Last week financial markets were driven by behavioral dynamics rather than fundamentals. As showed in figure 1, the most significant moves were the euro zone bonds tumble occurring simultaneously with the sharp rebound of the EUR currency vs. USD and JPY. Both markets were rated with giant bubbles of more than 90% on a scale [...]
The dollar rise since the beginning of the year (in particular vs. the euro) has had a major impact on assets performance in euro and dollar terms. For instance, Figure 1 shows that the performance of worldwide equities has mainly reflected the 10% rise of the dollar vs. the euro. As a matter of fact, [...]
The level of financial markets integration (interconnection between financial assets), estimated from the proportion of risk explained by a common risk factor, has stabilized to low levels since mid-2014 (figure 1).
Three distinct assets categories clearly stand out on the map of financial assets traded in Riskelia Fund (Figure 2):
Safe haven bonds (i.e. sovereign US, UK, [...]
April 9, 2015
Some investors and customers ask us why we have designed a long only tactical asset allocation model in Riskelia Fund.
The typical remark is: “If you can successfully hedge the portfolio against market downturn, why not simply short the market?” This statement seems obvious as a long/short investment process is often perceived as more [...]
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 [...]