.99-38.85-35.80-46.4626.93

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Top 5 Commodities Shorts Based on Momentum

Tickernameunitsweek1monthytd6months1yrRank
HO1 ComdtyHeating Oil (Nymex)USd/gal.3.823.82-50.81-47.83-51.02-22.80
QS1 ComdtyGasoil (Nymex)USD/MT8.888.88-51.06-47.92-52.43-20.65

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Top Quantamental Picks
(Best Quality, Growth and Value)
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Top Momentum Picks

country
AUSTRALIA
AUSTRIA

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Top Momentum Longs Across All Countries

TickerCompanysectorrank
TSLA USTesla IncConsumer Discretionary0.93
4519 JPChugai Pharmaceutical Co LtdHealth Care0.56

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Top Momentum Shorts Across All Countries

TickerCompanysectorrank
1128 HKWynn Macau LtdConsumer Discretionary
1157 HKZoomlion Heavy Industry Science and Technology Co LtdIndustrials

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Top Momentum Bond Picks

CountryUSDDebtLocalCurDebt
Zambia Zambia
Vietnam Vietnam

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Top Long Global Bond Picks Any FX

IsinNameSectorCouponMaturityYTWrank
USG27634AA56DIGICEL GROUP ONE LTD RegSIndustrial8.25Sep 30, 202222.52-39.9
TRT220921T18TURKEY (REPUBLIC OF)Treasuries9.20Sep 22, 20218.66-23.7

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Top Short Global Bond Picks All FX

IsinNameSectorCouponMaturityYTWrank
XS1331156684SWISSPORT INVESTMENTS SA RegSTransportation6.75Dec 15, 202150.00180.4
US428040CN71HERTZ CORPTransportation6.25Oct 15, 202250.00162.2

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