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: [...]

Short Dollar vs. Long Bonds: which theme will prevail?

Posted on 14. juin, 2011 by Steve Ohana in Weekly Focus

Grouping Riskelia’s best recommendations by cluster of correlations help to clarify the most salient themes. As of today, two main themes emerge:

The short USD against European currencies and Asian currencies associated with a short yen positioning. This theme has been in action since August 2010 and has been rotating from AUD, CHF and emerging currencies [...]

Why will the yen depreciate?

Posted on 12. avr, 2011 by Christophe Lerolle in Weekly Focus

The yen is rated among the most bearish recommendation against a basket of G10 currencies and there are three main reasons why yen is likely to depreciate against the other currencies:

Risk Aversion has markedly evolved towards negative territory which bodes well for risk taking. In particular, figure 3 shows that filtering the short yen when [...]

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, [...]

Will commodities eventually rise following addictive monetary policy?

Posted on 02. sept, 2010 by Jean Jacques Ohana in Weekly Focus

The monetary policy in the US and in G10 countries has been complacent, driven by the purchase of Government Bonds and MBS Securities (Fed and BOE alike) or unlimited credit facilities to the banking system (ECB).

And with the Quantitative Easing unfolding, the Central Banks balance sheets are likely to rise in the US and in [...]

Inflation or deflation?

Posted on 05. avr, 2010 by Steve Ohana in Weekly Focus

We have already emphasized that the weak link of the financial system is the G10 solvency issue. Despite the continuous rise in financial assets which may last farther out, particularly in the commodity complex, the solvency problem is still present at the heart of the financial system as reflected by a snapshot of Riskelia’s Radar [...]