๐ปโ๏ธโ๏ธโ๏ธโ๏ธโ ๏ธ๐ฉ๐บ๐ป๐งฎ
Global macro review 05/01/2022
1/11
๐ฐ๐ฐ - weโre gonna need it!
Q1 GDP release this week confirmed #stagflation
Growth -1.4%
Inflation +8.0%
But what did April signal in terms of the current quad regime?
Letโs dig into the April ๐งฎ!
2/11
UST yields โ๏ธ across the โคด๏ธ
10/2s to 19.9 BPS, +20.6 BPS and out of inversion
MOVE 128.4 +20% for the month = ๐ vol
Chart: UST2Y 2.73% + 42 BPS for the month but acceleration slowing
2a/11
Chart: The UST10Y 2.94% + 57 BPS with room to run
3/11
Bond ETFs provided 0๏ธโฃ shelter from the ๐ช
$TLT -9.3% (m), -19.4% YTD
$CWB -8.9% (m), -14.5% YTD
$LQD -7.1% (m), -15.0% YTD
$HYG -4.9% (m), -9.75% YTD
$TIP -3.1% (m) -6.3% YTD
Chart: Apparently, long duration is no hedge for stagflation with $TLT -9.3%
3a/11
Curve steepening as the long end rose faster than the short-end
Chart: $IVOL with a short-term signal strength + 0.71% for the month, including 3.98% yield
4/11
With tightening financial conditions, the $USD โ๏ธโ๏ธ is in high demand
$USD +4.7% (m) +7.7% YTD
$AUD -5.6% (m) -2.9% YTD
$EUR -4.6% (m) -7.25% YTD
$GBP -4.35% (m) -7.05% YTD
Chart: $USD +4.68%, bumping up against multi-year highs
4a/11
Among 'safe haven' #FX , much has been made of the yen crash -6.87% for the month, but $CHF -5.1% in April
5/11
The $CRB +4.43% (m) put in a new cycle high, not yet signaling that cost input inflation is rolling over.
5a/11
Hydrocarbons โ๏ธ and remain โ๏ธ
$NATGAS +28.35% (m), +94.1% YTD
$GASO +9.2% (m), +54.95% YTD
$WTIC +4.4% (m), +39.2% YTD
$BRENT +1.0% (m), +37.15% YTD
Chart: $NATGAS +28.39% broke to multi-year highs
5b/11
Grains continued โ๏ธ and remain โ๏ธ
$CORN +8.65% (m), +37.1% YTD
$WHEAT +5.35% (m), +34.3% YTD
$SOYB +4.1 (m), +25.8% YTD
$SUGAR -2.0 (m), +1.05% YTD
Chart: Corn +8.65% for April
5c/11
Metals โ๏ธ and starting to show weakness, commensurate with China ๐๐ป
$SILVER -8.1% (m), -1.1% YTD
$COPPER -7.15% (m), -1.1% YTD
$PLAT -5.64% (m), -2.75% YTD
$GOLD -2.15% (m), +4.55% YTD
Chart: Dr. $COPPER -7.2% signaling continued decline in growth
5d/11
Starting to ๐งโโ๏ธ investors tire of their GOLD allocation. โWhy isnโt it going up?"
Chart: $GOLD +4.55% YTD and constrained only by a pesky $USD
Hold long โ๏ธ
6/11
Equity vol โ๏ธ on the back of choppy earnings and guidance, into FOMC on May 4
$VIX 33.4 +128 BPS
$VXN 38.25 +112 BPS
$RVX 37.22 +102 BPS
$VSTOXX 30.77 +27 BPS
$VXEEM 30.76 +63 NPS
Chart: The $VIX closed the month in the the ๐ฉ๐ชฃ
7/11
Domestic equity indices ๐จโ๏ธ
$COMPQ -13.25% (m), -21.15% YTD
$IWM -9.9% (m), -16.85% YTD
$SPX -8.8% (m), -13.3% YTD
Chart: $COMPQ into crash mode -21.15% YTD ๐ป
7a/11
Top equity sectors
$XLP +2.3% (m), +0.7% YTD
$XLE -1.7% (m), +34.4% YTD
$XLB -3.55% (m), -6.15% YTD
Worst sectors
$XLC -14.15% (m), -23.95% YTD
$XLY -11.95% (m), -20.3% YTD
$XLK -11.0% (m), -18.65% YTD
Chart: XLP was the only sector โ๏ธ on the month
7b/11
Chart: $XLC -24.0% YTD crashing โ๏ธ ๐ป
8/11
International equity indices fared better than the ๐บ๐ธ
$CAC -1.9% (m) -8.65% YTD
$DAX -2.2% (m) -11.25% YTD
$KOSPI -2.25% (m) -9.5% YTD
$NIKK -3.5% (m) -6.75% YTD
$HSI -4.4% (m) -9.9% YTD
$SSEC -6.3% (m) -16.25% YTD
Chart: $CAC -1.9% for April, remains ๐ป Trend
8a/11
Country ETFs, denominated in USD, smoked โ๏ธ
$EWZ -13.3% (m) +16.75% YTD
$EWW -10.1% (m) -2.3% YTD
$VNM -9.7% (m) -19.75% YTD
$EWN -9.3% (m) -23.5% YTD
Chart: Tough month for $EWZ, but hanging onto โ๏ธ Trend for now
8b/11
Chart: $IDX bucked the Trend +4.4% (m), +11.4% YTD
9/11
No store of value, your favorite risk indicator $BTCUSD -15.2% in April
10/11
Evidence of growth โ๏ธ abounds with $COPPER and equities ๐ป
Inflation ๐ผ less certain with $CRB and yields ๐บ
BUT๐ช $USD, lowering cost of imports
Also, tough comp vs 4.2% CPI in April 2022
#decel?
#Quad3 vs. #Quad4 will hinge on May 11 #CPI
๐ on UST duration assets
11/11
Near-term, event risk with vol ๐บ into FOMC, may provide a short-term bottom as $VIX comes off after Wednesday (+gamma flows, not +vannah flows)
For now, sit tight long vol, ๐ฉณ, and cash ๐ต
Have a super profitable ๐ฐ week!
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