September 2024 newsletter

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Macro Extremes (week ending September 6, 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)

PHP/USD *

KLSE *

And Thailand’ SET Index

Overbought (RSI > 70)

SHY *

IEI

Robusta Coffee *

MYR/USD *

Egypt 30 Index

And the ASX Financials Index *

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

THB/USD *

Extremes below the Mean (at least 2.5 standard deviations)

1 year Australian government bond yields

Chilean 10 year government bond yields 

U.S. 5 year bond yield minus the U.S. inflation rate (YoY) 

WTI Crude Oil

Heating Oil

Brent Crude Oil

Gasoil 

Oversold (RSI < 30)

U.S. 2 year government bond yield

North European Hot Rolled Coil Steel *

U.S. Midwest Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

Shanghai Rebar

CFR China Iron Ore

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

U.S. 3 month t-bill yield *

Australian Coking Coal

Notes & Ideas:

Global government bond yields fell, resuming the recently seen weakness.

Swiss, Danish and Finnish did the opposite.

It’s worthy to note that many yields remain in downtrends although they aren’t exhibiting any strength.

The big news is that U.S. yield curve un-inverted.

Australia’s 1 year bond yield is at its lowest close since May 2023, while the strength of the Aussie yield curve upward trend is waning.

The U.S. 5-7 year corporate bond yield is at a 2 year low, while the U.S. government 10’s are at a 16 month low (May ’23)

The U.S. 5 and 10 year breakeven inflation rate is the lowest seen since December 2020.

Chile’s 2’s broke its 11 week rising streak. 

Chile’s 10 year yield, mean reverted. The first of the world’s 10’s to do so.

While Chile’s yield curve is on its way to inverting.

Equities had a terrible week.

All of the 4 week winning streaks published last week have been broken. 

Most indices have given up the past 3 weeks of gains.

The few exceptions which rose appear in the gainers list below.

Russia’s MOEX is in a 7 week losing streak.

The DAX was one of the indices which posted a bearish outside reversal week. 

Malaysia’s KLSE and Thailand’s SET are overbought and mimicking the strength of their currency. 

While Australia’s Financial indices is overbought.

Commodities were weak as the commodity indices near their own oversold readings.

Agricultural’s bucked the losing trend.

Various oil contracts also appear as an extreme in this week’s edition as Gasoline completes a mean reversion.

Aluminium has fallen 7% in the past 2 weeks.

Lithium, Coking Coal, Tin and Iron Ore were amongst the notable losers.

Arabica Coffee notably left the overbought list.

Corn isn’t oversold anymore.

The Baltic Dry Index has risen 16% over the past 4 weeks.

And Lithium Hydroxide has now spent 60 consecutive weeks in weekly oversold territory.

Currencies set the mood for risk.

The Aussie was weaker as the AUD/THB is near a oversold quinella.

The Thai Baht strength has been impressive.

The Loonie was also weaker.

Inversely, the Swiss and Yen both rose.

Many currencies have dropped out of this weeks ‘extremes’ list.

MXN/USD is oversold

The Indonesian Rupiah has risen for 6 weeks against the USD.

AUD/EUR broke it 4 weeks rising streak and the NZD/USD broke its 5 week winning run.

The DXY fell and gave up half of last weeks gain.

And the USD/JPY had a bearish outside several week.

The larger advancers over the past week comprised of;

Baltic Dry Index 7%, Natural Gas 7%, Orange Juice 4.3%, Rubber 2.9%, Urea U.S. Gulf 1.9%, Urea Middle East 1.8%, Corn 1.3%, Oats 4.2%, Rice 2.1%, Wheat 2.8%, Egypt 0.8%, IDX 0.4%, SET 5.1% and ASX Financials Index 2.6%.

The group of largest decliners from the week included;

Aluminium (3.6%), Australian Coking Coal (12.4%), Rotterdam Coal (4.8%), Bloomberg Commodity Index (2.5%), Cocoa (7.7%), China Coking Coal (12.7%), WTI Crude (8%), Cotton (3%), Iron Ore (9%), Lean Hogs (3.3%), Copper (3.3%), Heating Oil (7.2%), HRC (2%), JKM LNG (2.1%), Arabica Coffee (3.3%), Cattle (1.9%), JKM in Yen (8.8%), Lithium Carbonate (11.2%), Lithium (9.4%), Tin (6.1%), Newcastle Coal (2.9%), Nickel (5.6%), Palladium (6.7%), Gasoline (9.4%), Robusta Coffee (3.6%), Sugar (2.4%), S&P GSCI (4.8%), CFR China Iron Ore (8.9%), CRB Index (3.7%), Dutch TTF Gas (8.4%), Brent Crude (7.2%), Gasoil (6.6%), Silver in AUD (1.8%), Silver in USD (3.2%), Shanghai Composite (2.7%), CSI 300 (2.7%), All World Developed ex USA (2.8%), AEX (4.3%), ATX (4%), KBW Banks (5.5%), CAC (3.7%), China A50 (2.9%), DAX (3.2%), DJ Industrials (2.8%), DJ Transports (3.8%), MIB (3.2%), HSCEI (3.6%), Hang Seng (3%), IBEX (2%), S&P Small Cap 600 (5.2%), Russell 2000 (5.5%), TAEIX (3.9%), Nasdaq Composite (5.8%), KRE Regional Banks (5.2%), KOSPI (4.9%), FTSE 250 (2.8%), S&P MidCap 400 (4.8%), Mexico (3.5%), Nasdaq Biotechs (3.8%), Nasdaq 100 (5.4%), Nikkei 225 (5.8%),  Oslo (3.7%), Helsinki (3.7%), Stockholm (4.4%), South Africa (3.2%), SMI (4.3%), SOX (12.2%), Chile (3.1%), S&P 500 (4.3%), Nasdaq Transports (2.9%), TSX 300 (2.4%), FTSE 100 (2.3%), WIG (3.7%), ASX 200 (1%), ASX Materials (5.8%) and ASX Small Caps fell 3.2%.

September 8, 2024

by Rob Zdravevski

rob@karriasset.com.au

Macro Extremes (week ending August 30, 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)

Arabica Coffee

CAD/USD *

EUR/USD

PHP/USD *

ZAR/USD

CHF/USD

ASX Industrials Index *

Overbought (RSI > 70)

SHY *

Rubber

Gold in USD *

Hungary’s BUX *

NIFTY *

SENSEX *

ASX Financials Index

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

Robusta Coffee *

CNH/USD *

MYR/USD *

THB/USD *

KLSE *

Extremes below the Mean (at least 2.5 standard deviations)

10 year Chilean government bond yields

DXY (USD) Index *

USD/DKK *

USD/IDR *

USD/KRW

Oversold (RSI < 30)

North European Hot Rolled Coil Steel *

U.S. Midwest Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

Corn *

MOEX *

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

U.S. 3 month t-bill yield *

Notes & Ideas:

Global government bond yields rose, bucking the past 2 weeks of declines.

It’s worthy to note that many yields remain in downtrends although they aren’t exhibiting any strength.

The few yield that fell included Belgian, Danish and Finnish. For several weeks, this block of yields have been moving in the opposite direction than the ‘others’. I don’t have a grasp on what this means yet.

The Australian yield curve broke its 6 week rising streak.

Chile’s 2 year yield has risen for 11 straight weeks. A previous post cited the interest I have in Chile’s yield curve. Inversely, it’s 10’s are in a downtrend.

And the U.S. yield curve is a whisker from ‘un-inverting’. Gosh, what will the pundits say when it does? No more recession, which never came?

Furthermore, its close to appearing in the ‘overbought’ quinella category of this publication.

Equities had another good week.

Many are cranking out 4 week winning streaks such as the AEX, ATX, CAC, DJ Industrials, MIB, HSCEI, Hang Seng, IBEX, Bovespa, IDX, the Dow Jones Transports and the S&P 500.

Russia’s MOEX is in a 6 week losing streak.

Malaysia’s KLSE is overbought and mimicking the strength of its currency. 

And Australia’s Industrials and Financial indices are also overbought.

Commodities were mixed, again and again.

The big news is that lithium prices rose 2%, although context is required, for  Lithium Hydroxide has now spent 59 consecutive weeks in weekly oversold territory.

Gold remained tame while Silver gave away last week’s gain.

The grains complex bounced and this dragged Soybeans from its oversold status.

Most energy contracts fell with the exception of LNG Gas.

Silver, Uranium and Lumber were also amongst the losers.

And the Baltic Dry Index has risen 8.5% over the past 3 weeks.

Currencies saw a lot of action, again.

The DXY rose and broke its 5 week losing streak.

This was enough to move the USD/SGD out of oversold territory.

While the USD has been falling against everyone, the MXN is closing overbought territory.

The Aussie and GBP were mixed, albeit their bias’ has been upwards for the past 3 weeks.

The Yen was slightly weaker

As for streaks, the The Indonesian Rupiah has risen for 5 weeks against the USD.

AUD/EUR has risen for 4 weeks straight.

The NZD/USD has risen for 5 straight weeks 

And the Thai Baht broke its 5 week rising run against the U.S. Dollar.

The larger advancers over the past week comprised of;

Baltic Dry Index 3%, Lean Hogs 2.1%, JKM LNG 2%, Cattle 1.7%, JKM in Yen 3.2%, Lithium Carbonate 1.9%, Lithium Hydroxide 2.5%, Palladium 2%, Robusta Coffee 4.9%, Sugar 5.4%, Dutch TTF Gas 6.5%, Corn 2.2%, Oats 9%, Soybeans 2.7%, Wheat 4.2%, KBW Bank Index 2%, Egypt 2.1%, MIB 2.2%, HSCEI 1.8%, Hang Seng 2.1%, KLSE 2.6%, Helsinki and Stockholm 1.5%, Strait Times 1.6%, TA35 2%, ASX Financials 2.2% and BIST rose 1.7%.

The group of largest decliners from the week included;

Aluminium (3.4%), WTI Crude (1.8%), Heating Oil (3.6%), Lumber (2.6%), Natural Gas (3.5%), Orange Juice (4.5%), Platinum (3.5%), Brent Crude (2.6%), Uranium (3.9%), Silver in AUD (2.8%), Silver in USD (3.2%) and China’s A50 Index fell 1.7%.

September 1, 2024

by Rob Zdravevski

rob@karriasset.com.au

Macro Extremes (week ending August 23, 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)

CAD/USD

CNH/USD *

GBP/USD

PHP/USD

IDR/USD *

KRW/USD

SEK/USD

BOVESPA *

KLSE

ASX Industrials Index

Overbought (RSI > 70)

SHY

Robusta Coffee *

Hungary’s BUX

NIFTY *

SENSEX

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

Gold in USD *

EUR/USD

MYR/USD *

THB/USD *

DKK/USD

SGD/USD *

CHF/USD

Extremes below the Mean (at least 2.5 standard deviations)

10 year Spanish and Portuguese government bond yields *

Sugar No. 16

Oversold (RSI < 30)

North European Hot Rolled Coil Steel *

U.S. Midwest Hot Rolled Coil Steel *

Shanghai Rebar *

Lithium Hydroxide *

Corn *

Soybeans *

MOEX *

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

U.S. 3 month t-bill yield

Australian Coking Coal *

DXY (USD) Index *

Notes & Ideas:

Global government bond yields fell, again.

This week’s rising exceptions were the Danish, Finnish and Japanese yields, again.

The Australian yield curve (10Y minus 2Y) has risen for 5 straight weeks.

Chile’s 2 year yield has risen for 10 straight weeks while the 10 year yield has broken it 7 rising streak.

Equities had another good week.

U.S. small and mid caps led the gainers along with the U.S. banking sector.

Thailand’s SET is tearing higher.

Brazil’s BOVESPA has risen 7.5% over the past 3 weeks and appearing as an overbought extreme, this week.

The ASX Materials Index broke its 6 week losing streak.

And the Nikkei 225 broke its 4 week streak of declines rising 9% and making up half of the 17% decline seen in the prior 4 weeks.

Commodities were mixed, again,

Gold took a breather from last week’s advanced while Silver rose.

Cotton has bounced out of its recent oversold status.

As futures contracts roll, the new forward contract in the U.S. Hot Rolled Coil Steel rose 10% for the week and saw that commodity move out of oversold territory.

Gases were weaker along with coal (coking and thermal) prices.

Wheat and Corn continue to suffer and fall while most other grains and ‘softs’ and finding support, such as Soybeans.

And Lithium Hydroxide has now spent 58 consecutive weeks in weekly oversold territory.

Currencies was were the action was.

The week’s story was dominated by the weakness in the U.S. Dollar.

The DXY is in a 5 week losing streak.

The Aussie rose again, again.

The CAD and the Euro fell against everyone except the USD, of course.

The GBP rose.

The NZD/USD has risen for 5 straight weeks as has the Thai Baht against the USD.

The larger advancers over the past week comprised of;

Baltic Dry Index 4.2%, Cocoa 10.2%, Cotton 5.5%, Lean Hogs 7.2%, HRC 9.5%, Aluminium 7.9%, Nickel 2.4%, Orange Juice 7.7%, Robusta Coffee 9.9%, Sugar 2%, Sugar #16 2.9%, Tin 3.2%, Silver in USD 2.7%, Rice 2.1%, Soybeans 1.7%, All Developed World ex USA 2.6%, KBW Bank Index 2.7%, CAC 1.7%, DAX 1.7%, DJ Transports 1.9%, MIB 1.8%, IBEX 3%, S&P Small Cap 600 3.1%, Russell 2000 3.7%, Nasdaq Composite 1.4%, KRE Regional Bank Index 5.2%,  S&P MidCap 2.9%, Nasdaq Biotech 2.7%, Helsinki 2%, PSE 1.7%, South Africa 1.7%, SET 4%, S&P 500 1.5%, Nasdaq Transports 2.3%, Vietnam 2.6%, ASX Materials 1.8% and the ASX Industrials rose 2.1%.

The group of largest decliners from the week included;

Australian Coking Coal (3.9%), China Coking Coal (3.6%), JKM LNG (4.8%), Lumber (4.6%), Newcastle Coal (2.3%), Natural Gas (3%), Dutch TTF Gas (7%), Gasoil (1.4%), Gold in AUD 1.7%), Gold in CHF (1.9%), Gold in GBP (1.9%), Wheat (4.4%), MOEX (7.4%) and Turkiye’s BIST fell 1.6%.

August 25, 2024

by Rob Zdravevski

rob@karriasset.com.au