Nell’era dell’economia globalizzata, sta diventando chiaro che tutte le aziende, banche, mercati e paesi fanno parte di un enorme “sistema di sistemi”. Con l’aumento della turbolenza e della sua intensità l’importanza di una prospettiva sistemica dell’economia diventa evidente. Infatti, a causa della turbolenza e della crescente fragilità dell’economia globale, in sistemi fortemente interconnessi la propagazione … More Resilienza – Uno Sguardo sul Mondo, Europa, Italia
Universal Ratings analyzes the global financial system on a daily basis by synthesizing the so-called Financial Complexity Indices. The Global Financial Complexity Index™ (GFCI™) is a meta-index which measures the complexity of the global financial system. The GFCI™ is based on the closing values of the indices of the World’s main market indices and … More How Complex is the Global Financial System Today?
Universal Ratings has launched recently a BLOOMBERG Terminal App to screen and rate portfolios of securities. The App reads a list of tickers, retrieves the corresponding price histories, and treats them as a system – basically it builds a portfolio. It then computes the resilience of the portfolio, and a measure of its complexity. However, … More Complexity, Risk and Portfolio Design
Standard deviations are a popular and often useful measure of dispersion. To be sure, a standard deviation is merely the most likely deviation from the mean. It also doesn’t take into account the shape of the probability distribution function (this is done better using, for example, entropy, which is a more versatile measure of dispersion). … More Complexity-Adjusted Standard Deviation
Resistance to Shocks (RTS) ratings – now available in BLOOMBERG Terminals – provide a modern means of assessing the state of health of a corporation, a country or an investment portfolio. In an economy dominated by shocks and discontinuities, a rating based on the Probability of Default (PoD) is of little relevance, even though such … More How well can EU Economies Face Shocks
Starting from August 1-st, 2018, Resistance to Shocks ratings are available free of charge to all Bloomberg terminal users. RTS ratings are computed by UR’s rating robot based on quarterly Standardized Balance Sheets as reported by Bloomberg. Ratings are provided for selected Fortune 1000 companies and are published both in the headlines feed as well … More Resistance to Shocks Ratings now available in Bloomberg Terminals
There are various indications of imminent market crashes: An over-valued market A type of financial engineering or “contraption” An external catalyst, frequently unrelated to the stock market Increasing volatility A loss of liquidity due to central bank tightening Growth troubles from inflation, demographic shifts, or a troubled consumer A drag from worldwide indebtedness A desynchronization … More Next Generation Shorting Signals
Alternative data – a trendy subject nowadays – is non-traditional data that can be used in the investment process. An increased percentage of hedge fund managers are planning to use this kind of data and new analytics in their investment processes. Examples of alternative data are: Social media Sentiment Web crawls Satellite & weather Consumer … More Alternative Data, Investment Strategies and the Principle of Incompatibility
The huge drop in the Dow yesterday by a whopping 1175 points – the biggest drop in history. The graph below gives an idea of the magnitude of the plunge. Experts have been saying for a long time now that the Vix index – see below – has been unusually low. The Vix, according to … More The Dow Plunge, the Vix and Modern Volatility Measures
Some time ago we indicated Deutsche Bank – with all likelihood the biggest threat to the stability of the global financial system – as being Too Complex To Survive. The fact that excessive business complexity can kill a business is intuitively accepted. A recent article on the decline of GE points this out: “Welch, the … More General Electric: Not ‘Too Big To Fail’ but ‘Too Complex To Survive’.