The advent of “muddle-through” assets

Posted on 31. Jan, 2012 by Riskelia in Weekly Focus

The month of January is marked by a complete shift in themes across cyclical assets:

Sectors performance rotated from defensive sectors (Food & Beverage, Health Care) to cyclical and banking sectors (Banks, Insurance, Automobiles & Parts, Basic Resources)
Emerging equities have started to emerge as performance leaders
The most cyclical commodities (cyclical precious, base metals) have clearly outperformed [...]

Are safe havens still safe?

Posted on 27. Jan, 2012 by Riskelia in Weekly Focus

The risky assets revival may be good news for markets as a whole… certainly not for safe haven sovereign bonds…
In figure 1, we have represented a bond total return index since 2000 (composed of Gilt, T Notes of different maturities, Bund, Bobl, Schatz) together with the average bond bubble on the same basket of sovereign [...]

How do you spell Quantitative Easing in German? « LTRO »

Posted on 17. Jan, 2012 by Riskelia in Weekly Focus

As the recent S&P’s downgrade puts back the sovereign debt issue on the front stage, the liquidity conditions have significantly improved as shown by three different indicators:

The Radar’s trend is flipping to the positive side on dollar and sterling short term interest rates futures. The reason is not that central banks will further decrease their [...]

Divergent cyclical assets… until when?

Posted on 11. Jan, 2012 by Riskelia in Weekly Focus

We have been observing since December 2011 a set of important disconnections among cyclical assets:

The cost of risk in equities markets shows signs of easing while the strain on banks’ funding remains unchanged (Figure 1)
Emerging and European currencies are in negative spirals against the US dollar while oil products display strongly positive trends (Figure 2)
Some [...]

2011, a year without trends? Not so sure…

Posted on 04. Jan, 2012 by Riskelia in Weekly Focus

Record of 2011’s successful and aborted trends

As showed in figure 1, the 19% return of our “best-of” portfolio in 2011 has been made mostly in the three months of July, August and September, with more than half of the performance generated in the sole month of August. This asymmetric behavior is characteristic of trend-following strategies: [...]