Riskelia’s “Risk Off” portfolio builds an allocation based on the Radar’s recommendations negatively correlated to global equities. As a matter of fact the correlation between the “Risk Off’ portfolio and global equities stands around -70% (figure 1). In addition to this negative correlation to equities, the “Risk Off” portfolio ensures positive returns in the long [...]
The financial turmoil of August results from a long lasting deteriorating outlook of commodities and emerging countries.
Riskelia’s heat map (figure 1) shows that the crisis epicenter has developed around commodities since September 2014. Commodities have dropped 16% YTD after a fall of 17% in 2014. The fall spared no commodity and amounts to 50% on [...]
As commodities slump is deepening (figure 1), the simultaneous drop of US breakeven inflation rates and surge of US 10 years real rates (figure 2) resulted in significant inflation-linked bonds underperformance.
US Investment Grade and US inflation linked bonds have significantly underperformed US treasuries onwards, highlighting defiance towards risky bonds and a quest for safety among [...]
Financial reflation translates the simultaneous rise of all financial assets held by investors. A portfolio consisting in 70% sovereign bonds and 30% equities is close to the market portfolio held by financial investors.
We can build for each country a diversified portfolio consisting of 30% of domestic future equities index and 70% of domestic sovereign bond [...]
After the currency peg was suddenly given up by the Swiss National Bank, the Swiss Franc became by far the most overvalued currency among G10 currency as illustrated by the deviation from Purchasing Power Parity valuation presented in figure 1.Over the last 25 years, the Swiss Franc has presently a record positive deviation of more [...]
July 28, 2015
The purpose of this study is to run smart beta portfolios on European Stoxx 600 Sectors (EUR) and compare them to a market weighted stocks index (Stoxx 600 Europe).
All sectors are dividend-reinvested. We consider the following smart beta portfolios:
Minimum Variance (using shrinkage methods on the covariance matrix to improve conditioning, limit portfolio concentration [...]
After a sustained rally of equities and bonds since mid-2013, a simultaneous drop of assets representing all macroeconomic themes, i.e. inflation (commodities), disinflation (bonds) and growth (equities) has unfolded.
As represented in figure 1, Riskelia’s long only strategy on a universe of equities, commodities and sovereign bonds is experiencing a drawdown similar to the ones of [...]
As Greek PM Alexis Tsipras decided to submit the last proposal of its creditors to a referendum next Sunday 5th July, the Eurogroup has responded by stopping the aid program as of 30th June. As a result, Greece will be in arrears regarding the payment of its debt to the IMF but it will not [...]
It is often thought that an agreement over a Greek bailout would bolster the euro, thanks to an increased confidence in the stability of the euro zone. Conversely, a default of Greece or an accidental Grexit is expected to cause a decline in the euro.
The euro has nevertheless become one of the main funding currencies [...]
Time is running out for Greece and its creditors (IMF, euro zone countries) to find an agreement, at least one which could enable euro zone creditors to pursue the strategy carried out since 2010: “extend and pretend”. Extending the problem, by lending new money to Greece just to enable the country to pay back its [...]