February 2020: An interconnected global economy is feeling the strain of China’s viral outbreak - and the potential $160 billion hit in lost growth that may be on the way.
Hedge funds returned 6.96%, on average, throughout 2019, according to the recent data of Eurekahedge, lagging the gains enjoyed in the broader stock market.The strongest gains in all regions were found among long-short equity funds, which returned 8.64%. In contrast, the Dow Jones Industrial Average DJIA gained 22.3%, the S&P 500 rose 28.9%, and the Nasdaq Composite Index COM jumped 35.2% over the course of 2019.
Assets returns in 2019: Iris Investments Comparative Table.
December 2019: For the first time ever, the U.S. economy started and ended an entire decade without entering a recession. It’s been the longest expansion in the country’s history. But overall economic growth during this decade has been slower compared to previous booms.
November 2019: Euro-zone rates first went below zero in 2014. That’s two years after Denmark, which has had negative rates longer than any other country. Swedes have been living with the policy since 2015. According to the ECB, accommodative monetary policy is still needed as growth in the single-currency area slows. In August, the global stock of assets trading at negative yields hit $17 trillion. Initially deemed a short-term fix for flagging economies, the idea is gradually taking hold that Europe is nowhere near the end of the sub-zero era. For many pension funds, the practical response has been to ditch government and investment-grade bonds, and pile into alternative investments especially that with the ECB potentially already buying up more euro-zone debt, the risk is that there won't be too many Germany government bonds available anymore.
October 2019: The U.S. economy added more jobs than expected in October, handily topping estimates even as a protracted strike was anticipated to weigh on hiring growth. The unemployment rate held near a 50-year low, and wage increases picked up slightly
September 2019: On 1st of September, Iris changed the way it is valuating OTC FX Forward positions following an upgrade in the system of its clearing bank. In the past, clearer's pricing was done in an obsolete way that needed constant corrections running up to 10% of the real value. The upgrade has an effect on the valuation of the existing and new Forward positions starting from 1st of September. A Forward has a Mark to Market and is only settled at the end of the maturity, the Mark to Market and P&L need to be discounted by the interest rate.On August 1, Trump announced new tariffs of 10% on $300 billion of imports from China to take effect on September 1. These are on top of those already imposed on $250 billion in imports, and mean that almost all imports from China will be included.
July 2019: US 30-year yields are closing in on their lowest level ever as concern grows about the impact of the escalating trade war on global economic growth and as policy makers around the world step in to provide support.
June 2019: The Fed and ECB strongly hinted at monetary easing ahead, bond yields push even lower with a new record low in Australia. Commodity prices rose, with oil boosted after Iran shot down a US drone, further escalating Middle East tensions and iron ore reaching a new five year high. The shares rebounded surfing a new hope in resuming the US China trade talks.
April 2019: World trade volumes are plunging at the fastest pace in a decade. Calculations by Bloomberg based on the Dutch statistics office’s trade monitor show a 1.9% drop in the three months through February compared with the previous three months. That marks the steepest drop since the period through May 2009.
February 2019: Onboarding of Deutche Bank adds to our liquidity pool in FX trading.
DB has come under intense pressure as of late, with its shares down 42% over the past 12 months. In addition to reigning in costs, DB is dealing with a number of issues including a $1.6 billion loss on a municipal bond trade, increased funding costs, and a host of legal challenges. The company has paid more than $18 billion in legal fines over the past decade, an amount on par with its current market capitalization of $18.9 billion.
Iris Investments was not profitable in any major sector of trading in the calendar year 2017. The greatest potential stays in currencies and exotic option trading. The situation should improve after onboarding new banks to the interbank platform.
November 2018: "Our cash and duration overweights really distill down to overweights in U.S. cash and Treasuries, where ex-ante Sharpe ratios are now well ahead of those for U.S. stocks for the first time in a decade," according to John Bilton, head of global multi-asset strategy at JPMorgan Asset Management. A Sharpe ratio is a measure of an asset’s performance relative to its volatility.
October 2018: Iris Investments went down by 1.16%, S&P 500 by 6.94%, S&P GSCI by 5.84% and Newedge CTA by 2.85%. Our ability to fully engage in FX markets is still impaired by new MIFIDII regulations and this will not change before Q1 2019.
Saudi Arabia all but threatened to drive up oil prices if the U.S. took any action to penalize it over the apparent killing of a Saudi journalist. The not-so-subtle threat was the first time in decades that Saudi Arabia threatened to restrict supply for such naked political reasons.
September 2018: Basel I, the original rules published 30 years ago, became a global standard that, almost immediately, all banks aspired to. Those halcyon days are long gone; US banks largely ignored Basel II in the mid 2000s. Adoption of Basel III around the world today is patchy and uneven. While some countries embrace all the recommendations, others - including the US - have progressively disregarded them.
Since the implementation of Basel III and CRD IV rules in 2014, many European banks are under pressure of additional capital requirements. These regulations have had significant impact on the banking industry and on the overall cost of clearing in general. Iris Investments is still struggling in this new regulatory environment in Europe and plans to move all its trading operations to the US by the end of 2018.
After 95 months, the volatility parameter beta is 1.03, at close parity with the benchmark index S&P 500 . Added value, measured by alpha , was -6.35%. During the last fiscal year, Iris Investments booked 8 months up.
July 2018: The tit-for-tat trade tariffs were kick-started by Trump in June when he ordered 25% duties on $34 billion of Chinese products. China responded with retaliatory tariffs; that then saw Trump declare a 10% tariff on another $200 billion of Chinese products. The announcement late July was an increase to 25% of the proposed duty on these $200 billion worth of goods. Trump has said he is ready to impose tariffs on all $500 billion of goods imported from China. If China resorts to strongly devalue its currency, Southeast Asian capitals could be in panic mode in a short term. Over a longer period, the global supply chain will be rerouted boosting economies in Thailand, Vietnam, or Indonesia. The stock price of Maersk is to watch closely.
June 2018: Trump's trade war in China started in June. One of the goals is to hit China’s more high-tech exports and damage Beijing’s “Made in China 2025” program, a huge state-sponsored initiative to make China a world-class manufacturer of goods like robotics and high-end electronics. China responded with tariffs on US exports to China, including cars, airplanes, and soybeans. The following turmoil in international markets, especially FX and agriculturals, resulted in further losses for Iris Investments, -3.80% in June and -0.17% in May. The cumulated loss of -9.83% is the highest in Iris Investments history.
May 2018: Iris investments suffered a loss of 2.28% in April mainly due to regulatory MIFIDII aftershocks in European banking systems which directly affect our credit lines in FX interbanking operations. One of our objectives in 2018 is to move the totality of our trading out of the reach of the EU regulator. An accelarated demise of EUR after political turmoil in Italy is a welcome event.
April 2018: The U.S. and China are locked in a battle of words over trade that has already resulted in announcements of several new tariffs on products from both countries. The tariffs have clearly shaken investors, causing markets to swing wildly in recent days. The trade deficit between the U.S. and China has gradually widened in recent years. In 2017, the U.S. imported $504 billion worth of goods from China, while China imported $130 billion from the U.S. President Trump argues that the growing deficit shows how China is unfairly restricting U.S. exports and stealing intelectual property while boosting domestic producers.
March 2018: The month of March was dominated by fears over global trade-wars, with the U.S. announcing tariffs on steel and aluminum, as well as Chinese made goods in particular. Even though many trade partners have already scored exceptions to the metals tariffs, the rhetoric left investors uncomfortable.
February 2018: Stocks spiked violently pushing commodities into global selloff as oil to copper tumbled on 5th of February. CBOE VIX tumbled in reversal of fear gauge's biggest spike on record on 6th of February. Hedge Fund returns overall fell 2.19% in February, wiping out January gains and leaving them nearly unchanged for the year at up 0.07%, according to the latest numbers out of the Bloomberg Hedge Fund Database. Iris observed its first monthly loss of -4.53% after 14 consequitive months of positive returns.
Assets returns in 2017: Iris Investments Comparative Table.
January 2018: Iris Investments returns +68.17% in the calendar year 2017 against +19.42% of S&P 500, +2.41% SG CTA, and +5.77% of S&P GSCI indices. It is the first year of Trump economics, Iris Investments was profitable in all sectors we trade including rare and precious metals.
December 2017: MIFIDII disaster is looming over Europe, the deadline is 3rd of January 2018.
November 2017: Iris was profitable in rare metals. The going rate for cobalt - metal needed to power typical car batteries - has more than trippled over last 16 months. The price tag for 21 kilograms of cobalt needed to construct a single EV battery jumped from $600 to $1,600 and is climbing by the day.
October 2017: Iris grew at the record pace of +91.30% over the last 2 years. The profit was mainly derived from currencies and agriculturals.
September 2017: Iris Investments maintains a steady negative correlation with the real estate markets of about -0.3 over the period of 7 years. A secondary residency in the Southern Hemisphere might be a good hedge against increased geopolitical risks. Most of Iris senior management already followed this path acquiring residential property in South Africa, New Zealand and Australia. Iris works closely with Blue Synergy to expend into real estate markets.
After 83 months, the volatility parameter beta reached 1.00, that is parity with the benchmark index S&P 500 . Added value, measured by alpha , was 13.27%. During the last fiscal year, Iris Investments booked 11 months up and only 1 month down (November -7.39% ).
The net return over the last 12 months was 39.95%.
July 2017: Financial markets around the world are stuck in a long period of low volatility and boredom. But one pocket is seeing some wild action - grains.
Historical annual volatility keeps testing its lows in July:
|US 10 year bonds||S&P 500||S&P GSCI|
June 2017: Even a stock market soaring to record highs won’t rescue America’s struggling state and local pension plans. A "best case" scenario of a cumulative 25% billion investment return during the 2017-2019 period will not offer a respite for chronically underfunded U.S. public pension plans, according to a Moody's Investors Service report. The growing gap between how much state and local governments are projected to pay employees and how much funds they actually have set aside has risen to over $4 trillion nationwide. New Jersey sports the widest funding gap, followed closely by Kentucky and Illinois. Will a new global financial crisis start again in the US?
May 2017: With the French election ending in a victory for Emmanuel Macron, one more thing said to threaten global stability has made a quiet exit. For investors already looking at record-low price turbulence, the defeat of far-right candidate Marine Le Pen means even more risk removed from the table. The CBOE Volatility Index, VIX, decreased 7.6% to 9.77, the lowest since 1993. Complacency has returned in a such strong fashion that it’s starting to feel like 2005-06, when nothing seemed to faze the broader markets. Iris Investments has stopped active volatility trading since 2015. The traded option volume is kept at minimal levels, mainly for hedging purposes and as a reserve strategy.
April 2017: Worries about a broader financial health of Deutsche Bank and the contents of its enormous $1.7 trillion balance sheet - which is backed by mere $73.6 billion of equity - did not go away.
Volatility in gold's annual returns outstrips other assets, as BullionVaults performance table shows. But the lesson from 2008 remains plain. Diversification counts, and gold really does act as portfolio insurance when investors most need it. Gold is a prime candidate for helping offset the equity, interest-rate and real estate risk of a broader, well-balanced investment portfolio.
March 2017: China's banks are still in trouble. Most important, there's little sign of deleveraging. Those banks increased total loans by 10.2% in 2016, to $12 trillion. That means lending is still growing much faster than gross domestic product. More worrying, shadow-banking assets - such as wealth-management products - increased by 15%, significantly faster than loan growth.
Can we trust European banks? The European banking sector has been under significant pressure in the past few years due to low interest rates, a series of massive fines and a European economy that has lagged. Banks are under a low interest rate regime, therefore have to balance a shrinking deposit supply with an increasing loan demand, with the pressure increasing the more interest rates decrease. However, the main problem with European banks has been their balance sheet. Underperforming loans has been the main weakness of European banks since the Financial Crisis of 2008. This is the main difference between US banks, which addressed the problem early in the crisis, and European Banks, many of which still carry the scars.
February 2017: Global Lithium-ion battery production capacity will increase by 521% between 2016 and 2020. According to Goldman Sachs for every 1% increase in battery electric vehicle penetration, there is an increase in lithium demand by around 70K tonnes of LCE per year.
January 2017: Iris Investments ends the calendar year 2016 returning +12.11% against +9.54% of S&P 500, -2.89% SG CTA, and +11.54% of S&P GSCI indices. It is the first year on record when Iris returned below +20%. A partial explanation of this lies in highly unstable valuations of our large FX positions at the end of the year. The extreme tensions in global FX markets due to a high probability of an important shift in the US industrial policies are also to blame for.
December 2016: Investors are worried about trade wars, instability, and the end of globalisation. Merchandise trade by volume has been slowing since late 1990s. World trade volume index shows that global trade has been sputtering since early 2015, and the sputtering has been getting worse lately, not better.
November 2016: A recent weakness in the markets has been attributed to the fact that nobody wants to be long equities ahead of what has become an increasingly uncertain Presidential election in the USA. A look back at the marketâ€™s historical returns, however, shows that the week leading up to Election Day during Presidential election years has been extremely positive whether or not the election was close, as in the case of all four elections decided by less than 100 electoral votes, or a landslide. In fact, in the 22 prior elections since 1928, the S&P 500 has averaged a gain of 1.89% in the week leading up to Election Day with gains 20 out of 22 times. The only two exceptions were in 1968 when Nixon defeated Humphrey and 1988 when VP Bush handily beat Dukakis.
October 2016: Iris Investment is expending its gold based strategies since September 2016. The YTD return jumped to 18.37%.
The dollar slumped and the Swiss franc and Japanese yen surged on Wednesday as investors worried by the prospect of a Donald Trump victory in next week's U.S. presidential election sought out safe havens for their money.
September 2016: The world is awash in debt â€“both at the government level and the individual level. In the second quarter, U.S. consumers racked up $34.4 billion in credit card debt, which is the largest second-quarter accumulation since at least 1986, according to WalletHub 2016 Credit Card Debt Study. The current U.S. economic expansion cycle is old and long in the tooth. The average length of a U.S. expansion cycle is 69.5 months. The U.S. economy is currently in its 87th month of expansion. What will the Fed do then? The central bank is already just about out of bullets. Helicopter money is probably the next option the Fed will consider.
August 2016: Iris Investments ended its sixth fiscal year of trading (71 months) with 14.87% of the annual growth. In the same time S&P 500 advanced 5.36%, S&P GSCI tumbled -22.18%, and Newedge CTA edged up 4.67%.
Adverse shifts in cross-currency basis swaps, due to divergent central bank policies in key countries, mostly US vs Japan, led to a loss of 3.94% in July. Iris Investments prepares a leveraged arbitrage trading based on holding spot gold as an universal currency.
A Troy Ounce is the traditional unit of weight used for precious metals. The term derives from the French town of Troyes, where this unit was first used in the Middle Ages. One troy ounce is equal to 1.0971428 ounces avoirdupois. In the bullion market, all references to ounces mean troy ounces.
July 2016: Iris Investment declined 2.19% in June due to some valuation changes in swap markets. The loss was unrelated to Brexit. The changes open new trading opportunities.
June 2016: Panic is palpable as markets swoon on Brexit vote few expected. A major deflationary movement is triggered in the markets. Iris Investments is mainly exposed in agriculturals and swaps. These markets are not subject to any extraordinary swings. Iris do not hold any substantial short positions in financials.
Iris investments implemented a new automated arbitrage strategy between regulated exchange traded contracts and their inter banking counterparts.
ESMA, Europe's top markets watchdog is examining ways it can standardise trade reporting requirements, amid continued complaints that firms are being forced to do the same work several times over to satisfy different rules. Iris Investments regulatory workload increased fivefold over the last 2 years.
April 2016: Traders bet against GBP as a campaign against Brexit begins. The net cost of three-month contracts hedging against losses widened to as much as 4.79 percentage points during the second week of April, the most since Bloomberg began compiling risk-reversals data in 2003. Polls suggest the June 23 vote on whether Britain should stay in the EU could go either way.
According to a recent research note by Danish investment bank Saxo Bank, the ratio between employee compensation to gross domestic product in the US is the lowest in history and corporate profits are at their highest-ever point. This is a key reason why US citizens now want anything but the traditional establishment. The same applies to other major Western European countries as France and UK.
March 2016: Iris Investments holds USD as the base currency since inception. One can compare historic exchange rates GBP/USD, AUD/USD, and EUR/USD as well as an evolution of USD relative to a basket of major world currencies measured by USD index.
ECB reduced the rate on cash parked overnight by banks by 10bp to -0.4% and lowered its benchmark rate to 0%. Monthly bond purchases were increased to 80 billion euros from 60 billion and corporate bonds will be eligible. New credit lines for banks will be opened in June.
The kiwi plunged as New Zealand Central bank unexpectedly cut the interest rate by 25bp to a fresh record low of 2.25%. The NZD buying power dropped immediately by 11.5 USD cents. The two-year interest rate swap yield dropped by 15bp to a record low of 2.26%. Iris Investments remains very active in Asia-Pacific currency markets.
February 2016: Odds of a global recession continue to increase. JPMorgan Chace & Co. recommended that investors use the recent rebound to sell stocks. They also cited a worsening outlook for economic growth, corporate earnings, and the looming risk of recession. According to HSBC Holdings Plc "cash is a king in the world with debt overhangs".
Histogram of Iris Investors annual alpha depicts a creation of the added value by its managers.
January 2016: On Jan. 29th, the Bank of Japan unexpectedly cut a benchmark interest rate below zero -0.1% stunning investors all over the world with another bold move to stimulate the economy as volatile markets and slowing global growth threaten its efforts to overcome deflation. Global equities jumped, the yen tumbled and sovereign bonds rallied.
Assets returns in 2015: Macquarie, Callan Periodic Table of Investments return, and Iris Investments Comparative Table. Iris ends the calendar year 2015 returning +20.33% against +1.23% of S&P 500, +0.02% SG CTA, and -32.86% of S&P GSCI indices. In 2015, Iris Investments continued its efforts to decouple from S&P 500, see histogram of II correlations.
December 2015: The Federal Reserve succeeded in nudging borrowing costs higher Thursday after its first interest-rate i increase since 2006, and policy makers only needed to siphon $105 billion from money-market funds to achieve their goal. Led by Chair Janet Yellen, the Fed lifted the federal funds rate from near zero, where it had been since the financial crisis unfolded in 2008. Thursday, the quarter-point rate boost rippled through money markets that are awash in nearly $3 trillion in excess cash that the Fed injected through bond purchases.
Molybdenum, a metal used to make steel has become this yearâ€™s worst-performing commodity, after Chinaâ€™s stumbling economy and a collapse in the energy industry drove outsized losses. The white metal is used in many steel building materials and to help harden the drills used to extract oil and natural gas from deep underground. Prices plunged 49%, the most among 79 raw materials tracked by Bloomberg, as molybdenum was undermined by the flagging demand and oversupply that plagued global commodity markets throughout 2015.
November 2015: Seemingly more normal economy in the USA increases chances that the Federal Reserve will raise rates in December. Still, the currency markets reacted very nervously to Draghi's failure to fulfill his verbal up talk about an additional stimulus in Europe.
October 2015: Grim jobs report is likely to delay a move by the Fed on rates.
August 2015: Chinese stocks crash to extend biggest plunge since 1996 on concern the government is abandoning marker support measures. On August 24, Wall Street suffered worst day since four years, S&P 500 lost 3.94% putting it into a correction mode. Commodity prices accelarated their slide emphasizing deflation pressures. VIX crossed 40% for the first time since October 2012 jumping 300% over the last 4 days.
July 2015: Iris Investments ends its fifth year of trading (59 months) with 18.90% of the annual growth. In the same time S&P 500 progressed 8.93%, S&P GSCI tumbled -43.63%, and Newedge CTA went up 16.22%.
Iris investments hedged intensively against plausible risks through the summer. The unprecedented level of central bank involvement through the so-called "quantitative easing" schemes brought a new "normal" to trading. Since one can not effectively hedge against confused or corrupted risks, we prefer to be cautious. We will monitor the situation and reduce the leverage in the statistical arbitrage should things develop contrary to our models and experience. The pure arbitrage and ultra-low latency trading will stay unchanged and the underlying strategies will be further developed.
The markets showed highly unusual patterns of volatility over the last 6 months:
|US 30 year bonds||S&P 500||S&P GSCI|
June 2015: Since June 12, the Shanghai stock echange has lost 24% of its value, while the damage in Shenzen composite index has been even greater at 30%. The tumble has already wiped out more than $2.4 trillion in wealth - a figure roughly 10 times the size of Greece's economy. This fall in the Chinese stock market followed an extraordinary bull period in which Shanghai composite grew by 149% this year through June 12.
Europe is continuing to struggle with Grexit while the US needs to address the burden stemming from Puerto Rico's claim that the island would not be able to pay off its debts raising questions about the health of American municipal bonds. The US bonds market is additionally worn out by Yellen's, the Federal Reserve chairwoman, persistent announcements about raising FED benchmark rate this year as the domestic economy continues to gain strength.
Amid these global turbulences Iris performance slid further by 1.67% in June.
May 2015: Major government debt markets including Germany, the US and UK have seen a dramatic sell-off, sparking stark jumps in bond yields. Iris Investments registered a loss of 4.18% in May, mainly due to aftershocks in the currency markets.
April 2015: The reality of negative interest rates starts to affect profits of financial institutions and their clients. The deposits in EUR, CHF, DKK, and SEK bear negative interest rates. Interbanking cost of funds in London on 10th of April:
March 2015: Alpha/beta analysis of Iris Investments performance was added. Since inception, the net return of Iris Investments as of 31st of March 2015 was by 24% greater than that of S&P 500 with the volatility 55.4% of the index.
The Dow fell nearly 3.7% in January, surged 5,6% in February and is down about 2% this month. The S&P 500 and Nasdaq have gone through similar price swings.
February 2015: Iris Investments removed AUD from its macro currency portfolio.
January 2015: In a surprise statement that sent shockwaves through equities and currency markets, the Swiss central bank ended its cap of 1.20 franc per euro and reduced the interest rate on sight deposits to -0.75%, deepening a cut announced a month ago.
More than $1.2 trillion was erased from global equities over the second week of December, as the drop in crude below $58 a barrel raised concern over the strength of the global economy. The CBOE VIX jumped 78% as oil's impact rippled through financial markets.
November 2014: German inflation slowed to the weakest pace in almost five years and Spanish consumer prices fell 0.5% this month from a year ago in a sign that the euro area's economic revival is not picking up. With the inflation on the level of 0.3%, the euro-zone is not deflating yet but growing out of debt is not possible. Mario Draghi is open to buying a wide variety of assets for futher QE is Europe. The ECB is already purchasing covered bonds and asset-backed securities, as well as offering targeted long-term loans. Falling oil prices that are at 4-years low do not help ECB in its efforts to fence of deflation. On Black Friday, US crude tumbled 10% in its biggest one-day drop in more than five years.
October 2014: The stock market is displaying a level of volatility that is beyond what many investors have become accustomed to in the past few years. There are many reasons for this uptick in volatility: weak growth and deflation risks in Europe, a possibility of rising interest rates in the US, a strengthening USD and its impact on corporate earnings, finally the growing sentiment that the US stock market is rip for a correction.
September 2014: II returned over the last 49 months (4 years + 1 month) more than 100% to the investors. This amounts to the net return of just above 20% per year since inception.
August 2014: Coffee prices leapt to a three-month peak at $207.4 per pound, driven by expectations of a poor crop in top producer Brazil. Prices of Cocoa were catapulted to a 3.5-year pinnacle at Â£2,028 per tonne in London, on the back of solid demand and intense speculative buying. Suger prices struck multi-month lows at $16.4 cents per pound in New York on abundant supplies.
Iris Investments increased its exposure in agriculturals.
July 2014: Iris ends its forth year with 22.08% growth against 14.53% of S&P 500, 1.48% CTA, and -0,47% of S&P GSCI indices. Since inception, Iris returned 144.75% with only 7 months down and the Sharp Ration 2.84. Iris also observed 10 consecutive months of positive returns through its forth year of production.
On the last two days of July, S&P 500 index marked the biggest weekly drop in two years (2.7%), as concerns over Argentina default and Portugal banking sector overshadowed good results of the US economy. VIX surged 27% on 31st of July showing a return of volatility to the markets.
June 2014: ECB cut deposit rate to below zero -0.1% for the first time to help the threat of deflation amid sluggish recovery. Denmark kept interest rates unchanged at 0.05% to strenghten the krone after intervening in the currency markets.
A recent report by Knight Frank shows a pause in the price increases of the prime central london real estate.
May 2014: The Ukraine crisis deepened without noticable impact on the markets. USD index was added to the correlation and profit/risk analysis. USD index is a measure of the value of USD relative to a basket of foreign currencies: EUR (57,6%), JPY (13,6%), GBP (11,9%), CAD (9,1%), SEK (4,2%), CHF (3,6%). In particular, the table of profit/risk shows that the investment in USD from 1st of August, 2010 till 1st of May, 2014 brought an average currency loss of -3.38%.
April 2014: The Buffett Index suggests that today's market is at lofty valuations, now above the housing-bubble peak in 2007.
March 2014: China colossal credit bubble is deflating. Iris Investments is reducing its stock exposure.
February 2014: The S&P 500 pushed further into record territory by the end of February, setting a new closing high of just under 1,860 even if there are concerns about a potential military conflict between Russia and Ukraine.
January 2014: US stocks fell for the week, giving benchmark indexes their biggest losses since 2012, as a selloff in emerging-market currencies and signs of weakness in China spurred concern that global growth will slow. VIX jumped by 32% on 24th of January.
December 2013: Iris Investments grew by 20.01% in 2013 while S&P 500 soared 29.6%. As in 2006, the markets in 2013 seemed to lose the sense of risk amid perpetual stimulus packages and unlimited financing.
On 18 December FED announced it would start scaling back its economic stimulus measures but strengthened its forward guidance on policy. It would reduce its monthly asset purchases by $10bn a month to $75bn, split evenly between Treasuries and mortgage-backed securities. FED added that further reductions in purchases were likely, in measured steps, if data showed ongoing improvements in labour market conditions.
November 2013: The European central Bank (ECB) cuts its main interest rate to 0.25 percent from 0.50 on Thursday, November 7th, sending the euro sharply lower. The unexpected action was to combat the threat posed by falling prices in Europe's depressed single currency area. It has debunked the myth of an economic recovery in the euro zone.
October 2013: Iris Investments recovered from 4.64% slump after 6 months of a mitigated performance. Even if Iris is diversifying further its investment portfolio, mainly towards OTC FX products and agriculturals, it can not turn its back to a continuous flow of easy QE money which fuels stock markets around the world. Iris Investments has around 30% exposure to the growth generated by QE.
September 2013: To the surprise of virtually no one, the Fed kept its cheap-money policy in place and pledged to continue pumping $85 billion a month. Are markets at risks of 1999-style FED bubble? There are strong parallels with the late 1990s euphoria for internet-based stocks and their eventual crash in 2000, broadly known as the dot.com bubble. A similar trend is emerging in U.S. stock markets today due to the Fed's huge monetary stimulus program, which has pumped $2.8 trillion into the U.S. economy since late 2008. But rather than stimulate the economy, the flow of easy money has instead stimulated the stock market.
July 2013: Iris grew 20.13% in its third year of production. Since inception, Iris returned 100.48% with only 5 months down. The index S&P 500 continued its bullish surge of 22.21% over the last 12 months with the highly unusual Sharpe Ratio 2.66 (the Sharpe Ratio for the S&P 500 over the past 10 years was 0.43). However, it is hard to imagine that increasingly expensive equities deprived of QE and with market interest rates rising (the yield on 10-year US Treasuries jumped to 2.6% from 1.6% in April) will not suffer.
June 2013: The S&P 500 sank 2.5% on June 20, the biggest plunge since November 2011. The index has declined 4.9% since its May 21 high amid speculation the Fed will scale back quantitative easing that helped fuel a rally in stocks worldwide and lifted the S&P 500 as much as 147% from its bear-market low in 2009.
May 2013: Global bond markets posted their biggest monthly losses in nine years in May as the U.S. dollar rallied and stocks reached record highs amid speculation a strengthening U.S. economy will allow the Federal Reserve to reduce its monetary stimulus.
April 2013: BOJ finally helicoptered more cash than the Fed. JPY dropped more than 20% agains USD since mid-november 2012.
April 2013: Gold in New York trading capped its worst two-days slump in 33 years on April 15 plunging 13%. Gold holdings in EDP (exchange-traded products) plunged 174 metric tons in April, the biggest drop ever, as prices entered a bear market and wiped $17.9 billion from the value of the funds.
March 2013: CBOE Volatility Index VIX plundges to lowest levels since 2007 and close to all time low on record 9.3 while a long time average is around 20. It's suggesting trading will remain in a narrow range for at least the next month. However,
it can also mean that stock markets are entering a new period of
instability as VIX futures are trading in steep contango.
February 2013: New strategies added to take advantage of money being given away by central bankers increase both profits as well as month-to-month volatility of the current portfolio of Iris Investments.
December 2012: Iris Investments grew by 21.94% in 2012. The calendar year 2012 showed 2 months of losses, June -0,37% and December -1.36%.
October 2012: Iris Investments began an extensive reorganization to enter an interbanking FX trading.
September 2012: Hedge funds focused on foreign-exchange trading have lost 0.6% in the past three months, according to industry researcher HedgeFund.net. That compares to an average gain of 11.9% since June for the industry.
July 2012: Iris investments produced 29,76% through the second year of its activity ending on 31st of July and 66.88% since inception. In the second year there was only one month down (June) of -0.37%. The percentage of months up is 91.3%.
June 2012: Iris Investments introduces a new trading strategy to profit from growing imbalances in currencies and intrest rates.
March-June 2012:Central banks continue to flood the financial system with cash within subsequent rounds of quantitative easing. The moves havenâ€™t ignited growth. There are more and more evidence that the developed countries will follow Japaneese path characterized by weak GDP rising (Japan: an average rate of 0 .75 percent in the past 20 years - IMF data) and deflation (Japan: consumer prices fell in eight of the past 13 years, and inflation hasnâ€™t exceeded 1 percent since 1997). Unadjusted for price changes, the size of Japan's economy last year was the smallest since 1990 and had contracted 10 percent from its peak in 1997.
February 2012: A new trading strategy focusing on Asian markets was implemented in February.
December 2011: New energy products on NYMEX were added to the trading portfolio. December 2012 was the best trading month in 2011, +6.22%. In 2012, Iris Investments produced +32.26% (+47.54% since inception).
September 2011: Meltdown in commodities markets.
August 2011: Long-term rating of the US lowered by S&P to AA+ from the highest rating AAA due to political risks, rising debt burden. Outlook negative, possible further downgrade to AA within the next two years.
Reuters/Jefferies CRB CCI Index was added to Comparative Analysis as a leading benchmark of commodity prices. Futures contracts on RJ CRB CCI Index offer investors an effective tool to hedge against inflation.
July 2011: Iris Investments ends its first year of production growing 24.83% against 23.15% of S&P and 3.53% of Newedge CTA. Out of 11 months of the first year, the first 10 consecuitive months brought positive returns. The streak ended in July 2011 with the monthly loss of 1.4% amid a severe debt crisis in US and Europe.
May/June 2011: Greek debt crisis haunts eurozone. The major stock indexes fall for second month in a row.
March 2011: Declaration of war on Libya by UN. Oil/Gas prices continue to be volatile. VIX nears 30 in the middle of the month.
Feb./March 2011: Libya oil production is grinding to a halt amid the political upheaval. On Friday February 25, gas prices jump was the largest one-day increase since at least 2008. Oil prices spiked 9% over the last week of February, a week that included a high of $103 a barrel - the highest since October 2008.
Feb. 2011: NYBOT softs were added to the trading portfolio.