Macro Extremes (week ending March 1, 2024)

A weekly Macro, Cross Asset review of prices trading at extremes which may generate future investment ideas and opportunities.

The following assets (on a weekly timeframe) either registered an Overbought or Oversold reading and/or have traded more than 2.5 standard deviations above or below its rolling mean.

Extremes “above” the Mean (at least 2.5 standard deviations

Rotterdam Coal

Cotton

Lumber

Overbought (RSI > 70)

Robusta Coffee 

Rubber

AEX

Budapest

DAX

Dow Jones Industrial Average

Italy’s MIB

Egypt 30 Index

Nasdaq Composite

Nasdaq 100

Nasdaq Transportation Index

NIFTY 50

Nikkei 225

Philadelphia Semiconductor Index (SOX)

TAIEX

Vietnam

And the S&P 500 Index

The Overbought Quinella – Both Overbought and Traded at > 2.5 standard deviations above the weekly mean)

Cocoa (in U.S. and London)

Extremes “below” the Mean (at least 2.5 standard deviations)

None

Oversold (RSI < 30)

Chinese 10 year government bond yields

JKM LNG

Lithium Hydroxide

Corn 

Soybean

The Oversold Quinella – Both Oversold and Traded at < 2.5 standard deviations below the weekly mean)

None

Notes & Ideas:

Government bond yields were mixed.

American and Australian Yields were lower,

While German Spanish, French, British, Japanese and South Korean yields rose.

Chilean yields rose with the 10 year yields and are in a 4 week winning streak 

German 2’s (yields) have also risen for the 4th consecutive week.

Equities were generally firmer although most closed the week within 1% either side of last week’s close. 

The Shanghai Composite is in a 3 week winning streak while the S&P Midcaps have closed higher for 7 consecutive weeks. 

The KSLE isn’t overbought anymore nor is the BIST 100.

The Hang Seng broke its 3 week winning run.

Mexico has fallen for 4 straight weeks.

Russia’s MOEX 10 has closed at an all-time high.

Copenhagen performed a bullish outside reversal week.

The S&P 500 is still overbought. It has risen for 16 of its past 18 weeks.

The CAC, the AEX and DAX took a break from posting made a new all-time highs.

The Dow Jones Industrial Average has now spent the past 12 weeks in overbought territory.

The Philippines Stock Exchange has put together a 6 week winning streak.

And Italy’s MIB has traded to its highest point since June 2008.

Commodities were mostly stronger, with the larger winners listed below.

The strength seen in the commodity indices were heavily influenced by the energy contracts.

Coal, Gasolines and Gases had a strong week.

Gold saw renewed strength while the PGM’s were weaker.

The Baltic Dry Index has risen for 4 consecutive weeks.

Dutch TTF Gas and JKM (priced in Yen) moved out of oversold territory.

Hot Rolled Coil Steel is nearing an extreme.

Orange Juice had a bearish outside week.

Cattle is streaking ahead, posting 9 consecutive winning weeks and closing higher in 11 of the past 12 weeks and nearing overbought territory.

Lithium Hydroxide has now spent 34 consecutive weeks in weekly oversold territory.

Soybeans and Corn are registering oversold extremes. 

Soybeans broke their 10 week losing streak.

And Henry Hub Natural Gas bounced 8% after making all-time lows, last week.

Currencies was were the action was.

AUD and CAD were mostly weaker.

The greater USD measure, the DXY was unchanged.

The Euro was firmer.

While the Yen rose for the week and it is flirting with making lower lows across various pairs.

The AUD/JPY took a break testing its recent highest closing point since December 8, 2014.

GBP/JPY is at its highest price since August 3, 2015.

The Japanese Yen has fallen for 7 of the past 8 weeks versus USD.

MYR/USD bounced from that all time low mentioned in last week edition.

And the Colombian Peso rose against the USD and broke its 8 week losing streak.

The larger advancers over the past week comprised of;

Aluminium 2.5%, Rotterdam Coal 14.5%, Bloomberg Commodity Index 1.9%, Baltic Dry Index 18.6%, WTI Crude Oil 4.6%, Cotton 2.2%, Heating Oil 1.8%, JKM LNG 2.2%, JKM in Yen 3.3%, Newcastle Coal 9%, Natural Gas 8.7%, Nickel on MCX 2.5%, Gasoline 4.2%, Robusta Coffee 2.9%, S&P GSCI 2.5%, CRB Index 2.3%, Dutch TTF Gas 11.9%, Brent Crude 2.1%, Gasoil 2.3%, Gold in AUD 2.9%, Gold in CAD 2.7%, Gold in USD 2.3%, Corn 2.4%, Oats 5%, DAX 1.8%, Russell 2000 2.8%, Nasdaq Composite 1.7%, Karachi 4%, S&P MidCap 400 1.9%, MOEX 4.4%, Nasdaq 100 2%, Nikkei 225 2.1%, SOX 6.8%, Chile 4.7%, Vietnam 3.8% and Australia’s ASX Small Caps rose 2.2%.

The group of largest decliners from the week included;

Australian Coking Coal (2.6%), China Coking Coal (2.7%), Hot Rolled Coil Steel (2%), Orange Juice (5.5%), Palladium (3.9%), Platinum (2.4%), Sugar (6.8%), Uranium (2.5%), Rice (1.7%), Wheat (2%), Mexico (2%), South Africa (2.1%), SET (2.2%), Strait Times (1.5%) and Turkiye’s BIST fell 3%

March 3, 2024

by Rob Zdravevski

rob@karriasset.com.au