Watch out! The risk-off portfolio is waking up…

Posted on 28. May, 2012 by Steve Ohana in Weekly Focus


If you want a confirmation that we have entered into dangerous waters, simply take a look at Riskelia’s risk-off portfolio.

This portfolio is composed of all the most rewarding risk-off bets (long safe haven bonds, short carry trades/equities/commodities positions), i.e. those that display strong positive momentums without bubble. When the risk-off signals are off, this means [...]

A financial crisis without safe haven?

Posted on 25. May, 2012 by Riskelia in Weekly Focus

As showed by Riskelia’s heat map (figure 1), the contagion has spread to almost every link of the financial system. This worrying signal is confirmed by the inversion of the VIX curve which has preceded every major financial crisis since 2007 (figure 2). The performance of global equities indices in high risk aversion territory has [...]

The last bastions of resistance to the comeback of the crisis

Posted on 15. May, 2012 by Riskelia in Weekly Focus

From Greece to France, the last political events in the Eurozone have done nothing to alleviate the stress in the European banking system. The signals from our Heat Map are more and more worrying, with growing woes on European banks’ funding and progressive contamination of the US banks, sovereign and corporate debts. Nevertheless, the global [...]

The victory of bondholders over shareholders

Posted on 07. May, 2012 by Steve Ohana in Weekly Focus

The Friday price action, where the S&P lost more than 1.5% while the high-yield bonds progressed, is a good illustration of a long-term trend that settled in the past 10 years: the undisputed victory of bondholders over shareholders.

Compared to standard risk on assets, risky bonds (high-yield, investment grade bonds, inflation-linked securities, emerging bonds) have the [...]

A sunny spell in Asian assets

Posted on 03. May, 2012 by Riskelia in Weekly Focus

Riskelia’s trends have improved on Asian currencies and Chinese equities. As showed in figure 1, several Asian equity indices remained steady despite acute pressure on the funding of euro zone banks and renewed tensions on Spanish debt issues. The Korean KOSPI and the Singapore Strait Times are clear leaders on the upside. Even Chinese equities, [...]