Nasdaq ESG Summit - We invite you to join us for the inaugural Virtual Nasdaq ESG Summit on September 22, 2020, from 11:00 AM to 2:00 PM ET.  The Summit will provide compelling views from industry experts with critical ESG knowledge and best practices you need to address short-term and long-term challenges. The event will kick off with a keynote address sure to inspire and provoke conversation around current ESG trends. Following the keynote, registrants can choose from a number of breakout sessions specifically geared towards their interests. For additional information about the summit and to register, click here.

Given the continued domestic equity decline Tuesday, the Bullish Percent for the NYSE ^BPNYSE reversed down into Os from a chart level of 68 down to 62, after reaching 61.02 intraday. Up until today, the BPNYSE had been in a column of Xs since July 17. For those unfamiliar, the BPNYSE measures the percentage of stocks within the NYSE on a Point and Figure buy signal. This reversal lower puts the defensive team back onto the field, indicating a more cautious approach should be taken toward domestic equity exposure in the near-term. For more information or potential strategies around the current position of BPNYSE, please reference our BP Playbook.

On another note, crude oil prices plummeted lower today with crude oil futures CL/ falling more than 8% during intraday trading after Saudi Arabia signaled that demand recovery was struggling (Bloomberg). The United States Oil Fund USO gave its first sell signal since April when crude oil prices notoriously went into negative territory due to the worldwide shutdown caused by COVID-19. For those unfamiliar, USO uses crude oil futures that extend over various expirations to provide crude oil exposure to investors in an ETF wrapper. USO currently has a fund score of 0.50 with a negative score direction of 1.73, further showing the weakness of crude oil prices. From here, initial support for USO lies at $25.50 with further support at $24.50.  With crude oil prices failing to regain their pre-COVID-19 levels, the energy sector continues to be one of the weakest on the DWA platform and currently has an average group score of 2.25 which is well below the acceptable 3.00 mark.

• iShares launches the first U.S.-listed ETF focused on Kuwait.
  • The iShares MSCI Kuwait ETF (KWT) follows the MSCI Kuwait index and carries an expense ratio of 0.74%
  • The underlying index is weighted by market capitalization and covers at least 30 securities of companies that are listed in Kuwait, headquartered there, or have significant ties to the country.
  • With it release, KWT fills out BlackRock’s offering of Gulf States country ETFs.

• AdvisorShares releases an ETF that focused on the US marijuana industry.
  • The AdvisorShares Pure US Cannabis ETF (MSOS) concentrates solely on the United States and solely on companies involved in the marijuana and hemp industries.
  • MSOS is actively managed and comes with an expense ratio of 0.74%.
  • MSOS targets small and mid cap U.S. securities and can operate in the agriculture, biotechnology, pharmaceuticals, real estate, retail, and finance sectors.

• TrueMark adds its third defined outcome ETF.
  • The TrueShares Structured Outcome (September) ETF (SEPZ) comes with an expense ratio of 0.79% and will reset on September 1, 2021.
  • TrueMark uses a protective range concept that protects against downside within a certain range. The range for SEPZ is protection between 8-12% and there is no cap on upside performance.

(Source: etf.com)

Domestic equity markets have certainly shown a significant amount of movement thus far through 2020, with the S&P 500 Index SPX undergoing its swiftest decline from all-time highs in March, only to rally over the next few months to print new all-time highs at the beginning of September. Almost immediately after these fresh-highs earlier this month, major domestic equity indexes each saw major pullbacks from overbought territory at the end of last week, which have been largely continued based on intraday trading Tuesday. Perhaps unsurprisingly, this movement has also come with enhanced levels of volatility across major domestic equity indices. There are a variety of ways to measure volatility across broad domestic equities, with the most frequently referenced volatility barometer being the CBOE Volatility Index VIX, which provides the expected volatility of the broader market based on S&P 500 Index options. Another way we measure volatility is through the number of extreme daily moves for SPX, as classified by a gain or loss of 1% or greater. Today, we will examine an update to this SPX volatility study, in addition to reviewing how many days this year have seen daily moves exceeding 2% given the pick-up in volatility.

For the first part of our study, we examine the number of daily moves in which SPX shows a gain or loss of 1% or greater from April 30, 1987, through September 4, 2020. Over this timeframe, there is an average of just over 65 days a year that see an extreme up or down move for the benchmark index. However, there have been significantly more extreme days in 2020, a total of 80 days have seen SPX move +/- 1% or more. Most of these days came earlier in the year, as Q1 saw 31 extreme days, which is tied with 2008 and 2003 for the second most extreme days in the first quarter of any year, behind the 40 extreme days seen in 2009. There were 38 extreme days in Q2 this year, which is the most in Q2 of any year dating back to 1987. However, this volatility lightened thus far through the third quarter, with there being 12 days of extreme moves including the decline on Tuesday. This is below the average of extreme moves in Q3, which sits at just under 16 days. It should be noted that we still have a few weeks left until we hit the fourth quarter, and SPX has already seen 3 out of the 5 trading days in September show a move exceeding 1%, including Tuesday. With that said, we also see that September typically has the least amount of extreme days of any month, at 4.73 days on average. This is quite different than the next month of the year, as we typically see October display the most amount of extreme days at an average of almost 7 days.

If we take a step back on our study and review the number of days where SPX has a gain or loss of 2% or more, we see a similar story. There are typically just over 16 days each year on average that see such a move, and there have been 41 days thus far through Tuesday. Out of these more extreme daily returns, 22 came in Q1 while 17 came in Q2, which are each significantly higher than their quarterly averages of about 4 and 3 days, respectively. Furthermore, the third quarter had not seen any daily moves greater than 2% until last Thursday, and there have now been 2 in the last three days. This still sits below the average of +/- 2% days in Q3, which is just over 4 days.

Four Invesco Model Changes
There are changes to four Invesco models this week, the DWA Global Factor Model GLOBALFACTOR, Invesco Small Cap Sector Model POWERSMALL, the DWA Sector Four Model POWER4, and the Invesco Dynamic Equal Weight Sector Model GUGGEWSECT.  .. (Read more)

SSFIXED: Sell SPAB, Buy IBND
Today we have one change to report in the State Street Fixed Income Model SSFIXED. As a refresher, the State Street Fixed Income Model utilizes a relative strength matrix, using total return data, to determine its holdings and will rebalance upon a change, so each position is equally weighted at 25%. The change this week was triggered due to the matrix rank for the SPDR Portfolio Aggregate Bond ETF SPAB deteriorating sufficiently versus its peers in the model universe, warranting its removal from the portfolio. As a result, the SPDR Bloomberg... (Read more)

iShares Feature: Rising & Falling U.S. Dollar Review
There are no changes to any of the iShares models this week. Since peaking in March the US dollar index DX/Y has fallen approximately 10%; as a result, in yesterday’s Daily Equity Report, we updated our US dollar study which shows how various assets perform in rising and falling US dollar environments. As the table below shows, international equities, represent by the iShares EAFE ETF EFA and iShares Emerging Markets ETF EEM, tend to be strong performers in a falling dollar environment.... (Read more)

Daily Option Ideas for September 8, 2020