{"id":4875,"date":"2024-09-18T11:24:43","date_gmt":"2024-09-18T09:24:43","guid":{"rendered":"https:\/\/monocle.lu\/?p=4875"},"modified":"2024-09-18T11:24:43","modified_gmt":"2024-09-18T09:24:43","slug":"le-tri","status":"publish","type":"post","link":"https:\/\/monocle.lu\/en\/2024\/09\/18\/le-tri\/","title":{"rendered":"\u00ab\u00a0Le Tri\u00a0\u00bb"},"content":{"rendered":"\n\n\n
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En violet l’Euro contre Dollar, en orange la volatilit\u00e9 implicite 3 mois de ce m\u00eame couple de devises. Sur le premier, on voit que le niveau de 1.11 a \u00e9t\u00e9 test\u00e9 \u00e0 trois reprises dans les derniers 18 mois, sans r\u00e9ussir \u00e0 aller au-dessus. Sur le second, la volatilit\u00e9, les yoyos autour de 6% semblent \u00eatre des pr\u00e9mices de quelque chose de plus important.<\/p>\n

Grant citait dans sa lettre hier ce commentaire de Chris Turner, strat\u00e9giste d’ING:<\/p>\n

\u00ab\u00a0L’augmentation de la volatilit\u00e9 sur le march\u00e9 des changes entra\u00eene une hausse d’un indicateur appel\u00e9 Value-At-Risk [qui mesure les pertes potentielles pour une position donn\u00e9e]. Les gestionnaires de risques demandent alors aux traders de r\u00e9duire leurs positions. La volatilit\u00e9 peut donc \u00eatre le catalyseur pour d\u00e9clencher ce mouvement global de r\u00e9duction des positions<\/em><\/u>.\u00a0\u00bb<\/p>\n<\/div>\n<\/div>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n
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Maintenant, sur celui-ci, on a en orange la volatilit\u00e9 implicite sur le SP500 – le VIX – et en violet l’Open Interest, c’est \u00e0 dire le nombre de positions ouvertes sur le march\u00e9 de Chicago sur ce m\u00eame produit.<\/p>\n

C’est relativement simple \u00e0 lire: quand tout le monde est euphorique, les op\u00e9rateurs vendent la volatilit\u00e9 – car \u00ab\u00a0il n’y a plus de risque\u00a0\u00bb donc l’Open Interest monte et le VIX descend. G\u00e9n\u00e9ralement la fin de ce cycle se termine en complaisance, voir en inconscience, comme fin 2017 avant l’accident qui arrive juste apr\u00e8s – nomm\u00e9 \u00ab\u00a0Volmageddon\u00a0\u00bb par la presse en f\u00e9vrier 2018. Hormis ce cas exceptionnel, j’ai soulign\u00e9 sur le graphique les moments o\u00f9 l’Open Interest a baiss\u00e9 et la volatilit\u00e9 est remont\u00e9e. Il s’agit de fin 2018, juste avant que Powell ne pivote sur les taux, et de fin 2021 au top du march\u00e9.\u00a0C’est \u00e0 dire \u00e0 chaque fois \u00e0 des tops ou des bas de march\u00e9 sur le SP500.<\/p>\n

En 2018 on sortait d’une fin d’ann\u00e9e difficile avec une baisse de 20% dans le dernier trimestre. En 2021 ce signal sonnait le d\u00e9but d’une baisse de – idem – 20% avec un plus bas touch\u00e9 en octobre 2022.<\/p>\n

Donc \u00e9videmment, arriver dans la m\u00eame situation aujourd’hui, avec un indice qui a retouch\u00e9 hier son plus haut historique de juillet, apr\u00e8s les \u00e9v\u00e9nements du 5 ao\u00fbt avec la plus forte baisse du Nikkei en 40 ans et \u00e0 la veille d’un changement de cycle mon\u00e9taire par la FED, m’inqui\u00e8te.<\/p>\n

Par cons\u00e9quent ma recommandation c’est de prendre votre portefeuille et de faire le tri comme Tom Berenger, le guide de montagne dans Randonn\u00e9e pour un Tueur (1988), le fait pour le sac \u00e0 dos de Sidney Poitier, le flic de ville, alors qu’ils s’appr\u00eatent \u00e0 partir \u00e0 la poursuite d’un tueur dans la montagne:\u00a0ne garder que l’essentiel<\/strong><\/u>\u00a0<\/em>!<\/p>\n<\/div>\n<\/div>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n
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Focus march\u00e9s et portefeuille<\/strong><\/h2>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n
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March\u00e9\/Portefeuille<\/span><\/h2>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n
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Le fonds gagne 1.5% du 06 au 13 septembre – comme le CAC – et le S&P500 fait +4.0%.<\/p>\n

Nos lignes ont particip\u00e9 \u00e0 la remont\u00e9 de march\u00e9 de la semaine pass\u00e9e avec notamment Aurora qui contribue pour 44bps (+29% sur la semaine), Galapagos (+7%) rapporte +34bps, et enfin Duolingo (+10%) et Affirm (+14%) nous rapportant une vingtaine de points de base chacune.<\/p>\n

Notre exposition action nette est \u00e0 12%.<\/p>\n

Pas de nouveau mouvement \u00e0 signaler cette semaine.<\/p>\n<\/div>\n<\/div>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n\n\n\n
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Bonne semaine,<\/p>\n

Charles<\/p>\n<\/div>\n<\/div>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n","protected":false},"excerpt":{"rendered":"

En violet l’Euro contre Dollar, en orange la volatilit\u00e9 implicite 3 mois de ce m\u00eame couple de devises. Sur le premier, on voit que le niveau de 1.11…<\/p>","protected":false},"author":8,"featured_media":4876,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"inline_featured_image":false,"footnotes":""},"categories":[1],"tags":[],"class_list":["post-4875","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-le-billet-de-monocle"],"acf":[],"yoast_head":"\nMonocle - "Le Tri"<\/title>\n<meta name=\"robots\" content=\"noindex, follow\" \/>\n<meta property=\"og:locale\" content=\"en_GB\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Monocle - "Le Tri"\" \/>\n<meta property=\"og:description\" content=\"En violet l’Euro contre Dollar, en orange la volatilit\u00e9 implicite 3 mois de ce m\u00eame couple de devises. 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