Macro Extremes (week ending April 26, 2024)
April 28, 2024 Leave a comment
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)
Australian 2, 3 & 5 year government bond yields
Australian, Brazilian, Japanese, South Korean and U.S. 10 year government bond yield
U.S. 20 year government bond yields
TBT
U.S. 5-7 year corporate bond yield
U.S. 5 year government bond yield minus U.S. 5 year inflation breakeven rate
U.S. 10 year government bond yield minus U.S. 10 year inflation breakeven rate
Aluminium
Tin
Nickel
AUD/IDR
AUD/THB
USD/BRL
HSCEI
Hang Seng
Singapore’s Strait Times
Overbought (RSI > 70)
Japanese 2 year government bond yield
Cocoa
Gold in AUD, CAD, CHF, EUR, GBP & USD.
GBP/JPY
Italy’s MIB
Spain’s IBEX
OMX Stockholm 30
Turkiye’s BIST 100
Malaysia’s KLSE
And Pakistan’s KSE Index
The Overbought Quinella – Both Overbought and Traded at > 2.5 standard deviations above the weekly mean)
Russian 10 year government bond yields
Copper
Coffee (Arabica)
Coffee (Robusta)
AUD/JPY
EUR/JPY
USD/IDR
Extremes “below”the Mean (at least 2.5 standard deviations)
Lumber
GBP/USD
PHP/USD
Dow Jones Transports
And Indonesia’s IDX30
Oversold (RSI < 30)
Chinese 10 year government bond yields
Australian Coking Coal
Lithium Hydroxide
North European Hot Rolled Coil Steel
JPY/USD
The Oversold Quinella – Both Oversold and Traded at < 2.5 standard deviations below the weekly mean)
Lumber
BRL/USD
IDR/USD
Notes & Ideas:
Government bond yields rose.
The host of spreads appearing in last week’s edition are no longer overbought.
Chilean 10’s broke their 6 week rising streak.
Canadian 10’s are in a 5 week winning streak.
And across the curve, British yields have climbed for 5 straight weeks as have South Korean 10’s.
Equities (seeming against the grain) rebounded, recovering most of last week’s losses.
I think this move was commensurate with the weakness in the Japanese Yen, confirming the ‘risk-on’ mood.
China’s A50 Index and the U.S. KBW Bank Index have risen 5% in the past fortnight.
While many U.S. equity indices are no longer so, we still have some European entries and we are seeing Asian markets re-appear in the overbought extremes list.
Since the point of its overbought extreme, Egypt’s main index has slumped 18% over the past 7 weeks.
Inversely, the HSCEI and Hang Seng rose 9% for the week.
The former has risen 20% since its January 2024 oversold extremes. Remember all of that “China is uninvestible pessimism” a few months ago?
Stockholm is making a new all-time high.
The SOX posted a stunning 10% rise for the week.
The Russell 2000 rose 2.7% recovering the 2.8% decline it posted over the past 3 consecutive weeks, bouncing off its 200 week moving average.
The Nasdaq Transports has declined for 4 consecutive weeks, while Copenhagen OMX 25 and Switzerland’s SMI snapped their 4 week losing streak.
Commodities were mostly lower.
The CRB Index broke its 6 week winning streak.
We saw strength in base metals, softs and coals, again.
Silver fell. It’s not overbought this week and has closed at a 3 week low, last seen on April 4th.
Gold broke its 5 week weekly winning streak.
Weakness was also noted in Coal, Cocoa, Tin, Palladium, Platinum and Gases
Coffee and Wheat prices were amongst the largest gainers for the week, again. Robusta Coffee has risen 39% over the past 9 weeks, while Arabica Coffee prices run of 5 consecutive weeks of higher prices came to an end.
Cotton has fallen for 7 straight weeks, while Lumber, Tin and U.S. Hot Rolled Coil Steel prices all broke their 4 week declining streak.
The LNG JKM price (in Yen) declined 4% following a 20% rise in the preceding fortnight.
Cocoa has been overbought for 27 weeks, but it break its 9 week winning streak.
Still Cocoa remains more expensive than Copper. The latter has put together a 4 week winning streak and this week registers an overbought quinella.
Aluminium snapped its 8 week winning run. It rose 24% during that run. It fell 5% this past week.
And Lithium Hydroxide has now spent 41 consecutive weeks in weekly oversold territory.
Currencies were generally boring for the week, except for the strength in the Aussie and the weakness in the Yen.
Sustained U.S. strength is also keeping many of the reciprocals in oversold territory for another week.
The CAD and EUR were mixed.
We are seeing weakness in a range of Asian currencies.
And the Brazilian Real (BRL) broke its 7 straight week losing streak against the USD and moves out oversold territory.
The larger advancers over the past week comprised of;
WTI Crude Oil 2%, HRC 1.7%, Lumber 1.6%, Cattle 2.3%, Orange Juice 3.3%, Gasoline 2.3%, Robusta Coffee 7.8%, Oats 3.8%, Wheat 9.8%, AEX 2.6%, KBW Banks 2.6%, Budapest 3.1%, China A50 2%, DAX 2.4%, HSCEI 9.1%, Hang Seng 8.8%, IBEX 4%, S&P SmallCap 600 2.4%, Russell 2000 2.7%, Nasdaq Composite 4.2%, KLSE 1.8%, KRE Regional Banks 2.6%, KOSPI 2.5%, FTSE 250 2.2%, S&P MidCap 400 2.1%, Mexico 3.5%, Nasdaq Biotechs 1.7%, Nasdaq 100 4%, Nikkei 225 2.3%, Oslo 1.8%, Stockholm 2.2%, Philippines 2.9%, J’burg SA25 3%, SET 2.1%, SOX 10%, S&P 500 2.7%, STI 3.3%, TAIEX 3%, FTSE 3.1%, Vietnam 3% and BIST 100 rose 2.3%.
The group of largest decliners from the week included;
Aluminium (4.5%), Rotterdam Coal (6.2%), Baltic Dry Index (10.3%), China Coke (2%), Cocoa (7.5%), Lean Hogs (2%), JKM LNG (1.7%), Arabica Coffee (3.4%), JKM LNG in Yen (4%), Tin (3.5%), Newcastle Coal (5.2%), Natural Gas (8.4%), Palladium (6.6%), Platinum (2.3%), Sugar (1.7%), Dutch TTF Gas (6%), Uranium (2.2%), Silver in AUD (6.8%), Silver in USD (5.1%), Gold in AUD (4%), Gold in CAD (2.8%), Gold in EUR (2.6%), Gold in GBP (3.2%), Gold in USD (2.3%), Gold in ZAR (3.9%), Egypt (8.5%), Indonesia (2.4%), Nasdaq Transports (2.8%) and ASX Industrials fell 1.6%.
April 28, 2024
by Rob Zdravevski
rob@karriasset.com.au
rob zdravevski's blog 