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Analysts want to program robots to track Bitcoin

Quant blended with cryptocurrency sounds like a cocktail poured in hell. But behind closed doors, a few intrepid souls in the investing world are starting to drink it. Part academic exercise, part arranged marriage of Wall Street fads, a handful of theorists and traders are looking at what investment factors like momentum and value can tell you about — yep — the price of bitcoin.

Factors, the wiring behind smart beta exchange-traded funds, already revolutionized equities, proving that groups of stocks with traits like cheapness and low volatility return more than the market as a whole. That discovery was a gold mine, launching £700 billion in smart beta ETFs, so it’s no surprise people want to turn it loose elsewhere. A more abstract motive hearkens to the foundation of quantitative investing.

It’s the idea that no matter where you look — stocks, bonds, ICO tokens — mental mistakes by investors cause the same trading opportunities to arise in every market. In the theory camp is Stefan Hubrich, the director of asset allocation research at T. Rowe Price Group Inc., who set out to publish the first academic paper linking factor anomalies to blockchain assets.

After building models and analyzing data, Hubrich says he can show that factor investing beats a simple buy-and-hold strategy in digital tokens. “Our results should not be taken as an endorsement of cryptocurrencies as an asset class,” Hubrich wrote in his Oct.

28 research. “Instead, we view our findings as an intriguing confirmation of the efficacy of the underlying factors themselves.”

Too Little Data

One reason bitcoin and its peers are a tempting laboratory for academic quants is how different they are from traditional assets. Stocks may bounce around, but they’ve got nothing on cryptocurrencies, where jarring price swings, flash crashes and cataclysmic exchange malfunctions happen regularly.

If concepts like value and momentum stand in that jungle, researchers reasoned, it would help confirm that behavioral biases operate everywhere. It’s been something of a cause for Cliff Asness, the founder of AQR Capital Management, to prove that factors aren’t just for the stock market. In 2013, long before the bitcoin craze, he published a paper that found tilts like value, momentum and carry work across asset classes, geographies and time periods.

Asness said in November that while still early, it’s not unreasonable to apply the same logic to cryptocurrencies. While it may not be unreasonable, at present too little data exists to prove tradable risk factors exist in bitcoin, says Campbell Harvey, an adviser at Research Affiliates and Man Group and professor at Duke University. It’s a little too convenient, Harvey says, to declare the momentum factor may be at work in bitcoin, something everyone knows has done nothing but rise in 2017.

‘Operational Hurdles’

“I would not really call any of the factors applied to cryptos, factors,” Harvey said. “That said, given these are relatively young markets, it makes sense that there could be some inefficiency in the pricing.”

Doug Greenig has more concrete goals. The University of California-educated math doctorate and former chief risk officer at Man AHL, started his London-based CTA, a type of quantitative fund that bets on price patterns, called Florin Court Capital in January 2015. Then, in April, he converted his £522 million firm solely to exotic assets on April 17.

Why? Because unlike trendless, crowded and calm developed markets, Greenig saw value in chasing assets like European electricity and, yes, bitcoin. “It just makes sense to be involved even though the operational hurdles for an institutional-grade fund are considerable,” Greenig said. “My perspective, in short, is that cryptocurrencies are an interesting asset class, with low correlations to the traditional asset classes and strong historical trending behavior.”

Momentum Strategy

The change seems to be working.

From April through the end of October, Florin Court has returned 15.5 percent, compared with 0.2 percent for the Societe Generale AG CTA index. Greenig says he’s one of the first CTAs to incorporate bitcoin. The strategy is momentum, adding bullish bets as the cryptocurrency picks up steam.

His preferred method of obtaining exposure is Bitcoin Investment Trust, which trades over-the-counter. Hurdles for investing in cryptocurrencies are like those in the other weird things Greenig trades, like finding counterparties, minimizing operational risk and keeping up fiduciary responsibility. But the beauty of bitcoin, he said, is that it’s so sentiment driven: Interest begets interest, making momentum a powerful strategy.

“The trending behavior of bitcoin has been strong in the past, and CTA momentum models seem to work as expected,” Greenig said. “The maturity of the market has grown, and we expect eventually to see more participation by systematic players.”

Three Factors

According to Hubrich, three factors work in the major digital currencies: value, carry and momentum. The philosophical challenge is finding a way to replicate those traits. They’re reasonably straightforward in stocks, say, measuring value through a company’s price-earnings ratio.

To find a crypto corollary, Hubrich gets creative. He translates value to mean the token’s market value versus the dollar volume of blockchain transactions. For momentum, Hubrich uses a four-week horizon because of limited historical data, rather than the 12 months typically used for equities.

“This is a very volatile and young asset class, and we’re bound to learn much more over time,” Hubrich said. “Momentum is more than 100 years old, but it’s very early days for cryptocurrencies.” Though Hubrich’s study was an academic exercise, Michael Paritee of Serrada Capital uses a similar value ratio to invest in cryptocurrencies. Paritee founded Serrada in 2006, and launched the Digital Asset fund in September, which blends discretionary and systematic strategies to invest in cryptocurrencies.

That includes evaluating a token’s market cap to transaction volume ratio, he said.

“We saw a lot of opportunity to trade something we love doing — volatility, because that’s how we like to make money and traditional markets have gotten harder and harder in the last couple years,” Paritee said. “There’s technical reasons to be involved in crypto, there’s idealogical reasons to be involved in crypto, but we see a real business opportunity for hedge funds and asset managers in this space.”

Now read: Uber lost £1.5 billion in three months[1]

References

  1. ^ Uber lost £1.5 billion in three months (mybroadband.co.za)

Virtu Financial, Inc. (VIRT) to pay $0.24 on Jun 15, 2017, Last Week Liberty Broadband (LBRDA) Coverage

May 29, 2017 – By Adrian Mccoy

.24 On Jun 15, 2017, Last Week Liberty Broadband (LBRDA) Coverage” alt=”Virtu Financial, Inc. (VIRT) To Pay .24 On Jun 15, 2017, Last Week Liberty Broadband (LBRDA) Coverage” width=”200″ height””>

Virtu Financial, Inc. (NASDAQ:VIRT) is expected to pay $0.24 on Jun 15, 2017. $0.96 is the ADY. (NASDAQ:VIRT) shareholders before May 30, 2017 will receive the $0.24 dividend. Virtu Financial, Inc.’s current price of $16.25 translates into 1.48% yield. Virtu Financial, Inc.’s dividend has Jun 1, 2017 as record date.

May 4, 2017 is the announcement. The stock decreased 0.61% or $0.1 on May 26, reaching $16.25. About 640,086 shares traded. Virtu Financial Inc (NASDAQ:VIRT) has declined 9.54% since May 29, 2016 and is downtrending. It has underperformed by 26.24% the S&P500. Among 4 analysts covering Liberty Broadband (NASDAQ:LBRDA1), 4 have Buy rating, 0 Sell and 0 Hold. Therefore 100% are positive.

Liberty Broadband had 7 analyst reports since September 4, 2015 according to SRatingsIntel. The rating was maintained by Pivotal Research with “Buy” on Friday, September 4. Pivotal Research maintained it with “Buy” rating and $107.0 target in Wednesday, April 5 report. Macquarie Research upgraded the shares of LBRDA in report on Friday, January 27 to “Outperform” rating. As per Friday, August 12, the company rating was maintained by Deutsche Bank. Pivotal Research maintained Liberty Broadband Corp (NASDAQ:LBRDA) on Thursday, February 16 with “Buy” rating. Telsey Advisory maintained Liberty Broadband Corp (NASDAQ:LBRDA) on Friday, February 17 with “Outperform” rating. The firm has “Buy” rating by Pivotal Research given on Tuesday, May 24. See Liberty Broadband Corp (NASDAQ:LBRDA) latest ratings:

05/04/2017 Broker: Pivotal Research Rating: Buy Old Target: $108.0 New Target: $107.0 Maintain
17/02/2017 Broker: Telsey Advisory Rating: Outperform Old Target: $85.0 New Target: $95.0 Maintain
16/02/2017 Broker: Pivotal Research Rating: Buy Old Target: $94 New Target: $108 Maintain
27/01/2017 Broker: Macquarie Research Old Rating: Neutral New Rating: Outperform Upgrade

Virtu Financial, Inc.

is a holding company. The company has market cap of $2.25 billion. The Firm is a technology-enabled market maker and liquidity well-known provider to the financial markets across the world. It has a 23.24 P/E ratio. It is engaged in buying or selling a range of securities and other financial instruments and earning small bid/ask spreads across various transactions. Among 3 analysts covering Virtu Financial (NASDAQ:VIRT2), 2 have Buy rating, 0 Sell and 1 Hold. Therefore 67% are positive.

Virtu Financial had 10 analyst reports since August 6, 2015 according to SRatingsIntel. The rating was maintained by UBS on Thursday, August 6 with “Buy”. On Thursday, August 4 the stock rating was maintained by UBS with “Buy”. The stock of Virtu Financial Inc (NASDAQ:VIRT) earned “Buy” rating by UBS on Tuesday, October 13. The rating was maintained by UBS on Friday, May 27 with “Buy”. The company was upgraded on Monday, January 11 by Goldman Sachs. Zacks upgraded Virtu Financial Inc (NASDAQ:VIRT) on Saturday, August 8 to “Sell” rating.

As per Tuesday, April 5, the company rating was maintained by Goldman Sachs.

The stock of Virtu Financial Inc (NASDAQ:VIRT) has “Hold” rating given on Friday, August 21 by Zacks.

By 3

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References

  1. ^ NASDAQ:LBRDA (www.zacks.com)
  2. ^ NASDAQ:VIRT (www.zacks.com)
  3. ^ (heraldks.com)

The Liberty Broadband Corporation (LBRDA) Lifted to “Hold” at Zacks Investment Research

Liberty Broadband Corporation (NASDAQ:LBRDA) was upgraded by Zacks Investment Research from a “sell” rating to a “hold” rating in a report issued on Tuesday. According to Zacks, “Liberty Broadband Corporation, through its subsidiaries, engages in providing digital cable services to residential and commercial customers; and entertainment, information, and communications solutions. It also provides wireless location positioning and related services. Liberty Broadband Corporation is based in Englewood, Colorado. “

Several other brokerages have also recently weighed in on LBRDA. TheStreet cut Liberty Broadband Corporation from a “b-” rating to a “c+” rating in a report on Thursday, January 26th. Macquarie raised Liberty Broadband Corporation from a “neutral” rating to an “outperform” rating and set a $102.00 price objective for the company in a report on Friday. One analyst has rated the stock with a hold rating and five have issued a buy rating to the company’s stock.

Liberty Broadband Corporation presently has a consensus rating of “Buy” and a consensus target price of $81.17. Shares of Liberty Broadband Corporation (NASDAQ:LBRDA) traded up 0.06% during trading on Tuesday, hitting $83.68. The stock had a trading volume of 108,445 shares. The stock has a market capitalization of $15.20 billion, a price-to-earnings ratio of 13.22 and a beta of 1.45. Liberty Broadband Corporation has a one year low of $42.03 and a one year high of $87.47. The stock has a 50 day moving average price of $75.45 and a 200-day moving average price of $69.15.

In other news, Director John C. Malone sold 30,888 shares of Liberty Broadband Corporation stock in a transaction on Wednesday, November 23rd. The stock was sold at an average price of $70.51, for a total value of $2,177,912.88. Following the transaction, the director now owns 3,882,054 shares in the company, valued at approximately $273,723,627.54. The sale was disclosed in a filing with the SEC, which is available at the SEC website. Also, Director John C. Malone sold 115,112 shares of Liberty Broadband Corporation stock in a transaction on Tuesday, November 22nd. The shares were sold at an average price of $70.15, for a total value of $8,075,106.80.

Following the completion of the transaction, the director now owns 4,002,935 shares in the company, valued at approximately $280,805,890.25. The disclosure for this sale can be found here. Insiders sold a total of 190,019 shares of company stock valued at $13,455,420 over the last ninety days. Insiders own 11.32% of the company’s stock. Several institutional investors have recently modified their holdings of the stock. Cutler Group LP raised its position in shares of Liberty Broadband Corporation by 19.8% in the third quarter. Cutler Group LP now owns 2,537 shares of the company’s stock valued at $177,000 after buying an additional 420 shares during the last quarter.

D.A. Davidson & CO. raised its position in shares of Liberty Broadband Corporation by 2.3% in the third quarter. D.A. Davidson & CO. now owns 2,796 shares of the company’s stock valued at $195,000 after buying an additional 63 shares during the last quarter. Panagora Asset Management Inc. raised its position in shares of Liberty Broadband Corporation by 37.1% in the second quarter. Panagora Asset Management Inc.

now owns 3,328 shares of the company’s stock valued at $198,000 after buying an additional 900 shares during the last quarter. The Manufacturers Life Insurance Company acquired a new position in shares of Liberty Broadband Corporation during the third quarter valued at about $205,000. Finally, Shufro Rose & Co. LLC acquired a new position in shares of Liberty Broadband Corporation during the third quarter valued at about $211,000. Institutional investors own 79.70% of the company’s stock. About Liberty Broadband Corporation

Liberty Broadband Corporation holds interests in Charter Communications, Inc (Charter), TruePosition, Inc (TruePosition) and Time Warner Cable, Inc (TWC). The Company’s segments include Trueposition, Charter, and Corporate and other.

The TruePosition segment includes the operations of TruePosition, a subsidiary of the Company that develops and markets technology for locating wireless phones and other wireless devices on a cellular network, enabling wireless carriers and government agencies to provide public safety E-9-1-1 services domestically and services in support of national security and law enforcement across the world.

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