A financial crisis without safe haven?

Posted on 25. mai, 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. mai, 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 [...]

A sunny spell in Asian assets

Posted on 03. mai, 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, [...]

Finding the trends in the shadows: the muddle through attractor

Posted on 24. avr, 2012 by Riskelia in Weekly Focus

We have highlighted several times the noisy state of the financial system which prevents investors from discerning genuine investment themes from capricious moves derived from the « risk on / risk off » alternator.

As showed by figure 1, the average of Riskelia’s trend indicator over the last year enables to spot structural positive and negative investment trends. [...]

Is it time to bury the trends?

Posted on 12. avr, 2012 by Riskelia in Weekly Focus

The main take-away from the start of the year is that very few assets experienced a sustained trend. Only 33% among the 125 assets scanned by our Radar have been winning bets, a poor performance which characterizes a very rangy environment deprived of significant macro themes. However, the quarterly performance from the successful bets largely [...]

The Spanish decoupling story: new paradigm or new fairy tale?

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

Last week, we evoked the Chinese thorn in the bulls’ side. Today, we focus our attention to the second major dark spot in the financial landscape, namely the new bout of fever in Spain. One of the most puzzling evolutions of the recent weeks has been indeed the disconnection of Spain from other Eurozone core [...]

A Chinese metallic thorn in the bulls’ side

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

The successive central banks interventions have improved the overall liquidity in the financial system. The banks’ funding is ample in the US and close to normal in Europe. The fluidity of transactions is reflected in the implied volatilities of equities, oil and carry trades (figure 1). A positive liquidity environment (characterized by a negative risk [...]

Buoyant risky assets, reversing safe haven bonds, lackluster dollar

Posted on 22. mar, 2012 by Riskelia in Weekly Focus

Figure 1 reports the tops and flops of the Radar since the start of the year. The good bets correspond to the assets which have displayed the most robust trends, materializing in steady upward or downward moves. The main investment themes of the year 2012 have been so far:

Cyclical assets with a particular emphasis on [...]

The resurrection of the short yen

Posted on 24. fév, 2012 by Riskelia in Weekly Focus

As a result of central banks’ addictive monetary policies, moral hazard is at a peak and financial liquidity has become the main driver of financial markets. The latter is well-characterized by Riskelia’s indicator of risk aversion, which reflects the average dynamics of costs of risks across different asset classes (credit spreads, Ted spread, banks’ CDS, [...]

Liquidity is back… so is gold

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

Gold has come back to the forefront among the Radar recommendations. The correlation between gold and platinum has increased over time to a correlation approaching 0.8, but interestingly, gold is the commodity which is the least related to S&P 500, even if its correlation to the index has risen back in positive territory in the [...]

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