We’ve had great feedback on this new report. This shows that there is much demand for standardising performance across diverse markets.
Last week’s market moves are a case in point. Bitcoin surged seven percent, but that’s less than a one standard deviation move for crypto markets. Instead, the largest standardised moves were in copper prices, which had an over three standard deviation jump, the Japanese yen which had a 2.6 standard deviation decline and China 10y bond yields which experienced a two standard deviation rise (Charts 1 -3). Clearly, the market appears to be pricing a China growth resurgence theme.
The weakness in the Japanese yen is also notable as it had also experienced a more than one standard deviation decline the week before (Chart 2). Typically, markets do not experience successive large weekly moves in the same direction. USD/JPY, therefore, remains a key market to watch in the coming week.
Elsewhere, the Nikkei, Australian dollar, pound sterling, Euro Stoxx, Microsoft, DAX and Amazon all saw weekly increases of more than one standard-deviation.
Bilal Hafeez is the CEO and Editor of Macro Hive. He spent over twenty years doing research at big banks – JPMorgan, Deutsche Bank, and Nomura, where he had various “Global Head” roles and did FX, rates and cross-markets research.