Riskelia's blog

Is defensive investment the best attack?

Posted on 13. déc, 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. sept, 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. sept, 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, [...]

After the fall of equities, corporate credit and base metals, will carry trades ever sink?

Posted on 17. août, 2011 by Steve Ohana in Weekly Focus

Last week, we reviewed the survivors of a deadly week for risky assets: carry trades, emerging bonds, corporate credit, with a bunch of equities and commodities were the last to stay afloat after the worst week the markets had experienced since 2009. Today, we inspect last week’s survivors, reaching the following conclusions:

Some emblematic equities have [...]

The renewed increase in financial integration: what to do?

Posted on 17. mai, 2011 by Jean Jacques Ohana in Weekly Focus

The last two weeks have shown an increase in the financial integration (or global correlation) among cyclical assets (namely equities, corporate credit, commodities currencies, emerging currencies, energy and base metals).
Technically, the financial integration is the explanatory power of the first factor in the Principal Component Analysis of the global variance. This increase reveals a rise [...]

The commodities financial cards stack

Posted on 10. mai, 2011 by Jean Jacques Ohana in Weekly Focus

We have witnessed this week unprecedented moves on the commodities complex: the silver has endured its worst weekly tumble ever, i.e. -28% and the crude oil collapsed 15% in the context of broad base dollar rally.
While various reasons have been advanced to explain this move, as the increase in the silver margin call or the [...]

Some dark clouds are looming…but the shorts may have a hard time

Posted on 19. avr, 2011 by Jean Jacques Ohana in Weekly Focus

Significant downsides on equities, commodities and carry trades have been observed since the beginning of the last week, challenging the Radar’s main themes.
As for now, our indicators still point to an environment favorable to risk taking, at least in the short term:

The risk aversion stays very low and reflects a positive environment for cyclical assets. [...]

What is behind the fall in cross assets correlation?

Posted on 30. mar, 2011 by Jean Jacques Ohana in Weekly Focus

The correlation among risky asset classes has sharply dropped as showed in figures 1 to 3, the average correlation has collapsed from 0.55 to 0.3 in a path reminiscent of the first semester of 2008, where commodities experienced a sharp bull run while equities pursued a negative trend.

The network density has notably receded and, as [...]

Are commodities behind the emerging markets retreat?

Posted on 22. fév, 2011 by Steve Ohana in Weekly Focus

The outflows from emerging funds have reached record levels over the recent weeks. Many analysts relate this evolution to the recent commodities boom.
Indeed, the part of the budget devoted to food is much more important in emerging countries than in the West while emerging economies are much more energy intensive than the developed ones. Hence, [...]