The fallout of the Russian crisis: both bonds and commodities are supported

Posted on 28. Apr, 2014 by Jean Jacques Ohana in Weekly Focus

As anticipated in our first take of the Ukrainian conflict in early March 2014, the crisis will not be resolved quickly and has primarily hit Russia. The imperialist design of Russia became apparent after the quick annexation of Crimea and Putin’s evocation of Novorossiya (literally “New Russia”).

Putin told the audience during a four-hour long televised [...]

Time to load up on haven assets

Posted on 14. Apr, 2014 by Jean Jacques Ohana in Weekly Focus

We have documented here and here the progressive decoupling of risky assets, as well as the breakup of the traditional negative correlation between equities and safe haven bonds. These two phenomena marked the end of the so-called “risk on/risk off” paradigm which characterized the post-2008 world until Draghi’s “whatever it takes” speech in 2012.

What we [...]

The revival of emerging markets: a W or a just the pursuit of the L?

Posted on 08. Apr, 2014 by Jean Jacques Ohana in Weekly Focus

Emerging markets have been engulfed in a vicious spiral since the Fed’s tapering last year (Figures 1 and 2). The rise of US rates has triggered important outflows from deficit countries, resulting in depreciation of their currencies and debt/equity assets.

A first tentative bounce had occurred in the fall of 2013, but, unfortunately, it has been [...]

How to clone commodity indices for the better

Posted on 01. Apr, 2014 by Jean Jacques Ohana in Weekly Focus

Commodities’ performance has been lackluster since 2006 (Figure 1). On table 1, we note that, even though the spot performance was very good, it was eaten up by the negative roll return. This is due to the steep contango of commodities’ forward curves from 2006 to 2012.

However, Figure 2 shows a revival of the commodities’ [...]