Market Briefing: Correlated Markets

Transcription

1 Market Briefing: Correlated Markets September 25, 217 Dr. Edward Yardeni Mali Quintana Please visit our sites at www. blog. thinking outside the box

2 Table Of Contents Table Of Contents Industrial & Transportation Stock Prices 1 S&P & Commodity Prices 2 S&P, Oil, & the Dollar 3 Commodity Prices & the Dollar 4 Commodity Prices & Currencies 5 Copper, Oil, & the Dollar 6 EM-MSCI 7 EM-MSCIs, the Dollar, & Commodity Prices 8-9 China Stock Market & Commodities 1 Asian Stock Markets S&P Sectors 13 S&P Industries 14 Bank Stocks 15 Technology Heavy Stock Markets 16 Commodity Heavy Stock Markets 17 Capital Goods Heavy Stock Markets 18 S&P Indices: MEI, CUT 19 Misc 2 CRB & Copper 21 Russia Price Index & Crude Oil Price 22 Expected Inflation & CRB Raw Industrials Index 23 September 25, 217 / Market Briefing: Correlated Markets www.

3 Industrial & Transportation Stock Prices 2 2 Figure 1. DOW JONES STOCK AVERAGES (ratio scale) Industrials (DJIA) Transportation (DJTA) Source: The Wall Street Journal Figure 2. S&P STOCK INDEXES (ratio scale) Industrials Composite* Transportation Composite * S&P excluding Financials, Transports, and Utilities. Source: Standard & Poor s. Page 1 / September 25, 217 / Market Briefing: Correlated Markets www.

4 S&P & Commodity Prices 85 Figure 3. S&P INDEX & INDUSTRIAL COMMODITY PRICES S&P Index 2 65 CRB Raw Industrials Spot Index Source: Thomson Reuters I/B/E/S and Commodity Research Bureau. 7 Figure 4. S&P TRANSPORATION INDEX & INDUSTRIAL COMMODITY PRICES S&P Transportation Index 45 CRB Raw Industrials Spot Index Source: Standard & Poor s and Commodity Research Bureau. Page 2 / September 25, 217 / Market Briefing: Correlated Markets www.

5 S&P, Oil, & the Dollar 2 2 Figure 5. S&P & CRUDE OIL PRICE S&P Index 9/ Brent Crude Oil Futures Price (dollars per barrel) * Nearby futures price. Source: Standard & Poor s and Haver Analytics Figure 6. S&P INDEX & US DOLLAR INDEX S&P Index JP Morgan Nominal Broad Effective Exchange Rate* (inverted scale) * Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong, Hungary, Japan, India, Indonesia, Israel, Italy, Korea, Kuwait, Malaysia, Mexico, Morocco, New Zealand, Nigeria, Norway, Pakistan, Panama, Peru, Philippines, Poland, Romania, Russia Saudi Arabia, Singapore, South Africa, Spain, Sweden, Switzerland, Taiwan, Thailand, Turkey, United Kingdom, Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: JP Morgan. Source: JP Morgan and Haver Analytics. Page 3 / September 25, 217 / Market Briefing: Correlated Markets www.

6 Commodity Prices & the Dollar 8 Figure 7. INDUSTRIALS COMMODITY PRICE INDEX & TRADE-WEIGHTED DOLLAR CRB Raw Industrials Spot Price Index* (1967=) JP Morgan Nominal Broad Effective Exchange Rate** (inverted scale) * Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. ** Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong, Hungary, Japan, India, Indonesia, Israel, Italy, Korea, Kuwait, Malaysia, Mexico, Morocco, New Zealand, Nigeria, Norway, Pakistan, Panama, Peru, Philippines, Poland, Romania, Russia Saudi Arabia, Singapore, South Africa, Spain, Sweden, Switzerland, Taiwan, Thailand, Turkey, United Kingdom, Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: Commodity Research Bureau and JP Morgan Figure 8. INDUSTRIALS COMMODITY PRICE INDEX & TRADE-WEIGHTED DOLLAR (yearly percent change) CRB Raw Industrials Spot Price Index* JP Morgan Nominal Broad Effective Exchange Rate** (inverted scale) /22 * Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. ** Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong, Hungary, Japan, India, Indonesia, Israel, Italy, Korea, Kuwait, Malaysia, Mexico, Morocco, New Zealand, Nigeria, Norway, Pakistan, Panama, Peru, Philippines, Poland, Romania, Russia Saudi Arabia, Singapore, South Africa, Spain, Sweden, Switzerland, Taiwan, Thailand, Turkey, United Kingdom, Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: Commodity Research Bureau and JP Morgan Page 4 / September 25, 217 / Market Briefing: Correlated Markets www.

7 .8.9 Figure 9. Commodity Prices & Currencies INDUSTRIALS COMMODITY PRICE INDEX & CANADIAN DOLLAR Canada (C$/US$, inverted scale) CRB Raw Industrials Spot Price Index* * Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. Source: Haver Analytics Figure 1. INDUSTRIALS COMMODITY PRICE INDEX & AUSTRALIAN DOLLAR Australia (A$/US$, inverted scale) CRB Raw Industrials Spot Price Index* * Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. Source: Haver Analytics. Page 5 / September 25, 217 / Market Briefing: Correlated Markets www.

8 Copper, Oil, & the Dollar 7 Figure 11. INDUSTRIALS COMMODITY PRICE INDEX & COPPER PRICE CRB Raw Industrials Spot Price Index* (1967=) Copper Futures Price** (cents per pound) * Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. ** Nearby futures contract. Source: Commodity Research Bureau and Haver Analytics Figure 12. BRENT CRUDE OIL PRICE & TRADE-WEIGHTED DOLLAR Brent Crude Oil Futures Price* (dollars per barrel) 9/ JP Morgan Nominal Broad Effective Exchange Rate** (inverted scale) * Nearby futures price. ** Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong, Hungary, Japan, India, Indonesia, Israel, Italy, Korea, Kuwait, Malaysia, Mexico, Morocco, New Zealand, Nigeria, Norway, Pakistan, Panama, Peru, Philippines, Poland, Romania, Russia Saudi Arabia, Singapore, South Africa, Spain, Sweden, Switzerland, Taiwan, Thailand, Turkey, United Kingdom, Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: JP Morgan and Haver Analytics. Page 6 / September 25, 217 / Market Briefing: Correlated Markets www.

9 1 Figure 13. EM-MSCI EMERGING MARKETS MSCI STOCK PRICE INDEXES US dollars Local currency Source: Morgan Stanley Capital International. Page 7 / September 25, 217 / Market Briefing: Correlated Markets www.

10 Figure 14. EM-MSCIs, the Dollar, & Commodity Prices EMERGING MARKETS MSCI STOCK PRICE INDEX & TRADE-WEIGHTED DOLLAR Emerging Markets MSCI Stock Price Index (in local currencies) 115 JP Morgan Nominal Broad Effective Exchange Rate* (inverted scale) * Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong, Hungary, Japan, India, Indonesia, Israel, Italy, Korea, Kuwait, Malaysia, Mexico, Morocco, New Zealand, Nigeria, Norway, Pakistan, Panama, Peru, Philippines, Poland, Romania, Russia Saudi Arabia, Singapore, South Africa, Spain, Sweden, Switzerland, Taiwan, Thailand, Turkey, United Kingdom, Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: JP Morgan and Morgan Stanley Capital International. 15 Figure 15. EMERGING MARKETS MSCI STOCK PRICE INDEX & BRENT CRUDE OIL PRICE 1 Emerging Markets MSCI Stock Price Index (in dollars) Brent Crude Oil Futures Price (dollars per barrel) 9/ * Spot price through yearend 214, then nearby futures price. Source: Morgan Stanley Capital International and Commodity Research Bureau. Page 8 / September 25, 217 / Market Briefing: Correlated Markets www.

11 7 Figure 16. EM-MSCIs, the Dollar, & Commodity Prices EMERGING MARKETS MSCI STOCK PRICE INDEX (in dollars) & INDUSTRIALS COMMODITY PRICE INDEX (daily) Emerging Markets MSCI Stock Price Index (in dollars) CRB Raw Industrials Spot Price Index* * Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. Source: MSCI and Commodity Research Bureau. 1 Figure 17. EMERGING MARKETS MSCI STOCK PRICE INDEX & COPPER PRICE 5 Copper Price (dollars per pound) 4 Emerging Markets MSCI Stock Price Index (in dollars) Source: Morgan Stanley Capital International and Commodity Research Bureau. Page 9 / September 25, 217 / Market Briefing: Correlated Markets www.

12 9 Figure 18. China Stock Market & Commodities CHINA: STOCK MARKET & COPPER PRICE China MSCI Share Price Index (US dollars, December 31, 1992=) Copper Price* (cents per pound) * Nearby futures contract. Source: MSCI and Haver Analytics Figure 19. CHINA MSCI & INDUSTRIALS COMMODITY PRICE INDEX China MSCI Share Price Index (in dollars) CRB Raw Industrials Spot Index (1967=) Source: Morgan Stanley Capital International and Commodity Research Bureau. Page 1 / September 25, 217 / Market Briefing: Correlated Markets www.

13 Asian Stock Markets Figure 2. STOCK MARKETS (stock indexes in local currencies) China: Shanghai-Shenzen (12/31/4=) 9/ Japan: NIKKEI (5/16/49=) 1 3 9/ Source: Haver Analytics Figure 21. STOCK MARKETS (stock indexes in local currencies) China: Shanghai-Shenzen (12/31/4=) Austrailia: All Ordinaries (1/1/8=5) 9/ / Source: Haver Analytics. Page 11 / September 25, 217 / Market Briefing: Correlated Markets www.

14 Asian Stock Markets 2 Figure 22. NIKKEI & YEN (stock index in local currency) Nikkei 7 8 Yen/US Dollar (inverted scale) Source: Haver Analytics Figure 23. NIKKEI/DAX & YEN/EURO Nikkei/Dax Yen/Euro (inverted scale) Source: Federal Reserve Board. Page 12 / September 25, 217 / Market Briefing: Correlated Markets www.

15 S&P Sectors.6 Figure 24. S&P ENERGY & BRENT CRUDE OIL PRICE S&P Energy Index (as a ratio of S&P Index) 75.2 Brent Crude Oil Futures Price* (dollars per barrel) 9/ * Nearby futures price. Source: Standard & Poor s and Financial Times..22 Figure 25. S&P MATERIALS & INDUSTRIALS COMMODITY PRICE INDEX S&P Materials Index (as a ratio of S&P Index) CRB Raw Industrials Spot Price Index* (1967=) * Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. Source: Standard & Poor s and Commodity Research Bureau. Page 13 / September 25, 217 / Market Briefing: Correlated Markets www.

16 S&P Industries 2 2 Figure 26. S&P & S&P RETAILING S&P Index S&P Retailing Source: Standard & Poor s Figure 27. S&P INDEX & S&P BANKS S&P Index S&P Banks Source: Standard & Poor s Page 14 / September 25, 217 / Market Briefing: Correlated Markets www.

17 Figure 28. BANK STOCK PRICE INDEXES Bank Stocks United States: S&P Bank Composite Index EUROPE (LCU) JAPAN (yen) / day moving average Source: Morgan Stanley Capital International. 3 2 Page 15 / September 25, 217 / Market Briefing: Correlated Markets www.

18 Technology Heavy Stock Markets Figure 29. NASDAQ TAIWAN (NT $) SINGAPORE (Singapore Dollars) ISRAEL (Shekels) day moving average Source: Morgan Stanley Capital International. Page 16 / September 25, 217 / Market Briefing: Correlated Markets www.

19 Commodity Heavy Stock Markets 1 1 Figure 3. AUSTRALIA (Australian dollars) CANADA (Canadian dollars) INDONESIA (Rupiah) SOUTH AFRICA (Rand) day moving average Source: Morgan Stanley Capital International. Page 17 / September 25, 217 / Market Briefing: Correlated Markets www.

20 Capital Goods Heavy Stock Markets Figure 31. S&P INDUSTRIALS GERMANY (Euros) SOUTH KOREA (Won) SWEDEN (Kronor) day moving average Source: Morgan Stanley Capital International. Page 18 / September 25, 217 / Market Briefing: Correlated Markets www.

21 1 1 Figure 32. S&P Indices: MEI, CUT S&P MEI (MATERIALS, ENERGY, & INDUSTRIALS) PRICE INDEX* & AVERAGE OF CRB RAW INDUSTRIALS AND BRENT CRUDE OIL / S&P MEI* YRI Global Growth Barometer** 8/ * Cap weighted average of S&P Materials, S&P Energy, and S&P Industrials price indices. ** Average of CRB Raw Industrials Spot Price Index and price of a barrel of Brent crude oil futures (nearby futures). Source: Standard & Poor s, Financial Times, and Commodity Research Bureau. Figure 33. S&P CUT (CONSUMER STAPLES, UTILITIES & TELECOM SERVICES) PRICE INDEX* * Cap weighted average of S&P Consumer Staples, S&P Utilities, and S&P Telecommunication Services price indices. Source: Standard & Poor s. Page 19 / September 25, 217 / Market Briefing: Correlated Markets www.

22 8 Figure 34. UNITED KINGDOM FTSE & POUND Misc FTSE US Dollar/Pound Source: Reuters America, Inc. and Haver Analytics Figure 35. S&P INTEGRATED OIL & GAS vs. OIL & GAS EQUIPMENT & SERVICES Integrated Oil & Gas Oil & Gas Equipment & Services Source: Standard & Poor s Page 2 / September 25, 217 / Market Briefing: Correlated Markets www.

23 7 Figure 36. CRB & Copper INDUSTRIALS COMMODITY PRICE INDEX & COPPER FUTURES PRICE CRB Raw Industrials Spot Price Index* (1967=) Copper Futures Price** (cents per pound) * Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. ** Nearby futures contract. Source: Commodity Research Bureau and Haver Analytics. Page 21 / September 25, 217 / Market Briefing: Correlated Markets www.

24 Figure 37. Russia Price Index & Crude Oil Price RUSSIA MSCI INDEX & BRENT CRUDE OIL PRICE 15 1 Russian MSCI Index (US dollars) Brent Crude Oil Futures Price (dollars per barrel) Source: Morgan Stanley Capital International and Financial Times. Page 22 / September 25, 217 / Market Briefing: Correlated Markets www.

25 Expected Inflation & CRB Raw Industrials Index Figure 38. INDUSTRIALS COMMODITY PRICE INDEX & EXPECTED INFLATION Expected Inflation in 1-Year TIPS* CRB Raw Industrials Index * Yield spread between 1-year US Treasury bond and comparable TIPS. Source: Federal Reserve Board, US Treasury, and Bureau of Economic Analysis. Page 23 / September 25, 217 / Market Briefing: Correlated Markets www.

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