Review of the troops after the liquidation

Posted on 01. Jul, 2013 by Jean Jacques Ohana in Weekly Focus

The global selloff which hit all asset classes at the same time made significant damage in term of financial stability.

As stated by Riskelia since March 2013, many assets were in bubble territory, in particular risky debts and equities. As showed in figure 1, equities’ exuberance is presently over.

Liquidity has clearly tightened in key systemic links [...]

Deleveraging dead-end

Posted on 17. Jun, 2013 by Jean Jacques Ohana in Weekly Focus

The best way to describe the ongoing market meltdown is through the lens of the performance of a typical risk-parity strategy. The latter consists in designing a dynamic portfolio which allocates the risk evenly across different types of asset classes for example equities, commodities and the so called fixed income futures (US, UK, Germany). Within [...]

Deflation by a coordinated fiscal retrenchment

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

Italian massively voted against the current Eurozone doctrine as Beppe Grillo and Berlusconi who both supported anti-austerity programs gathered more than 55% electors. As usual, Italian voters have been despised by the Eurozone technocrats and the German policy makers, in accordance with the typical denial which prevails in Eurozone policy. For instance, Mr. Steinbrück, the [...]

A hierarchy of speculative bubbles in risky assets

Posted on 28. Jan, 2013 by Jean Jacques Ohana in Weekly Focus

We can define risky assets as the ones which are positively related to equities. In this respect, the correlation table over the last 5 years shows that, besides equities, the short dollar and short yen sides are clearly in the risky assets side, together with commodities, the Hedge Funds HFRX, emerging debts and high yield [...]

Commodities are (again) the eye of the storm

Posted on 13. Jun, 2012 by Riskelia in Weekly Focus

Will the Spanish banks’ rescue package resolve the current market woes? This is not sure, as the Eurozone crisis is not any more the unique focus of investors’ attention and market indicators increasingly point to a gloomy outlook in the US and in emerging countries.

Riskelia has developed a synthetic indicator based on commodities’ forward curves [...]

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

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

05/28/2012

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 [...]

Is defensive investment the best attack?

Posted on 13. Dec, 2011 by Riskelia in Weekly Focus

As most investors focus on high profile and volatile assets such as geographical benchmark equities, commodities and high yield, all our indicators point towards defensive investments:

Inflation bonds
Emerging bonds
Gold
Defensive equities (low beta) such as consumer staples and health care sectors

Among the Radar’s 30 top positive bets, six belong to a ‘defensive category’, which can be defined [...]

The French debt under attack

Posted on 25. Oct, 2011 by Riskelia in Weekly Focus

In the last weeks, we have witnessed a significant deterioration in the French debt status as a safe haven as showed in figure 1. The spread of the French 5 years yield over Germany have widened much more quickly than the Italian one. The spread widening is occurring in a context of global rising yields, [...]

What does the emerging currencies meltdown foretell?

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

For sure, the event of the week has been another form of quantitative easing: the agreement reached by the developed countries core central banks (Fed, ECB, BOE, BOJ, SNB) to provide unlimited dollar funding to European bank.
Meanwhile, cyclical markets have responded in contrasting ways. As equities rose, credit markets were less enthusiastic and emerging currencies [...]

Cyclical assets signals: are we heading to recession?

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

Financial markets can provide good signals on the global economic outlook. Indeed, in a financial 1crisis such as the one we went through in August, some assets may reflect banks funding contraction and a credit crunch earlier than economic indicators. As Georges Soros put it, financial markets and the real sphere have a reflexive interaction, [...]