rob zdravevski's blog

Macro Extremes (week ending March 1, 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

Rotterdam Coal

Cotton

Lumber

Overbought (RSI > 70)

Robusta Coffee 

Rubber

AEX

Budapest

DAX

Dow Jones Industrial Average

Italy’s MIB

Egypt 30 Index

Nasdaq Composite

Nasdaq 100

Nasdaq Transportation Index

NIFTY 50

Nikkei 225

Philadelphia Semiconductor Index (SOX)

TAIEX

Vietnam

And the S&P 500 Index

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

Cocoa (in U.S. and London)

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

None

Oversold (RSI < 30)

Chinese 10 year government bond yields

JKM LNG

Lithium Hydroxide

Corn 

Soybean

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

None

Notes & Ideas:

Government bond yields were mixed.

American and Australian Yields were lower,

While German Spanish, French, British, Japanese and South Korean yields rose.

Chilean yields rose with the 10 year yields and are in a 4 week winning streak 

German 2’s (yields) have also risen for the 4th consecutive week.

Equities were generally firmer although most closed the week within 1% either side of last week’s close. 

The Shanghai Composite is in a 3 week winning streak while the S&P Midcaps have closed higher for 7 consecutive weeks. 

The KSLE isn’t overbought anymore nor is the BIST 100.

The Hang Seng broke its 3 week winning run.

Mexico has fallen for 4 straight weeks.

Russia’s MOEX 10 has closed at an all-time high.

Copenhagen performed a bullish outside reversal week.

The S&P 500 is still overbought. It has risen for 16 of its past 18 weeks.

The CAC, the AEX and DAX took a break from posting made a new all-time highs.

The Dow Jones Industrial Average has now spent the past 12 weeks in overbought territory.

The Philippines Stock Exchange has put together a 6 week winning streak.

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

Commodities were mostly stronger, with the larger winners listed below.

The strength seen in the commodity indices were heavily influenced by the energy contracts.

Coal, Gasolines and Gases had a strong week.

Gold saw renewed strength while the PGM’s were weaker.

The Baltic Dry Index has risen for 4 consecutive weeks.

Dutch TTF Gas and JKM (priced in Yen) moved out of oversold territory.

Hot Rolled Coil Steel is nearing an extreme.

Orange Juice had a bearish outside week.

Cattle is streaking ahead, posting 9 consecutive winning weeks and closing higher in 11 of the past 12 weeks and nearing overbought territory.

Lithium Hydroxide has now spent 34 consecutive weeks in weekly oversold territory.

Soybeans and Corn are registering oversold extremes. 

Soybeans broke their 10 week losing streak.

And Henry Hub Natural Gas bounced 8% after making all-time lows, last week.

Currencies was were the action was.

AUD and CAD were mostly weaker.

The greater USD measure, the DXY was unchanged.

The Euro was firmer.

While the Yen rose for the week and it is flirting with making lower lows across various pairs.

The AUD/JPY took a break testing its recent highest closing point since December 8, 2014.

GBP/JPY is at its highest price since August 3, 2015.

The Japanese Yen has fallen for 7 of the past 8 weeks versus USD.

MYR/USD bounced from that all time low mentioned in last week edition.

And the Colombian Peso rose against the USD and broke its 8 week losing streak.

The larger advancers over the past week comprised of;

Aluminium 2.5%, Rotterdam Coal 14.5%, Bloomberg Commodity Index 1.9%, Baltic Dry Index 18.6%, WTI Crude Oil 4.6%, Cotton 2.2%, Heating Oil 1.8%, JKM LNG 2.2%, JKM in Yen 3.3%, Newcastle Coal 9%, Natural Gas 8.7%, Nickel on MCX 2.5%, Gasoline 4.2%, Robusta Coffee 2.9%, S&P GSCI 2.5%, CRB Index 2.3%, Dutch TTF Gas 11.9%, Brent Crude 2.1%, Gasoil 2.3%, Gold in AUD 2.9%, Gold in CAD 2.7%, Gold in USD 2.3%, Corn 2.4%, Oats 5%, DAX 1.8%, Russell 2000 2.8%, Nasdaq Composite 1.7%, Karachi 4%, S&P MidCap 400 1.9%, MOEX 4.4%, Nasdaq 100 2%, Nikkei 225 2.1%, SOX 6.8%, Chile 4.7%, Vietnam 3.8% and Australia’s ASX Small Caps rose 2.2%.

The group of largest decliners from the week included;

Australian Coking Coal (2.6%), China Coking Coal (2.7%), Hot Rolled Coil Steel (2%), Orange Juice (5.5%), Palladium (3.9%), Platinum (2.4%), Sugar (6.8%), Uranium (2.5%), Rice (1.7%), Wheat (2%), Mexico (2%), South Africa (2.1%), SET (2.2%), Strait Times (1.5%) and Turkiye’s BIST fell 3%

March 3, 2024

by Rob Zdravevski

rob@karriasset.com.au

U.S. bonds yields to fall to 2.8%

News of the poor management of the U.S. government’s income statement and balance sheet isn’t new.

https://www.bloomberg.com/news/articles/2024-02-29/pimco-sees-swelling-deficit-dragging-bonds-back-to-the-future?cmpid=BBD030124_MKT&utm_medium=email&utm_source=newsletter&utm_term=240301&utm_campaign=markets&sref=qLOW1ygh

Nor is the oft grouping of ‘money printing’ yet rates were below 1% not too long ago.

I say that the U.S. 2 year paper goes to 2.8% – 3.1% before it considers moving back higher,

And all the other capital market effects that would come with that…….

I expect U.S. rates to move to where they can do the most damage.

March 2, 2024

by Rob Zdravevski

rob@karriasset.com.au

Macro Extremes (week ending February 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.

Extremes “above” the Mean (at least 2.5 standard deviations

U.S. 3 month bond yield

Lean Hogs

NZD/AUD

Overbought (RSI > 70)

Rubber

AEX

Budapest

DAX

Dow Jones Industrial Average

Italy’s MIB

Egypt 30 Index

Nasdaq Composite

Nasdaq 100

Nasdaq Transportation Index

NIFTY 50

Nikkei 225

Philadelphia Semiconductor Index (SOX)

TAIEX

BIST 100

And the S&P 500 Index

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

Cocoa (in U.S. and London)

KLSE

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

None

Oversold (RSI < 30)

China 10 year government bond yield

JKM LNG

Lithium Hydroxide

Dutch TTF Gas

Corn 

Soybean

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

None

Notes & Ideas:

Government bond yields had a boring week.

Most stayed within 10 basis either side of last week’s close.

Equities were stronger, however there were some losers too.

The Nasdaq 100, Composite and Transports are all back in overbought territory after having a breather last week. The first two had bullish ‘outside’ weeks while the Nasdaq transports hit an all-time high.

Bullish outside reversal weeks were also seen in Thailand’s SET and Malaysia’s KLSE.

The latter is revealing on the back of a weak Ringgit.

The S&P 500 is still overbought. It has risen for 15 of its past 17 weeks.

The CAC and DAX made a new all-time highs.

The Dow Jones Industrial Average has now spent the past 11 weeks in overbought territory.

Amsterdam’s AEX continues to make new all-time highs.

The Philippines Stock Exchange has put together a 5 week winning streak.

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

Turkiye’s BIST has risen for 8 consecutive weeks making for a 24% (in TRY terms) return.

And the Shaghai Compsoite, CSI 300 and the HSCEI has have risen 10% over the past couple weeks……in amongst all of that pessimism.

Commodities were mostly weaker. 

Uranium isn’t overbought anymore.

Nickel isn’t oversold.

Hot Rolled Coil Steel is nearing an extreme,

Cattle is streaking ahead, positing 8 consecutive winning weeks and closing higher in 10 of the past 11 weeks.

Nickel, Palladium, Cocoa and shipping rates had a good week.

Energy prices, industrial metals, grains, Coffee were the largest losers.

Lithium Hydroxide prices was unchanged for the week, once again, again.

Lithium Hydroxide has now spent 33 consecutive weeks in weekly oversold territory.

Heating Oil has fallen 9.5% in the past week and trading it must be a nightmare.

Cotton broke its 6 week winning streak.

Soybeans and Corn are registering oversold extremes. 

Soybeans are in a 10 week losing streak and have fallen 14 of the past 15 weeks.

And Henry Hub Natural Gas prices made an new all-time lows.

Currencies was were the action was.

The U.S. Dollar (DXY) Index broke its 7 week winning streak.

The AUD was firmer. The CAD was lower. The EUR mixed. The GBP stronger. The JPY weaker.

The AUD/JPY saw its highest intra-week levels and close since December 8, 2014, although its not at an overbought extreme. 

GBP/JPY is at its highest price since August 3, 2015.

The Japanese Yen has fallen for 7 of the past 8 weeks versus USD.

MYR/USD – all time low, suggests buying Malaysian Ringgit 

Colombian Peso is in a 8 week losing streak again the USD.

DKK/USD broke its 5 week losing streak.

The IDR/USD is in a 4 week losing streak.

The Singapore Dollar broke its 7 week losing streak vs USD.

And the ZAR/USD had a bearish outside reversal week.

The larger advancers over the past week comprised of;

Baltic Dry Index 15.9%, Lean Hogs 2.3%, Newcastle Coal 1.9%, Nickel on LME 7.1%, Nickel on CX 3.6%, Orange Juice 2.1%, Palladium 3.8%, Rice 2%, Wheat 1.8%, Shanghai 4.9%, CSI 300 3.7%, CAC 2.6%, China A50 2.6%, DAX 1.8%, DJ Transports 1.9%, MIB 3.1%, HSCEI 3.7%, HSI 2.4%, IBEX 2.5%, Pakistan’s KSE 4.9%, Nasdaq Biotechs 1.8%, SMI 1.7%, SOX 1.9%, Nasdaq Transports 2.7% and S&P 500 rose 1.7%.

The group of largest decliners from the week included;

Aluminium (2.1%), WTI Crude (2.5%), Heating Oil (4.2%), JKM LNG (5.2%), Coffee (3.4%), JKM LNG in Yen (5%), Tin (3.8%), Gasoline (2.7%), Robusta Coffee (3.5%), Sugar (2%), SPGSCI (1.4%), Dutch TTF Gas (7.6%), Brent Crude (1.9%), Gasoil (1.7%), Uranium (5.9%), Silver in AUD (2.5%), Silver in USD (2%), Corn (4%), oats (4.7%), Soybeans (2.9%), MOEX (3.1%), KRE Regional Banks (1.7%), Chile (2.3%) and the ASX Materials fell 1.7%. 

February 25, 2024

by Rob Zdravevski

rob@karriasset.com.au