Alpha.Romania – BRD delivers 32% against BETXT and BET

BRD closed its pair trades against BETXT and BET on 4 Jan and 24 Dec respectively. Both the pairs delivered above 30% return in 175 calendar days. This means an annualized performance of more than 60%. The SNP pairs are still running. SNP is underperforming both BETXT and BET for more than 100 days now. The pairs against SNP have delivered an average 18% over the running duration. This means 75% annualized returns till date. TGN, SIF2, SIF5 were a few of the top potential outperformers we mentioned in our 5 Jan update.

In the update we said “Performance cycles suggest that top performers of today will underperform and vice versa. So TLV the top performer of today is expected to underperform in the time ahead while TGN should outperform”.

TGN is up 15% since 6 Jan. SIF2 and SIF5 are up 12% and 13% respectively. The latest alpha also carries the new numeric rankings for BETXT stocks.  Enjoy the latest Alpha Romania.

Portfofolio -I

Portofolio – II

Actualizare Strategie – I

Actualizare Strategie – II

Numeric Ranking

Performance Cycles

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.

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

Time Arbitrage portfolio has five pairs now viz. BRD-BET, BETXT-SNP, SIF2-SIF5, BRD-BETXT, BET-SNP. The above tracker will be updated on a daily basis. The freshly opened trades will have the shortest holding periods. Minor degree averaged 10-30 days and intermediate degree trade averages above 30 days. The legs should be risk weighted before any implementation. We are assuming a running stop loss of 2% per traded pair. SIF2/SIF5 +A-B means LONG SIF2, SHORT SIF5. While SIF2/SIF5 –A+B means SHORT SIF2, LONG SIF5.

Coverage: SIF2, SIF5, SIF4, BRD, ERSTE, TGN, BETI, BETFI, BETNG, BETXT, SNP, DAFORA, TERAPLAST, ATB, BIO, BCC

Stop loss and Exits are activated at 4%

Please feel free to mail us for any clarifications. *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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