Trying to hear what's not being said
November 25, 2024 Leave a comment
My read is that the current run in U.S. Mid Cap equities is coming to an end.
If it’s not an end, I think it’ll be a pause and subsequent consolidation….but either way, not withstanding one more squeeze of the lemon, this long trade seems full to me.
November 25, 2024
rob@karriasset.com.au
November 5, 2024 Leave a comment
This study overlays Bitcoin volatility against the S&P 500 Index.
It is saying to me that when Bitcoin volatility is overbought, buy equities
And when #Bitcoin #Volatility (BVOL) is registering an RSI reading below 38, then it seems that equities are stifled, perhaps signalling a peak.
BVOL traded below 38 last week.
November 5, 2024
by Rob Zdravevski
Karri Asset Advisors
rob@karriasset.com.au
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
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
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
August 12, 2024 Leave a comment
Last week’s palaver about unwinding Yen trades is old news.
The Yen has nearly swung to the other side of the pendulum.
The study below shows the 13 moments over the past 15 years when the AUD/JPY was trading (coinciding with a couple other metrics) at a weekly RSI reading of 36 or below.
I say ‘nearly swung’, for we are close but not there yet……for another such occurrence.
When they do occur, they bode well for listed equities risk appetite.
The Nasdaq 100 index appears within my study as a comparison.
August 12, 2024
by Rob Zdravevski
rob@karriasset.com.au
August 12, 2024 Leave a comment
To support a case for a tactical bounce in the equity markets,
I have used red to highlight the data when the AAII investor sentiment survey has had the narrowest spread between bullish and bearish respondents,
And I have circled those corresponding moment in the accompanying S&P 500 chart.
So that all looks lovely when many of the bulls disappear.
Although, ‘bounces’, by nature are short-term.
For the strategic equity allocators, this note supported the ‘grind’ higher for the S&P 500
But that was back then and we are now deeper into this grind.
My final line in that note said, “It’s not the safest of markets”.
August 12, 2024
by Rob Zdravevski
rob@karriasset.com.au
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
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
June 30, 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 minus U.S. 10 year government bond yield spread
AUD/JPY
Overbought (RSI > 70)
Brazilian 10 year government bond yield *
Biodiesel *
GBP/JPY *
Amsterdam’s AEX *
Budapest
Karachi’s KSE *
Nasdaq Composite *
Nasdaq 100 *
S&P 500 *
and Taiwan’s TAEIX *
The Overbought Quinella (Both Overbought and Traded at > 2.5 standard deviations above the weekly mean)
USD/BRL *
NIFTY *
SENSEX *
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 *
U.S. 10 year minus Australian 10 year government bond yield spread *
U.S. 10 year divided by the Australian 10 year government bond yield
Lean Hogs
COP/USD
EUR/AUD
And Russia’s MOEX
Oversold (RSI < 30)
Chinese 10 year government bond yield
North European Hot Rolled Coil Steel *
U.S. Midwest Hot Rolled Coil Steel *
Lumber *
Lithium Hydroxide *
Shanghai Rebar
JPY/USD
JPY/AUD
RMB
The Oversold Quinella (Both Oversold and Traded at < 2.5 standard deviations below the weekly mean)
BRL/USD
Corn
Notes & Ideas:
Government bond yields rose, again,
Except for the Swiss, Swedish, Finnish and Danish 10’s.
The yield in the Swiss 10’s have fallen for 4 consecutive weeks.
Other than the Chinese and Brazilian 10’s lodging into opposite end of extreme categories, we have interesting bond spreads appearing this week.
And we the U.S. 10-2 yield curve is nearing an oversold extreme.
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, again.
As they bounced, so did many of last week’s oversold entrants.
Other extended their losing streaks to 6 consecutive weeks, among them China’s CSI 300 and Shanghai Composite along with Thailand’s SET.
Chile has fallen for 5 straight weeks.
While China’s A50, Chile’s IPSA and Torontos’ TSX broke their 5 week losing streaks.
Philadelphia Semiconductor Index (SOX) fell 1.2% and is not overbought anymore.
The CAC-40 had a bearish outside reversal week.
While the KOSPI has risen for 4 straight weeks and Indonesia’s main index has climbed 6% over the past fortnight.
Commodities were mixed, again, with a bias towards weakness. Again.
Once again, the weakness won’t show up in the commodities indices due to the positive skew weighting afforded to the Crude Oil weightings.
Although the Bloomberg Commodity Index has decline for 5 of the past 6 weeks.
Palladium, Sugar and Oats were amongst the few winners.
Coking Coal, Cocoa, Natural Gas and Corn were amongst the notable losers, again.
Lean Hogs have slumped for 9 of the past 10 weeks, falling 14% over that time.
Natural Gas prices have posted a 15% loss during its 3 week losing streak.
Nickel snaps its 5 week losing streak during which its price retracing 16%.
Cocoa has given back 16% of its recent 37% advance seen over the previous 6 weeks.
The Copper/Gold Ratio has declined for 6 consecutive weeks.
Soybeans and Wheat prices have fallen for 5 straight weeks.
Iron Ore snapped its 4 weeks of declines.
Lumber has fallen for 11 weeks of the past 14 weeks.
And Lithium Hydroxide has now spent 50 consecutive weeks in weekly oversold territory.
Currencies continue to provide action, again and again.
Many currencies no longer appearing in extreme categories.
The Aussie rose.
The Loonie was quiet and mixed.
The USD (DXY) has risen for 4 straight weeks.
The Euro was mainly firmer.
The USD/CLP broke its 5 week rising run.
And the Yen’s weakness dominated news.
The larger advancers over the past week comprised of;
Palladium 5.8%, Raw Sugar 6.5%, Refined Sugar 2.6%, Oats 3.4%, KBW Banks 2.5%, Budapest 2.4%, DJ Transport 2%, Egypt 5.1%, BOVESPA 2.1%, Indonesia 2.5%, Russell 2000 1.3%, KRE Regional Banks 4.5%, Nikkei 2.6%, Nifty 2.2%, PSE 4.1%, Sensex 2.4% and Toronto’s TSX rose 1.5%
The group of largest decliners from the week included;
Australian Coking Coal (4.5%), Cocoa (13.2%), China Coking Coal (6.3%), Lean Hogs (2.7%), Lithium Hydroxide (3.9%), Tin (2.8%), Natural Gas (7.5%0, Orange Juice (2.7%), Robusta Coffee (2.1%), Silver in AUD (1.8%), Corn (7.5%), CAC (2%), HSCEI (1.7%), Vietnam (2.9%) and the Hang Seng fell 1.7%.
June 30, 2024
by Rob Zdravevski
rob zdravevski's blog 