Macro Extremes (week ending September 13, 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.

* denotes multiple week inclusion

Extremes above the Mean (at least 2.5 standard deviations)

Palladium 

Thailand’s SET Index *

Singapore’s Strait Times

Overbought (RSI > 70)

SHY *

U.S. 10 year minus U.S. 2 year government yield

MYR/USD *

Arabica & Robusta Coffee * 

Gold as priced in AUD, CAD and USD

NIFTY
SENSEX

ASX Financials Index *

And the ASX Industrials Index

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

Gold in EUR

Extremes below the Mean (at least 2.5 standard deviations)

WTI Crude Oil

Gasoline

S&P GSCI Index

Brent Crude Oil

Gasoil 

KOSPI

Oversold (RSI < 30)

U.S. and German 2 year government bond yield

Australian Coking Coal *

U.S. Midwest Hot Rolled Coil Steel *

Lumber

Lithium Carbonate *

Lithium Hydroxide *

CFR China Iron Ore *

AUD/THB *
USD/THB

USD/SGD

Shanghai Composite

CSI 300 

MOEX

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

U.S. 3 month t-bill yield *

Swiss and Chilean 10 year government bond yield

North European Hot Rolled Coil Steel *

Heating Oil *

Notes & Ideas:

Global government bond yields fell, again, adding to the previous weeks decline.

Belgian, Brazilian and Finnish yields did the opposite.

The yield for the U.S. 10 year yields are at their lowest since May 2023.

While the U.S. yield curve is overbought.

U.S. 5 year minus 5 year breakeven inflation rate is nearing an oversold extreme.

And Chile’s and Switzerland’s 10 year bond yield are oversold.

Equities had a tremendous week, recovering last week’s declines.

For example, the Nasdaq Composite recovered all of last weeks loss.

The Shanghai Composite and CSI 300 are in 4 week losing streaks.

South Korea’s KOSPI is unloved.

Russia’s MOEX broke its 7 week losing streak.

The SOX soared 10% to nearly offset last weeks 12% tanking.

Singapore’s Strait Times is in a 5 week winning streak.

And some Indian and Aussie indices are overbought.

Commodities mostly rose.

Gold returns to overbought territory.

Silver rose 10% while Palladium double that performance for the week.

The latter appears in this weeks list.

Other notable advancers included Cocoa, Oats, Wheat, Aluminium and Coffee.

Coffee is overbought again.

Wheat has risen 12% over the past 3 weeks.

Inversely, selected energy contracts are oversold.

Gasoline declines to complete a mean reversion.

U.S.Midwest Hot Rolled Coil Steel has spent 16 weeks being oversold.

And Lithium Hydroxide has now spent 61 consecutive weeks in weekly oversold territory.

Currencies set the mood for risk.

The Aussie rose while the Canadian Loonie fell.

The decline in the CAD juxtaposed the risk-on feeling for the week.

Adding to the mixed signals, we saw the Yen advance while risk assets prospered.

MXN/USD rallied 4% for the week and isn’t oversold anymore.

The USD is oversold agains the roaring Baht, Ringgit and Singapore Dollar.

And the Indonesian Rupiah broke its 6 weeks rising streak against the USD.

The larger advancers over the past week comprised of;

Australian Coking Coal 3.4%, Aluminium 5.4%, Bloomberg Commodity Index 2.6%, Cocoa 8.7%, WTI Crude Oil 1.5%, Cotton 2.9%, Copper 4%, Arabica Coffee 9.9%, Tin 3%, Palladium 19.2%, Gasoline 1.6%, Robusta Coffee 10.4%, Sugar 1.8%, S&P GSCI 1.6%, CRB Index 2.6%, Silver in AUD 9.4%, Silver in USD 10%, Gold in AUD 2.7%, Gold in CAD 3.3%, Gold in CHF 4%, Gold in GBP 3.3%, Gold in EUR 3.4%, Gold in USD 3.2%, Gold in ZAR 2.7%, Corn 1.7%, Oats 7%, Wheat 4.9%, AEX 2.3%, CAC 1.5%, DAX 2.2%, DJ Industrials 2.6%, DJ Transports 2%, IBEX 3.3%, IDX 1.7%, S&P SmallCap 600 3.5%, Russell 2000 4.3%, TAEIX 1.5%, Nasdaq Composite 6%, KRE Regional Banks 1.8%, FTSE 250 2%, S&P MidCap 400 3.3%, Mexico 1.8%, Nasdaq Biotechs 4.2%, Nasdaq 100 5.9%, Nifty 2%, Oslo 1.6%, Copenhagen 4.3%, Stockholm 1.8%, Sensex 2.1%, SOX 10%, S&P 500 4%, Chile 1.7%, STI 3.1%, TSX 3.5%, ASX 200 1.1%, ASX Materials 4.2% and ASX Small Caps rose 3.1%  

The group of largest decliners from the week included;

Baltic Dry Index (2.6%), European Hot Rolled Coil Steel (2.1%), Lumber (2.2%), Newcastle Coal (4.5%), Dutch TTF Gas (2.3%), Urea Middle East (1.9%), CSI 300 and Shanghai Composite (2.2%), China A50 (1.8%), Egypt (1.7%) and Vietnam fell 1.8%

September 15, 2024

by Rob Zdravevski

rob@karriasset.com.au