Macro Extremes (week ending May 17, 2024)

May 19, 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.

* denotes multiple week inclusion

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

Copper/Gold Ratio

Nickel

Platinum

Wheat 

AUD/CAD

AUD/JPY

HKD/USD

Hang Seng Index *

S&P Small Cap 600

Helsinki *

And Switzerland’s SMI

Overbought (RSI > 70)

Russian 10 year government bond yield *

Japanese 2 and 5 year government bond yield * 

Silver in AUD

Gold in CAD, CHF, EUR, GBP & USD *

AEX *

Austria’s ATX *

Budapest *

DAX *

MIB *

MOEX

Malaysia’s KLSE *

Pakistan’s KSE Index *

Oslo *

Russell 2000

South Africa 40 *

TAEIX *

TSX

FTSE 100

and Turkiye’s BIST 100 *

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

Copper *

Orange Juice

Silver in USD

Hang Seng China Enterprises Index (HSCEI) *

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

USD/ZAR

Oversold (RSI < 30)

Cotton

Lithium Hydroxide *

Lumber *

North European Hot Rolled Coil Steel *

Urea (Middle East)

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

None

Notes & Ideas:

Government bond yields were lower.

Amongst the week’s relative quiet action, the Copper/Gold Ratio entered overbought terrority which tends to coincide with bonds yields peaking.

 

Equities were higher again.

The FTSE 100 switches places in oversold land with the FTSE 250.

The American Russell 2000 and S&P SmallCap 600 return to being overbought as has Toronto’s TSX.

Many European indices remain overbought as some of the China and Hong Kong indices.

The HSCEI and Hang Seng have both risen 19% in the past 4 weeks.

The All Word Developed (ex USA) Index is in a 4 week winning streak as it the Dow Jones Industrials and the Nasdaq Composite.

And Italys MIB made an all-time high.

Commodities were mostly stronger.

Coal, Cocoa, Lumber, Sugar, Oats and Grains were weaker.

Metals (Precious and Base), Gases, Oil, Coffee, Cattle and Orange Juice were stronger.

Platinum, Nickel and Orange Juice make a return visit to overbought territory.

Oats are no longer oversold as they broke their 5 week winning streak falling 11% for the week (whilst performing a weekly outside bearish reversal), giving up nearly half of their 26.5% return over that time.

Copper, Silver and Gold are overbought, while Hot Rolled Coil Steel, Lumber and Cotton and Lithium are in the oversold category. 

Lumber has tanked 22% over the past 8 weeks and Cotton has slumped for 11 consecutive weeks.

Most grains eased following 4 weeks of consecutive gains.

Over the past 3 weeks, Platinum has risen 17%.

The Baltic Dry Index fell 13%, giving up half of the 23% gain seen in the prior fortnight.

And Lithium Hydroxide has now spent 44 consecutive weeks in weekly oversold territory.

Currencies saw some action during the week.

The AUD was stronger and as some pairs return to be ing overbought.

And interestingly, the CHF/AUD is nearing overbought territory.

The larger advancers over the past week comprised of;

Aluminium 1.8%, Bloomberg Commodity Index 2.9%, WTI Crude Oil 2.3%, Copper 8.3%, Heating Oil 2.1%, JKM LNG 4.5%, Coffee 2.7%, Cattle 2.7%, JKM LNG in Yen 1.8%, Tin 2.4%, LME Aluminium 3.6%, Natural Gas 16.6%, Nickel 11.9%, Nickel on MCX 3.2%, Orange Juice 13.8%, Palladium 3%, Platinum 8.2%, Gasoline 2.7%, Robusta Coffee 2.3%, Dutch TTF Gas 2.5%, Silver in AUD 10.3%, Silver in USD 11.8%, Gold in CAD 1.9%, Gold in CHF 2.6%, Gold in USD 2.3%, ASX 200 1.7%, MIB 2.1%, HSCEI 3.2%, HSO 3.1%, IBEX 2%, IDX 2.5%, Russell 2000 1.9%, Nasdaq Composite 2.1%, KSE 3.1%, Nasdaq Biotech 2.4%, Nikkei 225 2.1%, Copenhagen 2.7%, SENSEX 1.7%, SMI 2.4%, SOX 3.6%, S&P 500 1.5%, TAEIX 2.7%, Vietnam 2.3%, ASX Materials 2.5% and BIST rose 4.2%.

The group of largest decliners from the week included;

Australian Coking Coal (2.5%) Rotterdam Coal (1.8%), Baltic Dry Index (13.4%), Cocoa (17.4%), China Coking Coal (2.3%), Cotton (1.8%), Lean Hogs (1.9%), Lumber (1.7%), Sugar (6.1%), Corn (3.7%), Oats (11.1%), Rice (3.2%), Wheat (1.9%), Budapest (1.6%) and the ASX Industrials fell 1.8%.

May 19, 2024

by Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending May 10, 2024)

May 12, 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.

  • denotes multiple week inclusion

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

Oats *

Hang Seng China Enterprises Index (HSCEI) *

Hang Seng Index *

South Africa 40 *

FTSE 250

Helsinki 

Overbought (RSI > 70)

Russian 10 year government bond yield 

Japanese 2 year government bond yield 

Copper

Gold as priced in USD, GBP, EUR, CHF and CAD

AEX *

Budapest *

DAX

MIB

Stockholm

TAEIX

Malaysia’s KLSE *

Pakistan’s KSE Index *

FTSE 250

and Turkiye’s BIST 100 *

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

Austria’a ATX

Oslo

FTSE 100

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

None

Oversold (RSI < 30)

Lithium Hydroxide *

North European Hot Rolled Coil Steel *

Midwest U.S. Hot Rolled Coil Steel

Lumber *

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

None

Notes & Ideas:

Government bond yields were mixed, with a slight bias higher.

Generally, those yields which were overbought in the recent weeks, fell and those yields that weren’t overbought…rose over the past week.

Equities were mostly higher, with Indian indices amongst the few to decline.

Europe was stronger. Perhaps it was a Eurovision rally?

It has been nearly 3 years since the FTSE 250 has registered an overbought extreme. It has risen 6.5% over the past 3 weeks.

Germany’s DAX, Italy’s MIB, & Stockholm’s OSX 30 are back in overbought territory.

The HSCEI and Hang Seng have both risen 16% in the past 3 weeks.

Furthermore, the Shanghai Composite, CSI 300, the U.S. (KRE) Regional Banks Index and Malaysia’s KLCI Index are in a 4 week winning streaks.

China’s A50 Index and the U.S. KBW Bank Index have risen 7.5% and 8% respectively, over the past 4 weeks.

And the Nasdaq Transports broke its 5 week losing streak.

Commodities were mostly stronger.

Precious Metals, Grains, Gases and Softs were stronger.

Oats are in a 5 week winning streak and have climbed 26.5% over that time.

Urea, Steel and Lumber prices were weaker. Lumber has tanked 20% over the past 7 weeks.

Some of the grains are now seeing 4 weeks of consecutive gains.

Copper and Gold are overbought, while Hot Rolled Coil Steel, Lumber and Lithium are in the oversold category.

Robusta Coffee has fallen 18% over the past fortnight which accounts for nearly half of the 39% rise seen in the prior 10 weeks.

Cotton has fallen for 10 consecutive weeks, sinking 21% over that time and nearing oversold territory.

Over the past fortnight, Platinum has risen 9% while Gasoline has slumped 9%.

The Baltic Dry Index has soared 23% in 2 weeks.

And Lithium Hydroxide has now spent 43 consecutive weeks in weekly oversold territory.

Currencies were generally quiet for the week except for the renewed weakness in the Yen.

The AUD fell against all except the Yen.

The Euro was firmer and the EUR/USD is in a 4 week winning streak.

And the U.S. Dollar rose against everyone except anything called a Peso.

The larger advancers over the past week comprised of;

Baltic Dry Index 13.5%, Cocoa 9.2%, JKM LNG in Yen 6.9%, Tin 6.3%, Natural Gas 5.1%, Orange Juice 6.5%, Palladium 3.5%, Platinum 4.3%, Silver in AUD 6.1%, Gold in AUD 2.6%, Gold in USD 2.5%, Corn 2.1%, Oats 6.1%, Rice 2.7%, Wheat 6.6%, CSI 300 1.7%, AEX 2.6%, ATX 2.7%, KBW 2.7%, Budapest 1.8%, CAC 3.3%, DAX 4.3%, DJ Industrials 2.2%, MIB 3.1%, HSCEI 2.6%, Hang Seng 2.6%, IBEX 2.3%, S&P SmallCap 600 1.7%, Nasdaq Composite 1.1%, KOSPI 1.9%, FTSE 250 2.4%, S&P MidCap 400 2.2%, Nasdaq 100 1.5%, Oslo 3.5%, Copenhagen 2.3%, Helsinki 3.3%, Stockholm 3.5%, SA40 2.7%, SMI 4.3%, SOX 2%, S&P 500 1.9%, TAEIX 1.9%, Nasdaq Transports 2%, TSX 1.7%, FTSE 100 2.7%, Vietnam 1.9%, ASX 200 1.6%, ASX Industrials 1.7%, ASX Small Caps 1.5% and the Tel Aviv 35 rose 3.3%.

The group of largest decliners from the week included;

U.S. Hot Rolled Coil (HRC) Steel (4.1%), Lumber (2.1%), Newcastle Coal (2%), Gasoline (2.2%), Robusta Coffee (2.9%), Urea Middle East (2.3%), NIFTY (1.9%) and India’s SENSEX fell 1.7%.

May 12, 2024

by Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending May 3, 2024)

May 5, 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.

  • denotes multiple week inclusion

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

Australian 2, 3, 5 & 10 year government bond yields *

Japanese 2 year government bond yield

South Korean 10 year government bond yield *

Copper/Gold Ratio

U.S. 5 year government bond yield minus U.S. 5 year inflation breakeven rate *

Newcastle Coal

Oats

AUD/IDR *

AUD/THB *

Hang Seng China Enterprises Index (HSCEI) *

Hang Seng Index *

J’burg 40 

Singapore Straits Times Index *

Overbought (RSI > 70)

Russian 10 year government bond yield 

AEX

Budapest

Malaysia’s KLSE *

Pakistan’s KSE Index *

FTSE 250

and Turkiye’s BIST 100 *

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

Brazilian 10 year government bond yields 

Copper

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

SHY

PHP/USD *

Dow Jones Transports *

And Indonesia’s IDX30 *

Oversold (RSI < 30)

Lithium Hydroxide

North European Hot Rolled Coil Steel

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

Lumber

Urea

Notes & Ideas:

Government bond yields fell.

Many streaks were broken such as the 5 week winning streak in Canadian and South Korean 10’s along with all the yields across the British curve.

Chinese 10 year bond yields is no longer oversold as its yield rose.

Equities were mostly higher.

However, selected European bourses did see weakness.

China’s A50 Index and the U.S. KBW Bank Index have risen 7.5% and 5.2% respectively, over the past 3 weeks.

IBEX, MIB, & Stockholm’s OSX 30 aren’t overbought anymore.

The HSCEI and Hang Seng both rose 4.5% for the week, adding to last week’s 9% advance.

Furthermore, the Hang Seng and U.S. (KRE) Regional Banks Index are in a 3 week winning streak.

The SOX finished flat following last week’s stunning 10% rise.

Karachi broke its 6 week winning streak.

The Nasdaq Transports has declined for 5 consecutive weeks.

And Toronto’s TSX registered a bearish outside reversal week.

Commodities were mostly lower, again.

Weakness was seen in Cocoa, Coffee, Precious Metals, Oils and Distillates.

Strength was evident in Base Metals, Coal, Gases and Grains.

Some of the grains have strung 3 weeks of consecutive gains.

Aluminium, Tin & Nickel are not overbought anymore, nor is Cocoa, Coffee or Gold (in any currency).

Cocoa has fallen 31% in the past fortnight and has broken its overbought streak of 27 weeks.

While Australian Coking Coal isn’t oversold this week.

Robusta Coffee has fell 15% accounting for nearly half of the 39% rise seen in the prior 9 weeks.

Cotton has fallen for 8 consecutive weeks while Rubber has sunk for 6 weeks straight.

Iron Ore in a 5 week winning streak.

U.S. Hot Rolled Coil Steel performed a bearish weekly outside reversal.

And Lithium Hydroxide has now spent 42 consecutive weeks in weekly oversold territory.

Currencies are providing stealth guidance for the health of various asset trends.

The big news was the strength in the Japanese Yen and it’s no longer at last weeks extremes.

The AUD rose against all except the Yen.

The Canadian Loonie fell while the Euro was mixed.

The British Pound fell with the exception of the USD pair.

The Thai Baht broke its 7 week losing streak against the USD.

And the USD/SEK registered a outside weekly bearish week.

The larger advancers over the past week comprised of;

Australian Coking Coal 3.2%, Baltic Dry Index 9%, China Coking Coal 4.7%, Tin 2%, Newcastle Coal 5.8%, Natural Gas 11.4%, Platinum 4.7%, Dutch TTF Gas 5.5%, Uranium 5.5%, Corn 2.3%, Oats 7.9%, Soybeans 3.2%, China A50 2%, HSCEI 4.4%, Hang Seng 4.7%, Russell 2000 1.8%, KRE Regional Bank Index 3%, FTSE 250 1.7%, Nasdaq Biotechs 5.9%, Chile 2.6% and the BIST 100 rose 3.6%.

For reference, the S&P 500 rose 0.6% for the week.

The group of largest decliners from the week included;

Aluminium (1.9%), Cocoa (23.1%), WTI Crude (6.9%), Cotton (3.5%), Lean Hogs (2%), Heating Oil (4.7%), Coffee (Arabica) (10.4%), Lumber (2.7%), Lithium (5.7%), Gasoline (6.9%), Coffee (Robusta) (14.7%), SPGSCI (3.8%), CRB Index (3.5%), Brent Crude Oil (6%), Gasoil (5.3%), Urea Middle East (2.1%), Silver in AUD (3.6%), Silver in USD (2.4%), Gold in AUD (2.7%), Gold in CHF (2.6%), Gold in EUR (2.2%), Gold in GBP (2%), Gold in ZAR (3%), CAC (1.6%), MIB (1.8%) and Spain’s IBEX fell 2.7%.

May 5, 2024

by Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , , , , , , , , , , , ,

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

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending April 19, 2024)

April 21, 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

U.S. 5-7 year corporate bond yield 

Australian, Brazilian, Chilean, Japanese, South Korean and U.S. 10 year government bond yield 

Japanese 2 year government bond yields 

U.S. 7 year government bond yields 

U.S. 20 and 30 year government bond yields 

TBT

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. 10 year government bond yield minus U.S. 10 year inflation breakeven rate

Gold Volatility Index

Cocoa

Nickel

Overbought (RSI > 70)

U.S. 10 year bond yield minus Australian 10 year bond yield 

U.S. 10 year bond yield minus German 10 year bond yield 

U.S. 10 year bond yield divided by Australian 10 year bond yield 

Gold in CHF

CRB Index

Italy’s MIB

Russia’s MOEX 

And Pakistan’s KSE Index

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

Coffee (Arabica)

Coffee (Robusta)

Aluminium

Copper

Tin

Silver in AUD and USD

and Gold as priced in AUD, CAD, EUR, GBP, USD and ZAR

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

IEF

IEI 

SHY

TLT

Australia 10 year yield minus U.S. 10 year yield

Urea (U.S. Gulf)

CAD/USD

GBP/USD

PHP/USD

DKK/USD

INR/USD

KRW/USD

SEK/USD

Dow Jones Transports

And Thailand’s SET Index

Oversold (RSI < 30)

Chinese 10 year government bond yields

Australian Coking Coal

Lithium Hydroxide

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.

Chilean 10’s have risen for 6 consecutive weeks and have risen for 10 of the past 11.

Across the curve, British yields have climbed for 4 straight weeks as have South Korean and Japanese 10’s.

And Russian 10 year bond yields aren’t overbought anymore.

Equities broadly fell everywhere…..

with the exception of Chinese stocks and U.S. banks.

Impressively the Dow Jones Industrials were flat for the week.

The Russell 2000 has declined 2.8% for 3 consecutive weeks, enough to see it touch its 200 week moving average.

The DAX fallen for 3 straight weeks, while Copenhagen and Switzerland’s SMI have done so for 4 weeks.

Oslo broke its 7 week winning streak after last week’s posting of an outside bearish reversal.

And South Africa broke its 4 weeks winning streak.

Commodities were mixed.

We saw strength in base metals, softs and coals, again.

Weakness was seen in Oils, Lumber, Cotton, Soybeans, Sugar and the PGM’s.

Biodiesel and Brent Crude Oil isn’t overbought this week.

Gold, Aluminium, Copper, Coffee, Tin and Silver all appear in the overbought quinella column this week.

Gold’s weekly winning streak is at 5 while Silver has risen for 7 of the past 8 weeks.

Coffee prices were amongst the largest gainers for the week, again. Robusta Coffee has risen 31% over the past 8 weeks.

Cotton has fallen for 6 straight weeks, while Lumber’s declining streak is at 4 week.

Gasoline broke its 5 week winning streak.

The LNG JKM price (in Yen) has risen 20% over the past fortnight.

Cocoa has been overbought for 26 weeks, while putting together a recent 9 week winning streak.

Cocoa remains more expensive than Copper.

Aluminium has risen for 8 straight weeks, rising 24% over that time.

And Lithium Hydroxide has now spent 40 consecutive weeks in weekly oversold territory, however it rose 8%.

Currencies are seeing continued action.

U.S. strength is keeping many reciprocals in oversold territory.

The AUD and the Yen were weaker.

The CAD was firmer as was the Euro.

And the BRL has fallen for 7 straight weeks against the USD.

The larger advancers over the past week comprised of;

Australian Coking Coal 5.7%, Aluminium 10%, Baltic Dry Index 11%, Cocoa 9.4%, China Coking Coal 4.2%, Lean Hogs 2.5%, Copper 5.6%, Coffee 5.2%, JKM LNG in Yen 7.5%, Tin 3.5%, Newcastle Coal 6%, Nickel 9.5%, Robusta Coffee 4.7%, Shanghai Iron Ore 2.1%, Silver in AUD 3.6%, Silver in USD 2.9%, Gold in AUD 2.8%, Gold in EUR 1.9%, Gold in GBP 2.7%, Gold in USD 2.1%, Oats 2%, Rice 7.5%, Shanghai Composite 1.5%, CSI 300 1.9%, KBW Bank Index 2%, Chian A50 3.4% and Pakistan’s KRE Index rose 1.7%.

The group of largest decliners from the week included;

WTI Crude Oil (3.4%), Cotton (4.5%), Heating Oil (5.4%), Lumber (5.9%), Lithium (3.4%), Orange Juice (3.2%), Palladium (3.1%), Platinum (5.8%), Gasoline (3.3%), Biodiesel (2%), Sugar (3.5%), S&P GSCI (1.4%), Brent Crude Oil (3.3%), Gasoil (7%), Soybeans (2%), All World Developed ex USA (2.3%), AEX (2.7%), Budapest (3.3%), DJ Transports (2.7%), HSCEI (2.3%), Hang Seng (3%), IDX (4.4%), S&P SmallCap 600 (1.2%), Russell 2000 (2.8%), Nasdaq Composite (5.5%), KOSPI (3.4%), FTSE 250 (1.7%), S&P MidCap 400 (2.2%), Nasdaq Biotech (3.1%), Nasdaq 100 (3.4%), Nikkei (6.2%), Nifty (1.7%), Oslo (2.5%), PSE (3.3%), J’burg 40 (2.7%), SET (4.6%), SOX (9.2%), Chile (2.9%), S&P 500 (3.1%), TAIEX (5.8%), FTSE 100 (1.3%), Vietnam (8%), ASX 200 (2.8%), ASX Materials (2.2%), ASX Industrials (2.9%) and the ASX Small Caps fell 3.9%

April 21, 2024

by Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending April 12, 2024)

April 14, 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

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

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending April 5, 2024)

April 7, 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

U.S. 10 year yield minus German 10 year yield

U.S. 10 year yield 

Aluminium

Bloomberg Commodity Index

WTI Crude Oil

Copper

S&P GSCI 

Brent Crude Oil

Silver in USD

AUD/JPY

AUD/THB

USD/IDR

USD/SEK

USD/PHP

USD/BRL

MXN/USD

COP/USD

And Britain’s FTSE 100 Index

Overbought (RSI > 70)

Russian 10 year bond yield 

Cocoa

Coffee (Robusta)

AEX

KBW Bank Index

Budapest

DAX

Pakistan’s KSE

Italy’s MIB

Nifty 50

TAIEX

Toronto’s TSX

BIST 100

And the S&P 500 Index

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

Coffee (Arabica)

Biodiesel

CRB Index

Silver in AUD

Gold in AUD, CAD, CHF, EUR, GBP, USD and ZAR

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

Australia 10 year yield minus U.S. 10 year yield

North European Hot Rolled Coil Steel (HRC)

Lumber 

Oats

Rice

CHF/AUD

Oversold (RSI < 30)

Chinese 10 year government bond yields

Lithium Hydroxide

Iron Ore

Shanghai Rebar

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

Australian Coking Coal

Chinese Coking Coal 

Notes & Ideas:

For the week, government bond yields rose.

While Chinese and Russian 10 year yields appearing either end of their pendulums, many yields are showing signs of breaking north of their recent sideways pattern.

The Japanese 2’s are amongst the nearest other bond yield to approach an extreme.

And we see some yield spreads appear in this week’s list.

Equities mainly fell for the week, across the world.

Regular readers wouldn’t be surprised about this weeks declines, considering the implied probability that rises when we saw the the long list of overbought equity indices appearing over the past few weeks editions.

The following equity indices dropped out of overbought territory;

KBW Bank Index, CAC 30, IBEX, Dow Jones Industrial Average, Nasdaq Composite, S&P MidCap 400, Vietnam,  Nasdaq Transports & the Philadelphia SOX and the Nikkei 225.

The latter fell 3.4% of the week.

Oslo is in a 6 week winning streak, while Mexico’s main index has put together 4 weeks of consecutive higher prices. 

Toronto’s TSX extends its winning streak to 8 weeks.

The DAX broke 8 week winning streak and Italy’s MIB broke its 9 week rising run. Both these indices joined the Nasdaq 100, SMI, ASX 200 and SOX in performing an bearish outside reversal week. 

Commodities were generally higher and it is where most of the week’s action was.

The major commodity indices have returned to overbought status, mainly driven by the energy and the industrial and precious metals.

Gold prices across various currencies remains overbought, with their weekly performances listed below.

Renewed media noise about the rise in oil and copper prices coincides with them trading at overbought extremes.

Coffee prices were there largest gainers for the week. Arabica played catch up to Robusta Coffee, the latter having risen 22% over the past 6 weeks.

Prices related to steel production such as coking coal, iron ore, rebar, are all in oversold territory.

The “coking coals” have fallen for 7 straight weeks, with Australian Coking Coal prices falling 32% over that time.

The Baltic Dry Index has slumped 35% over the past 3 weeks.

While U.S. Midwest Hot Rolled Coil Steel is approaching oversold territory, the North European price did so, this past week.

Crude Oil, Copper, Tin and Silver moved out of overbought territory.

Rice has fallen for 6 consecutive weeks and its price has declined 15% over that time.

Oats are oversold and have produced a 35% decline from their overbought extreme seen in August 2023.

Cocoa has been overbought for 24 weeks.

Aluminium has risen for 6 straight weeks.

And Lithium Hydroxide has now spent 39 consecutive weeks in weekly oversold territory.

Currencies saw a bit more activity this week, with a few more currencies return to the ‘extremes’ list.

The AUD rose.

The CAD was weaker as was the Yen. 

The Euro was mainly firmer, reversing last week’s weakness.

The British Pound was mixed for the week.

The USD was also mixed as we see it exhibit ‘extreme’ strength versus the  Indian Rupee, Swedish Krona, Philippine Peso and Brazilian Real yet it is trading at ‘extreme’ weakness against the Colombian and Mexican Peso’s.

In fact, the USD has risen for 5 straight weeks against the BRL.

And the Kiwi has declined for 6 consecutive weeks versus the Aussie.

The larger advancers over the past week comprised of;

Aluminium 4.9%, Bloomberg Commodity Index 3.4%, WTI Crude 4.5%, Lean Hogs 3.1%, Copper 5.7%, Heating Oil 5.7%, Coffee 12.5%, Nickel 6.4%, Platinum 2.1%, Gasoline 2.5%, Biodiesel 5%, Robusta Coffee 8.3%, Raw Sugar 2.2%, S&P GSCI 3.3%, CRB Index 2.5%, Brent Crude Oil 4.5%, Gasoil 6.5%, Silver in AUD 9.1%, Silver in USD 10.1%, Gold in AUD 3.3%, Gold in CAD 4.7%, Gold in CHF 4.4%, Gold in EUR 3.9%, Gold in GBP 4.2%, Gold in USD 4.3%, Budapest 1.8%, Egypt 3.4%, MOEX 1.9%, Oslo 1.8% and Turkiye’s BIST 100 climbed 5.2%.

The group of largest decliners from the week included;

Australian Coking Coal (7.7%), Baltic Dry Index (10.6%), Cocoa in London (3.4%), China Coking Coal (3.6%), Cotton (5.6%), North Europe HRC (3.7%), Lumber (2.4%), Cattle (3.7%), JKM LNG in Yen (2%), Lithium (9%), Newcastle Coal (2.1%), Palladium (1.4%), Sugar (2.3%), Dutch TTF Gas (2.7%), Urea U.S. Gulf (2%), Corn (1.8%), Oats (7.2%), All World Developed ex-USA (1.3%), KBW Banking Index (2.8%), CAC (1.8%), DAX (1.7%), DJ Industrials (2.2%), DJ Transports (1.8%), MIB (2.1%), IBEX (1.4%), Indonesia (2.6%), S&P SmallCap 600 (2.6%), Russell 2000 (2.8%), KRE Banking Index (4.1%), S&P MidCap 400 (1.9%), Nasdaq Biotech (3.5%), Nasdaq 100 (0.8%), Nikkei 225 (3.4%), Phillipines PSE (2.3%), SMI (2%), SOX (1.8%), Chile (2%), S&P 500 (1%), Nasdaq Transports (1.6%), Vietnam (2.3%), ASX Small Caps (1.7%) and the ASX 200 fell 1.6%.

April 7, 2024

by Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending March 15, 2024)

March 17, 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

U.S. 3 month bill yield

Copper

Gasoline

Silver in AUD, EUR, JPY and CHF

Gold in USD, GBP , ZAR, CAD and EUR 

Overbought (RSI > 70)

Biodiesel

Robusta Coffee 

AEX

Budapest

CAC 30

DAX

Italy’s MIB

KLSE

Stockholm

And the S&P 500 Index

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

Russian 10 year bond yield 

Gold in AUD, CHF & JPY

Cocoa

Rubber

Egypt 30 Index

TAIEX

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

Australian Coking Coal

Iron Ore

Oversold (RSI < 30)

Chinese 10 year government bond yields

Lithium Hydroxide

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

None

Notes & Ideas:

Government bond yields were mostly higher while many remain trendless.

All yields were lower, except for the Japanese, again.

Japanese 2’s eased away from overbought territory and broke its 8 week rising streak.

The Japanese 5’s winning streak extends to 6 weeks.

Russian 10 year yields have risen for 7 consecutive weeks.

The Chinese 10’s are the notable oversold extreme in this week’s list.

Equities were mixed. Most finished the week 1% of either of side of last weeks close.

Some European bourses continue their winning ways such as Spain, France and Italy as do the recently shunned Chinese indices.

While U.S. indices eased lower and some have commenced something resembling a retracement some weeks ago.

Australian indices were amongst the largest decliners.

The Shanghai Composite and the CSI 300 have put together a 5 week winning streak, the DAX is at 6 weeks, while the Philippines main index broke its 7 week winning streak and the S&P Midcaps snapped its 9 weeks run of advances.

As a result, the MidCap 400 isn’t overbought this week.

Copenhagen isn’t overbought either, nor the Nikkei 225, the NIFTY 50, the FTSE All World (developed ex-USA) index, SENSEX, the SOX and the Nasdaq Transports.

The Nasdaq Composite and Nasdaq 100 aren’t overbought anymore either.

Toronto’s TSX is in a 5 week winning streak.

Vietnam’s main index is nearing overbought territory.

Mexico broke its 5 week losing streak.

Brazil’s BOVESPA has bucked the direction of most global bourses by falling 5.2% since its Christmas overbought reading.

Intra-week, Russia’s MOEX 10 made another all-time high but didn’t close there.

The S&P 500 is still overbought. This week’s decline of 0.1% means it has only declined for 4 weeks of the past 20 weeks.

The CAC and DAX are still making new all-time highs.

Spain’s IBEX is at its highest point since January 2018 and is nearing an interesting overbought scenario.

The Dow Jones Industrial Average took a vacation from its 13 week stay in overbought territory.

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

Commodities were generally higher.

Oils, distillates and most gases (except for Henry Hub Natural Gas) had a good week, which weigh heavily on the performance of the broader commodity tracking indices.

As a result, JKM LNG isn’t oversold this week.

Inversely, Henry Hub Natural Gas prices fell 8%  to close at an all-time low. This is another example of a parabolic price move being thumped. I’m watching closely for developing strength in this downward trend. Should it gather steam, a visit to $1.20 wouldn’t be out of the question. That’s quite move from $11 from only 20 months ago.

While Gold prices took a breather, its price remains in overbought territory across various currencies.

AUD Gold remains 23% above its 200 week moving average.

Other precious metals had a good week too, with Palladium outpacing Silver.

Cocoa went super parabolic rising 25% for the week and has now spent 21 weeks in overbought land.

Coal was a loser again.

Raw Cane Sugar recovered all of last weeks decline. 

Grains, Precious Metals and Industrial Metals were firmer.

Corn and Soybeans are not oversold anymore. In fact, Soybeans have risen for the past 3 weeks after snapping their recent 10 week losing streak.

Wheat is very close to an oversold reading.

Since its recent oversold reading, Nickel has risen for the past 5 weeks.

Uranium and the Baltic Dry Index are in 6 week losing streaks.

The former has fallen 22% during that streak.

Rotterdam Coal is in a 4 week winning streak.

I see a change in trend approaching for Urea prices.

And Lithium Hydroxide has now spent 36 consecutive weeks in weekly oversold territory.

Currencies saw a firmer CAD, EUR and USD.

The USD rose against everyone unless it was a Peso.

The Japanese Yen was weaker perhaps as capital markets continue to embrace risk, or is this some sort of divergence?

The Aussie fell against everyone except the Yen and Baht.

The DXY Index recovered more than half of last weeks decline.

And the USD broke its 5 week losing streak against the SEK.

The larger advancers over the past week comprised of;

Rotterdam Coal 2.2%, WTI Crude 4.1%, Lean Hogs 2.4%, Copper 5.9%, Heating Oil 3.6%, JKM LNG 3.8%, LNG in Yen 3.6%, Tin 3.4%, Cocoa 25.4%, Orange Juice 2.6%, Palladium 6.3%, Platinum 3.1%, Gasoline 7.5%, Biodiesel 2.4%, Sugar 4.6%, Cane Sugar 4.5%, SPGSCI 2.8%, CRB 2.9%, Dutch TTF Gas 2.4%, Brent Crude 4.2%, Gasoil 4%, CAC 1.7%, China A50 2.1%, MIB 1.6%, HSCEI 2.9%, Hang Seng 2.9%, IBEX 2.8%, Mexico 2.4%, Stockholm 1.9%, Chile 1.9%, Silver in AUD 4.6% and Silver in USD rose 3.6%.

The group of largest decliners from the week included;

Australian Coking Coal (5.3%), China Coking Coal (5.3%), Hot Rolled Coil Steel (2.7%), Lumber (2%), Newcastle Coal (4.7%), Natural Gas (8.3%), China Iron Ore (6.4%), S&P SmallCap 600 (1.8%), Russell 2000 (2.1%), Nasdaq Composite (0.7%), KRE Regional Banks (3.5%), S&P MidCap 400 (1%), Nasdaq Biotechs (1.2%), Nikkei 225 (2.5%), Nifty (2.1%), PSE (1.7%), SENSEX (2%), SOX (4%), ASX 200 (2.3%), ASX Materials (3.4%), ASX Industrials (2.7%), BIST (3.6%) and Uranium fell 5.9%.

March 17, 2024

by Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending February 16th, 2024)

February 18, 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

10 year Russian government bond yields

Lean Hogs

Tin

Overbought (RSI > 70)

Cotton 

Cocoa

Rubber

Uranium

Robusta Coffee

AEX

Italy’s MIB

KLSE

Dow Jones Industrial Average

NIFTY 50

Nasdaq Transportation Index

Egypt 30 Index

Philadelphia Semiconductor Index (SOX)

TAIEX

Budapest

And the S&P 500 Index

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

Nikkei 225

Russia’s MOEX Index

Turkiye’s BIST 100 Index

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

Shanghai Composite

Oslo’s OBX Index

Wheat

Oversold (RSI < 30)

JKM LNG

Lithium Hydroxide

Nickel on India’s MCX Exchange

Corn 

Soybean

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

China 10 year government bond yield

Notes & Ideas:

Government bond yields were higher for week, again.

As mentioned in last week’s edition, many yields continue to move higher back towards the middle of their recent ranges.

German 10’s closed at their highest weekly close since November 20, 2023.

The Australian 10 year minus U.S. 10 year bond yield spread is in a 4 week losing streak.

The British 5 year’s are in a 5 week winning streak as are the Japanese 2’s. The latter have moved from 0.00% to 0.14% in that time.

Equities were stronger, however there were some losers too.

The Nasdaq 100, Composite and Transports aren’t overbought anymore, breaking wither their 4th or 5th consecutive weeks of advance.

The S&P 500 is still overbought but it did break its 5 week winning streak. It has risen for 14 of its past 16 weeks.

The CAC made a new all-time high.

The DAX performed a weekly outside bullish reversal which can be interpreted as a continuation of its rising trend.

Inversely, the Dow Jones Transports ‘did’ an outside bearish reversal, as ‘did’ the Nasdaq 100.

The Dow Jones Industrial Average broke its 5 week winning streak while it has now spent the past 10 weeks in overbought territory.

The S&P 500 is also in a 5 week winning streak and has risen for 14 of its past 15 weeks.

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

Last week’s report that the Russell 2000 and the S&P MidCap 400 both performed a bullish outside reversal week has resulted in those indices bucking the declines seen in the other major U.S. indices.

Turkiye’s BIST has risen for 7 consecutive weeks making for a 22% (in TRY terms) return.

And the HSCEI has risen 6.5% over the past weeks……in amongst all of that pessimism.

Commodities were mixed with the notable advancers and decliners listed below. 

Cocoa and Sugar broke their respective 5 and 6 week winning streaks.

Precious metals had a good week. 

Softs and Grains were clearly weaker.

Energy was mostly weak, with Natural Gas tanking again.

WTI Crude outperformed Brent Crude.

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

Is this called consolidation or digestion?

Lithium Hydroxide has now spent 32 consecutive weeks in weekly oversold territory.

Cattle is in a 7 week winning streak and has closed higher in 9 of the past 10 weeks.

Heating Oil continues its roller coaster. This week it fell 5%, the prior week it rose 11%, the week before that it fell 6% and the week before that saw it rise 7%. Mamma Mia !

Cotton is in a 6 week winning streak.

Soybeans and Corn are registering oversold extremes. 

Soybeans are in a 9 week losing streak and have fallen 13 of the past 14 weeks.

Henry Hub Natural Gas prices made an new all-time lows, having fallen 28% ion the past 3 weeks while JKM LNG are trading at their lowest close since December 20, 2020.

And Rice performed a weekly outside bearish reversal.

Amongst currencies, the collective U.S. Dollar (DXY) Index is in a 7 week winning streak.

The U.S. Dollar has risen for 7 consecutive weeks against the Chilean Peso which perhaps correlates with the tempered commodity prices of late.

The AUD rose for the week across its pairs, the CAD was slightly lower.

While against specific pairs, the U.S. Dollar has risen for the past 5 or 6 weeks.

The AUD has slight gains, thus putting an end to its consecutive losing streaks against many pairs such as the 6 week losing streak for the AUD/SGD.

The Yen was weaker, again which dances well with the risk-on temperament seen in equities.

The larger advancers over the past week comprised of;

Baltic Dry Index 4.2%, WTI Crude 2.5%, Cotton 2.9%, Lean Hogs 4.9%, Copper 4.3%, Lumber 2.1%, Tin 6.3%, Nickel 2.7%, Palladium 9.6%, Platinum 4%, Silver in AUD 3.5%, Oats 2.1%, Shanghai 5%, CSI 300 5.8%, KBW Bank Index 1.9%, China A50 2.8%, MIB 1.9%, HSCEI 4%, Hang Seng 3.8%, Indonesia 2.5%, KRE Regional Bank Index 1.8%, Nikkei 225 4.3%, Helsinki 1.8%, Stockholm 2.4%, S&P 600 Value 2%, SMI 2%, Chile 4.9%, STI 2.7%, TAEIX 2.8%, FTSE 100 1.8%, BIST 2.3% and the ASX Industrials rose 1.8%.

The group of largest decliners from the week included;

Rotterdam Coal (1.6%), Cocoa (4.6%), Heating Oil (5.3%), Hot Rolled Coil Steel (1.7%0, Coffee (2.5%), Newcastle Coal (2.3%), Natural Gas (12.9%), Sugar (3.9%), Dutch TTF Gas (8.5%), Gasoil (3.9%), Corn (2.9%), Rice (3.2%), Wheat (5.9%), Cocoa (2.7%), Robusta Coffee (2.4%), DJ Transports (3.6%), Nasdaq Composite (1.3%), Nasdaq 100 (1.5%), Oslo (1.9%), S&P 500 (0.4%) and Pakistan’s Karachi KSE 30 fell 5.6%.

February 18, 2024

by Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending February 9, 2024)

February 11, 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

Cotton

Gasoil

NZD/AUD

Overbought (RSI > 70)

Uranium

Rice

Robusta Coffee

AEX

Italy’s MIB

Nikkei 225

Dow Jones Industrial Average

Nasdaq 100

Nasdaq Composite

Nasdaq Transportation Index

Egypt 30 Index

Philadelphia Semiconductor Index (SOX)

And the S&P 500 Index

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

Cocoa

Russia’s MOEX Index

Turkiye’s BIST 100 Index

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

Shanghai Composite

Oslo’s OBX Index

Oversold (RSI < 30)

Chile 2 year government bond yield

JKM LNG

Lithium Hydroxide

Nickel on India’s MCX Exchange

Corn 

Soybean

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

China 10 year government bond yield

Notes & Ideas:

Government bond yields were higher for week.

Many of them are on the move higher back towards the middle of their recent ranges.

German 10’s closed at their highest weekly close since November 30, 2023.

Equities were stronger, however there were some losers too.

The Dow Jones Industrial Average has put together a 5 week winning streak and has spent the past 9 weeks in overbought territory.

The S&P 500 is also in a 5 week winning streak and has risen for 14 of its past 15 weeks.

Amsterdam’s AEX made a new all-time high.

The Nasdaq Composite are yet to reach a new all-time high but it did close at its highest weekly close while stretching a 5 week winning streak.

The Nasdaq Transportation Index made an all-time high and weekly close. It has risen 10% in the past 4 weeks.

The Russell 2000 and the S&P MidCap 400 both performed a bullish outside reversal week.

And Turkiye’s BIST has risen for 5 consecutive weeks making for a 19% (in TRY terms) return.

Commodities were generally stronger with the notable advancers and decliners listed below. 

The big news was that Lithium Hydroxide prices were unchanged for the week.

Does being ‘unchanged” qualify to end its 13 week consecutive losing streak?

Lean Hogs aren’t overbought but Cotton and Gasoil (Diesel) is.

Cattle is in a 6 week winning streak and has closed higher in 8 of the past 9 weeks. Furthermore, Cattle is trading at extended percentages (41%) above its 200 week moving average.

Heating Oil continues its roller coaster. This week it rose 10%, last week it fell 6% and the week before that saw it rise 7%. Mamma Mia !

Sugar is in a 6 week winning streak.

Soybeans and Corn are registering oversold extremes. 

Soybeans are in a 8 week losing streak and have fallen 12 of the past 13 weeks.

It’s worth to note that Henry Hub Natural Gas prices are a whisker away from making new all-time lows while JKM LNG are trading at their lowest close since December 20, 2020.

And Lithium Hydroxide has now spent 32 consecutive weeks in weekly oversold territory.

Amongst currencies, the collective U.S. Dollar (DXY) Index is in a 4 week winning streak.

While against specific pairs, the U.S. Dollar has risen for the past 5 or 6 weeks.

The AUD has slight gains, thus putting an end to its consecutive losing streaks against many pairs such as the 6 week losing streak for the AUD/SGD.

The Yen was weaker.

And the GBP/USD is in a 4 week losing streak.

The larger advancers over the past week comprised of;

Baltic Dry Index 9.8%, Cocoa 11.8%, WTI Crude Oil 5.8%, Cotton 5.4%, Heating Oil 10.3%, Cattle 2.3%, Newcastle Coal 4.8%, Gasoline 8.9%, S&P GSCI 3.5%, CRB Index 2.5%, Brent Crude Oil 5.8%, Gasoil 12.9%, Rice 2.6%, Robusta Coffee 3.2%, Shanghai Composite 5%, CSI 300 5.8%, AEX 3.6%, China A50 5.3%, DJ Transports 2.6%, HSCEI 1.7%, Russell 2000 2.5%, Nasdaq Composite 2.3%, S&P MidCap 400 1.6%, Nasdaq 100 1.8%, Nikkei 225 2%, Copenhagen 1.6%, SOX 5.3%, Nasdaq Transports 2.8%, BIST 4.4% and the S&P 500 rose 1.4%

The group of largest decliners from the week included;

Rotterdam Coal (2.8%), Lean Hogs (2.2%), Copper (3.5%), Hot Rolled Coil Steel (2.9%), Natural Gas (11.2%), Nickel (2.1%), Orange Juice (2.1%), Palladium (8.4%), Platinum (2.6%), Dutch TTF Gas (7.5%), Uranium (4.1%), Corn (3.1%), Austria (2.4%), IBEX (1.7%), Oslo (2.5%), Helsinki (2%), SMI (1.3%), ASX Materials (3%) and the ASX 200 Index fell 0.7%.

February 11, 2024

by Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

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