Liquidity squeeze - IR&M risk management update 8 June 2018
- Overall changes in this update were negatively biased; over the past five updates the positive-negative change ratio was 25:58, i.e., a negative bias. From 68 regime tests in this update, 52 (76%) were positive
- Economic momentum continues to turn negative. PMI, economic sentiment, business sentiment, and consumer sentiment are all falling.
- Earnings momentum remains generally positive.
- Risk: CPI is rising again, especially in Eurozone. PPI remains trendless. Sovereign risk is rising, especially in Eurozone and emerging markets.
- Notable: America was first all along.
Typical GDP forecasts pattern: 2018 > 2019 > 2020.
US is ascending; Europe isn’t.
Risk is “off” based on two spread-related risk measures.
Ineichen Research and Management ("IR&M") is a research firm focusing on investment themes related to absolute returns and risk management. IR&M was founded in 2009 and is an independent company, fully owned by Alexander Ineichen. IR&M is based near Zug, Switzerland, a healthy distance to the main epicentres of mainstream financial thinking. IR&M’s research is designed to improve its clients’ investment decision making. The basic premise is the idea that long-term success is dependent on survival and avoidance of large losses, i.e., the management of risk, not returns.
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