A cornered ECB

Posted on 23. Sep, 2013 by Jean Jacques Ohana in Weekly Focus

Since the successive announcements of the OMT by the ECB and the QE3 by the Federal Reserve, the trend of the EUR/USD (presented in figure 1) has permanently drifted higher despite the broad based strength of the dollar (see figure 3). By deciding not to taper its program of asset purchases, the Fed unwillingly trapped [...]

Can Italian rates still be pushed higher?

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

In the past weeks, it has become hard to envision a scenario that could cause peripheral rates to go up. However serious the political gridlock in Italy, however gloomy the growth prospects in Europe, however nervous the commodities and stock markets, the downside of Euro zone peripheral debts could never materialize.

We have observed [...]

Throw out the Eurozone crisis by the financial door, it will come back by the political window

Posted on 18. Mar, 2013 by Jean Jacques Ohana in Weekly Focus

Three years after the outbreak of the Eurozone crisis, we know now with certainty that this crisis is not whatsoever a sovereign debt crisis. OECD countries which issue debt in their own currency have no problem to fund their debts. UK, US, Japan, Switzerland, Sweden, Norway, Australia all have different solvency and external balance features. [...]

Another euro zone bailout: show me the money!

Posted on 06. Jul, 2012 by Jean Jacques Ohana in Weekly Focus

The European Summit on 28th and 29th June (the official statement can be read here) has permitted two political breakthroughs in the euro zone financial solidarity:

The design of a banking union. The European leaders plan to establish a single banking supervisory mechanism run the by the ECB, and, once this mechanism has been created, the [...]

The advent of “muddle-through” assets

Posted on 31. Jan, 2012 by Riskelia in Weekly Focus

The month of January is marked by a complete shift in themes across cyclical assets:

Sectors performance rotated from defensive sectors (Food & Beverage, Health Care) to cyclical and banking sectors (Banks, Insurance, Automobiles & Parts, Basic Resources)
Emerging equities have started to emerge as performance leaders
The most cyclical commodities (cyclical precious, base metals) have clearly outperformed [...]

How do you spell Quantitative Easing in German? « LTRO »

Posted on 17. Jan, 2012 by Riskelia in Weekly Focus

As the recent S&P’s downgrade puts back the sovereign debt issue on the front stage, the liquidity conditions have significantly improved as shown by three different indicators:

The Radar’s trend is flipping to the positive side on dollar and sterling short term interest rates futures. The reason is not that central banks will further decrease their [...]

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 [...]

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, [...]

Improvement in oil and US equities but new worries on euro sovereign debt

Posted on 19. Oct, 2011 by Riskelia in Weekly Focus

The latest rebound has been strong enough to modify the landscape of cyclical assets. In particular, the oil markets together with the US assets emerged as clear leaders, specifically the Nasdaq and other defensive sectors (Utilities and Consumer Staples). Meanwhile, the euro sovereign debt risk has deteriorated, specifically the French and Italian debts in the [...]