A quick look at the resilience of the major indices on December 19-th, 2014. The analysis is performed on a daily basis, we report the situation we have registered after the markets closed yesterday. EU: FTSE.MIB – 63.7% SSMI – 81.5% FTSE – 64.5% CAC40 – 44.6% DAX30 – 76.3% Asia: HSI – 68.9%…
In a turbulent economy, punctuated by destabilizing events, resilience and complexity as the main new factors which are impacting the global economy and driving financial performance. Increasing volatility, complexity and uncertainty are becoming the hallmarks of our times. While the unprecedented challenges affecting the global economy are a source of both opportunities and threats, traditional…
Recent research confirms that high portfolio complexity impacts negatively mid and long-term expected returns. This is because high complexity has been shown to be a formidable source of fragility, hence vulnerability. In a turbulent economy highly vulnerable portfolios and financial products are more exposed, therefore more risky. Assetdyne has demonstrated that a portfolio design strategy…
The World’s stock markets form a complex highly interdependent and dynamic network which embraces the entire global economy. This system of systems, comprising over 45000 interacting corporations, provides an instantaneous reflection of the world’s economy and its state of health. As of the end of November, the total value of equities in the 58 major…
The ASSETDYNEX tool (www.assetdynex.com) has a new and powerful graphic feature which enables users to quickly visualize the time histories of the complexity, resilience and value of portfolios. Complexity provides a multi-dimensional measure of the vitality and volatility of single stocks, portfolios or markets. The following examples, corresponding to main stock market indices, are…
It its may 12-th, 2014 final Peer Review Report (download) the Financial Stability Board speaks of “reducing Reliance on CRA Ratings”. According to the FSB: “The key challenge lies in developing alternative standards of creditworthiness and processes so that CRA ratings are not the sole input to credit risk assessment.” As we have repeatedly pointed…
Complexity is a fundamental physical characteristic of every system that may be found in Nature. Its importance is similar to that of energy. The first comprehensive measure of complexity for generic systems has been developed in 2003. The functionality of a given system is proportional to its complexity. More complex systems are able to perform…
Warren Buffet said in 2003 that the derivatives market was “devised by madmen” and a “weapon of mass destruction”. Global GDP stands at $69.4 trillion while the derivatives market is today over $700 trillion. What this means is that the financial industry has run up phantom paper debts worth more than ten times what the…
In a turbulent and globalized economy, the focus is no longer on growth but on stability. The stability of a business is of paramount importance to investors, shareholders, banks, insurance companies, etc. Banks in particular have great interest in monitoring their customers in order to appreciate their state of health. Complexity allows to establish such…
Traders and analysts judge market performance by looking at the values of stocks and indices. However, stock markets don’t have a rating, such as the companies listed on those markets. Have you ever wondered what the rating of the S&P 100 is? Is it AAA, or maybe BBB? How can you compute such a rating?…
