Has the Dollar Turned into a « Risk-On » Currency?

Posted on 10. Oct, 2017 by Jean Jacques Ohana in Weekly Focus | 0 comments

October 9, 2017

The dollar is usually perceived as a safe-haven currency for several reasons. Over the last 10 years, the greenback was indeed bought when equities fell the most. This behavior has been all the more pronounced as the Eurozone gradually turned into the epicenter of financial turmoil since 2010. Let’s not forget that the [...]

The ‘Sintra Deleveraging’

Posted on 18. Jul, 2017 by Jean Jacques Ohana in Weekly Focus | Comments Off

July 18, 2017, Jean-Jacques Ohana, CFA and Dr. Christian Witt (both YCAP Asset Management)
Global sovereign yields suddenly spiked on June 26, 2017, when rumors spread that central bankers from around the world were discussing monetary tightening during a conference held in Sintra, a small Portuguese town. Since then, US and German sovereign yields jumped by [...]

Turbulence Distance vs. Risk Aversion: And the Winner is…

Posted on 20. Jun, 2017 by Jean Jacques Ohana in Weekly Focus | Comments Off

June 20, 2017

In 2010, a paper published by the Financial Analysts Journal proposed a measure of financial turbulence based on the Mahalanobis Distance. The latter measures the daily surprise move of all financial assets compared to historical volatilities and correlations.
The Mahalanobis Distance is expressed as followed:

R is the vector of daily returns for each asset, [...]

Do Investors Overestimate the Benefits of Diversification?

Posted on 14. Jun, 2017 by Jean Jacques Ohana in Weekly Focus | Comments Off

June 14, 2017, Jean-Jacques Ohana, CFA and Dr. Christian Witt (both YCAP Asset Management)

We have witnessed a strong divergence among US sectors over the last 10 years. The S&P 500 Technology sector has almost doubled whereas the S&P 500 Energy has stalled over the same period (see Figure 1). This divergence reveals the impressive winning [...]

The China Anomaly

Posted on 02. Jun, 2017 by Jean Jacques Ohana in Weekly Focus | Comments Off

June 2, 2017, Jean-Jacques Ohana and Dr. Christian Witt (both YCAP Asset Management)

Over the last month, a very rare performance anomaly has developed on the Chinese equity market. The 50 largest (A-share) stocks included in the Shanghai SE Composite Index (SSE), China’s primary stock exchange, have considerably outperformed the broader benchmark index (see Figure 1). [...]

Are Developed Markets a Concentrated Bet on US Tech Stocks?

Posted on 24. May, 2017 by Jean Jacques Ohana in Weekly Focus | Comments Off

May 24, 2017, Jean-Jacques Ohana and Dr. Christian Witt (both YCAP Asset Management)

Developed markets, not their emerging peers, have been the primary source of equity returns over the last five years (see Figure 1). The MSCI World, a proxy for the performance of global developed equity markets, accumulated nearly +80% of performance, easily surpassing the [...]

Emerging Markets Worth a Look!

Posted on 12. May, 2017 by Jean Jacques Ohana in Weekly Focus | Comments Off

May 12, 2017, Jean-Jacques Ohana and Dr. Christian Witt (both YCAP Asset Management)

Over the last year, emerging market equities have outperformed stocks in the developed world by a wide margin (see Figure 1). Developed market equities outside the US, many of which mired in political risks, have done particularly bad. With such political risks now [...]

Mind the Economic Fundamentals

Posted on 04. May, 2017 by Jean Jacques Ohana in Weekly Focus | Comments Off

May 4, 2017, Jean-Jacques Ohana and Dr. Christian Witt (both YCAP Asset Management)

The “Trump trade” may still be the investment theme of the hour (in developed markets). But current economic fundamentals suggest this is likely to change soon. For one thing, European economies continue their increasingly vigorous recovery, while the US economy seems to slow [...]

Election Disaster Averted. What’s Next?

Posted on 27. Apr, 2017 by Jean Jacques Ohana in Weekly Focus | Comments Off

April 27, 2017, Jean-Jacques Ohana and Dr. Christian Witt (both YCAP Asset Management)

Emmanuel Macron and Marine Le Pen qualified for the second round of presidential elections in France over the weekend and will face each other in a run-off on May 7, 2017. Markets have welcomed the outcome with an impressive rally across European equities, [...]

The Long Shadow of French Elections

Posted on 13. Apr, 2017 by Jean Jacques Ohana in Weekly Focus | Comments Off

April 13, 2017, Jean-Jacques Ohana and Dr. Christian Witt (both YCAP Asset Management)

Over the last couple of weeks, markets have been clueless. Some ups, some downs. But nothing dramatic; not even a correction that is worth the name. In our view, this is due to formidable tail risks––most notably an accidental, disorderly breakup of the [...]