Full Scope Radar 20130527

7/28/2019 Full Scope Radar 20130527

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Confidential Full Scope 27/5/2013| Riskelia 1

Financial markets in transition mode The financial outlook still favors risky assets but some stresses on

liquidity emerge on carry trades and emerging debt.

The dollar is turning even more positive while commodities remain under

pressure.

US bonds and Inflation linked bonds are noticeably downgraded due to a

weakening trend.

The outlook on Equities remains unchanged, strongly positive, notably on Taiwaneseequities, the Nasdaq and some European markets. The Brazilian Bovespa is still lagging

behind other equities. The tumble of Japanese stocks reflects the massive speculative

bubble.

Corporate Credit is characterized by massive bubbles on high-yield debts. The bubble on

US investment grade has progressively landed.

G10 Currencies are in negative trends vs. the dollar, especially the GBP and the CHF. The

commodity currencies (AUD, CAD and NOK) all weakened. The short yen trade is still

over crowded.

Emerging Currencies are turning more neutral. The MYR, IDR and BRL still offer the most

promising rewards while the ZAR, the CZK and the SGD are going through negative

spirals.

Commodities markets are in the midst of a generalized negative spiral affecting major

sectors (base metals, precious metals, energy). Some specific individual markets are

however offering better perspectives (e.g. Soybean, Natural Gas, Soybean, WTI).

Bond scores remain positive but Japanese bonds turn into a negative trend and the trendof US Bonds significantly deteriorated.

Watch Riskelia’s model portfolio

Jean-Jacques Ohana, CFA Steve Ohana, PhD

[email protected] [email protected]

Full Scope Radar27 May 2013

mailto:[email protected]








Back to Contents How to read?


Risk Aversion 3

Contagions within the financial system 4

Global Trends and Bubbles 5

Trends synthesis 5

Geographic Equities Radar 6

European Equities Sectors Radar 7

US Equities Sectors Radar 7

Emerging Equities Sectors Radar 7

Corporate CDS Total Return Radar 8

Corporate Bonds EUR IG Radar 8

Corporate Bonds Radar 8

Corporate Bonds EUR Sectors Radar 8

G10 Currencies Radar 9

Emerging Currencies Radar 9

S&P GSCI Radar 10

Commodities Radar 10

Bonds & Interest Rates Radar 11

Developed Countries Sovereign Debt 11

Developed Countries Inflation Debt 12

Lyxor Hedge Funds 12

Top Individual Assets 13

Top 10 Bubbles 13

Recommendations Evolutions 13

Top 30 Assets Recommendations 14

Global Scores History 15

Scores History 16

Riskelia’s model portfolio 17

How to read? 19

IMPORTANTDISCLAIMER

The information herein is not intended to be an offer to buy or sell, or a solicitation of an offer to buy or sell any

securities or financial instruments. This document is based upon sources believed to be reliable but is not

guaranteed as to accuracy or completeness although Riskelia believes it to be clear, fair and not misleading. The

view of Riskelia reflected in this document may change without notice. To the maximum extent possible at law,

Riskelia does not accept liability whatsoever arising from the use of the material or information contained herein.

This research document is not intended for use by or targeted at retail customers. Should a retail customer obtain a

copy of this report they should not base their investment decisions solely on the basis of this document but must

seek independent financial advice.





Risk Aversion

-0.9

3 2 1 0 -0.5 -1

Very high risk aversion Risk seeking behaviour

-1.5

-1

-0.5

0

0.5

1

1.5

2

2.5

3

3.5

-20

2

4

6

Risk Aversion Index

1 month ago 1 week ago Today

4/26/2013 5/17/2013 5/24/2013

Global Risk Aversion -0.8 -1.1 -0.9

Equities -0.7 -1.1 -0.6

Cash Liquidity -1.2 -1.2 -1.0

OECD Sovereign Debt -0.7 -1.1 -1.0

Emerging Debt -0.2 -0.8 -0.3

Banks Euro -0.6 -1.3 -1.0

Banks UK -0.7 -1.2 -0.9

Banks US -1.2 -1.7 -1.4

Insurance -1.1 -1.6 -1.4

Carry Trades -0.2 0.0 0.3

Corporate Debt -0.8 -1.1 -1.1

Oil -1.2 -1.0 -1.0





Contagions within the financial system





Global Trends and Bubbles

Trends synthesis

-12W -4W -1W Today Trend Bubble Eqty Tail

Equities America 43% 36% 35% 27% 36% 34% -0.8

Equities Europe 41% 47% 36% 26% 72% 57% -1.2

Equities Asia 53% 32% 38% 34% 41% 33% -1.0

Hedge Funds 7%↓ Hedge funds HFR 40% 33% 15% 7% 82% 67% -1.1

FX G10 vs USD 23% 9% -9% -21% -28% 13% -0.5

FX G10 vs Yen 23% 8% 4% 2% 75% 74% -1.1

FX Emerging vs USD 33% 23% 24% 11% -6% 18% -0.4

Commodities Oil 49% -9% -3% -14% -32% 12% -0.8

Commodities Base metals 22% -42% -44% -53% -69% 23% -0.8

Commodities Precious metals 28% -16% -5% -11% -44% 32% -0.7

Commodities Grains 13% -11% 27% 23% -10% 19% -0.2iBoxx USD Investment Grade 15% 21% 35% 33% 54% 42% 1.1

iBoxx USD High Yield 2% 0% 0% 0% 79% 79% -0.4

iBoxx EUR High Yield 0% 0% 0% 0% 81% 82% -0.2

iBoxx EUR Investment Grade 3% 1% 0% 0% 80% 71% 0.6

Bonds Emerging 39%↑ Bonds Emerging 14% 30% 37% 39% 54% 46% -0.2

Bonds World Inflation 24% 51% 28% 19% 16% 17% 0.5

Bonds Europe Germany & UK 10% 43% 53% 51% 51% 22% 0.8

Bonds US 10% 54% 46% 29% 30% 17% 0.6

Bonds Asia -10% 3% -6% -9% -6% 4% -0.2

Score

Equities 29%↓

Currencies -3%↓

Commodities -14%↓

Bonds OECD 22%↓

Corporate Credit 8%↓





Geographic Equities Radar

-12W -4W -1W Today Trend Bubble Equity Tail

Brazil Bovespa 27% -26% -28% -36% -48% 15% -0.6

Switzerland SMI 0% 0% 0% 0% 82% 81% -1.5

Japan TOPIX 46% 14% 0% 0% 99% 76% -1.1

Russia Dow Jones Titans 85% 17% 17% 13% -10% 4% -1.1

EU Stoxx Small Caps 20% 34% 21% 14% 74% 63% -1.1

Korea KOSPI 69% 13% 11% 17% -7% 2% -0.8

Australia ASX 200 22% 40% 24% 19% 63% 59% -1.2

UK FTSE 100 42% 46% 31% 20% 74% 60% -1.1

Singapore Straits Times 49% 49% 33% 25% 68% 57% -1.0

US S&P 500 51% 51% 37% 27% 83% 58% -0.8

US DJ Indu Avg 65% 59% 44% 33% 83% 55% -0.5

France CAC 40 58% 57% 49% 40% 68% 50% -1.1

Germany DAX 30 48% 52% 52% 40% 71% 50% -1.2

Hang Seng 55% 35% 52% 41% 31% 33% -1.4

US Small Caps 60% 73% 52% 43% 73% 49% -0.8

Spain IBEX 35 66% 60% 61% 45% 30% 28% -0.7

Sweden OMX 63% 68% 62% 49% 74% 46% -1.0

Canada S&P TSE 52% 33% 57% 50% 26% 20% -1.0

Euro Stoxx 50 54% 40% 61% 52% 59% 40% -1.1

Dutch AEX 51% 54% 62% 53% 64% 41% -1.2

India BSE Sensex 40% 43% 61% 54% 49% 34% -0.9

Shanghai SE Composite 72% 28% 55% 59% 22% 4% -0.9

Taiwan TWSE 80% 81% 85% 70% 66% 33% -0.8

Italy FTSE MIB 58% 62% 80% 70% 50% 24% -0.8

US Nasdaq 100 56% 93% 93% 81% 82% 34% -0.7

Score





European Equities Sectors Radar

US Equities Sectors Radar

Emerging Equities Sectors Radar


STXE 600 Basic Resources 42% -44% -49% -56% -70% 21% -1.1

STXE 600 Insurance 24% 21% 0% 0% 81% 72% -1.0

STXE 600 Media 13% 7% 0% 0% 82% 76% -0.9

STXE 600 Food & Beverage 3% 0% 0% 0% 81% 78% -0.8

STXE 600 Health Care 26% 0% 0% 0% 91% 75% -0.7

STXE 600 Financial Services 24% 24% 5% 0% 79% 71% -1.2

STXE 600 Travel & Leisure 0% 2% 0% 0% 79% 77% -0.9

STXE 600 Retail 38% 34% 6% 1% 89% 70% -1.0

STXE 600 Pers & Household 46% 30% 16% 7% 84% 67% -0.8

STXE 600 Industrial Goods 18% 35% 22% 16% 69% 62% -1.0

STXE 600 Real Estate 39% 39% 24% 20% 71% 60% -0.9

STXE 600 Tech 27% 38% 30% 25% 71% 57% -1.0

STXE 600 Chemistry 32% 44% 43% 32% 69% 54% -1.1

STXE 600 Banks 30% 49% 45% 38% 60% 48% -1.0

STXE 600 Cn &Mat 51% 54% 51% 42% 69% 49% -1.0

STXE 600 Oil & Gas -22% -41% 21% 44% 10% 0% -0.9

STXE 600 Auto & Parts 56% 31% 71% 56% 63% 39% -1.2

STXE 600 Utilities -10% 67% 93% 82% 60% 23% -0.5

STXE 600 Telecom -40% 70% 98% 89% 62% 20% -0.7

Score


S&P Health Care Select Sect 21% 3% 0% 0% 90% 74% -0.5

S&P Cons Discret Select Sect 26% 16% 0% 0% 93% 74% -0.6

S&P Financial Select Sector 33% 28% 10% 2% 79% 69% -0.7S&P Cons Staples Select Sect 39% 19% 14% 9% 88% 66% -0.5

S&P Industrial Select Sector 43% 52% 31% 21% 76% 60% -1.0

S&P Energy Select Sector 57% 53% 53% 48% 66% 37% -0.8

S&P Materials Select Sector 49% 45% 53% 48% 65% 37% -0.8

S&P Utilities Select Sector 42% 71% 80% 82% 79% 32% -0.5

S&P Technology Select Sector 58% 98% 100% 100% 75% 22% -0.7

Score


Emerging MSCI Materials 60% -44% -45% -59% -73% 21% -1.2Emerging MSCI Energy 15% -36% -36% -33% -43% 7% -1.4

Emerging MSCI Consumer Staples 16% 20% 3% 1% 68% 69% -0.8

Emerging MSCI Financials 25% 35% 32% 26% 65% 56% -1.5

Emerging MSCI Telecom Services 42% -26% 41% 36% 12% 16% -1.0

Emerging MSCI Health 40% 53% 46% 42% 51% 42% -0.6

Emerging MSCI Information Technology 47% 47% 58% 49% 63% 43% -0.9

Emerging MSCI Industrials 69% 42% 71% 62% 36% 19% -1.2

Emerging MSCI Consumer Discretionary 58% 45% 76% 63% 52% 30% -1.3

Emerging MSCI Utilities 100% 84% 95% 89% 61% 19% -0.9

Score





Corporate CDS Total Return Radar

Corporate Bonds EUR IG Radar

Corporate Bonds Radar

Corporate Bonds EUR Sectors Radar


iTraxx Crossover 5 Yr 0% 0% 0% 0% 88% 84% -0.7

CDX US 5 Yr 23% 11% 0% 0% 89% 74% -0.4

iTraxx Europe 5 Yr 30% 35% 18% 13% 75% 64% -0.7

Score


iBoxx EUR Corp BBB 0% 0% 0% 0% 90% 78% 0.3

iBoxx EUR Corp All 0% 0% 0% 0% 86% 79% 0.7

iBoxx EUR Corp A 0% 0% 0% 0% 82% 75% 0.8

iBoxx EUR Corp AA 12% 7% 11% 11% 74% 65% 0.8

iBoxx EUR Corp AAA 21% 13% 16% 16% 69% 62% 0.7

Score


iBoxx EUR Investment Grade 3% 1% 0% 0% 80% 71% 0.6

Eurozone convertible Bonds 8% 16% 4% 0% 70% 71% -1.1

iBoxx USD High Yield 2% 0% 0% 0% 79% 79% -0.4

iBoxx EUR High Yield 0% 0% 0% 0% 81% 82% -0.2

iBoxx USD IG Financials 0% 0% 0% 0% 89% 88% 0.8

iBoxx EUR IG Financials 0% 0% 0% 0% 81% 78% 0.5

iBoxx EUR IG Ex-Financials 24% 20% 18% 17% 79% 60% 0.6

iBoxx USD Investment Grade 15% 21% 35% 33% 54% 42% 1.1

iBoxx USD IG Ex-Financials 32% 37% 61% 53% 48% 34% 1.3

Score


iBoxx EUR Utilities 11% 0% 0% 0% 84% 72% 0.7

iBoxx EUR Banks 0% 0% 0% 0% 86% 81% 0.5

iBoxx EUR Cn & Mat 3% 0% 0% 0% 79% 76% 0.8

iBoxx EUR Financial Services 0% 0% 0% 0% 80% 83% 0.9

iBoxx EUR Insurance 0% 0% 0% 0% 76% 78% -0.1

iBoxx EUR Industrial Goods 0% 0% 0% 0% 83% 76% 0.9

iBoxx EUR Chemistry 7% 0% 1% 2% 77% 69% 1.1

iBoxx EUR Oil & Gas 9% 2% 1% 2% 77% 69% 0.8

iBoxx EUR Auto & Parts 15% 2% 3% 3% 81% 68% 0.9iBoxx EUR Tech 35% 14% 11% 8% 82% 67% 0.9

iBoxx EUR Telecom 16% 8% 7% 8% 81% 66% 0.7

iBoxx EUR Media 25% 11% 13% 13% 75% 64% 1.0

iBoxx EUR Basic Resources 31% 17% 15% 14% 76% 64% 1.0

iBoxx EUR Food & Beverage 41% 22% 25% 25% 72% 58% 1.1

iBoxx EUR Healthcare 40% 33% 37% 34% 66% 52% 0.7

Score





G10 Currencies Radar

Emerging Currencies Radar


CHFUSD 6% -31% -65% -66% -50% 11% -0.2

GBPUSD -70% -66% -57% -66% -60% 21% -0.2

CADUSD -4% -29% -7% -42% -52% 13% -0.6

AUDUSD 49% 61% -12% -37% -46% 9% -0.6

NOKUSD 47% -2% -4% -15% -30% 8% -0.6

AUDJPY 29% 1% 0% 0% 66% 71% -1.1

JPYUSD -6% 0% 0% 0% -86% 82% 1.0

EURUSD 47% 30% 10% 4% 3% 6% -0.5

EURJPY 34% 22% 13% 6% 74% 67% -1.1

SEKUSD 60% 46% 30% 21% -2% 12% -0.8

NZDUSD 51% 66% 29% 29% 10% 24% -0.6

Score

-12W -4W -1W Today Trend Bubble Equity TailSGDUSD 18% 6% -21% -39% -46% 6% -0.1

ZARUSD -44% -28% -31% -37% -64% 34% -0.3

CZKUSD 21% -25% -25% -34% -44% 9% -0.6

RUBUSD 52% -4% -15% -27% -36% 1% -0.9

TWDUSD 17% -18% 11% -9% -25% 5% -0.5

PHPUSD 31% 22% 25% -8% -26% 20% -0.7

KRWUSD 44% 18% 23% 9% -11% 17% -0.8

PLNUSD 56% 48% 29% 13% -9% 5% -0.3

TRYUSD 26% 46% 23% 26% 13% 33% -0.1

MXNUSD 56% 43% 33% 30% 56% 52% -0.6

HUFUSD 47% -9% 40% 33% 6% 9% -0.4INRUSD 67% 67% 72% 49% 34% 29% -0.2

ILSUSD 79% 56% 53% 50% 52% 38% -0.4

BRLUSD 79% 100% 80% 60% 30% 15% -0.2

MYRUSD 13% 42% 94% 85% 64% 24% -0.1

IDRUSD 43% 76% 95% 88% 54% 16% -0.5

Score





S&P GSCI Radar

Commodities Radar


S&P GSCI Industrial Metals TR 13% -44% -45% -53% -72% 25% -1.1

S&P GSCI TR 24% -37% -35% -49% -60% 17% -0.9

S&P GSCI Agriculture TR -28% -43% -38% -44% -70% 32% -0.4

S&P GSCI Precious Metals TR -30% -39% -29% -28% -83% 50% -0.6

S&P GSCI Energy TR 65% -3% -3% -20% -33% 7% -0.8

Score


Zinc 78% -35% -47% -55% -67% 18% -0.6

Copper -9% -46% -43% -54% -72% 24% -1.3

Nickel 14% -44% -43% -53% -71% 24% -0.8

Aluminium 7% -42% -42% -50% -68% 24% -0.7

Heating Oil 44% -38% -37% -49% -61% 17% -0.8

Gas Oil IPE 58% -34% -34% -46% -62% 22% -1.0Live Cattle 7% -40% -44% -45% -63% 24% -0.1

Copper in EUR -48% -27% -29% -39% -69% 35% -1.2

Silver -15% -43% -33% -36% -79% 43% -0.9

Crude Oil Brent in EUR 93% -18% -26% -33% -44% 10% -0.5

Gold -24% -39% -28% -28% -83% 51% -0.6

Gold in EUR -79% -39% -31% -28% -79% 54% -0.2

Wheat -28% -36% -23% -28% -66% 44% -0.2

Kansas Wheat -27% -42% -23% -27% -46% 25% -0.2

Platinum 75% -16% -11% -23% -36% 11% -0.6

Coffee C -24% -15% -19% -21% -64% 49% -0.1

Crude Oil Brent 78% 1% -11% -20% -33% 4% -0.7Sugar Nb 11 -30% -25% -15% -20% -66% 51% -0.4

Crude Oil WTI Long Term 47% -26% 20% 1% -18% 3% -0.7

Gasoline 41% 32% 33% 19% -4% 13% -0.6

Corn 16% -30% 21% 20% -6% 1% -0.4

Crude Oil WTI 22% -8% 35% 25% -2% 2% -0.7

Cocoa -17% 27% 45% 32% 4% 6% -0.3

Cotton 82% 64% 73% 36% 10% 14% -0.4

Palladium 75% 34% 54% 41% 20% 23% -0.9

Lean Hogs 49% 32% 53% 53% 44% 32% -0.2

Natural Gas Long Term -3% 56% 70% 71% 56% 13% 0.0

Soybean 51% 35% 84% 78% 41% 11% -0.1Natural Gas -9% 85% 100% 100% 66% 16% 0.2

Score





Bonds & Interest Rates Radar

Developed Countries Sovereign Debt

-12W -4W -1W Today Trend Bubble Equity Tail Dependence

T Bonds -61% -5% -4% -23% -15% 3% 0.9

Bonds Japan 45% 34% -12% -21% -15% 6% -1.1

Australian Bond 3 Yrs -65% -27% 0% 3% 2% 4% 0.7

Euro Dollar 9-12 months 17% 33% 29% 29% 68% 50% 0.3Euro Dollar 3-6 months 15% 34% 29% 32% 66% 48% 0.1

Schatz 2 yrs -28% 21% 30% 32% 25% 13% 0.6

Euribor 3-6 months 10% 22% 31% 34% 35% 26% 0.5

Euribor 9-12 months 5% 23% 37% 38% 45% 32% 0.6

Bonds Emerging 14% 29% 37% 44% 64% 48% 0.2

T Notes 10 Yrs -1% 58% 70% 45% 40% 20% 0.7

Short Sterling 9-12 months 41% 44% 53% 51% 58% 30% 0.5

Bobl 5 Yrs 44% 48% 51% 52% 63% 33% 0.8

Short Sterling 3-6 months 33% 45% 51% 54% 54% 25% 0.3

Bund 10 Yrs 32% 52% 59% 61% 68% 30% 0.9

Gilt 10 Yrs -28% 52% 67% 61% 49% 14% 1.1

T Notes 2 Yrs 65% 67% 69% 65% 67% 26% 0.3

T Notes 5 Yrs 30% 77% 87% 71% 40% 21% 0.5

Canadian Bond 10 Yrs 26% 78% 97% 78% 40% 16% 0.8

Score


Japan Sov Debt 45% 34% -13% -21% -15% 5% -1.0

Ireland Sov Debt 0% 0% 0% 0% 83% 89% -0.3

Spain Sov Debt 35% 11% 0% 0% 81% 71% -0.2

Portugal Sov Debt 0% 0% 0% 0% 82% 73% -0.4

Greece Sov Debt 6% 12% 2% 0% 68% 71% -0.4

Sweden Sov Debt -57% -3% 12% 1% 1% 2% 0.9

Australia Sov Debt -65% -27% 2% 3% 2% 4% 0.6

Italy Sov Debt 18% 24% 25% 25% 63% 52% -0.4

US Sov Debt 17% 37% 49% 34% 40% 32% 0.8

France Sov Debt 29% 29% 33% 37% 72% 47% 0.7

Germany Sov Debt 60% 44% 45% 39% 43% 29% 0.4

Canada Sov Debt 10% 61% 70% 47% 39% 15% 0.7

UK Sov Debt -15% 59% 60% 64% 49% 11% 1.1

Score





Developed Countries Inflation Debt

Lyxor Hedge Funds


US Inflation Sov Debt 12% 31% -18% -41% -28% 5% 0.5

Japan Inflation Sov Debt 1% 0% 0% 0% 76% 77% 0.2

Italy Inflation Sov Debt 17% 19% 13% 14% 69% 61% -0.4

World Inflation Sov Debt 24% 51% 28% 19% 16% 17% 0.5

Germany Inflation Sov Debt 42% 54% 26% 26% 23% 19% 0.4

UK Inflation Sov Debt 65% 20% 31% 38% 78% 48% 0.5

France Inflation Sov Debt 19% 32% 42% 48% 69% 39% 0.3

Score


CTA Short Term Index -27% -29% -17% -17% -67% 54% 0.3

Convertible Bonds Arbitrage 27% 0% 0% 0% 93% 83% -0.1

LS Credit Arbitrage 0% 0% 0% 0% 79% 80% -0.2

LS Equity Long Bias 16% 6% 0% 0% 85% 77% -0.7Emerging Markets 22% 12% 0% 0% 78% 75% -0.3

LS Equity Market Neutral 27% 3% 0% 0% 80% 71% 0.2

Fixed Income Arbitrage 4% 0% 0% 0% 81% 77% 0.0

Distressed Securities 0% 0% 0% 0% 86% 85% 0.4

Merger Arbitrage 21% 9% 0% 0% 89% 78% -0.8

LS Equity Short Bias -8% 0% 0% 0% -80% 84% 1.4

Special Situations 61% 50% 30% 26% 74% 58% -0.7

LS Equity Statistical Arbitrage 44% 33% 38% 39% 78% 52% -0.3

Global Macro 60% 55% 76% 63% 60% 34% -0.5

CTA Long Term -17% 43% 81% 72% 31% 5% -0.5

Score





Top Individual Assets

Top 10 BubblesStay away from them. Do not go against them.

Recommendations Evolutions

Label Bubble Sign

Ireland Sov Debt 89%

iTraxx Crossover 5 Yr 84%

USDJPY 83%

JPYUSD 82%

Switzerland SMI 81%

STXE 600 Food & Beverage 78%

STXE 600 Travel & Leisure 77%

STXE 600 Media 76%Japan Topix 76%

STXE 600 Health Care 75%

Top 10 Bubbles

Top 10 Bubbles > 60%

Label Evolution Label Evolution

STXE 600 Oil & Gas 24% Cotton -36%

Korea KOSPI 6% CADUSD -35%

Shanghai SE Composite 4% PHPUSD -33%

BarCap France Govt All Bonds T 4% US T Notes 5 Yrs -31%

Gold in EUR 4% AUDUSD -25%

TRYUSD 3% US T Notes 10 Yrs -25%

Euro Dollar 9-12 months 3% INRUSD -23%

Emerging MSCI Energy 3% Canada Bond 10 Yrs -23%

Euribor 9-12 months 3% TWDUSD -20%

Euribor 3-6 months 3% BRLUSD -20%

Euro Dollar 3-6 months 2% SGDUSD -18%JPM Emerging Bonds 2% Spain IBEX 35 -16%

Swiss Bond 10 Yrs 2% PLNUSD -16%

Australian Bond 3 Yrs 2% Taiwan TWSE -15%

Germany Bund 10 Yrs 1% US Sov Debt -15%

Top Positive Dynamics Top Negative Dynamics

Top 15 recommendation evolutions

within the past week

Worst 15 recommendation

evolutions





Top 30 Assets Recommendations

Label Recommendation Label Recommendation

Natural Gas 100% CHFUSD -66%

Emerging MSCI Utilities 89% GBPUSD -66%STXE 600 Telecom 89% Emerging MSCI Materials -59%

IDRUSD 88% STXE 600 Basic Resources -56%

MYRUSD 85% Zinc -55%

STXE 600 Utilities 82% Copper -54%

US Nasdaq 100 81% Nickel -53%

Soybean 78% Aluminium -50%

Italy FTSE MIB 70% Heating Oil -49%

Taiwan TWSE 70% Gas Oil ICE -46%

Swiss Bond 10 Yrs 66% Live Cattle -45%

US T Notes 2 Yrs 64% CADUSD -42%

Emerging MSCI Consumer Discretionary 63% Copper in EUR -39%Emerging MSCI Industrials 62% SGDUSD -39%

Germany Bund 10 Yrs 62% AUDUSD -37%

UK Gilt 10 Yrs 60% ZARUSD -37%

BRLUSD 60% Brazil Bovespa -36%

Shanghai SE Composite 59% Silver -36%

STXE 600 Auto & Parts 56% CZKUSD -34%

India BSE Sensex 54% Crude Oil Brent in EUR -33%

Dutch AEX 53% Emerging MSCI Energy -33%

Lean Hogs 53% Gold -28%

Euro Stoxx 50 52% Gold in EUR -28%

Germany Bobl 5Yrs 52% Wheat -28%Canada S&P TSE 50% Kansas Wheat -27%

ILSUSD 50% RUBUSD -27%

Sweden OMX 49% T Bonds Future -23%

Emerging MSCI Information Technology 49% Platinum -23%

INRUSD 49% JGB 10 Yrs -21%

Short Sterling 3-6 months 48% Coffee C -21%

Top Bear

Top 30 recommendation Bottom 30 recommendation

Top Bull





Global Scores History

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2005 2006 2007 2008 2009 2010 2011 2012 2013

Bonds Equities

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Precious Meta ls FX Western Europe vs US Dollar

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2005 2006 2007 2008 2009 2010 2011 2012 2013

Base Metals Oil





Scores History

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Jan 11 Apr 11 Jul 11 Oct 11 Jan 12 Apr 12 Jul 12 Oct 12 Jan 13 Apr 13

Equities

Equities Europe Equities America Equities Asia

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50%

100%


Bonds

B onds W or ld I nf la ti on B onds E urope G erma ny & UK B onds US B onds A si a

-100%

-50%

0%

50%

100%


Commodities

Commodities Oil Commodities Grains

Commodities Precious metals Commodities Base metals

-100%

-50%

0%

50%

100%


Currencies

FX G10 vs USD FX Emerging vs USD FX G10 vs Yen

-100%

-50%

0%

50%

100%


Corporate Credit

iBoxx EUR Investment Grade iBoxx USD Investment Grade

iBoxx EUR High Yield iBox x USD High Yield

-100%

-50%

0%

50%

100%


Bonds Emerging

Bonds Emerging

-100%

-50%

0%

50%

100%


Hedge Funds

Hedge funds HFR





Riskelia’s model portfolio

Riskelia builds a portfolio among a universe of 80 different markets including equities, corporate credit debt,

currencies, bonds, interest rates contracts and commodities. The portfolio consists of a selection of assets which

are chosen according to the Radar’s recommendation indicator.

The Global Risk Aversion Indicator is used to tilt views towards risky assets when the indicator decreases. Then, a

proprietary allocation algorithm is used to build a portfolio with the assets offering the most interesting risk reward.

Report Date 5/24/2013

Risk taken as % of average risk 89% Total -0.90%

1 Day 95% CVaR -0.9% Equities -0.64%

Month To Date -1.5% Credit 0.00%

Year To Date -1.6% Currencies -0.26%

Bonds & Interest Rates -0.31%

Commodities 0.31%

US Nasdaq 100 8.9% US Small Caps 3.1%

Canada S&P TSE 4.9% US Nasdaq 100 9.7%

Euro Stoxx 50 4.3% Euro Stoxx 50 4.3%

Spain IBEX 35 2.6% Germany DAX 30 3.0%

Italy FTSE MIB 4.6% Spain IBEX 35 3.7%

Dutch AEX 5.7% Italy FTSE MIB 4.4%

Sweden OMX 5.6% Dutch AEX 6.2%Taiwan TWSE 9.2% Sweden OMX 6.4%

India BSE Sensex 5.0% Hang Seng 2.7%

Shanghai SE Composite 4.5% Taiwan TWSE 10.7%

CHFUSD -8.8% India BSE Sensex 5.4%

GBPUSD -10.8% Shanghai SE Composite 3.4%

BRLUSD 11.0% CHFUSD -7.9%

IDRUSD 55.1% GBPUSD -9.5%

T Notes 2 Yrs 116.3% BRLUSD 14.3%

T Notes 5 Yrs 27.6% IDRUSD 51.8%

T Notes 10 Yrs 15.8% T Notes 2 Yrs 116.3%

CAN 10 Yr 14.9% T Notes 5 Yrs 49.8%

Bund 10 Yrs 18.1% T Notes 10 Yrs 27.5%

Gilt 10 Yrs 15.0% CAN 10 Yr 24.0%

Natural Gas 4.3% Bund 10 Yrs 16.7%

Soybean 6.2% Gilt 10 Yrs 14.8%

Lean Hogs 4.9% Natural Gas 4.5%

Cotton 2.7% Soybean 6.2%

Palladium 1.4% Lean Hogs 4.7%

Zinc -1.1% Cotton 4.5%

Riskelia's Model Portfolio top exposuresToday Last Week

Performance attribution





Total Portolio Performance

2002 30.8%

2003 26.3%

2004 9.3%

2005 8.6%

2006 19.7%

2007 7.0%

2008 29.4%

2009 8.4%

2010 11.5%

2011 18.2%

2012 -4.9%

2013 -1.6%





How to read?

For a given asset class, the risk aversion indicator rates the reward market participants require for risk taking. The

scores are expressed in numbers of standard deviations to a set of moving averages (from 3 months to 2 years).

They are averaged into a Global Risk Indicator representing the global level of risk aversion in the market.

The Trend Indicator represents the net proportion of trending systems going long or short.

50 trend following systems with a horizon of 3 to 24 months watch every asset.

The Bubble Indicator reflects bullish or bearish herding behavior.

It is only based on market prices and scores the regularity of the price moves on various time frames.

The Score Indicator aggregates, risk aversion, trends and bubbles into a single score.

It plays the trend, tilting the trend of risky assets upward when the global risk aversion context is favorable to

risk-taking, but progressively neutralizes the exposure when the bubble indicator inflates.

The Equity Tail Dependence Indicator measures the sensitivity of an asset class to a major equity deleveraging.

It is the expected variation conditional on a major equities drop (measured in std deviation).

It is calculated on a 100 days rolling window.

3 2 1 0 -0.5 -1

Very high risk aversion Risk seeking behaviour

Trends -100% Very strong negative trend

-50% Strong negative trend

-25% Negative Trend

0% Neutral

25% Posi tive Trend

50% Strong positive trend

100% Very strong positive trend

Bubbles 0%

25% No risk of bubble

50% Risk of bubble

75% Strong risk of bubble

Score -100%

-50% Strong neg reco

-25% Moderate reco

0% Neutral

25% Moderate pos reco

50% Strong pos reco100%

Equity Tail -2.0 high vulnerability to equities downside

0.0 immune to equities downside

2.0 havens

Documents

Full Scope Radar 20130527