Macro Extremes (week ending March 22, 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

US10 year minus Australian 10 year yield spread

US10 year divided by Australian 10 year yield spread

WTI Crude Oil

Copper

Tin

S&P GSCI

Brent Crude Oil

Silver in AUD, USD & EUR

Gold in USD

AUD/JPY

AUD/THB

FTSE 100

Overbought (RSI > 70)

Biodiesel

Robusta Coffee 

AEX

Budapest

CAC 30

DAX

Dow Jones Industrial Average

Italy’s MIB

Nasdaq Composite

Nikkei 225

Stockholm

Philadelphia SOX

TAIEX

Nasdaq Transports

Toronto’s TSX

Vietnam

And the S&P 500 Index

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

Russian 10 year bond yield 

Gold in AUD, CAD, EUR, GBP & CHF

Cocoa

IBEX

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

AU10Y – US10Y yield

Australian Coking Coal

CHF/AUD

Chinese RMB

INR/USD

Oversold (RSI < 30)

Chinese 10 year government bond yields

Lithium Hydroxide

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

None

Notes & Ideas:

Government bond yields mostly fell except for the Japanese 2’s and 5’s.

The Japanese 5’s winning streak extends to 7 weeks.

Russian 10 year yields have risen for 8 consecutive weeks.

The Chinese 10’s are the notable oversold extreme in this week’s list.

Equities were higher.

Shanghai is in a 6 week winning streak while the CSI 300 broke its 5 week advance.

Toronto’s has sneakily put together 6 straight rising weeks. 

The DAX is in a 7 week winning streak, the MIB advance extends to 8 consecutive weeks.

The Nasdaq is 34% above its 2090 week moving average while the S&P 500 is 27% above the same measure.

Egypt’s 30 Index isn’t overbought anymore.

Spain’s IBEX has registered an overbought quinella as it trades at its highest point since June 2017.

The FTSE 100 returns to the overbought territory.

The CAC and DAX are still making new all-time highs.

The Dow Jones Industrial Average re-enters overbought territory.

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

Commodities were generally higher.

While Rotterdam Coal is in a 5 week winning streak, Most coal prices had a terrible week.

Crude Oil makes a return to overbought land, while Copper and Tin extend their stay there.

Rubber isn’t overbought this week.

Gold prices across various currencies remains overbought.

Cocoa has now spent 22 weeks in overbought land.

Nickel broke its 5 weeks winning streak.

Uranium and the Baltic Dry Index broke their 6 week losing streaks.

And Lithium Hydroxide has now spent 37 consecutive weeks in weekly oversold territory.

Currencies saw a firmer CAD again as was the USD.

The AUD was firmer against all except versus the Yen.

The Euro was mixed.

The Yen as did the Kiwi.

The latter is in a 4 week losing streak again the AUD.

The larger advancers over the past week comprised of;

Aluminium 2.8%, Cocoa 11.5%, LNG JKM in Yen 4%, Dutch TTF Gas 2.8%, Uranium 4%, Gold in CHF 2%, Wheat 5%, All World Developed ex USA 1.2%, AEX 2.9%, Austria 2.6%, KBW Bank 3.7%, DAX 1.5%, DJ Industrials 2%, DJ Transports 3.3%, IBEX 3.3%, Nasdaq Composite 2.9%, KOSPI 3.3%, S&P MidCap 400 2.2%, Nasdaq 100 3%, Nikkei 225 5.6%, Russell 2000 1.5%, SOX 3.2%, S&P 400 2.3%, TAIEX 2.8%, Nasdaq Transports 2.9%, FTSE 100 2.6%, ASX 200 1.3%, BIST 3.2% and the ASX Materials rose 2.4%

The group of largest decliners from the week included;

Australian Coking Coal (2.8%), China Coking Coal (2.8%), Rotterdam Coal (2%), Baltic Dry Index (5.5%), Cotton (2.6%), Lean Hogs (2.6%), Copper (3%), Heating Oil (2.4%), Tin (2.3%), Newcastle Coal (4.3%), Nickel (2%), Palladium (8.4%), Platinum (4.8%), Gasoil (1.8%), Silver (2%), Oats (2.1%), Rice (2.7%) and Egypt’s 30 equity index tanked 7.2%.

March 24, 2024

by Rob Zdravevski

rob@karriasset.com.au