7/28/2019 Macro Risk Radar 20130424

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Interest-rates dropped, equities are doped

Liquidity remains supportive and financial diversification offers promising signal for allocation. Theglobal score of equities is positive while commodities and cyclical currencies recede. Negative spiralsare currently affecting all commodities sectors. The dynamic of safe haven bonds is still positive

reflecting increased deflationary pressure on the global economy.

Risk Aversion

For a given asset class, the risk aversion indicatorrates the reward market participants require forrisk taking. The scores are expressed in numbersof standard deviations to a set of movingaverages (from 3 months to 2 years). They areaveraged into a Global Risk Indicatorrepresenting the global level of risk aversion inthe market. 

Global Assets

The Trend Indicator represents the netproportion of trending systems going longor short. 50 trend following systems with ahorizon of 3 to 24 months watch everyasset.

The Bubble Indicator reflects bullish orbearish herding behavior. It is only basedon market prices and scores the regularityof the price moves on various time frames.The Equity Tail Dependence Indicatormeasures the sensitivity of an asset classto a major equity deleveraging.

Level of financial markets integration

This indicator corresponds to theproportion of the global asset pricevariations (i.e. the equities, corporatecredit, currencies, bonds, interest ratesfutures, and commodities’ pricevariations) which can be explained by acommon risk factor, viewed as theaverage dynamics of risky assets againstbonds.

-0.7

3 2 1 0 -0.5 -1

Very high risk aversion Risk seeking behaviour

- 12W - 4W - 1W Today Tre nd Bubble Eqty Tail De pe nde nce

Equities America 71% 42% 34% 37% 24% 24% -0.7

Equities Europe 51% 35% 41% 48% 55% 39% -0.9

Equities Asia 65% 48% 35% 32% 26% 23% -0.8

Hedge Funds 35%↑ Hedge funds HFR 62% 25% 31% 35% 78% 53% -0.7

FX G10 vs USD 56% 17% 22% 14% 1% 17% -0.6

FX G10 vs Yen 50% 15% 13% 9% 80% 68% -1.0

FX Emerging vs USD 41% 23% 27% 25% 7% 18% -0.4

Commodities Oil 59% 41% -2% -7% -25% 13% -0.7

Commodities Base Metals 59% -3% - 38% -42% -59% 23% -0.8

Commodities Precious Metals 61% 13% -19% -16% -44% 25% -0.7

Commodities Grains 14% 20% -10% -10% -33% 13% -0.3

iBoxx USD Investment Grade 0% 12% 20% 21% 63% 55% 1.2

iBoxx USD High Yield 0% 0% 0% 0% 77% 72% -0.2

iBoxx EUR High Yield 0% 0% 0% 0% 78% 77% -0.1

iBoxx EUR Investment Grade 0% 2% 0% 0% 74% 70% 0.7

Bonds Emerging 29%↑ Bonds Emerging 0% 18% 28% 29% 46% 50% 0.2

Bonds World Inflation 28% 9% 55% 53% 62% 32% 0.5

Bonds Europe Germany & UK -6% 28% 36% 41% 48% 28% 0.8

Bonds US 8% 10% 45% 49% 42% 19% 0.6

Bonds Asia -9% -24% -17% -2% 6% 24% -0.2

Score

Equities

39%↑

Currencies

16%↓

Commodities

-19%↓

Bonds OECD

35%↑

Corporate Credit

5%↑

0

0.05

0.1

0.15

0.2

0.25

0.3

0.35

0.4

0.45

0.5

20 00 20 01 2 00 2 2 00 3 20 04 20 05 20 06 2 00 7 2 00 8 2 00 9 20 10 20 11 2 01 2 20 13

Macro Risk Radar

24 April 2013