Long BETXT, Short DOW delivers 143%.

Starting with this week, Alpha.Rom, comes with a new update. We replaced Flamingo with DOW, kept the list at 25 stocks, and started two new cases: DOW Futures-SIF5 Futures and DOW Futures-BETXT.

DOW secular underperformance on BETXT since February 2009 registered 143% and is now heading for a reversal. The DOW vs. BETXT performance cycle is bottoming meaning that it is time for BETXT to underperform DOW. As emerging markets are known to lead global equity at primary (multi month) turns, this could also be seen as an emerging market signal.

Now, that the DOW futures on SIBIU have started trading, one can also look at a performance pair between SIF5 futures and DOW Futures. We created the performance cyle between DOW and SIF5. The Short DOW – Long SIF5 pair delivered 54% since 6 Nov 2009. We are expecting a reversal in polarity now.

As for the pairs that we are currently running, the Long SNP- Short BETXT pair delivered 10% week over week. The Long BETXT – Short TGN pair started to deliver pointing to the underperformance of TGN, against popular belief. The pharmaceutical sector pairs (ATB, BIO) that we initiated are flat. ALR is also expected to hold. TLV and BRD are expected to close soon and start their outperformance against BETXT.

On the long only, short only side we have no short signals yet, DAFR running for 34 days with 28.7% return. The latest ALPHA.ROM carries the latest Numeric Ranking on BETXT stocks, numeric ranking changes, long only – short only signals, performance and pair cycles and strategy updates. TGN, TEL are the top ranked stocks while DOW, BRD the worst suggesting that DOW, BRD, should outperform TGN, TEL. Enjoy the latest ALPHA.ROM.

Strategy Update

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 legs should be risk weighted before any implementation.

Coverage: BETXT, BETXT components, SIF5 Futures, DOW Jones

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.

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