Macro Extremes (week ending October 25, 2024)

October 27, 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)

Palladium

Silver in AUD & USD

Tel Aviv 35

And Australia’s ASX Small Caps *

Overbought (RSI > 70)

U.S. 10 year bond yield minus the U.S. Inflation Rate (YoY)

Gold as priced in AUD, CAD, EUR, GBP USD & ZAR *

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

Gold as priced in CHF *

Pakistan’s KSE *

Extremes below the Mean (at least 2.5 standard deviations)

Baltic Dry Index

Oversold (RSI < 30)

U.S. 3 month government bill yield *

Australian Coking Coal *

U.S. Midwest Hot Rolled Coil Steel *

North European Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

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

None

Notes & Ideas:

Global government bond yields rose.

The Brazilian, Finnish and Korean yields bucked that trend.

Australian yields have risen for 4 consecutive weeks.

The U.S. 10 year vs Euro 10 year spread yield has climbed for 6 straight weeks,

as has the U.S. 10 year bond yield minus the U.S. 10 year inflation breakeven rate.

U.S. 2’s are their highest weekly close in 2 months.

Lastly, the U.S. 20 year bond yield has risen for 5 of the past 6 weeks.

Equities were weaker.

North American and Asian indices were the most weakest.

The U.S. Transports indices dropped out overbought territory as did the Dow Jones Industrials, Thailand’s SET and Toronto’s TSX.

The Hang Seng and HSCEI are in 3 week losing streaks.

The Nikkei 225 has declined 4.2% over the past fortnight.

India’s Nifty and Sensex have fallen for 4 consecutive weeks which isn’t surprising after spending a couple months trading at various extremes. 

The ASX Materials index has also declined for the past 4 weeks. 

The Tel Aviv 25 Index is at an all-time high……

And the Dow Jones Industrials, Nasdaq Composite, S&P MidCap 400 and the S&P 500 all broke their 6 week winning streaks.

Commodity prices were stronger.

Energy prices bounced back and Palladium, Gold, Orange Juice, Corn & Soybeans were the other prominent gainers.

Cocoa, Coffee, Uranium, Nickel and Shipping Rates were the notable decliners for the week.

The former has declined 13% over the past fortnight.

Copper, the Baltic Dry Index and Robusta Coffee have fallen for 4 straight weeks. 

The latter has slumped 20% over that time, while the Baltic Dry Index is at oversold extreme.

Furthermore, the Baltic Dry Index has fallen 38% over the past 3 weeks.

China Coking Coal completed a reversion to the mean.

The Copper/Gold Ratio has fallen for 4 consecutive weeks.

Palladium is at its highest closing price since mid-December 2023.

Lean Hogs are in a 6 week winning streak.

Natural Gas soared 13.4% making up half of the 24% decline seen in the previous 3 weeks.

U.S.Midwest Hot Rolled Coil Steel has spent 22 weeks being oversold.

And Lithium Hydroxide has now lingered in weekly oversold territory for 67 consecutive weeks.

Currencies action was dominated by U.S. strength, again; again.

The DXY Index is at its highest close in 3 months and is in a 4 week rising streak.

The Aussie weakened, again, again.

The Yen was weaker.

The Aussie has fallen for 4 weeks against the Rupiah and the USD.

Similarly, the Brazilian Real, Canadian Dollar and Yen have also declined for the past 4 weeks versus the USD.

Philippines Peso’s falling streak vs USD has extended to  weeks as has the EUR/USD.

While the Swiss Franc rose for the week.

The larger advancers over the past week comprised of;

Aluminium 2.4%, Bloomberg Commodity Index 2%, WTI Crude Oil 4.5%, Lean Hogs 2.4%, Heating Oil 4%, JKM LNG 3.9%, JKM in Yen 3.9%, Natural Gas 13.4%, Orange Juice 6%, Palladium 10.9%, Gasoline 3.6%, S&P GSCI 2.7%, CRB Index 1.8%, Dutch TTF Gas 11%, Brent Crude 3.8%, Gasoil 4.3%, Silver in AUD 1.6%, Gold in AUD 2.5%, Gold in EUR 1.6%, Gold in GBP 1.7%, Corn 2.6%, Soybean 1.5%, KSE 5.6% and Oslo rose 1.9%.

The group of largest decliners from the week included;

Baltic Dry Index (10.5%), Cocoa (9.1%), Arabica Coffee (3.5%), Lithium Hydroxide (4.4%), Nickel (4.4%), Robusta Coffee (5.8%), Uranium (2.5%), Developed World ex USA (2.1%), KBW Baks (1.5%), CAC (1.5%), DJ Industrials (2.7%), DJ Transports (1.7%), S&P SmallCap 600 (3.1%), Russell 2000 (3%), KLSE (1.7%), KRE Regional Banks (2.9%), FTSE 250 (1.6%), S&P MidCap 400 (2.8%),  Mexico (2.3%), Nasdaq Biotech (2.6%), Nikkei 225 (2.7%), Helsinki (1.5%), Sensex (2.2%), SET (1.8%), S&P 500 (1%), TSX (1.5%), Vietnam (2.6%), WIG (2.3%) and the ASX Industrials fell 2.2%. 

October 27, 2024

by Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending October 18, 2024)

October 20, 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)

Brazilian 10 year government bond yield *

GBP/EUR

Dow Jones Transports

Nasdaq Transports *

And Australia’s ASX Small Caps *

Overbought (RSI > 70)

Gold as priced in AUD, CAD, ZAR, GBP & USD *

Dow Jones Industrials *

Thailand’s SET 

And Toronto’s TSX *

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

Gold as priced in CHF & EUR

Pakistan’s KSE *

Extremes below the Mean (at least 2.5 standard deviations)

None

Oversold (RSI < 30)

U.S. 3 month government bill yield *

Australian Coking Coal *

U.S. Midwest Hot Rolled Coil Steel *

North European Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

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

None

Notes & Ideas:

Global government bond yields mostly fell,

This seems logical as the EU announced interest rate cuts, this past week.

This also meant that yield across the British curve broke their 4 week rising streak.

Japanese and Australian yields bucked the falling trend. 

U.S. 20 and 30 year yields also broke their 4 winning streak.

The US minus German 10 year spread has risen for 5 consecutive weeks.

U.S. 2’s are their highest weekly close in 2 months.

Equities were mixed, with a bias towards higher prices.

The SOX and AEX has bearish outside weeks.

The U.S. Transports indices are notable entrants this week.

Chinese equites continued their weakness following recent visits to the overbought extreme category.

The KBW Banking Index is near to posting an overbought quinella extreme. 

While Italy’s MIB is trading at stretched levels, it remains miles below it all-time high.

The ASX Financial have risen 6% in the past fortnight, recovering the 6% decline in the prior fortnight.

Toronto’s TSX and the Nasdaq 100 have risen 8.7% and 10% respectively over the past 6 weeks.

The Dow Jones Industrials, Nasdaq Composite, S&P MidCap 400 and the S&P 500 have all put together 6 week winning streaks.

And the Tel Aviv 25 Index is at an all-time high…….

Commodities were broadly weaker, again.

The main drag were prices across the energy complex.

Base Metals and Grains were also weaker.

Inversely, Precious Metals had a good week and various prices appear in overbought territory.

Incidentally, many commodity prices are also establishing 3 week streaks on either side of the ledger.

The Baltic Dry Index has fallen 27% over the past 3 weeks.

Lean Hogs are in a 6 week winning streak.

Cattle broke its 5 week winning streak.

Coffee prices saw an anomaly. Arabica rose while Robusta fell.

Natural Gas has sunk 24% in the past 3 weeks.

U.S.Midwest Hot Rolled Coil Steel has spent 21 weeks being oversold.

And Lithium Hydroxide has now spent 66 consecutive weeks in weekly oversold territory.

Currencies action was dominated by U.S. strength, again; again.

The DXY Index is at its highest close in 3 months and is in a 3 week rising streak.

The Aussie weakened, again.

The BRL/USD is nearing an oversold quinella. 

The loonie mainly rose.

The Euro was slightly weaker.

And the British Pound was slight stringer

And the Philippine Peso has fallen for 4 consecutive weeks versus the USD.

The larger advancers over the past week comprised of;

Coffee 2.1%, Platinum 3%, Silver in AUD 7.6%, Silver in USD 6.9%, Gold in AUD 3.1%, Gold in CAD 2.7%, Gold in CHF 3.3%, Gold in EUR 3.1%, Gold in GBP 2.6%, Gold in USD 2.4%, Gold in ZAR 3.6%, KBW Bank Index 2.8%, DAX 1.5%, MIB 2.6%, IBEX 1.8%, IDX 2.9%, S&P Small Cap 600 1.7%, Russell 2000 2%, TAIEX 2.6%, KRE Regional Banks 2.8%, FTSE 250 1.9%, PX 2.1%, STI 1.9%, TA25 2.1%, Nasdaq Transports 2% and the ASX Financial rose 4.1%. 

The group of largest decliners from the week included;

Australian Coking Coal (4%), Bloomberg Commodity Index (2.6%), Baltic Dry Index (12.9%), Cocoa (3.7%), WTI Crude Oil (8.4%), Copper (2.4%), Heating Oil (8.2%), JKM LNG (3.2%), Lithium Carbonate (1.9%), Tin (3.7%), Newcastle Coal (2.3%), Natural Gas (14.1%), Nickel (4.2%), Gasoline (7.2%), Robusta Coffee (2.6%), S&P GSCI (4.9%), CRB Index (3.9%), Dutch TTF Gas (1.7%), Brent Crude Oil (7.2%), Gasoil (8.6%), Corn (2.7%), Soybeans (3.2%), Wheat (4.4%), China A50 (2%), Egypt (2%), HSCEI (2%), Hang Seng (2.1%), Nikkei 225 (1.6%) and the Philadelphia Semiconductor (SOX) Index fell 2.4%.

October 20, 2024

by Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending October 11, 2024)

October 13, 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)

Brazilian and Turkish 10 year government bond yield

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

U.S. 10 year bond yield minus the U.S. inflation rate (YoY) spread

Shanghai Composite *

CSI 300 *

HSCEI *

Hang Seng *

Nasdaq Transports

And Australia’s ASX Small Caps *

Overbought (RSI > 70)

Middle East Urea *

Gold as priced in AUD, CAD, CHF, EUR, GBP & USD *

Dow Jones Industrials

And Toronto’s TSX *

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

Pakistan’s KSE *

Extremes below the Mean (at least 2.5 standard deviations)

None

Oversold (RSI < 30)

U.S. 3 month government bill yield *

Australian Coking Coal

U.S. Midwest Hot Rolled Coil Steel *

North European Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

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

None

Notes & Ideas:

Broadly, it was a week to ‘leave the bat on the shoulder’ and there was nothing to do.

Global government bond yields mildly rise, adding to last week’s move.

Yields across the UK and U.S. curve are in a 4 week rising streak.

The US minus German 10 year spread has also risen for 4 consecutive weeks.

While the US 5 year breakeven inflation rate and and the US 5 year yield minus US 3 month bill spread have both risen for 5 weeks.

U.S. 2’s are their highest weekly close in 2 months.

Equities were mixed.

Understandably, Chinese and Hong Kong indices gave up some of the previous weeks gains.

Last week, I wrote that around July 2020 – February 2021 was the last time we saw Chinese A50, CSI 300 and Shanghai Composite register an overbought quinella. 

This week, they only appear in the overbought category because they traded up to their 2.5 standard deviation mark early in the week.

In addition, the China A50, HSCEI, Hang Seng and Egyptian indices had bearish outside reversal weeks.

DJ Industrials notable entrant in overbought this week.

The Nasdaq Composite has put together a 5 week winning streak as have the S&P MidCap 400, Nasdaq 100, S&P 500 and the TSX.

The Philippines PSE winning run ended at 5 weeks.

And Thailand’s SET is closing in on a overbought quinella reading.

Commodities were the busiest of the 4 assets classes featured in Macro Extremes.

The bia was slightly tilted to weakness.

Gold across various currencies remains overbought.

Silver and Sugar aren’t overbought this week.

Coking Coal joins Steel prices in oversold territory.

The Baltic Dry Index has fallen 15% over the past fortnight.

Lean Hogs are in a 5 week winning streak.

Sugar, Tin, Nickel and CRB Index all broke their 4 week winning streaks.

U.S.Midwest Hot Rolled Coil Steel has spent 20 weeks being oversold.

And Lithium Hydroxide has now spent 65 consecutive weeks in weekly oversold territory.

Currencies action was dominated by U.S. strength, again.

The DXY Index is at its highest close in 2 months.

All currency pairs which are appeared in last week’s edition no longer appear.

The Aussie fell while the Swiss rose.

The Yen also rose, albeit slightly.

CHF/AUD broke its 4 week losing streak and AUD/EUR broke its 4 week rising run.

And the British Pound was flat to slightly lower.

The larger advancers over the past week comprised of;

Cocoa 9.5%, WTI Crude Oil 1.6%, Heating Oil 1.4%, Lithium Hydroxide 1.7%, Orange Juice 2.3%, Palladium 7.1%, Gasoline 2.7%, Rubber 1.6%, Gold in CAD 1.5%, Wheat 1.6%, KBW Bank Index 4%, Dow Jones Transports 2.7%, MIB 2.1%, TAIEX 2.7%, KRE Regional Banks 3.9%, KSE 2.3%, S&P Midcap 400 1.2%, Nikkei 225 2.5%, Copenhagen 1.4%, SET 1.8%, SOX 2.5%, Nasdaq Transports 2.7%, WIG 1.8%, ASX Financials 2.4% and the ASX Small Caps rose 2.5%.

The group of largest decliners from the week included;

Australian Coking Coal (4.5%), Rotterdam Coal (2.1%), Bloomberg Commodity Index (1.3%), Baltic Dry Index (6.2%), China Coking Coal (4.3%), North European Hot Rolled Coiled Steel (1.8%), Copper (1.8%), US Midwest Hot Rolled Coiled Steel (2.6%), Arabica Coffee (2.1%), Tin (4.1%), Natural Gas (7.8%), Nickel (2.9%), Shanghai Rebar (1.9%), Robusta Coffee (4.7%), Sugar (3.4%), Dutch TTF Gas (2.7%), Middle East Urea (2%), Silver in AUD (1.4%), Silver in USD (2.1%), Corn (2.1%), Oats (2.2%), Soybeans (3.1%), Shanghai Composite (3.6%), CSI 300 (3.3%), China A50 (10.6%), Egypt (3%), HSCEI (6.6%), Hang Seng (6.5%), MOEX (1.8%), PSE (2.1%), BIST (2.6%) and the ASX Materials Index fell 1.4%.

October 13, 2024

by Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending September 27, 2024)

September 29, 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 10 year bond yield minus the 2 year bond yield

Australian 10 year bond yield minus the 5 year bond yield

Brazilian 10 year government bond yield

Sugar *

Silver in USD

Gold in CHF

AUD/CAD *

ZAR/USD *

AUD/INR

AUD/USD

CAD/USD

All World Developed Equities Index (ex USA)

China A50

DAX

IBEX *

South Africa 40 Index

Nasdaq Transportation Index *

And Australia’s ASX Small Caps

Overbought (RSI > 70)

SHY

U.S. 10 year minus U.S. 2 year government yield *

U.S. 10 year minus U.S. 5 year government yield *

Robusta Coffee *

Gold as priced in AUD, CAD & GBP *

MYR/USD *

THB/AUD

Budapest

Karachi

NIFTY *

SENSEX *

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

Arabica Coffee

Gold in EUR & USD

CNH/USD

HSCEI

Hang Seng

And the Philippines PSE Index

Extremes below the Mean (at least 2.5 standard deviations)

CAD/AUD

EUR/GBP

USD/ZAR

Oversold (RSI < 30)

U.S. and German 2 year government bond yield *

Australian Coking Coal *

U.S. Midwest Hot Rolled Coil Steel *

North European Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

USD/IDR *

USD/SGD *

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

U.S. 3 month bill yield

USD/CNH

Notes & Ideas:

Global government bond yields fell.

Shorter dated American and German (Euro) yields are oversold.

Japanese yields slumped more than others.

Those who bucked the declines were Chinese 10’s and Gilts across the curve.

U.S. bond yields squeezed out a small rise.

Following its central bank policy to hike rates, Brazilian 10’s ventured into overbought territory.

It’s worthy to note that the Copper/Gold ratio rallied.

The U.S. 5 year minus 5 year breakeven inflation rate is nearing an oversold extreme.

And various Australian and U.S. bond yield spreads are in this weeks list.

Equities rose again, again.

Many indices have put together a 3 week rising streak.

And we are seeing more indices entering overbought territory.

The FTSE All World Index (Developed ex USA) makes a return to the list.

Chinese and Hong Kong indices soared during the week sending them into overbought extremes.

Bangkok, Copenhagen and the ASX Financials took a break from being overbought. The latter fell 4.4% for the week.

Spain’s IBEX and Germany’s DAX are mathematically stretched.

The former has risen 7 of its past 8 weeks, amounting to an advance of 16%.

The PSE has also climbed 16% over the past 14 weeks.

Australia’s Materials Index has soared 15% over the past 3 weeks. 

Singapore’s Strait Times breaks its 6 week winning streak.

And Toronto’s TSX is nearing an overbought quinella.

Commodities mostly rose.

The Bloomberg Commodity Index has risen 6.8% over the past 3 weeks.

Palladium isn’t overbought this week while Gold across various currencies remains so.

Aluminium, Iron Ore, Copper, Coffee, Dutch TTF Gas and grains had a terrific week.

Only a few commodity contracts saw declines being Crude Oil, Palladium, Rice and OJ.

Most commodities are trading at their ‘mid-points’.

Soybeans have risen for 6 consecutive weeks.

U.S. Henry Hub Natural Gas has risen 44% in its current 4 week winning streak.

U.S.Midwest Hot Rolled Coil Steel has spent 18 weeks being oversold.

And Lithium Hydroxide has now spent 63 consecutive weeks in weekly oversold territory.

Currencies once again saw most action and they feature prominently in this week’s list.

The Aussie rose again, stringing together a 3 week streak.

The Canadian Loonie was generally weaker, again. Confusing perhaps, as the decline in the CAD juxtaposed the risk-on feeling for the week.

The Euro was weaker while the Yen saw strength.

The Swiss has fallen 3 consecutive weeks agains the AUD, confirming the ‘risk-on’ mood.

The DXY is in a 4 week losing streak which helps explain USD appearing as oversold in this weeks edition.

Furthermore, the USD/SGD has fallen for 9 of the past 10 weeks.

And the British Pound registered an overbought reading against the USD.

The larger advancers over the past week comprised of;

Australian Coking Coal 1.7%, Aluminium 7.1%, Rotterdam Coal 2%, Bloomberg Commodity Index 2.1%, Baltic Dry Index 6.7%, Cocoa 8.1%, Iron Ore 11.4%, Copper 5.9%, JKM LNG 1.8%, Arabica Coffee 7.3%, Lumber 4.6%, Tin 2.1%, Newcastle Coal 4.7%, Natural Gas 11%, Nickel 2.8%, Platinum 3.1%, Shanghai Rebar 3.3%, Robusta Coffee 8.4%, Dutch TTF 9.6%, Uranium 3.2%, Corn 4%, Oats 4.8%, Soybeans 5.3%, Wheat 2%, Shanghai Composite 12.8%, CSI 300 15.7%, All World Index ex-USA 3.4%, AEX 2.2%, Budapest 1.9%, CAC 3.9%, China A50 18.9%, DAX 4%, DJ Transports 2.7%, MIB 2.9%, HSCEI 14.4%, Hang Seng 13%, IBEX 1.8%, MOEX 2.7%, TAIEX 3%, KOSPI 2.2%, FTSE 250 2%, Nikkei 225 5.6%, Helsinki 4.2%, Stockholm 2.3%, PSE 2.8%, South Africa 4.9%, SMI 2.5%, SOX 4.3%, Chile 3%, Tel Aviv 4.9%, WIG 3.9%, ASX Materials 9.4% and the ASX Small Caps rose 2.8%.

The group of largest decliners from the week included;

WTI Crude Oil (4%), Orange Juice (4.2%), Palladium (5.1%), Gasoline (4%), Brent Crude Oil (3.7%), Rice (3.1%), KRE Regional Banks Index (3.1%), Nasdaq Biotechs (2.7%), Copenhagen (1.3%), Strait Times (1.4%) and the ASX Financials slumped 4.4%.

September 29, 2024

by Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending September 20, 2024)

September 22, 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)

Palladium 

Sugar

AUD/CAD

ZAR/USD

IBEX

Copenhagen

PSE

Nasdaq Transportation Index

Thailand’s SET Index *

And Australia’s ASX 200

Overbought (RSI > 70)

U.S. 10 year minus U.S. 2 year government yield

U.S. 10 year minus U.S. 5 year government yield

Arabica and Robusta Coffee *

Gold as priced in AUD, CAD, EUR & USD *

MYR/USD *

NIFTY *

SENSEX *

And the ASX Financials Index *

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

Singapore’s Strait Times Index

Extremes below the Mean (at least 2.5 standard deviations)

None

Oversold (RSI < 30)

U.S. 2 year government bond yield *

Australian Coking Coal *

U.S. Midwest Hot Rolled Coil Steel *

North European Hot Rolled Coil Steel *

Lithium Carbonate *

Lithium Hydroxide *

CFR China Iron Ore *

USD/CNH

USD/IDR

USD/SGD *

Shanghai Composite *

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

U.S. 3 month bill yield

Notes & Ideas:

During a week when the investors were awaiting a lowering of the American central bank interest rates…….. Global government bond yields rose.

Chilean and Swiss 10’s yields aren’t oversold anymore.

Short dated Japanese yields bucked the global weekly trend. They fell.

The U.S. yield curve remains overbought (10 year – 2 year) as is the U.S. 10Y – 5Y spread.

The U.S. 5 year minus 5 year breakeven inflation rate is nearing an oversold extreme.

And incidentally, Brazil’s central bank hiked their policy interest rate.

Equities rose again.

We are seeing more indices entering overbought territory.

At this stage, most of them are in Asia driven by their stronger currencies.

Singapore’s Strait Times is in a 6 week winning streak.

Some Australian indices also feature in this week’s list.

The Shanghai Composite and CSI 300 broke their 4 week losing streaks.

And any of those which were oversold last week have bounced, such as the KOSPI.

Commodities mostly rose.

Gold and Palladium remain in overbought territory.

Sugar soared 19% for the week.

Lumber and Heating Oil moved out of overbought territory.

U.S. Henry Hub Natural Gas has risen 14% over the past 3 weeks.

Wheat broke its 3 week winning streak.

U.S.Midwest Hot Rolled Coil Steel has spent 17 weeks being oversold.

And Lithium Hydroxide has now spent 62 consecutive weeks in weekly oversold territory.

Currencies feature heavily in this week’s entrants of extremes.

The Aussie rose while the Canadian Loonie fell, again. Confusing perhaps?

The decline in the CAD juxtaposed the risk-on feeling for the week.

While the Yen’s decline of 2%-3% across a range of pairs and weakness in the Swissie confirmed the ‘risk-on’ mood.

The USD was generally weaker and is prominently oversold against various Asian currencies.

And the British Pound is nearing an overbought level again the USD.

The larger advancers over the past week comprised of;

Bloomberg Commodity Index 2.1%, Baltic Dry Index 4.6%, WTI Crude Oil 5.3%, Cotton 5.3%, Lean Hogs 4.8%, Copper 2.5%, Heating Oil 3.5%, Lumber 2.3%, Cattle 2.5%, LNG JKM in Yen 4.4%, Newcastle Coal 2.9%, Natural Gas 5.6%, Nickel 4.1%, Gasoline 5.3%, Sugar 19.2%, S&P GSCI 2.8%, CRB Index 3.1%, Brent Crude 3.6%, Gasoil 2.5%, Gold in CHF 1.8%, Gold in USD 1.7%, Rice 1.9%, KBW Bank Index 4.7%, DJ Industrials 1.6%, HSCEI 5.1%, Hang Seng 5.1%, IBEX 1.9%, IDX 1.6%, S&P Small Cap 600 2.3%, MOEX 3.9%, Russell 2000 2.2%, TAEIX 1.8%, Nasdaq Composite 1.5%, KSE 3.5%, S&P MidCap 400 2%, Nikkei 225 3.1%, Stockholm 2.1%, PSI 3.3%, South Africa 2%, Sensex 2%, SET 1.9%, S&P 500 1.4%, STI 1.7%, ASX Financials 2.4%, ASX Small Caps 1.8% and Turkiye’s BIST rose 2.2%.

The group of largest decliners from the week included;

JKM LNG (2.7%), Arabica Coffee (3.4%), Platinum (2.5%), Robusta Coffee (4%), Dutch TTG Gas (3.4%), Corn (2.8%), Oats (2.7%), Wheat (4.4%), BOVESPA (2.8%), Copenhagen (2.6%) and the Tel Aviv 35 fell 2.8%

September 22, 2024

by Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending September 13, 2024)

September 15, 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)

Palladium 

Thailand’s SET Index *

Singapore’s Strait Times

Overbought (RSI > 70)

SHY *

U.S. 10 year minus U.S. 2 year government yield

MYR/USD *

Arabica & Robusta Coffee * 

Gold as priced in AUD, CAD and USD

NIFTY
SENSEX

ASX Financials Index *

And the ASX Industrials Index

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

Gold in EUR

Extremes below the Mean (at least 2.5 standard deviations)

WTI Crude Oil

Gasoline

S&P GSCI Index

Brent Crude Oil

Gasoil 

KOSPI

Oversold (RSI < 30)

U.S. and German 2 year government bond yield

Australian Coking Coal *

U.S. Midwest Hot Rolled Coil Steel *

Lumber

Lithium Carbonate *

Lithium Hydroxide *

CFR China Iron Ore *

AUD/THB *
USD/THB

USD/SGD

Shanghai Composite

CSI 300 

MOEX

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

U.S. 3 month t-bill yield *

Swiss and Chilean 10 year government bond yield

North European Hot Rolled Coil Steel *

Heating Oil *

Notes & Ideas:

Global government bond yields fell, again, adding to the previous weeks decline.

Belgian, Brazilian and Finnish yields did the opposite.

The yield for the U.S. 10 year yields are at their lowest since May 2023.

While the U.S. yield curve is overbought.

U.S. 5 year minus 5 year breakeven inflation rate is nearing an oversold extreme.

And Chile’s and Switzerland’s 10 year bond yield are oversold.

Equities had a tremendous week, recovering last week’s declines.

For example, the Nasdaq Composite recovered all of last weeks loss.

The Shanghai Composite and CSI 300 are in 4 week losing streaks.

South Korea’s KOSPI is unloved.

Russia’s MOEX broke its 7 week losing streak.

The SOX soared 10% to nearly offset last weeks 12% tanking.

Singapore’s Strait Times is in a 5 week winning streak.

And some Indian and Aussie indices are overbought.

Commodities mostly rose.

Gold returns to overbought territory.

Silver rose 10% while Palladium double that performance for the week.

The latter appears in this weeks list.

Other notable advancers included Cocoa, Oats, Wheat, Aluminium and Coffee.

Coffee is overbought again.

Wheat has risen 12% over the past 3 weeks.

Inversely, selected energy contracts are oversold.

Gasoline declines to complete a mean reversion.

U.S.Midwest Hot Rolled Coil Steel has spent 16 weeks being oversold.

And Lithium Hydroxide has now spent 61 consecutive weeks in weekly oversold territory.

Currencies set the mood for risk.

The Aussie rose while the Canadian Loonie fell.

The decline in the CAD juxtaposed the risk-on feeling for the week.

Adding to the mixed signals, we saw the Yen advance while risk assets prospered.

MXN/USD rallied 4% for the week and isn’t oversold anymore.

The USD is oversold agains the roaring Baht, Ringgit and Singapore Dollar.

And the Indonesian Rupiah broke its 6 weeks rising streak against the USD.

The larger advancers over the past week comprised of;

Australian Coking Coal 3.4%, Aluminium 5.4%, Bloomberg Commodity Index 2.6%, Cocoa 8.7%, WTI Crude Oil 1.5%, Cotton 2.9%, Copper 4%, Arabica Coffee 9.9%, Tin 3%, Palladium 19.2%, Gasoline 1.6%, Robusta Coffee 10.4%, Sugar 1.8%, S&P GSCI 1.6%, CRB Index 2.6%, Silver in AUD 9.4%, Silver in USD 10%, Gold in AUD 2.7%, Gold in CAD 3.3%, Gold in CHF 4%, Gold in GBP 3.3%, Gold in EUR 3.4%, Gold in USD 3.2%, Gold in ZAR 2.7%, Corn 1.7%, Oats 7%, Wheat 4.9%, AEX 2.3%, CAC 1.5%, DAX 2.2%, DJ Industrials 2.6%, DJ Transports 2%, IBEX 3.3%, IDX 1.7%, S&P SmallCap 600 3.5%, Russell 2000 4.3%, TAEIX 1.5%, Nasdaq Composite 6%, KRE Regional Banks 1.8%, FTSE 250 2%, S&P MidCap 400 3.3%, Mexico 1.8%, Nasdaq Biotechs 4.2%, Nasdaq 100 5.9%, Nifty 2%, Oslo 1.6%, Copenhagen 4.3%, Stockholm 1.8%, Sensex 2.1%, SOX 10%, S&P 500 4%, Chile 1.7%, STI 3.1%, TSX 3.5%, ASX 200 1.1%, ASX Materials 4.2% and ASX Small Caps rose 3.1%  

The group of largest decliners from the week included;

Baltic Dry Index (2.6%), European Hot Rolled Coil Steel (2.1%), Lumber (2.2%), Newcastle Coal (4.5%), Dutch TTF Gas (2.3%), Urea Middle East (1.9%), CSI 300 and Shanghai Composite (2.2%), China A50 (1.8%), Egypt (1.7%) and Vietnam fell 1.8%

September 15, 2024

by Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending August 9, 2024)

August 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.

* denotes multiple week inclusion

Extremes above the Mean (at least 2.5 standard deviations)

Belgian, Danish and Finnish 10 year government bond yields *

IEF & IEF *

SHY & TLT *

U.S. 10 year minus U.S. 2 year government bond yield spread *

U.S. 10 year minus U.S. 5 year government bond yield spread *

U.S. 30 year minus U.S. 10 year government bond yield spread *

Gold Volatility Index

Dutch TTF Gas

Gold in AUD

CHF/AUD *

CHF/USD *

CNH/USD *

EUR/AUD

EUR/USD

THB/USD *

USD/CAD *

USD/DKK

USD/INR

USD/MXN

Overbought (RSI > 70)

None

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

MYR/USD *

Extremes below the Mean (at least 2.5 standard deviations)

German 2, 5 and 10 year bond yields

Australian 2, 3, 5 & 10 year bond yields

British 2, 3, 5 & 10 year bond yields

5 year Japanese bond yields

10 year Austrian, Swiss, Czech, Spanish, South Korean, Dutch, Norwegian, New Zealand, Polish, Portuguese and Swedish government bond yields.

U.S. 2, 5, 7, 10, 20 and 30 year government bond yields

TBT & TBX *

U.S. 5 year bond yield minus the 5 year break-even inflation rate *

U.S. 5 year bond yield minus the 3 month break-even inflation rate *

U.S. 5 year bond yield minus the U.S. inflation rate *

U.S. 10 year bond yield minus the 10 year break-even inflation rate *

U.S. 10 year bond yield minus the U.S. inflation rate *

Bloomberg Commodity Index

S&P GSCI Index

Brent Crude Oil

AUD/INR

AUD/JPY

AUD/SGD

AUD/THB *

CAD/EUR *

EUR/JPY 

GBP/JPY

USD/CHF

DXY (USD) Index

Chile’s IPSA Index

Tel Aviv 35

Poland’s WIG

ASX Materials 

AEX

Austria’s ATX

CAC

DAX 

MIB *

IBEX

KOSPI

S&P MidCap 400

Copenhagen 

Helsinki

Stockholm

Russell 2000 Index

Oversold (RSI < 30)

Cotton *

North European Hot Rolled Coil Steel *

U.S. Midwest Hot Rolled Coil Steel *

Shanghai Rebar *

Lithium Hydroxide *

Corn *

Soybeans *

BRL/USD *

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

Australian Coking Coal

China Coking Coal

Notes & Ideas:

Government bond yields rose, which broke many declining streaks.

The exception were Finnish, Japanese, Chilean and Brazilian yields.

The misnomer in this weeks edition is that intra-week yields did trade to oversold extremes before reversing higher and many closing above last weeks close.

U.S. inflation breakeven inflation rates also rose.

The Copper/Gold ratio is in a 5 week losing streak.

And we are seeing divergence in Chilean yields. The 2 year yield has risen for 8 straight weeks while the 10 year yield has fallen for 6 consecutive weeks.

Amazingly, most equity indices closed either flat or rose for the week.

There are no equity indices in overbought territory this week, however of the many appearing in the oversold category, did so due to their intra-week swoons.

The major Indian indices are no longer overbought.

Australian indices were amongst the rare losers for the week as were selected Asian markets.

The Nasdaq 100 rose 0.4% for the week which was enough to break its 4 week long streak.

The KOSPI is in a 5 week losing streaks.

And the Nikkei 225 has declined 17% over the past 4 weeks, keeping it in a 4 week losing streak.

Commodities were mixed, although generally posting gains which is change of a few weeks of broader weakness.

Oil, Cocoa, Lumber Thermal (again) Tin, Gasoline and Gases had a good week.

All things steel related are in a trough.

Coking Coal prices are unloved.

Silver, Grains, Copper, Platinum and Lean Hogs were weaker.

I’m very happy to see cheaper bacon prices.

Sugar broke its 5 week losing streak.

Copper and Iron Ore prices have fallen for 5 and 6 straight weeks, respectively.

Copper has declined 15% over the past 6 weeks.

While Crude Oil and Palladium broke their 4 week losing streaks.

Worthy of note, is the forward contract month for Henry Hub Natural Gas bounced out of oversold territory.

And Lithium Hydroxide has now spent 56 consecutive weeks in weekly oversold territory.

Currencies continue to provide action, again and again.

The Aussie was mostly higher thus breaking its losing streak against most currencies.

The anomaly is its 4 week losing streak versus the Loonie.

The ‘mid-week’ Aussie strength was commensurate with the rising fortunes for equities and an analogy for ‘risk-on’.

In the meantime, the AUD mean reverted against the Yen.

The Loonie saw strength and as a result it broke its 6 week losing streak agains the Euro.

In fact, many streaks were broken this week.

The British Pound fell and extended its losing streak against the USD to 4 weeks.

Brazil’s Real bounced out its stay in oversold land

The GBP/JPY have fallen for 5 straight weeks.

And as pre-empted in last weeks edition, the DXY Index did trade to 2.5 standard deviations below its 20 week average.

The larger advancers over the past week comprised of;

Cocoa 24.2%, WTI Crude Oil 4.5%, Coffee 2.5%, Lumber 4.2%, JKM LNG 3.2%, Tin 2.5%, Newcastle Coal 3.3%, Natural Gas 9%, Palladium 1.6%, Gasoline 3.1%, Robusta Coffee 2.3%, Sugar 2.1%, LME Tin 3.9%, S&P GSCI 1.7%, CRB 2.2%, Dutch TTF Gas 10.2%, Brent Crude 3%, BOVESPA 3.8%, Mexico 1.6% and Philadelphia’s SOX Index rose 2.2%.

The group of largest decliners from the week included;

Australian Coking Coal (5.5%), China Coking Coal (5.4%), Lean Hogs (2.6%), Copper (2.7%), Lithium (2%), Platinum (3.9%), Silver in AUD (4.8%), Silver in USD (3.9%), Corn (2.5%), Oats (2%), Soybeans (2.4%), Egypt (2.1%), KRE Regional Bank Index (1.9%), KOSPI (3.3%), Nikkei 225 (2.5%), Russell 2000 (1.4%), SENSEX (1.6%), Strait Times (3.5%), WIG (2.5%), ASX Financials (2.6%), ASX 200 (2.1%), ASX Materials (2.5%), ASX Small Caps (3.5%) and Turkiye’s BIST fell 5.4%.

August 11, 2024

by Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending July 19, 2024)

July 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.

* denotes multiple week inclusion

Extremes above the Mean (at least 2.5 standard deviations)

U.S. 10 year minus U.S. 2 year government bond yield spread *

U.S. 10 year minus U.S. 5 year government bond yield spread *

U.S. 30 year minus U.S. 10 year government bond yield spread *

GBP/EUR

GBP/USD *

KBW Bank Index

DJ Industrials *

S&P Small Cap 600 Index

Russell 2000 *

KRE Regional Bank Index *

S&P MidCap 400 Index

Nasdaq Biotechnology Index *

Toronto’s TSX

Israel’s Tel Aviv 35 index

And Australia’s ASX 200

Overbought (RSI > 70)

Russian 10 year government bond yields *

Robusta Coffee *

Hungary’s BUX *

Pakistan’s KSE *

NIFTY *

SENSEX *

And Turkiye’s BIST 100 *

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

None

Extremes below the Mean (at least 2.5 standard deviations)

British 2 year government bond yield 

New Zealand and Swedish 10 year government bond yield

CAD/GBP *

CAD/EUR

Oversold (RSI < 30)

Cotton

North European Hot Rolled Coil Steel *

U.S. Midwest Hot Rolled Coil Steel *

Lumber *

Lithium Hydroxide *

Corn *

BRL/USD

And the Chinese RMB *

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

Soybeans *

Notes & Ideas:

Government bond yields were mixed. 

Most of the European yields fell while yields in the America’s rose…..and many of them took a break from their fortnightly trends.  

Except for the Belgium, Danish and Finnish 10’s.

The Australian 10 year minus U.S. 10 year bond yield spread broke its 5 consecutive weeks of advance.

And the Chilean 2’s are in a 5 week winning streak.

Equities were mostly lower.

The prominent risers for the week were U.S. banks, U.S. Transports and U.S. small and mid caps.

Last week’s edition alerted readers to the outside bullish outside reversal week performed by the  Dow Jones Transports and Nasdaq Transports Indices. They rose impressively this past week.

The rotation from large caps into the smaller and mid cap companies continued.

China’s CSI 300 has risen 3% over the past fortnight.

While Indonesia’s IDX 30 has a 5 week winning streak intact and Philippine’s PSE has climbed for 4 straight weeks.

Indonesia’s main index has climbed 10% over the past 5 weeks and the U.S. KRE Regional Banks index has risen 20% over the same time.

And the DAX broke its 4 week winning streak.

Commodities continued its bias for lower prices.

Hogs, Lumber and oats were amongst the few winners.

Lean Hogs climbed 6%, nearly halving the 15% decline seen over the previous 13 weeks.

The losers were much more widespread, with Aluminium, Copper, Coking Coal, Oil, Gases, Grains, the PGM’s and Nickel.

Cocoa, Tin, Silver also joined the notable declining brigade.

Cotton is back in oversold territory.

Natural Gas has posted a 34% loss during the previous 5 weeks.

Heating Oil has fallen 7% in the past fortnight.

Aluminium has sunk 14% over the past 8 weeks.

Soybeans have declined for 7 of the past 8 weeks.

And Lithium Hydroxide has now spent 53 consecutive weeks in weekly oversold territory.

Currencies continue to provide action, again and again.

The Aussie and the Loonie were both weaker

The anomaly was the CAD rising against the AUD and breaking 5 consecutive weeks of declines.

Inversely, it broke its 5 week winning streak against the USD.

Some CAD pairs appear in this week’s list of extremes.

The AUD broke its 4 week rising streak against all, except versus the Kiwi.  

And the British Pound continues to hold up.

The larger advancers over the past week comprised of;

Lean Hogs 6.3%, Lumber 3.2%, LNG in Yen 3.1%, Newcastle Coal 2.7%, Oats 2.4%, CSI 300 1.9%, KBW Banks 3.3%, Budapest 1%, DJ Transports 1.7%, S&P SmallCap 600 2.2%, Russell 2000 1.9%, KRE Regional Banks 7.5%, PSE 2.2% and the Nasdaq Transports rose 2.7%.

The group of largest decliners from the week included;

Australian Coking Coal (2.4%), Aluminium (5.2%), Bloomberg Commodity Index (3.2%), Baltic Dry Index (4.8%), Cocoa (7.6%), China Coking Coal (4.4%), WTI Crude Oil (2.7%), Copper (7.8%), Heating Oil (3.4%), Coffee (4.2%), Lithium (2.4%), Tin (8%), Natural Gas (8.6%), Nickel (3%), Orange Juice (3.7%), Palladium (7.2%), Platinum (3.9%), Gasoline (3%), Robusta Coffee (1.9%), Sugar (2.8%), SPGSCI (2.9%), Brent Crude Oil (2.8%), Gasoil (3.1%), Uranium (2.4%), Silver in AUD (3.7%), Silver in USD (5%), Corn (2.9%), Rice (2.7%), Soybeans (2.8%), All Developed World ex USA (2.1%), AEX 4%, DAX (3.1%), HSCEI (5.6%), Hang Seng (4.8%), IBEX (1.5%), Nasdaq Composite (3.7%), KOSPI (2.2%), Mexico (2.3%), Nasdaq 100 (4%), Nikkei 225 (2.8%), Copenhagen (2.9%), Helsinki (2.4%), Stockholm (2.3%), South Africa (2.4%), SOX (8.8%), S&P 500 (2%), Straits Times (1.4%), TAEIX (4.4%) and the S&P Materials Index fell 2.2%.

July 21, 2024

by Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending July 12, 2024)

July 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.

* denotes multiple week inclusion

Extremes above the Mean (at least 2.5 standard deviations)

U.S. 10 year minus U.S. 5 year government bond yield spread *

U.S. 10 year bond yield minus U.S. inflation rate (YoY)

GBP/EUR

GBP/USD

KOSPI *

Nikkei 225

Russell 2000

Toronto’s TSX

And the Israel’s Tel Aviv 35 index

Overbought (RSI > 70)

Russian 10 year government bond yields

Coffee – both Arabica and Robusta *

GBP/JPY

Netherlands AEX *

Hungary’s BUX *

Pakistan’s KSE *

Nasdaq Composite * 

Nasdaq 100 *

NIFTY *

SENSEX *

Philadelphia Semiconductor Index (SOX) *

S&P 500 *

U.S. Regional Banks Index

Turkiye’s BIST 100 *

and Taiwan’s TAEIX *

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

Nasdaq Biotech Index

Singapore’s Strait Times Index *

Extremes below the Mean (at least 2.5 standard deviations)

South Korean 10 year government bond yield 

Soybeans 

CAD/GBP

Shanghai Composite Index *

China’s CSI 300 Index *

Oversold (RSI < 30)

North European Hot Rolled Coil Steel *

U.S. Midwest Hot Rolled Coil Steel *

Lumber *

Lithium Hydroxide *

And the Chinese RMB *

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

Corn *

Russia’s MOEX equity index

Notes & Ideas:

Government bond yields fell. Most of them for the 2nd consecutive week.

Except for the Belgium, Danish and Finnish 10’s.

The Australian 10 year minus U.S. 10 year bond yield spread has risen for 5 consecutive weeks.

Inversely, the U.S.10Y minus Aussie 10’s spread have fallen for 5 weeks.

Chilean 2’s are in a 4 week winning streak.

Czech 10’s have fallen fro 5 of the past 6 weeks.

Brazilian 10 year bond yields are not overbought anymore

And IEF is in the early stages of an upward trend.

Equities were mostly higher, again !

For example, the Nasdaq Composite has risen for 11 out of the past 12 weeks.

The S&P 500 has climbed higher for 5 of the past 6 weeks.

There was a stunning rotation late in the week, from large caps into the smaller and mid cap companies.

China’s CSI 300 and Shanghai Composite rose and broke their 7 week losing streak and the KOSPI broke its 5 straight weeks of advance.

The DAX is in a 4 week winning streak as is Indonesia’s IDX 30.

Indonesia’s main index has climbed 9.5% over the past 4 weeks.

The Developed World equities index ex USA along with the FTSE 250 have risen 4.4% over the past fortnight.

And Sweden’s OMX30 along with the Dow Jones Transports and Nasdaq Transports Index had bullish outside reversal weeks.

Commodities were mixed, although the bias was towards weakness, again.

Again, Cocoa, Coffee, Tin, Orange Juice and Urea were the prominent winners for the week.

Aluminium, Coal, Oil, Gases, Grains, PGM’s, Nickel and Cattle were the largest losers.

WTI Crude, Brent Crude, gasoline and Heating Oil both broke their 4 week winning streaks.

Cotton moved out of oversold territory.

Lean Hogs have slumped for 10 of the past 12 weeks, falling 15% over that time.

Natural Gas broke its 4 week losing streak, by rising 0.4% for the week. Natural Gas has posted a 26% loss during the previous 4 weeks.

Palladium fell 7%, shaving half off the 15% advance seen in the previous 3 weeks.

Lumber showed some spirit although it has fallen for 11 weeks of the past 16 weeks.

And Lithium Hydroxide has now spent 52 consecutive weeks in weekly oversold territory.

Currencies continue to provide action, again and again.

The Yen bounced and the extremes seen amongst its pairs are not there this week.

The AUD has risen for 4 consecutive weeks against the CAD, INR, NZD and USD, 

While it broke its trending streaks against the JPY, EUR, SGD and THB.

The Canadian Dollar was mostly weaker.

The CAD/AUD has fallen for 5 weeks, while the Loonie against the USD has climbed for 5 straight weeks.

And strength in the British Pound continue. 

The larger advancers over the past week comprised of;

Baltic Dry Index 1.6%, Cocoa 6%, Arabica Coffee 8.7%, Tin 4.5%, Orange Juice 3.8%, Robusta Coffee 10.3%, Urea Middle East 1.7%, Developed World equities index ex USA 2.3%, KBW Bank Index 4.3%, DAX 1.5%, DJ Industrials 1.7%, DJ Transports 1.6%, MIB 1.7%, HSCEI 2.4%, Hang Seng 2.8%, IBEX 2.1%, BOVESPA 2.1%, S&P SmallCap 600 5.5%, Russell 2000 6.1%, KRE Regional Banks 8.7%, FTSE 250 2%, S&P MidCap 4.4%, Mexico 5%, Nasdaq Biotech 6.8%, Stockholm 2.9%, Philippines PSE 2.4%, SET 1.5%, SMI 3%, SOX 2,1%, STI 2.6%, TAEIX 1.5%, TSX 2.8%, ASX 200 1.8%, ASX Industrials 1.9%, ASX Small Caps 2.6%, BIST 2.2% and Israel’s TA35 rose 2.6%.

The group of largest decliners from the week included;

Aluminium (2.8%), Bloomberg Commodity Index (1.7%), China Coking Coal (3%), Heating Oil (3.6%), HRC (1.5%), Cattle (2.2%), JKM in Yen (5.2%), Nickel (3.1%), Palladium (6.5%), Platinum (3.1%), Gasoline (1.7%), Biodiesel (3.4%), Sugar (4.7%), S&P GSCI (2.5%), Dutch TTF Gas (4.1%), Brent Crude (2.2%), Gasoil (3.1%), Silver in AUD (1.9%), MOEX (5.6%), Corn (2.1%), Soybean (5.7%) and Wheat fell 6.7%.

July 14, 2024

by Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

Macro Extremes (week ending July 5, 2024)

July 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.

* denotes multiple week inclusion

Extremes above the Mean (at least 2.5 standard deviations)

U.S. 10 year minus U.S. 5 year government bond yield spread

KOSPI

Singapore’s Strait Times Index

Overbought (RSI > 70)

Biodiesel *

Robusta Coffee

AUD/JPY

EUR/JPY

GBP/JPY *

USD/JPY

Netherlands AEX *

Hungary’s BUX *

Pakistan’s KSE *

Nasdaq Composite * 

Nasdaq 100 *

Philadelphia Semiconductor Index (SOX)

S&P 500 *

Turkiye’s BIST 100

and Taiwan’s TAEIX *

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

NIFTY *

SENSEX *

Extremes below the Mean (at least 2.5 standard deviations)

Shanghai Composite Index

China’s CSI 300 Index

Oversold (RSI < 30)

Cotton

North European Hot Rolled Coil Steel *

U.S. Midwest Hot Rolled Coil Steel *

Lumber *

Lithium Hydroxide *

Corn *

And the Chinese RMB *

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

None

Notes & Ideas:

Government bond yields changed course and fell,

Except for the German, Swedish, Norwegian, Swiss and Polish 10’s, along with the Euro curve.

In fact, the Swiss 10’s yield broke their 4 consecutive weeks of decline. 

Furthermore, all of the bond yields and spreads which appeared last week are no longer so.

Against the yield trend, the Copper/Gold ratio bounced,

And the U.S. 2’s and 5’s yield had bearish outside reversal weeks.

Equities saw strength, again…..again….mostly !

For example, the Nasdaq Composite has risen for 10 out of the past 11 weeks, so much so to render it trading at 36% above its 200 week moving average.

China’s CSI 300 and Shanghai Composite have fallen for 7 consecutive weeks, while the KOSPI has risen for 5 straight weeks

Chile’s IGPA broke its 5 weeks of declines and Thailand’s SET broke its 6 week losing streak

Indonesia’s main index has climbed 8.2% over the past 3 weeks.

And the FTSE 250 and Vietnam’s VN Index both had bullish outside reversal weeks.

Commodities were mostly firmer, which is a change against the past weeks of weaker bias.

Coking Coal, Copper, Oil and Distillates, Tin, Precious Metals Orange Juice and Coffee featured amongst those who had a terrific week.

Gases, Urea, Rice and Lithium were the biggest losers for the week.

WTI Crude, Brent Crude, Heating Oil and Gasoline are in a 4 week winning streak.

Lean Hogs have slumped for 9 of the past 11 weeks, falling 14% over that time.

Lumber and Natural Gas (NG) prices have fallen for 4 consecutive weeks.  NG has posted a 26% loss during this streak.

The Copper/Gold Ratio bounced out of its 6 week losing streak.

Palladium has risen 15% over the past 3 weeks.

Soybeans and Wheat both broke their 5 straight weeks of declines.

Lumber has fallen for 11 weeks of the past 15 weeks.

And Lithium Hydroxide has now spent 51 consecutive weeks in weekly oversold territory.

Currencies continue to provide action, again and again.

Many currencies no longer appearing in extreme categories.

The AUD has risen for 4 consecutive weeks against the JPY, EUR, CAD, SGD, THB and USD.

The CAD/AUD has fallen for 4 weeks, while the Loonie against the USD has climbed for 4 straight weeks.

The U.S. Dollar (DXY Index) fell 1%, breaking its 4 week winning streak.

The Euro was mixed

The British Pound was stronger in a week when the United Kingdom held a general election.

And the Yen was weak, again.

The larger advancers over the past week comprised of;

Australian Coking Coal 7.6%, China Coking Coal 7.5%, WTI Crude Oil 2%, Copper 5.9%, Heating Oil 2.7%, Tin 3.3%, Newcastle Coal 2.8%, Orange Juice 4.9%, Palladium 6.3%, Platinum 3.2%, Robusta Coffee 4.3%, SPGSCI 1.5%, Brent Crude Oil 2.3%, Gasoil 2.8%, Silver in AUD 5.9%, Silver in USD 7.1%, Gold in CAD and CHF 2.5%, Gold in USD 2.8%, Gold in ZAR 3.1%, Soybean 2.3%, Wheat 3%, All World ex USA 2.1%, ATX 2.8%, CAC 2.6%, Egypt 2.2%, MIB 2.5%, BOVESPA 1.9%, IDX 2.1%, Nasdaq Composite 3.5%, KOSPI 2.3%, FTSE 250 2.5%, Nasdaq 100 3.6%, Nikkei 225 3.4%, SOX 3.4%, S&P 500 2%, STI 2.3%, TAIEX 2.3%, Vietnam 3%, ASX Materials 3.3%, BIST 1.9% and Israel’s TA25 rose 2.1%.  

The group of largest decliners from the week included;

Baltic Dry Index (4.1%), Cotton (2.4%), Lithium (3.6%), Natural Gas (10.8%), Dutch TTF Gas (4.1%),Urea U.S. Gulf (4.2%), Rice (5.4%), and the KRE Regional Banks Index fell 2.4%.

July 7, 2024

by Rob Zdravevski

rob@karriasset.com.au

Filed under Finance & Investment Tagged with , , , ,

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