Macro Extremes (week ending June 21, 2024)

A weekly Macro, Cross Asset review of prices trading at extremes which may generate future investment ideas and opportunities.

The following assets (on a weekly timeframe) either registered an Overbought or Oversold reading and/or have traded more than 2.5 standard deviations above or below its rolling mean.

* denotes multiple week inclusion

Extremes above the Mean (at least 2.5 standard deviations)

AUD/EUR

GBP/EUR

ZAR/USD

KOSPI

NIFTY

SENSEX

Overbought (RSI > 70)

Brazilian 10 year government bond yield *

Biodiesel *

Robusta Coffee

GBP/JPY

PHP/USD

RMD/USD

AEX *

KSE *

S&P 500 *

BIST 100

and Taiwan’s TAEIX *

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

USD/BRL

Nasdaq Composite *

Philadelphia Semiconductor Index (SOX) *

Nasdaq 100 *

Extremes below the Mean (at least 2.5 standard deviations)

Australian 10 year minus Australian 2 year government bond yield spread *

Australian 10 year minus Australian 5 year government bond yield spread *

Sweden 10 year government bond yield

Lean Hogs

AUD/ZAR

COP/USD

EUR/GBP

IDR/USD

MXN/USD

CAC Index

IBOV

Indonesia’s IDX *

MOEX

Phillipines PSE

Thailand’s SET *

And the ASX Materials Index

Oversold (RSI < 30)

Chilean 2 year government bond yield *

North European Hot Rolled Coil Steel *

U.S. Midwest Hot Rolled Coil Steel *

Lumber *

Lithium Hydroxide *

PHP/USD *

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

BRL/USD

Notes & Ideas:

Government bond yields rose, breaking short-term rising trends;

Except for Swiss, Spanish, British and Portuguese.

U.S. 5 & 10 year breakeven inflation rates bounced off their oversold lows.

And Chilean 2 year yields broke their 8 consecutive weeks of declines, In last week’s note, I commented that their oversold reading may lead the world in a trough in yields.

Equities saw strength, mostly.

Some extended their losing streaks to 5 consecutive weeks, among them being the CSI 300, Shanghai Composite, China A50, SET and Toronto’s TSX.

Chile has fallen for 5 straight weeks.

Austria’s ATX rose and broke its 4 week losing run.

Mexico and Helsinki also broke their respective streaks.

The TAIEX has soared 9.5% over the past 3 weeks.

While the ASX Materials Index has “meant reverted” in its 5 week decline.

Commodities were mixed, again, with a bias towards weakness.

The commodities indices won’t expressed it due to the positive skew weighting afforded to the Crude Oil weightings.

Shipping, Palladium, Platinum, Oils and Distillates were stronger.

Thermal and Coking Coal, Cocoa, Steel, Lumber, Grains and Gases were weaker.

Cocoa gave up 8% of its recent 37% advance seen over the previous 4 weeks.

The Copper/Gold Ratio has declined for 5 consecutive weeks as have Nickel prices.

Iron Ore, Soybeans and Wheat prices have fallen for 4 straight weeks.

Wheat has slumped 21% in 4 weeks, Oats have tanked 24% in the last 3 weeks.

Lean Hogs have declined for 8 of the past 9 weeks.

Lumber has fallen for 10 weeks of the past 13 weeks.

Robusta Coffee performed a bullish outside several week. 

And Lithium Hydroxide has now spent 49 consecutive weeks in weekly oversold territory.

Currencies continue to provide action, again and again.

The Aussie was higher, again except against the South African Rand.

The Euro was mixed.

The Yen is nearing an oversold reading against the AUD.

The USD has risen for 5 consecutive weeks against the Colombian Peso

The U.S. Dollar was mostly stronger.

And the CHF/AUD broke its 4 week rising streak.

The larger advancers over the past week comprised of;

Baltic Dry Index 2.5%, WTI Crude 3.4%, Palladium 2.9%, Platinum 3.9%, Gasoline 4.6%, Robusta Coffee 4.5%, Brent Crude 3%, Gasoil 2.8%, KBW Bank Index 1.6%, DAX 0.9%, DJ Industrials 1.5%, DJ Transports 2.1%, MIB 2%, IBOV 1.4%, IDX 3.6%, KRE Regional Banks 1.9%, KSE 2.7%, MCX 1.6%, South Africa 3.3%, TAIEX 3.3%, BIST 2.9% and ASX Small Caps 1.7%.

The group of largest decliners from the week included;

Australian Coking Coal (3.2%), Cocoa (8.2%), China Coking Coal (3.1%), HRC (1.9%), JKM LNG  (2.3%), Lumber (9.1%), JKM LNG in Yen (2.5%), Newcastle Coal (2.5%), Natural Gas (6.1%), Shanghai Rebar (2%), Sugar (2.4%), Dutch TTF Gas (4%), Uranium (2.6%), Gold in ZAR (2.5%), Corn (3.3%), Oats (6.4%), Soybean (2.6%), Wheat (8.4%) and the Phillipines PSE Index fell 3.5%.

June 23, 2024

by Rob Zdravevski

rob@karriasset.com.au

Macro Extremes (week ending June 7, 2024)

A weekly Macro, Cross Asset review of prices trading at extremes which may generate future investment ideas and opportunities.

The following assets (on a weekly timeframe) either registered an Overbought or Oversold reading and/or have traded more than 2.5 standard deviations above or below its rolling mean.

* denotes multiple week inclusion

Extremes above the Mean (at least 2.5 standard deviations)

AUD/ZAR

Dutch TTF Gas *

Overbought (RSI > 70)

Brazilian 10 year government bond yield 

Biodiesel *

Rubber *

AEX

KLSE 

and Taiwan’s TAEIX

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

Robusta Coffee *

USD/MXN

Extremes below the Mean (at least 2.5 standard deviations)

Australian 10 year minus Australian 2 year government bond yield spread *

Australian 10 year minus Australian 5 year government bond yield spread 

Heating Oil 

Iron Ore CFR China

CAD/EUR

CAD/GBP

BOVESPA 

Mexico

MOEX

And Thailand’s SET equity index

Oversold (RSI < 30)

Chilean 2 year government bond yield *

North European Hot Rolled Coil Steel *

U.S. Midwest Hot Rolled Coil Steel *

Lumber *

Lithium Hydroxide *

PHP/USD *

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

BRL/USD

MXN/USD

Notes & Ideas:

Government bond yields were mostly lower.

As a result, last week’s oversold entries are no longer.

The exception is the Brazilian 10’s are back being overbought.

Chilean 2 year yields have fallen for 7 consecutive weeks. Their oversold reading may lead the world in a trough in yields.

We saw a large decline in Japanese yields across the curve.

U.S. 10 year yield minus German 10 year yield spread is in a 8 week declining streak.

And the Copper/Gold ratio has fallen for the past 3 weeks.

Equities were mixed.

While may indices spent the week between +/- 0.5% – 0.8% from last weeks close. 

Budapest and Amsterdam are at all-time highs.

Several more indices dropped out of overbought territory, while a few traded to some overbought extremes.

S&P SmallCap 600, the Russell 2000, Tel Aviv 25 and Oslo performed a bearish outside reversal week.

And Switzerland’s SMI is nearing a overbought quinella. 

Commodities were mostly weaker, again.

Cocoa & Coffee all saw strength again.

Robusta Coffee and Cocoa have risen 23% and 31%, respectively over the past 3 weeks. 

Coal, Aluminium, Steel, Nickel and Copper were amongst the weakest performers for the week.

Copper has fallen 12% in the past 3 weeks.

Gasoline has fallen 5 of the past 6 weeks, as has Brent Crude Oil.

And Gold as priced in Swiss Francs has fallen 6% over the past 3 weeks.

Grains were weaker too.

Rubber & Biodiesel broke their 5 week winning streaks. 

U.S. Midwest Hot Rolled Coil Steel fell, following last week’s outside bearish week.

Orange Juice has fallen 11%, nearly halving the 27% advance seen in the prior 5 weeks.

And Lithium Hydroxide has now spent 47 consecutive weeks in weekly oversold territory.

Currencies continue to provide action. 

The Aussie was weaker and didn’t make a new high against the Yen.

AUD/INR, AUD/THB and the AUD/USD had outside bearish reversal weeks.

In keeping with general weakness amongst commodities, the Loonie was also weaker.

The GBP/AUD had a bullish outside reversal week.

The Yen rose and as a result the GBP/JPY broke its 4 week winning streak.

The USD was stronger.

PHP/USD is in a 5 week losing streak.

And the Mexican Peso fell 8% (against the USD) following its election result.

The larger advancers over the past week comprised of;

Cocoa 6.5%, Natural Gas 12.8%, Robusta Coffee 3.8%, Sugar 3.8%, Urea U.S. Gulf 2.6%, Urea Middle East 5.1%, Rice 2.8%, AEX 2.2%, Budapest 2.9%, HSCEI 1.8%, Hang Seng 1.6%, IDX 2%, Nasdaq 100 2.4%, KOSPI 3.3%, Nasdaq Biotech 2.3%, Nasdaq 100 2.5%, NIFTY 3.4%, Copenhagen 1.7%, SENSEX 3.7%, SMI 2.1%, SOX 3.2%, S&P 500 1.3%, TAEIX 3.2%, Vietnam 2.1%, ASX 200 2.1% and the ASX Industrials rose 1.9%.  

The group of largest decliners from the week included;

Aluminium (3.2%), Rotterdam Coal (8.8%), WTI Crude Oil (1.9%), Cotton (3%), Lean Hogs (1.9%), Copper (2.6%), HRC (4.3%), LNG in Yen (5.5%), Lithium (3.3%), Tin (3.1%), Newcastle Coal (7.6%), Nickel (8.8%), Orange Juice (3.1%), Platinum (6.8%), SPGSCI (1.6%), Iron Ore CFR China (8.5%), Dutch TTF Gas (3.3%), Brent Crude Oil (2.2%), Uranium (2.7%), Silver in AUD (3%), Silver USD (4%), Gold in CHF (2.1%), Oats (10.2%), Soybean (2.1%), Wheat (7.5%), KBW Banking Index (1.9%), Egypt (1.8%), S&P SmallCap 600 (2.5%), Russell 2000 (2.2%), KRE Regional Banks (3.4%), KSE (2.8%), S&P MidCap 400 (2.1%), Mexico (4%), BIST (2.5%) and Tel Aviv 25 fell 1.7%.

June 9, 2024

by Rob Zdravevski

rob@karriasset.com.au

Macro Extremes (week ending May 17, 2024)

A weekly Macro, Cross Asset review of prices trading at extremes which may generate future investment ideas and opportunities.

The following assets (on a weekly timeframe) either registered an Overbought or Oversold reading and/or have traded more than 2.5 standard deviations above or below its rolling mean.

* 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