US Equity Markets: Calm Consolidation?

By Jeffrey Cohen, US Advanced Computing Infrastructure, Inc.

Variance of market prices continues to fall.
$SPY variance is now 3.2 x 10-5 on a base 10 power log.
It was 3.6 x 10-5 not that long ago.

Expected market returns and risk free rates of return are approaching parity. Why invest in this case?
Riskfree rate                    =  5.20%
Actual SPY return                =  3.90%
Use floor S&P500 rate            =  8.00%
Actual IWM return                =  1.72%
Use floor Russell 2000 rate      =  8.00%
Actual QQQ return                =  14.62%
Use actual NASDAQ 100 rate            =  14.62%
===========================================
Expected market return           =  5.01%


 Market index floor and ceilings 8.00% 20.00%
 Risk Free return:               5.20%

There are still many stocks listed on US exchanges that are doing business, or have their HQ, in other countries. The list is long and remember that we found that these stocks have higher variance than US operating companies. If you want a little more excitement, go with foreign names. (We provide a list of all companies that pass data validation that are foreign domiciled, and the country).
If the BEAR market was truly running, I would expect to see these listings drop away over time.

We are analyzing 3,014 stocks today, with a market capitalization over $10MM. We did remove a few outliers, ok, maybe a few hundred of them. Those were business Development Corporations and stock holding companies. We also removed companies paying one-time dividends that skew our results.

The six best individual stocks in today's run, after removing $AFRM which is the #1 stock, are all statistically insignificantly better than the $SPY. We see old friends in this list, and one brand new entrant. $SQ $CZR $U $SYNA $TROW $BX before we get to $QQQ $SPY $SHY and $IWM. This does not mean these stocks will go up, but that their risk is down while their BETA is up (relatively speaking). So, they provide a 'wild ride' but you also get to wear seat belts.

The stocks with very high volume relative to last year are mostly new names. These might be due to earnings, or speculators placing their bets in small cap stocks.

Our model prefers high BETA stocks over low BETA stocks today.

Our model found the same portfolio, or only slightly different, with 11 stocks held evenly. This is across the different solver and search methods. These are new economy stocks, with a strong proportion exposed to bitcoin.

The ending portfolio has between 11 and 17 stocks within a 10% range of ALPHA. These portfolios have these stocks held evenly.

Dividends are higher than I recall in a while. This is most likely a combination of high historical dividends paid out in the past year, and low stock prices.

There are many negative BETA stocks in the list today. Did you know that Chicago Quantum is the home of the Negative BETA stock list?

$AGLE   -0.048 Aeglea BioTherapeutics Inc                        
$AKRO   -0.314 Akero Therapeutics Inc                            
$CANO   -0.033 Cano Health Inc                                   
$CDTX   -0.298 Cidara Therapeutics Inc                           
$CPK    -0.834 Chesapeake Utilities Corp                         
$CR     -0.039 Crane Co                                          
$RLMD   -0.145 Relmada Therapeutics Inc                          
$SQQQ   -3.696 ProShares UltraPro Short QQQ -3x Shares           
$TZA    -3.330 Direxion Daily Small Cap Bear 3X Shares           
$UUP    -0.221 Invesco DB US Dollar Index Bullish Fund           
$UVXY   -2.808 ProShares Ultra VIX Short-Term Futures ETF 2x Shares
$VERU   -0.183 Veru Inc                                          
$VIXY   -1.898 ProShares VIX Short-Term Futures ETF   

Final point is that we see more stocks undergoing a stock split, with about an even number being reverse stock splits. My guess is that this is becoming more common...and therefore less of a factor in ongoing stock price movements. Some of these were paid in stock, and others were business divestitures, while others were paid in cash.

A number above 1.0 means a reverse split, where the number of shares outstanding is reduced to raise the stock price (usually above $1.00).

$ABEO     25.00 Abeona Therapeutics Inc                           
$ADEA      0.50 Adeia Inc                                         
$ALPP      8.00 Alpine 4 Holdings Inc                             
$AMC       0.61 AMC Entertainment Holdings Inc                    
$AMRK      0.50 A-Mark Precious Metals Inc                        
$AMZN      0.05 Amazon.com Inc.                                   
$APTO     15.00 Aptose Biosciences Inc                            
$ARVL     50.00 Arrival                                           
$ATHX     25.00 Athersys Inc                                      
$BIOR     25.00 Biora Therapeutics Inc                            
$BIP       0.67 Brookfield Infrastructure Partners L.P            
$BIPC      0.67 Brookfield Infrastructure Corp                    
$BN        0.81 Brookfield Corporation                            
$BRDS     25.00 Bird Global Inc                                   
$CEI      50.00 Camber Energy Inc                                 
$CHDN      0.50 Churchill Downs  Inc.                             
$CKPT     10.00 Checkpoint Therapeutics Inc                       
$CPRT      0.50 Copart  Inc.                                      
$CTO       0.33 CTO Realty Growth Inc                             
$CTRM      0.66 Castor Maritime Inc                               
$CXT       0.34 Crane NXT Co                                      
$DBRG      4.00 DigitalBridge Group Inc                           
$DXCM      0.25 Dexcom Inc                                        
$EHC       0.80 Encompass Health Corp                             
$EMBK     20.00 Embark Technology Inc                             
$FBIN      0.87 Fortune Brands Innovations Inc                    
$FTAI      0.84 FTAI Aviation Ltd                                 
$FTNT      0.20 Fortinet Inc                                      
$GE        0.79 General Electric Co.                              
$GME       0.25 Gamestop Corporation                              
$GNUS     10.00 Genius Brands International Inc                   
$GOOG      0.05 Alphabet Inc                                      
$GREE     10.00 Greenidge Generation Holdings Inc                 
$GROV      5.00 Grove Collaborative Holdings Inc.                 
$GTE      10.00 Gran Tierra Energy Inc                            
$HEXO     14.00 HEXO Corp                                         
$HIPO     25.00 Hippo Holdings Inc                                
$IMPP     15.00 Imperial Petroleum Inc                            
$KNTK      0.50 Kinetik Holdings Inc                              
$MARK     10.00 Remark Holdings Inc                               
$MDU       0.69 MDU Resources Group Inc                           
$MNMD     15.00 Mind Medicine Inc                                 
$MNST      0.50 Monster Beverage Corp.                            
$MULN     25.00 Mullen Automotive Inc                             
$NDAQ      0.33 Nasdaq Inc                                        
$NLY       4.00 Annaly Capital Management Inc                     
$ORC       5.00 Orchid Island Capital Inc                         
$PANW      0.33 Palo Alto Networks Inc                            
$PCAR      0.67 Paccar Inc.                                       
$PSFE     12.00 Paysafe Limited                                   
$RIDE     15.00 Lordstown Motors Corp.                            
$ROOT     18.00 Root Inc                                          
$SAFE      6.25 Safehold Inc.                                     
$SAFE      0.78 Safehold Inc.                                     
$SDIG     10.00 Stronghold Digital Mining Inc                     
$SFT      10.00 Shift Technologies Inc                            
$SHIP     10.00 Seanergy Maritime Holdings Corp                   
$SHOP      0.10 Shopify Inc                                       
$SNDL     10.00 SNDL Inc                                          
$TECH      0.25 Bio-Techne Corp                                   
$TNXP      6.25 Tonix Pharmaceuticals Holding Corp                
$TSLA      0.33 Tesla Inc                                         
$TWO       4.00 Two Harbors Investment Corp                       
$WISH     30.00 ContextLogic Inc                                  
$WTER     15.00 Alkaline Water Company Inc (The)                  
$XPO       0.61 XPO Inc        


The best Chicago Quantum Net Score portfolio chosen today, for a long investor, contains these 11 stocks: ['APPS', 'CDLX', 'HUT', 'MARA', 'MSTR', 'NVTA', 'PACW', 'REAL', 'SLQT', 'U', 'W'].

Update at 0920: These 11 stocks, plus $AFRM, are not active at this moment in pre-market. Only 4 traded, with 2 up and 2 down.
​
We will track and report.

​GLTA