Alpha.Global Indices – Long Nikkei, Short BVSP (Brazil) delivers 13% in 40 days

We carried the Long Nikkei – Short Brazil BVSP strategy on 26 Nov 2009. Nikkei outperformed against Brazil BVSP and delivered 13% in 40 days. ALPHA Global Indices have done this regional strategy on prior occasions between India and China, Dow and Nikkei etc. Now with Numeric Ranking between top global Indices we can deliver regional strategies across time frames. The latest ALPHA.GLOBAL INDICES carries Numeric ranking among various global Indices viz. BVSP (Brazil), IRTS (Russia), Sensex (India), DOW (US), DAX (Germany), CAC (France), Nikkei (Japan), Hang Seng (Hong Kong) etc. The Japanese Nikkei which was at the bottom of rankings last time has moved up. Now a regional emerging market Index, BET Romania is at the bottom of rankings. The interesting pairs to watch the coming weeks are + Sensex (India) – SSEC (China). Dow is set to underperform BET(Romania), SSEC (China), CAC (France), FTSE(UK), Nikkei (N225) and Sensex (India). While Nikkei should outperform BET (Romania) and India (+ Nikkei – Sensex; + Nikkei – BET). Now a regional emerging market Index, BET Romania is at the bottom of rankings. The idea of performance cycles is very simple. A top outperformer can not remain at the top despite all wishful thinking and a top underperformer can’t remain in the rut even with all the odds piled against it. Hence the perfect time to get into an asset is when it is reeling at the bottom of the rankings and best time to get out of an asset is when its the best and at the top.

ALPHA is a pair trading, long only – short only strategy and numeric ranking product based on TIME fractals.  Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

COVERAGE: BVSP (Brazil), IRTS (Russia), Sensex (India), DOW (US), DAX (Germany), CAC (France), Nikkei (Japan), Hang Seng (Hong Kong) .

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Econohistory is the study of performance cycles between assets. Cycles are the generic name for time fractals. Performance cycles can be studied for any time frame, for as small as a tick data to multiyear time frames. This objective approach to performance cyclicality can explain why intermarket analysis is an area of study? Why bonds and commodities tend to be inversely related? What is the connection of Oil with world markets? Why the world watches DOW sometimes and sometimes a 500 point effect on DOW seems to have no impact? Why correlation between assets moves from near perfect at times to weak correlation at other times? Why the same news has different impact on a stock or market? Why equities and bond trend together and why the relationship decouples sometime? When will inflation become deflation, disinflation, stagflation or hyperinflation? When and why does gold outperform and underperform silver?  Econohistory can objectively answer these questions, using performance cycles, time fractals and past data. Economic history is mathematical.

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