Trading on fumes - IR&M risk management update 17 May 2018
Executive summary:
Overall changes in this update were positively biased. Over the past five updates the positive-negative change ratio was 22:67, i.e., a negative bias. From 62 regime tests in this update, 47 (76%) were positive vs. 61% in our last update.
Economic momentum continues to turn negative. Our global model remains off peak. OECD’s leading indicators have reversed and are now falling. Economic, business, and consumer sentiment remains falling.
Earnings momentum remains positive, generally; stalling in emerging markets though.
Risk: CPI and PPI are trendless. Emerging market risk is rising. Funding risk remains elevated.
Notable:
NY Fed puts recession probability at 11%.
Macro surprises in Eurozone and Japan remain negative.
There is still a halo in IT; albeit flamethrowers being a red flag.
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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