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
U.S. 5-7 year corporate bond yield
Brazilian 10 year government bond yield
Japanese 2 and 10 year government bond yields
TBX
U.S. 5 year government bond yield minus U.S. 5 year inflation breakeven rate
U.S. 5 year government bond yield minus U.S. 3 month bill yield
U.S. 2, 3, 5, 7, 10 and 20 year government bond yields
U.S. 10 year government bond yield minus U.S. 10 year inflation breakeven rate
Bloomberg Commodity Index
U.S. Dollar Index
Gold Volatility Index
Copper
AUD/JPY
AUD/THB
COP/USD
Austria’s ATX
Russia’s MOEX
And India’s NIFTY 50
Overbought (RSI > 70)
Russian 10 year bond yield
U.S. 10 year bond yield minus Australian 10 year bond yield
U.S. 10 year bond yield divided by Australian 10 year bond yield
Aluminium
Cocoa
Biodiesel
CRB Index
Brent Crude Oil
Coffee (Robusta)
AEX
Budapest
Italy’s MIB
TAIEX
And Turkiye’s BIST 100
The Overbought Quinella – Both Overbought and Traded at > 2.5 standard deviations above the weekly mean)
U.S. 10 year bond yield minus German 10 year bond yield
Coffee (Arabica)
Tin
Silver in AUD and USD
Gold in AUD, CAD, CHF, EUR, GBP, USD and ZAR
Pakistan’s KSE equity index
Extremes “below” the Mean (at least 2.5 standard deviations)
IEF
IEI
SHY
Lumber
Urea (U.S. Gulf)
Oats
EUR/USD
GBP/USD
JPY/AUD
DKK/USD
HKD/USD
KRW/USD
SEK/USD
Oversold (RSI < 30)
Australia 10 year yield minus U.S. 10 year yield
Chinese 10 year government bond yields
Australian Coking Coal
Chinese Coking Coal
Lithium Hydroxide
Shanghai Rebar
The Oversold Quinella – Both Oversold and Traded at < 2.5 standard deviations below the weekly mean)
None
Notes & Ideas:
My immediate suggestion is to compare last week’s edition to this one. Readers will note many changes.
It seemed as government bond yields rose, which is mostly true in Australia, USA, Great Britain, Japan, South Korea and New Zealand……
However, we also saw declining yields in Switzerland, Spain, Germany, France & China.
Last week, I wrote, “many yields are showing signs of breaking north of their recent sideways pattern”. This was certainly the case.
Bonds provided an equal amount of action this past week, with my spreads and bond ETF’s entering the list.
The big news in Equities was observing many indices leaving overbought territory as prices declined.
A few winner still managed to appear in this week’s list, albeit only several.
Oslo is in a 7 week winning streak, while Mexico’s main index broker its 4 week run of consecutive higher prices. The latter also posted an outside bearish reversal week.
Toronto’s TSX broke its 8 week winning streak and posted a bearish outside reversal week.
South Africa has risen for 4 weeks straight as has the TAIEX. The latter has climbed higher for 12 of the past 13 weeks.
And last week’s reference to those equity indices which posted bearish outside reversal week’s held true.
Commodities were mixed.
We saw strength in precious metals, base metals, softs and coals.
It is worthy to note that many commodities which appear in todays overbought section saw those extremes tickled earlier in the week, before easing off in the last couple days.
Iron Ore isn’t overbought.
Gold prices across various currencies remains overbought.
Interestingly, Platinum has risen 10% over the past 3 weeks while Gold’s advance (in USD) has been 8%.
Renewed media noise about the rise in oil, gold, silver and copper prices coincides with them trading at overbought extremes.
Coffee prices were amongst the largest gainers for the week, again. Robusta Coffee has risen 26% over the past 7 weeks.
While it remains oversold, China Coking broke is 7 week losing streak.
Rice broke its 6 week losing streak with a 7% rise, nearly halving the 15% decline seen during that declining trend.
Oats mostly recovered last week’s 7% decline.
Cotton has fallen for 5 straight weeks, inversely, Gasoline has risen for 5 consecutive weeks.
Cocoa has been overbought for 25 weeks, while putting together a recent 7 week winning streak.
Aluminium has risen for 7 straight weeks, rising 14% over that time.
And Lithium Hydroxide has now spent 40 consecutive weeks in weekly oversold territory, however it rose 8%.
Currencies extended last week’s activity with U.S. strength sending many reciprocals into oversold territory.
The effect of a rising USD, rendered weakest in the AUD and many others.
In its own right, the CAD was stronger.
The Yen was stronger against all, except the USD.
The Euro was weaker against everyone.
The British Pound was mixed for the week, again.
The BRL has fallen for 6 straight weeks against the USD.
And the Kiwi broke its 6 weeks of consecutive versus the Aussie.
The larger advancers over the past week comprised of;
Aluminium 1.7%, Rotterdam Coal 2.9%, Baltic Dry Index 6.2%, Cocoa 6.9%, Coffee 3.7%, JKM LNG in Yen 12.9%, Lithium 8.2%, Tin 15%, Newcastle Coal 2.7%, Orange Juice 2.6%, Palladium 5.2%, Platinum 6.5%, Shanghai Iron Ore 6.1%, Dutch TTF Gas 15.5%, Silver in AUD 3.3%, Silver in USD 1.4%, Gold in AUD 2.4%, Gold in USD 0.6%, Oats 6.1%, Rice 6.6%, Robusta Coffee 4.2%, KSE 2.8%, Oslo 1.8%, SET 1.5%, TAIEX 2%, FTSE 100 1.1%, Vietnam 1.7%, ASX Materials 2.9%, BIST 2% and the ASX Industrials rose 1.2%.
The group of largest decliners from the week included;
WTI Crude Oil (1.4%), Cotton (4.2%), Heating Oil (3.2%), Lumber (5.6%), Biodiesel (2.1%), Sugar (7%), Raw Sugar (1.7%), Urea U.S. Gulf (5.6%), Gasoil (2.7%), Urea Middle East (2.8%), Wheat (2%), Shanghai (1.6%), CSI 300 (2.6%), All Developed World ex USA (1.3%), KBW Bank Index (3.7%), China A50 (3%), DJ Industrials (2.7%), IBEX (2.1%), Indonesia (2.6%), S&P SmallCap 600 (2.9%), Russell 2000 (2.8%), Nasdaq Composite (0.5%), KRE Regional Banks (3.5%), S&P 400 Midcaps (2.9%), Mexico (2.6%), Nasdaq Biotechs (1.9%), SOX (1.5%), S&P 500 (1.6%), Nasdaq Transports (3.1%) and Toronto’s TSX fell 1.6%.
April 14, 2024
by Rob Zdravevski
rob@karriasset.com.au
rob zdravevski's blog 