Thread by @tdarling1

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Global Macro Review 🧵
1/14

Much will be written about 2022 full-year performance, so let’s take a look at the last 3 months of the year to see if we can discern anything from a price momentum perspective.

(T) = Trend = 3-month price momentum

2/14

The $USD -7.86% peaked in September, providing much needed relief for risk assets around the world.

Chart: $USD -2.48% in December sits at critical trend line support with all major trend levels in bearish territory.

A close below 102 opens up 99. Mean revert or die.

3/14

After a modest pull-back in November, the $UST10Y resumed its upward trajectory in December, rising +20 bps to 3.88%.

Chart: $UST10Y - If you believe BOTH growth and inflation are slowing, then this thing needs to put in a big lower higher between here and 3.977%.

4/14

Metals led commodities higher in Q4:
$SILVER +26.27%
$PLAT +26.05%
$COPPER +11.73%
$GOLD +9.22%

Chart: SILVER +10.38% in December, bolstered by a weak $USD, which is the key to continuation or reversion.

5/14

Among hydrocarbons, it was a tale of two gases
$GASO +4.64$
$NATGAS -33.97%
$WTIC +0.97%

Chart: $NATGAS -35.5% in December alone, but still +19.84% YTD with implications for utility rates and industrial production.

6/14

Grains were a mixed bag in Q4

$SUGAR +13.22%
$SOYB +11.67%
$CORN +0.15%
$WHEAT -14.05%

Chart: $DBA +0.65% in Q4 reflects a composite of agriculture commodities, which are under control.

7/14

$SPX +7.08% outperformed both $IWM +5.72% and $COMPQ -6.77% in Q4.

Chart: $SPX -5.9% in December encountering serious overhead into the new year

8/14

Both the $DAX +14.93% and the $CAC +12.35% outperformed the $SPX in Q4

Chart: The $DAX gave back -3.29% in December as Europe surprised to the upside in Q4, even as the #ECB tightened into #recession

9/14

After a nasty -48%, 2-year drop, $HSI +14.86% in Q$ led Asia higher with $KOSPI +3.75%, $SSEC +2.14%, and $NIKK +0.61%

Chart: Did $HSI +6.37% in December sniff out the end of #CovidZero?

10/14

Among US Sectors only $XLY -9.33% was negative over (T) duration

Outperformance came from:
$XLE +21.45%
$XLI 15.55%
$XLB +14.07%
$XLF +12.65%
$XLV + 12.17%
$XLP +11.72%

Chart: $XLV -0.96% over the 4weeks (t) has held up better than other sectors. Can we get close > 140?

11/14

Value outperformed growth by a wide margin
$SPYV +12.76%
$SPYG +1.32%

Chart: $SPYV -3.88% pulled back less than $SPYG -7.59% in December. Looking for a close > 41 to stay long.

12/14

Low beta provided 190 bps in beta over high beta

$SPLV +10.5%
$SPHB +8.61%

Chart: $SPLV gave back -1.17% in December compared with $SPHB -8.55%

13/14

Momentum is favoring a weaker $USD and firmer yields, commodities, and equities with international indices outperforming $SPX.

Value leads growth by a wide margin and low beta is trumping high beta with energy, industrials, and materials at the top of the board.

14/14

Were it not for the massive liquidity drain (Fed balance sheet, TGA, and reverse repo) and the renewed rise in yields, a healthy dose of risk assets might be prescribed.

For now, the market messages are mixed.

A look ahead to Q1 2023 tomorrow.

Cheers! 🍻