Bubbles on High Yield and Emerging debts on the verge of bursting

Posted on 04. Feb, 2013 by Jean Jacques Ohana in Weekly Focus

We raised an alert on growing mimetic buying behavior on high yield debts in November 2012. These insatiable flows towards risky debts were reflected in Riskelia’s bubble indicator above 60%. The bubble indicator scores the regularity of price moves over various time frames. When it is approaching 100% on specific assets, their prices dynamics are [...]

The bubbles created from the race to negative rates

Posted on 16. Jul, 2012 by Jean Jacques Ohana in Weekly Focus

As the ECB cut the main refinancing rate and the deposit rate by 25 basis points to 0.75 percent and zero respectively, the Denmark responded and cut its key interest rate by 25 basis points to a negative 0.20 percent. France issued a short term bill at 0%,

Last week, 6 European countries’ two years maturity [...]

Is gold turning back into a safe haven?

Posted on 05. Jun, 2012 by Riskelia in Weekly Focus

Last Friday’s price action may mark an important shift in the behavior of gold: while the S&P tumbled 2.5%, the yellow metal soared 3.7%, in a way reminiscent of the Aug 2011 behavior.

From figures 1 to 4, we deduce that there are two distinct modes in the relation of gold to equities:

Full-fledged liquidity crisis: gold [...]

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 [...]

Is dollar more precious than gold?

Posted on 20. Dec, 2011 by Riskelia in Weekly Focus

For the first time since the August 2008 deleveraging, the gold trend has gone below 10%. The recommendation is still in positive territory but it is about to go negative as showed in figure 1. Even more worrying, we come from a situation where the bubble was nearing 80%, reflecting extreme herding behavior and high [...]

A visit to h(e)aven

Posted on 06. Sep, 2011 by Riskelia in Weekly Focus

After cyclical assets last week, we turn today our attention to the haven society.

Havens are defined as assets positively or mildly impacted by sharp equity sell-offs. They are characterized by a positive or mildly negative liquidity beta (we define the liquidity beta as the mean asset return conditional on a 10%-probability equities drop; it is [...]

Short Dollar vs. Long Bonds: which theme will prevail?

Posted on 14. Jun, 2011 by Steve Ohana in Weekly Focus

Grouping Riskelia’s best recommendations by cluster of correlations help to clarify the most salient themes. As of today, two main themes emerge:

The short USD against European currencies and Asian currencies associated with a short yen positioning. This theme has been in action since August 2010 and has been rotating from AUD, CHF and emerging currencies [...]

What could stop the dollar demise?

Posted on 03. May, 2011 by Jean Jacques Ohana in Weekly Focus

For several months, the dollar has been falling against every other currency (see Table 1). The move has started in the summer 2010 when the Fed announced the second round of Quantitative Easing (QE II). The rise in cyclical assets which has been observed since then is mainly a monetary phenomenon: global growth has been [...]

Will commodities rise defy European solvency issues?

Posted on 29. Dec, 2010 by Jean Jacques Ohana in Weekly Focus

As presented in the following charts, the average 1 year curve on a diversified basket of 17 commodities has dropped to record levels. This curve evolution to backwardation reflects depletion in global commodities inventories and supply tensions among various materials. Cotton and Sugar show the most significant 1 year backwardation to 40% and 30% respectively, [...]

G10 solvency issues to come back on the front stage

Posted on 31. Aug, 2010 by Jean Jacques Ohana in Weekly Focus

Dear all,
We are happy to publish Riskelia’s Radar as of today :
Riskelia Reporting – 30 August 2010
This market intelligence tool is refreshed on a weekly basis and can be subscribed from Riskelia. The report brings to light anticipative trends and bubbles indicators as well as risk aversion on every asset class. We hope you [...]