Below extract courtesy of this a.m.’s edition of Rareview Macro’s Sight Beyond Sight..(Re-published with permission from Neil Azous)
Here is an aggregation of the various statistics either sent to us from subscribers or we came across during our readings this weekend.
1. Japan Government Pension Fund (GPIG): Apple (AAPL), Exxon and Microsoft have the heaviest weighting in the MSCI Kokusai Index; ~87% of GPIF’s foreign stock holdings follow this benchmark. (Source: Eurofaultlines)
2. As far as we can tell the degree of these inflows have not yet been widely observed by other paid forecasters on the Street. EM Portfolio Inflows Reach New High In May: Our EM portfolio flows tracker indicates that portfolio inflows to emerging economies continued their upward trend of the last several months, reaching the highest level since September 2012, when the Fed launched QE3 (Chart 1). In May, EMs are estimated to have received $45 billion in portfolio inflows from global investors, up from $28 billion in April and $27 billion in March. The May figure reflects $28 billion going into EM bond markets (portfolio debt flows,Chart 2) and $17 billion into EM stock markets (portfolio equity flows, Chart 3). (Source: Institute of International Finance) Report
3. This week the S&P 500 will surpass the 1995-96 record for number of consecutive days in which the index has traded above its 200-day moving average.
4. SPY closed above its upper Bollinger 5 days in a row through Friday. SPY has only closed above its upper Bollinger 4 days in a row 4 times since 2009. (Source: Fat Pitch)
5. Relative Strength Indicators (RSI)
a. The S&P 500 (SPY) 9-day RSI is over 70 = Overbought
b. The NASDAQ (NDX) 9-day RSI is 74 and AAPL’s is 80 = Overbought
c. The Transports (IYT) 9-day RSI is over 77 = Overbought
d. The Semiconductors SOX) 9-day RSI is over 70 = Overbought
6. Since 1950, the DJIA has lost -1.9% and SPX -2.1% in June. The last 20 years have been even weaker. Moreover, the SPX has been down in 11 of the last 16 mid-term elections Junes (Source: Stock Traders Almanac).
7. The VIX has closed below 12 for five straight days, the longest streak at that level since 2007 (Source: Volatility Trader)
8. Equities in Europe have risen for seven consecutive weeks, the longest streak since August 2012 (Source; Fat Pitch)
9. S&Ps have now rallied for 7 weeks in a row, adding a total of 107.5 points (+5.9%). The sequence of weekly gains has extended to 8 weeks twice since January 2004, the exceptions coming in February 2012 and on 29th November 2013 when the run of weekly gains lasted for 9 weeks. (Source: Predicted Markets)
10. S&P 500 seasonality for the first five days of June are the strongest of the month (Source: Sentiment Trader)
11. Reminder: June should see a large Q2 Pension rebalancing into stocks and out of Bonds due to the out-performance of Fixed Income.
12. Gold: June is the worst month on the calendar for gold but silver is also exceptionally weak, averaging a 2.95% decline over the past 30 years – 100 basis points worse than any other month. The trend is even more pronounced in the past decade. (Source: Incisive Global Markets Analysis)
13. Bitcoin regained its 100-day moving average closing above $600, +36% in May and 80% from its April lows.
14. Monthly Reversals. We were very pleased to see the confirmation of these trends as they account for three of our five FX strategies in the model portfolio:
a. New Zealand Dollar: The NZD/USD had an outside monthly bearish reversal.
b. Swiss Franc: The USD/CHF had an outside monthly bullish reversal.
c. Aussie-Swiss: The AUD/CHF had an outside monthly bullish reversal.
15. Anger Indicator: What Levels would make the most people upset? SPX that holds ~1920+ or quickly moves back towards ~1875 (bouncing around in the ~1905-1915 range wouldn’t surprise many), 2.4% or lower on US10yrs, >1.36 on the EUR, <101 on the yen (i.e. a stronger yen), a VIX below 11, and Spanish/Italian 10yr yields staying sub 3%. (Source: JPM)
16. US Municipal Bond Supply: The May municipal issuance total will be roughly $25 billion. That puts the 12-month rolling figure at $282 billion – the lowest since 2001. (Source: Muni Market Advisors)
17. Mortgage Refinancing: The negative argument is that the refinance market is very efficient and that anyone who could benefit from a refinanced mortgage already did so when rates were in the mid-to-low 3%’s. Only those who purchased a mortgage since last July after rates rose could benefit by refinancing now – but that is small number. Furthermore, another refinance wave cannot really materialize until rates get to 2.75%. The current move lower in yields can only help new purchases in the interim. (Source: Mark Hanson).
Rareview Macro LLC is a macro-strategy think tank founded by trading market expert, Neil Azous. The firm publishes a a subscription-based daily newsletter “Sight Beyond Sight”, 10-day free trial subscriptions without need for providing a credit card. Please visit www.rareviewmacro.com for additional information