2013 vs. 2006 or 2008: an air of déjà vu?

Posted on 24. Jun, 2013 by Jean Jacques Ohana in Weekly Focus

While the bonds’ selloff polarizes investors’ attention, some major forces point to a deflationary outlook in other asset classes:

As showed in figure 1, the US 5 year breakeven inflation rate dived to 1.67%, well below the Fed’s objective of 2%. As Bernanke eventually clarified the Fed’s monetary policy, there is nothing to expect from the [...]

Bonds deleveraging and spring clean up

Posted on 03. Jun, 2013 by Jean Jacques Ohana in Weekly Focus

We have downplayed the bonds’ deleveraging stating that the objective of Central Banks, and the Federal Reserve in particular, was to maintain negative real interest rates. Meanwhile, the interest rates have sharply risen in the US.

The rise in interest rates is for sure not related to doubts about US solvency (as the US CDS drifted [...]

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 [...]

The last bastions of resistance to the comeback of the crisis

Posted on 15. May, 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 [...]

Are emerging markets re-emerging?

Posted on 09. Feb, 2012 by Riskelia in Weekly Focus

As global liquidity has consistently improved since the start of the year 2012, the emerging markets recovery is overwhelming. As showed in figure 1, the leader is emerging bonds which exhibited a positive trend during the whole 2011 financial crisis. This leader has been caught up by emerging equities and more recently by emerging currencies.

As [...]

2011, a year without trends? Not so sure…

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

Record of 2011’s successful and aborted trends

As showed in figure 1, the 19% return of our “best-of” portfolio in 2011 has been made mostly in the three months of July, August and September, with more than half of the performance generated in the sole month of August. This asymmetric behavior is characteristic of trend-following strategies: [...]

The bullish dollar theme is still present

Posted on 09. Nov, 2011 by Riskelia in Weekly Focus

During the last weeks, the dollar seesawed between sharp positive phases reflective of defiance towards risky assets and sharp negative phases associated to a more optimist stance over the resolution of the financial crisis. Yet, the nervous switch between risk/risk off mode has not altered the long term dollar positive trend as showed in figures [...]

The dollar turns bullish: prepare for a wild move

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

Riskelia’s indicators have swiftly turned bullish on the dollar. The most striking negative trends are those of the TRY (the oldest one), the Eastern Europe currencies (the youngest one) and some key currencies linked to global growth (MXN, RUB, ZAR).

The summer financial crisis had spared the currencies so far but the recommendations on the dollar [...]

Revisiting the anti-euro crisis portfolio

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

Despite the agreement reached on a “voluntary participation” of private creditors to the Greek debt refinancing, the solvency risk stays intact. Absent a comprehensive debt restructuring, the euro zone debt problem will not find a definitive resolution.
In this context, instability in the euro zone has resurfaced. The wave has started from OECD Sovereign debt and [...]

The dollar demise and the equities drop: how long can it last?

Posted on 07. Jun, 2011 by Jean Jacques Ohana in Weekly Focus

During the last days, we have seen the emergence of a surprising pattern combining equities sell off and fall of the dollar against the euro, the Swiss franc and most emerging currencies.

Figure 1 shows the risky assets and the USD network of correlations. It shows indeed that many currencies (against dollar) have evolved independently of [...]