Overlay strategies, intended to hedge portfolio exposed to risky assets (equities, high yield and emerging bonds), have attracted a lot of attention among institutional investors. Volatility strategies such as combinations of long put and short call positions are widely used for example.
The purpose of this note is to explore two types of systematic strategies based [...]
As Nobel Prize Robert Shiller puts it, many investors are worried about a looming crash in the bonds market, which would be provoked by sequential increases in the US short term rates by the Federal Reserve.
The analysis of the long term history of bonds markets enables to dismiss such scenario. The selected benchmark (US Barclays [...]
The dollar index has been rising more than 10% since the beginning of 2015 and 26% over the last twelve months. The year on year increase of the dollar index has never been so high since the beginning of the 1980’s. According to Riskelia’s Radar perspective, the bubble of the dollar reaches an extreme level [...]
March 10, 2015
Since the end of 2013 we have been an advocate for risk balanced strategies to capture what we call a state of “financial reflation”, a situation where equities, bonds and commodity-related assets may raise simultaneously. Since 2014, such strategy rose around 20% before fees with volatility below 10%.
The passive risk balanced strategy has [...]
Since 2010 onwards, the global trends of commodities producers’ equities (S&P Energy, S&P Materials, Stoxx 600 Europe Basic Resources, Stoxx 600 Europe Energy) and commodities futures have moved in synch.
As illustrated in figure 1, Riskelia’s trend is presently accelerating on commodities producers whereas the trend remains depressed on the GSCI commodities. The improvement in dynamics [...]
As the euro significantly depreciated vs. a basket of currencies (figure 1), performance of portfolios labeled in USD and EUR has been contrasting. For instance, as euro zone investors celebrate a year to date 10% performance of MSCI World in EUR, US investors have to content themselves with a 3.5% performance (figure 2) in dollar [...]
Oil tumbled more than 50% over the last six months. While some oil consumers could benefit from the price collapse, oil-producing companies and countries have been badly hit. The oil slump may trigger a cascade of defaults in US high yield debt and sovereign debts of emerging countries such as Russia, Venezuela and Brazil. This [...]
Following last week decision from the ECB to suspend eligibility of Greek sovereign debt as collateral for its liquidity operations, Tsipras made a defiant speech vowing to reverse Greek bailout measures.
In the game of chicken opposing the euro zone and Greece, both players are now heading against each other at full space. No one will [...]
Many investors have cheered the catch up of European equities as if it was a matter of fundamentals. For sure, the relative monetary biases (accommodative in Europe vs. restrictive in the US) stimulates liquidity in Europe to the detriment of US. As reflected in Riskelia’s Radar (figure 1), dynamics of equities are sharply improving in [...]
January 28, 2015
Riskelia’s bubble indicator characterizes bullish or bearish herding behavior on every asset quoted on a daily basis. It is exclusively based on market prices and scores the regularity of the price moves on various time frames.
A review of the most significant bubbles enables to us to identify the investment themes where the exaggeration [...]