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 [...]

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: [...]

Not yet the time for re-risking

Posted on 15. Nov, 2011 by Riskelia in Weekly Focus

For sure, the trends of some cyclical assets have notably improved over the recent weeks. This improvement is noticeable at the US sectors levels (Nasdaq 100, Utilities, Consumer Staples and Health Care) in Figure 1 and in the oil complex (Brent, products and even WTI) in Figure 2. The dynamics of the oil curves [...]

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 [...]

Three reasons to worry about the short-term financial outlook

Posted on 05. Aug, 2011 by Jean Jacques Ohana in Weekly Focus

The financial system faces the threat of an imminent breakdown. As usual, the PIIGS’ sovereign debt and the euro zone banks are at the heart of the storm. The recent statement of the German Finance Minister rejecting a “carte blanche for the widespread purchases of sovereign bonds by the EFSF on the secondary market” [...]

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

Posted on 19. Apr, 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. [...]

Drawing the first lessons of the Japanese tragedy

Posted on 22. Mar, 2011 by Jean Jacques Ohana in Weekly Focus

A succession of Black Swans hit Japan last week: a major quake, a tsunami and a nuclear meltdown. The chain of events has the characteristics of Nassim Taleb’s tail events insofar as it is completely exogenous, sudden and unpredictable while being a major event. The Japan TPX fell 10% and was selected in Riskelia’s model [...]

Euro-zone sovereign solvency risk and systemic contagion

Posted on 13. Dec, 2010 by Jean Jacques Ohana in Weekly Focus

From the latest 5 Yrs CDS quotes of various euro zone countries, we can infer the implied cumulative probability of default.

The one year probability of default p may be deduced from the following approximate relationship:

where s represents the CDS price and R represents the recovery (presumably around 35%/40% for OECD countries). This relationship is obtained [...]

Visualize contagions within the financial system

Posted on 05. Oct, 2010 by Jean Jacques Ohana in Weekly Focus

Riskelia has designed an innovative visualization tool representing the diffusion of vulnerabilities within the financial system using the cost of risk as a key indicator:

Banks’ cost of debt is followed through the banks’ CDS, split by regions (Euro, UK, US)
Cash liquidity representing the spread between interbank rates and government short term rates
Equities risk aversion is [...]

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 [...]