Cross Asset Technical Vista

Transcription

1 Cross Asset Technical Vista June, 2015 Markets and Products Analysis INVESTMENT PORTOFOLIO ANALYSIS DIVISION Important Disclaimer in page 2 1

2 Disclaimer Disclaimer: The information herein is believed to be reliable and has been obtained from sources believed to be reliable, but we make no representation or warranty, express or implied, with respect to the fairness, correctness, accuracy or completeness of such information. In addition we have no obligation to update, modify or amend this communication or to otherwise notify a recipient in the event that any matter stated herein, or any opinion, projection, forecast or estimate set forth herein, changes or subsequently becomes inaccurate. We are not acting and do not purport to act in any way as an advisor or in a fiduciary capacity. We therefore strongly suggest that recipients seek their own independent advice in relation to any investment, financial, legal, tax, accounting or regulatory issues discussed herein. Analyses and opinions contained herein may be based on assumptions that if altered can change the analyses or opinions expressed. Nothing contained herein shall constitute any representation or warranty as to future performance of any financial instrument, credit, currency rate or other market or economic measure. Furthermore, past performance is not necessarily indicative of future results. This communication is provided for information purposes only. It is not an offer to sell, or a solicitation of an offer to buy, any security, nor to enter into any agreement or contract with Alpha bank or any affiliates. In addition, because this communication is a summary only it may not contain all material terms, and therefore this communication in and of itself should not form the basis for any investment decision. Financial instruments that may be discussed herein may not be suitable for all investors, and potential investors must make an independent assessment of the appropriateness of any transaction in light of their own objectives and circumstances, including the possible risks and benefits of entering into such a transaction. By accepting receipt of this communication the recipient will be deemed to represent that they possess, either individually or through their advisers, sufficient investment expertise to understand the risks involved in any purchase or sale of any financial instrument discussed herein. Any duplication, copy, reprint or transmission of this document is prohibited without the prior written permition of the issuer. 2

3 10/11 12/11 2/12 4/12 6/12 8/12 10/12 12/12 2/13 4/13 6/13 8/13 10/13 12/13 2/14 4/14 6/14 8/14 10/14 12/14 2/15 4/15 6/15 10/11 12/11 2/12 4/12 6/12 8/12 10/12 12/12 2/13 4/13 6/13 8/13 10/13 12/13 2/14 4/14 6/14 8/14 10/14 12/14 2/15 4/15 6/15 Risk Sentiment Eurozone Risk Sentiment Index US Risk Sentiment Index 0.55 Risk Appetite 0.55 Risk Appetite Risk Aversion Risk Aversion Source: Bloomberg, Markets and Products Analysis Risk off sentiment is evident in the Eurozone. The increase of Eurozone government bond yields has been negative for risk taking. Greek issue remains undecided. In the short term, event risk for Eurozone stock markets is high (both to the downside & to the upside), linked with the evolution of the Greek issue. US stock market is consolidating and probably entering corrective mood. The stronger likelihood that the Fed will hike the benchmark rate in September, has contributed to some profit taking in US market. Monetary easing bias by some major Central Banks, may be supportive for risk sentiment in the future. 3

4 -1 Significant Significant Correlation Matrix 60 Days (Percentage Change) Correlation Matrix Equity Index Commodities Risk Aversion Index S&P 500 Euro Stoxx 50 MSCI AC World CRB GOLD WTI RA EU RA US Current -1m Current -1m Current -1m Current -1m Current -1m Current -1m Current -1m Current -1m DXY EUR/USD USD/JPY GBP/USD USD/CHF EUR/CHF EUR/GBP EUR/JPY Bund Fut Y US 10Y US Government Bonds (Change) 2Y GE 10Y GE 2Y UK 10Y UK 2Y JN 10Y JN Current -1m Current -1m Current -1m Current -1m Current -1m Current -1m Current -1m Current -1m DXY EUR/USD USD/JPY GBP/USD USD/CHF EUR/CHF EUR/GBP EUR/JPY Bund Fut negative correlation 1 positive correlation EUR/USD is positively correlated with German 10-year government bond yield. EUR/USD is negatively correlated with Eurozone stock markets. USD/JPY exhibits positive correlation with US 2-year government bond yield. Commodities index remains strongly negatively correlated with DXY. Source: Markets and Products Analysis, Bloomberg 4

5 Technical Analysis Matrix FX Equity Indexes Commodities Gov Bonds Asset Class Weekly % Monthly % Asset Classes Technical Analysis Matrix % Year to Date Monthly Trend Upper Lower MACD Signal (Daily) Overbought/ Oversold Singal (Daily) MA's crossover signal 3-Month Trend EUR/USD Range Trading Up Signal No Signal Up Downtrend GBP/USD Range Trading Up Signal No Signal Up Uptrend EUR/GBP Range Trading Down Signal No Signal Down Downtrend USD/JPY Uptrend Down Signal No Signal Up Uptrend EUR/JPY Uptrend Down Signal No Signal Up Uptrend USD/CHF Range Trading Down Signal No Signal Down Downtrend EUR/CHF Range Trading Up Signal No Signal Up Downtrend Germany Dax Downtrend Down Signal No Signal Down Range Trading Stoxx Europe Downtrend Down Signal No Signal Down Range Trading US S&P Downtrend Down Signal No Signal Up Range Trading US Nasdaq Range Trading 5,118 5,017 Down Signal No Signal Up Range Trading Japan Nikkei Range Trading 20,699 20,035 Down Signal No Signal Up Uptrend HK Hang Seng Range Trading 28,265 26,567 Down Signal No Signal Up Uptrend China Shanghai Composite Downtrend Down Signal No Signal Up Uptrend UK FTSE Downtrend Down Signal Oversold Down Range Trading NYMEX WTI Crude Range Trading Down Signal No Signal Up Downtrend ICE Brent Crude Range Trading Down Signal No Signal Up Downtrend Spot Gold Range Trading 1,211 1,167 Down Signal No Signal Down Range Trading LME 3M Copper Downtrend Down Signal Oversold Down Downtrend LME 3M Aluminium Downtrend Down Signal Oversold Down Downtrend 10Y Bund Future Downtrend Up Signal No Signal Down Downtrend 10Y Gilt Future Range Trading Up Signal No Signal Down Downtrend 10Y Treasury Future Downtrend Up Signal No Signal Down Range Trading Source: Markets and Products Analysis, Bloomberg 5

6 *Trend this month Trend Mapping Reversing Up Trending Up German 10-Year Bund US 10-Year Treasury Shanghai Comp FTSE 100 Hang Seng EUR/GBP USD/CHF Dax Eurostox600 WTI Nikkei EUR/CHF 3m Copper GBP/USD EUR/JPY EUR/USD USD/JPY RTS Index Gold S&P 500 Trending Down -3 Reversing Down *Trend prior 1-Month Upside bias for GBP/USD, EUR/USD and EUR/JPY is still in place. Major European equity indexes remain in downwards trend. S&P 500 index is reversing downwards in the short term. USD/JPY has broken upwards the tight range trading mode observed until end-may. *Standardized divergence from 21-day moving average this month vs prior 1-month. Source: Markets & Products Analysis, Bloomberg, 6

7 S&P 500 S&P 500 index posted historic high (intraday: 2,134.7) on May 20. The index is currently lower versus the historic high by almost 1.8% at 2,096 level. Daily trend indicators (MACD, ADX/DMI) suggest that the index is probably entering correction phase in the short term. Support for the index at the area of 2,072 (9/6/15 low), at the area of 2,048 (200 days MA) and at 2,015 (Fibonacci retracement 38.2%: 1, ,134.7). Looking at the weekly chart, the index appears in range trading for the 3-month horizon. The lower bound of the weekly Bollinger Bands is at the area of 2,030, while the upper bound is placed at the area of 2,150. Despite short term correction and mid term range trading, long term upwards trend may have not reversed, as suggested by monthly trend indicators (ADX, DMI). 7

8 DAX DAX index is currently at almost 11% lower versus the historic high of 10/4/15. Trend indicators with daily data suggest possible continuation of the corrective mood. No oversold conditions formed yet. Support is placed at the area of 10,500 (200 days MA), at the area of 10,370 (retracement 50%: 8,355-12,390) and at the area of 9,897 (Fibonacci retracement 61.8%: 8,355-12,390 and 20% lower from the high of 10/4/15). In case, the support area of 10,370-10,500 holds, the index can resume upwards trend in the long term, as suggested by monthly data trend indicators. Resistance at the area of 12,390 (historic high). 8

9 Nikkei Nikkei index is trending upwards in the mid-term (3-month time horizon), as suggested by weekly trend indicators. Resistance is placed at the area of 20,655 (high of 28/5/15) and at 20,833.2 (12/4/2000 high). In case, some consolidation takes place in the short term, support for the index is placed at the area of 19,930 (55 days MA and 19/5/15 low) and at 19,468 (12/5/15 low). In the mid to long term, resistance is placed at the area of 22,485 (Fibonacci retracement 76.4%: 27, ,994.9). 9

10 EUR/USD EUR/USD is into range trading mode ($ $1.15) in the short term. Daily MACD signal and daily MA s crossover signal (21 vs. 55 DMA) indicate possible upwards move in the short term. Significant resistance for the euro at the area of $ (50% retracement: $ $ and 15/5/15 high) and at $ (200 DMA). Support is placed at the area of $ (short term support trend line) and at $ (27/5/15 low and 61.8% Fibonacci retracement: $ $1.1467). In the medium term downwards trend remains intact. Significant support in medium term is found at the area of $1.00 (76.4% Fibonacci retracement: $ $ and support downwards trend channel). 10

11 USD/JPY and EUR/JPY Looking at the weekly chart, USD/JPY is probably trending higher, with no overbought conditions formed yet. Resistance is placed at the area of (5/6/15 high), at (20/5/02 high) and at (17/5/02 high). Support is found at the area of (low of 20/5/15, 22/5/15 and 55 days MA) and at (19/5/15 low). EUR/JPY is now consolidating, after breaking the 200 days MA to the upside on June 2. Resistance for EUR/JPY is placed at the area of (Fibonacci retracement 61.8%: ) and at (6/1/15 high). Further resistance at (Fibonacci retracement 76.4%: ). Support is placed at the area of (200 days MA) and at the area of (28/5/15 low). 11

12 German 10-Year Government Bond Yield German 10-Year government bond yield is reacting upwards after registering new historic low (0.05%) on April 17. Strong medium term downwards trend seems to be over. Significant resistance levels are found at the area of 1.07% (10/6/15 high & 50% retracement: 2.09% %) and at 1.31% (61.8% Fibonacci retracement: 2.09% %). In the short term some negative bias is identified, mainly due to profit taking. Support is placed at the area of 0.60% (200 DMA) and at 0.474% (1/6/15 low). 12

13 Spot Gold Spot gold price is into consolidation mode ($1,160 - $1,220). Some bias to the downside is observed in the short term, as 21-DMA crossed downwards the 55-DMA in June 10. Significant support is placed at the area of $1,160/oz (5/6/15 low, medium term support trend line & lower 21-Day Bollinger band) and at $1,143/oz (17/3/15 low). Resistance is found at $1,207/oz (200 DMA) and at the area of $1,233/oz (18/5/15 high). In the medium term gold price is in range trading phase. 13

14 Contact Panos Remoundos Maria Koutouzi Ioannis Kouravelos, CFA Konstantinos Anathreptaκis 14