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Catégorie : Weekly Monitor

Weekly Monitor
10 avril 2019

Un risque de marché qui décroit dans un environnement qui se détériore…

Weekly Monitor
17 avril 2018

La détérioration des conditions de liquidité dans un contexte de resserrement monétaire des banques centrales nous conduit à adopter un positionnement défensif, d’autant que la complaisance des investisseurs a porté les actions mondiales à des niveaux de valorisation élevée. 1 La liquidité financière se resserre après des mois de complaisance 2 Les actifs risqués ont […]

Weekly Monitor
21 décembre 2017

By Jean-Jacques Ohana, CFA and Dr. Christian Witt, 18th December 2017. The dependency of an equity portfolio to sovereign bonds is an important issue for investors in several ways. One is to use the bond sensitivity of equities to explain excess return coming from bond duration. Another one is to play the direction of interest […]

Weekly Monitor
25 octobre 2017

By Jean-Jacques Ohana, CFA and Dr. Christian Witt. October 25, 2017 On April 21, 2015, legendary bond investor Bill Gross announced via Twitter that German 10-year Bunds constituted « The short of a lifetime. (…) Only question is Timing / ECB QE. » And his timing could have been barely better. Over the next two months, German […]

Weekly Monitor
18 octobre 2017

October 18, 2017, Jean-Jacques Ohana, CFA and Dr. Christian Witt (both YCAP Asset Management) Stock market volatility typically jumps during US economic recessions (see Figure 1). Recessions in turn tend to occur when the labor market is weak (see Figure 2). Accordingly, the current investment outlook looks rosy when focusing on headline labor market data. […]

Weekly Monitor
10 octobre 2017

October 9, 2017 The dollar is usually perceived as a safe-haven currency for several reasons. Over the last 10 years, the greenback was indeed bought when equities fell the most. This behavior has been all the more pronounced as the Eurozone gradually turned into the epicenter of financial turmoil since 2010. Let’s not forget that […]

Weekly Monitor
18 juillet 2017

July 18, 2017, Jean-Jacques Ohana, CFA and Dr. Christian Witt (both YCAP Asset Management) Global sovereign yields suddenly spiked on June 26, 2017, when rumors spread that central bankers from around the world were discussing monetary tightening during a conference held in Sintra, a small Portuguese town. Since then, US and German sovereign yields jumped […]

Weekly Monitor
20 juin 2017

June 20, 2017 In 2010, a paper published by the Financial Analysts Journal proposed a measure of financial turbulence based on the Mahalanobis Distance. The latter measures the daily surprise move of all financial assets compared to historical volatilities and correlations. The Mahalanobis Distance is expressed as followed: R is the vector of daily returns […]

Weekly Monitor
14 juin 2017

June 14, 2017, Jean-Jacques Ohana, CFA and Dr. Christian Witt (both YCAP Asset Management) We have witnessed a strong divergence among US sectors over the last 10 years. The S&P 500 Technology sector has almost doubled whereas the S&P 500 Energy has stalled over the same period (see Figure 1). This divergence reveals the impressive […]

Weekly Monitor
2 juin 2017

June 2, 2017, Jean-Jacques Ohana and Dr. Christian Witt (both YCAP Asset Management) Over the last month, a very rare performance anomaly has developed on the Chinese equity market. The 50 largest (A-share) stocks included in the Shanghai SE Composite Index (SSE), China’s primary stock exchange, have considerably outperformed the broader benchmark index (see Figure […]

Weekly Monitor
24 mai 2017

May 24, 2017, Jean-Jacques Ohana and Dr. Christian Witt (both YCAP Asset Management) Developed markets, not their emerging peers, have been the primary source of equity returns over the last five years (see Figure 1). The MSCI World, a proxy for the performance of global developed equity markets, accumulated nearly +80% of performance, easily surpassing […]

Weekly Monitor
12 mai 2017

May 12, 2017, Jean-Jacques Ohana and Dr. Christian Witt (both YCAP Asset Management) Over the last year, emerging market equities have outperformed stocks in the developed world by a wide margin (see Figure 1). Developed market equities outside the US, many of which mired in political risks, have done particularly bad. With such political risks […]

Weekly Monitor
4 mai 2017

May 4, 2017, Jean-Jacques Ohana and Dr. Christian Witt (both YCAP Asset Management) The « Trump trade » may still be the investment theme of the hour (in developed markets). But current economic fundamentals suggest this is likely to change soon. For one thing, European economies continue their increasingly vigorous recovery, while the US economy seems to […]

Weekly Monitor
27 avril 2017

April 27, 2017, Jean-Jacques Ohana and Dr. Christian Witt (both YCAP Asset Management) Emmanuel Macron and Marine Le Pen qualified for the second round of presidential elections in France over the weekend and will face each other in a run-off on May 7, 2017. Markets have welcomed the outcome with an impressive rally across European […]

Weekly Monitor
13 avril 2017

April 13, 2017, Jean-Jacques Ohana and Dr. Christian Witt (both YCAP Asset Management) Over the last couple of weeks, markets have been clueless. Some ups, some downs. But nothing dramatic; not even a correction that is worth the name. In our view, this is due to formidable tail risks––most notably an accidental, disorderly breakup of […]

Weekly Monitor
30 mars 2017

March 30, 2017, Jean-Jacques Ohana, CFA and Dr. Christian Witt (both YCAP Asset Management) A series of recently published articles made us reconsider the chances of Marine Le Pen winning the upcoming French presidential election. In these articles, the author convincingly argues that (1) election outcomes are tremendously sensitive to voter turnout, and (2) deeply […]

Weekly Monitor
23 mars 2017

March 23, 2017, Jean-Jacques Ohana, CFA and Dr. Christian Witt (both YCAP Asset Management) Against all odds––most notably fears of protectionism––emerging currencies (against the USD) were among the biggest winners at the start of 2017 (see Figure 1). What a change of fortune! No other currency illustrates this trend reversal better than the Mexican Peso […]

Weekly Monitor
13 mars 2017

March 13, 2017, Dr. Christian Witt (YCAP Asset Management) Some months ago, markets seemed convinced the USD would continue to appreciate against the EUR. The dollar’s parity with the common currency appeared to be just a moment away. Against all such speculations, the EUR held steady above a key technical resistance level (see Figure 1) […]

Weekly Monitor
22 février 2017

February 22, 2017, by Jean-Jacques Ohana, CFA and Dr. Christian Witt (YCAP Asset Management) Gold is frequently mentioned as the number one asset for hedging political risks. Given the highly elevated global political risks today––by one measure the highest in two decades (see Figure 1)––it seems about time to revisit this hypothesis taking into account […]

Weekly Monitor
16 février 2017

February 16, 2017, by Dr. Christian Witt (YCAP Asset Management) The world seems to be flooded with political uncertainty. From Brexit worries to Trump (Goldman’s worries, Weird Conduct, Reichstag Moment), the rise of populism in Europe (Bershidsky, Walesa) or the upcoming Chinese Communist Party’s National Congress. Yet, financial markets do not seem to bother. How […]

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[INTERVIEW] Jean-Jacques Ohana | 09.02.2021

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