Rcube

Rcube is an independent Global Macro research company focused on generating high risk‐adjusted returns by providing clear investment reasoning and actionable investment strategies covering all asset classes (Equities, Credit, Interest Rates, Commodities, Volatility and Forex).

Rcube’s flagship publication, the Macro Portfolio™, describes our investment strategy recommendations and is sent to our subscribers on a regular basis.

Rcube's research methodology combines systematic-fundamental and discretionary approaches. We are active in all asset classes. The research team identifies and captures opportunities in global liquid markets by leveraging and integrating investment experience, risk management and quantitative research. The quantitative part aims at identifying the factors influencing asset prices and returns. The final investment strategy recommendations are discretionary.

Cyril Castelli
  • Cyril Castelli

Rcube Macro 07/09/16: Effects of the Likely Increase of US Deficit

​US economic momentum is diving. A few months ago we explained why higher employment costs, combined with weaker earnings, would hurt corporate profits and consequently business activity and, in the end, employment. Add to this elevated inventory levels, rising credit risks and tighter bank lending conditions and you have a risky business environment...

Cyril Castelli
  • Cyril Castelli

Rcube Macro Portfolio 18/08/2016: Market Thoughts

​More and more Equities’ behavioral indicators suggest that, at least from a sentiment standpoint, stock markets have become vulnerable. Bullishness has recently spiked to levels historically associated with major tops. A large consensus now believes that as long as yields will be as low as they are, the grab for yield mentality will force investors to seek returns away from bonds and into equity or equity linked vehicles...

Cyril Castelli
  • Cyril Castelli

Rcube Macro Portfolio 04/08/2016: Adding US Small Cap Puts & VIX

​US equity downside is a bargain. It is too cheap to be ignored. The VIX deviation from our model’s fair value is the largest ever. The last two episodes when the gap was comparable were in May 2008 and in July 2014 and July 2015.

Cyril Castelli
  • Cyril Castelli

Rcube Macro Portfolio 28/07/2016: Large Credit Channel Divergences

​Central banks around the globe are releasing their quarterly lending surveys. The ECB’s survey results were surprisingly robust given the weakness of European banks’ share prices over the quarter. One one side, banks’ willingness to lend is improving, on the other, banks’ relative weakness is a dark cloud.

Short US Small Caps

​US commercial banks have now released their charge-off and delinquency rates on loans and leases for Q1. NPLs are now rising at a faster pace than just before the great recession.In a recent research piece we highlighted why the combination of a significant deterioration of nonfinancial corporate business’ balance sheet health and tighter financial conditions (banks and nonbanks terms) would inevitably lead to rising defaults and NPLs besides the energy sector. This is now unfolding, and in...

Cyril Castelli
  • Cyril Castelli

Rcube Macro 07/09/16: Effects of the Likely Increase of US Deficit

​US economic momentum is diving. A few months ago we explained why higher employment costs, combined with weaker earnings, would hurt corporate profits and consequently business activity and, in the end, employment. Add to this elevated inventory levels, rising credit risks and tighter bank lending conditions and you have a risky business environment...

Cyril Castelli
  • Cyril Castelli

Rcube Macro Portfolio 18/08/2016: Market Thoughts

​More and more Equities’ behavioral indicators suggest that, at least from a sentiment standpoint, stock markets have become vulnerable. Bullishness has recently spiked to levels historically associated with major tops. A large consensus now believes that as long as yields will be as low as they are, the grab for yield mentality will force investors to seek returns away from bonds and into equity or equity linked vehicles...

Cyril Castelli
  • Cyril Castelli

Rcube Macro Portfolio 04/08/2016: Adding US Small Cap Puts & VIX

​US equity downside is a bargain. It is too cheap to be ignored. The VIX deviation from our model’s fair value is the largest ever. The last two episodes when the gap was comparable were in May 2008 and in July 2014 and July 2015.

Cyril Castelli
  • Cyril Castelli

Rcube Macro Portfolio 28/07/2016: Large Credit Channel Divergences

​Central banks around the globe are releasing their quarterly lending surveys. The ECB’s survey results were surprisingly robust given the weakness of European banks’ share prices over the quarter. One one side, banks’ willingness to lend is improving, on the other, banks’ relative weakness is a dark cloud.

Short US Small Caps

​US commercial banks have now released their charge-off and delinquency rates on loans and leases for Q1. NPLs are now rising at a faster pace than just before the great recession.In a recent research piece we highlighted why the combination of a significant deterioration of nonfinancial corporate business’ balance sheet health and tighter financial conditions (banks and nonbanks terms) would inevitably lead to rising defaults and NPLs besides the energy sector. This is now unfolding, and in...

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