Why Japanese markets are still worth the while

Posted on 16. Sep, 2013 by Jean Jacques Ohana in Weekly Focus

We had warned that a speculative bubble was building on the short yen and long Nikkei bets since March 2013. As showed in figure 1, the bubble has landed and is now back to more neutral level. Therefore, the threat of a brutal reversal is less acute as investors’ expectations are less consensual.

The short yen [...]

Low correlation and poor diversification: how is it possible?

Posted on 02. Sep, 2013 by Jean Jacques Ohana in Weekly Focus

As showed by Riskelia’s financial market integration (figure 1), the interdependence of financial markets has significantly receded. Therefore, the whole markets moves are less correlated and less driven by the so-called “risk on / risk off” factor (combining positive positions on risky assets and negative exposure on bonds). Riskelia’s financial market integration is very similar [...]

My name is “Bond”, guess my first name

Posted on 22. May, 2013 by Jean Jacques Ohana in Weekly Focus

Stories about the burst of bonds bubble have recently flourished as US interest rates have risen over the last weeks. We show in this study that bonds are not a homogeneous asset class. We have chosen to map corporate credit debt, sovereign and emerging bonds along two dimensions:

The first dimension characterizes the “risk on” or [...]

What’s next after the corporate credit bubble?

Posted on 19. Nov, 2012 by Jean Jacques Ohana in Weekly Focus

Investors passively investing in High Yield bonds have caught a return of 10% in the US and 18% in the euro zone. Similarly, emerging bonds have returned around 16% since the start of the year. The causes of this risky bonds’ mania are well-known: faced with negative real yields on the so-called safe haven [...]

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 [...]

Increased diversification and de-risking of the EURUSD parity

Posted on 12. Mar, 2012 by Steve Ohana in Weekly Focus

As reflected in figures 1 and 2, the global integration factor has subsided on several parts of the financial system. The global integration factor corresponds to the proportion of global asset prices variance explained by the first common risk factor. This decrease in integration translates better diversification prospects within the financial system. Besides, we can [...]

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, [...]

A journey into the gold constellation: how to play the gold theme and what does it mean today?

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

Although the gold was hit by a severe 8% correction from its peak, the weekly loss barely reached 1.3%, a mild scenario given the previous 25% run up over 7 consecutive weekly rises.
The bubble on gold is still above 70%, reflective of a herding positioning. The gold mania is exacerbated by its safe haven status [...]

The commodities financial cards stack

Posted on 10. May, 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 [...]