Market Briefing: Key Macro Correlations April 22, 218 Dr. Edward Yardeni 516-972-7683 eyardeni@ Joe Abbott 732-497-536 jabbott@ Mali Quintana 48-664-1333 aquintana@ Please visit our sites at www. blog. thinking outside the box
Table Of Contents Table Of Contents Trade-Weighted Dollar & Commodities 3 Dollar & Stocks 4 Commodity Prices & Stocks 5 S&P Sectors & Commodities 6 Commodities 7 Misc 8-1 April 22, 218 / Market Briefing: Key Macro Correlations www.
Trade-Weighted Dollar & Commodities 8 Figure 1. INDUSTRIALS COMMODITY PRICE INDEX & TRADE-WEIGHTED DOLLAR 85 95 Spot Price Index* (1967=) 15 Broad Effective Exchange Rate** (inverted scale) 115 125 13 95 96 97 98 99 1 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 2 2 * 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, Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: Commodity Research Bureau and JP Morgan. 85 Figure 2. BRENT CRUDE OIL PRICE & TRADE-WEIGHTED DOLLAR 16 15 14 95 13 15 8 115 Brent Crude Oil Futures Price* (dollars per barrel) 7 6 5 125 13 Broad Effective Exchange Rate** (inverted scale) 25 26 27 28 29 21 211 212 213 214 215 216 217 218 219 22 4 3 2 * Nearby futures price. ** Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong, Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: JP Morgan and Haver Analytics. Page 3 / April 22, 218 / Market Briefing: Key Macro Correlations www.
13 Figure 3. Dollar & Stocks RELATIVE PERFORMANCE OF US MSCI & TRADE-WEIGHTED DOLLAR (daily) US MSCI (in US$) Divided by All Country World ex US MSCI (in local currencies) 8. 7.5 7. 6.5 6. 5.5 5. 4.5 4. Broad Effective Exchange Rate* 3.5 3. 8 95 96 97 98 99 1 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 2 2.5 85 95 * Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong, Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: MSCI and JP Morgan. Figure 4. EMERGING MARKETS MSCI STOCK PRICE INDEX & TRADE-WEIGHTED DOLLAR 15 115 Emerging Markets MSCI Stock Price Index (in local currencies) Broad Effective Exchange Rate* (inverted scale) 2 125 13 21 22 23 24 25 26 27 28 29 21 211 212 213 214 215 216 217 218 219 * Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong, Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: JP Morgan and Morgan Stanley Capital International. Page 4 / April 22, 218 / Market Briefing: Key Macro Correlations www.
Commodity Prices & Stocks Figure 5. EMERGING MARKETS MSCI STOCK PRICE INDEX (in dollars) & INDUSTRIALS COMMODITY PRICE INDEX (daily) 1 Emerging Markets MSCI Stock Price Index (in dollars) Spot Price Index* 2 95 96 97 98 99 1 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 2 * 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. 15 95 85 8 75 7 65 6 55 5 45 4 35 3 Figure 6. CHINA MSCI & INDUSTRIALS COMMODITY PRICE INDEX China MSCI Share Price Index (in dollars) Spot Index (1967=) 29 21 211 212 213 214 215 216 217 218 Source: Morgan Stanley Capital International and Commodity Research Bureau. Page 5 / April 22, 218 / Market Briefing: Key Macro Correlations www.
S&P Sectors & Commodities.6 Figure 7. S&P ENERGY & BRENT CRUDE OIL PRICE 175.5 15 125.4.3 S&P Energy Index (as a ratio of S&P Index) 4/19 75.2 Brent Crude Oil Futures Price* (dollars per barrel) 5.1 25 26 27 28 29 21 211 212 213 214 215 216 217 218 25 * Nearby futures price. Source: Standard & Poor s and Financial Times..22 Figure 8. S&P MATERIALS & INDUSTRIALS COMMODITY PRICE INDEX.2 65.18 55.16 45.14 S&P Materials Index (as a ratio of S&P Index) Spot Price Index* (1967=) 35.12 25 26 27 28 29 21 211 212 213 214 215 216 217 218 219 22 * 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 6 / April 22, 218 / Market Briefing: Key Macro Correlations www.
Figure 9. Commodities INDUSTRIALS COMMODITY PRICE INDEX & COPPER FUTURES PRICE 65 55 45 35 Spot Price Index* (1967=) Copper Futures Price** (cents per pound) 2 24 25 26 27 28 29 21 211 212 213 214 215 216 217 218 219 22 * 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. 2 1 18 1 1 1 1 1 1 8 2 Figure 1. GOLD PRICE & INDUSTRIALS COMMODITY PRICE INDEX Gold Price* (dollars per ounce) Spot Price Index** (1967=) 75 77 79 81 83 85 87 89 91 93 95 97 99 1 3 5 7 9 11 13 15 17 19 21 66 62 58 54 46 42 38 34 26 22 18 14 * Cash price London gold bullion, PM Fix. ** Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. Source: Haver Analytics and Commodity Research Bureau. Page 7 / April 22, 218 / Market Briefing: Key Macro Correlations www.
3.4 3.2 3. 2.8 2.6 2.4 2.2 2. 1.8 1.6 1.4 1.2 1..8.6.4.2. Figure 11. INDUSTRIALS COMMODITY PRICE INDEX & EXPECTED INFLATION Expected Inflation in 1-Year TIPS* Misc Index 27 28 29 21 211 212 213 214 215 216 217 218 219 22 2 * Yield spread between 1-year US Treasury bond and comparable TIPS. Source: Federal Reserve Board, US Treasury, and Bureau of Economic Analysis. 8 13 Figure 12. TRADE-WEIGHTED DOLLAR & EXPECTED INFLATION Broad Effective Exchange Rate** (inverted scale) Expected Inflation in 1-Year TIPS* 23 24 25 26 27 28 29 21 211 212 213 214 215 216 217 218 3.4 3.2 3. 2.8 2.6 2.4 2.2 2. 1.8 1.6 1.4 1.2 1..8.6.4.2. * Yield spread between 1-year US Treasury bond and comparable TIPS. ** Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong, Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: Commodity Research Bureau and JP Morgan. Page 8 / April 22, 218 / Market Briefing: Key Macro Correlations www.
2.5 Figure 13. Misc S&P ENERGY/TRANSPORATION & CRUDE OIL PRICE 15 2. Energy Index /Transportation Index Brent Crude Oil Futures Price* (dollars per barrel) 1.5 5 1..5 92 93 94 95 96 97 98 99 1 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 2 * Spot price through yearend 214, then nearby futures price. Source: Standard & Poor s and Financial Times. 85 Figure 14. EMERGING MARKETS MSCI STOCK PRICE INDEX & TRADE-WEIGHTED DOLLAR 95 15 115 125 13 Emerging Markets MSCI Stock Price Index (local currency) Broad Effective Exchange Rate* (inverted scale) 21 22 23 24 25 26 27 28 29 21 211 212 213 214 215 216 217 218 2 * Argentina, Australia, Brazil, Bulgaria, Canada, Chile, China, Colombia, Croatia, Czech Republic, Denmark, Ecuador, Egypt, France, Germany, Hong Kong, Ukraine, Uruguay, Venezuela, Vietnam, and United States. Source: JP Morgan and Morgan Stanley Capital International. Page 9 / April 22, 218 / Market Briefing: Key Macro Correlations www.
Misc Figure 15. EMERGING MARKETS MSCI STOCK PRICE INDEX (in local currencies) & INDUSTRIALS COMMODITY PRICE INDEX Emerging Markets MSCI Stock Price Index (local currencies) Spot Price Index* 2 2 95 96 97 98 99 1 2 3 4 5 6 7 8 9 1 11 12 13 14 15 16 17 18 19 2 * Includes copper scrap, lead scrap, steel scrap, tin, zinc, burlap, cotton, print cloth, wool tops, hides, rosin, rubber, and tallow. Source: Morgan Stanley Capital International and Commodity Research Bureau. Page 1 / April 22, 218 / Market Briefing: Key Macro Correlations www.
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