Alpha.India: SBI – HDFC, TCS – Infosys pairs added

We added two fresh pairs to our running pairs tracker. Long HDFC – short SBI and long TCS – short Infosys started on 17 Jun. The performance cycles turned and suggest that both of the pairs should deliver gains over the next few weeks. Our SBI – Maruti and Nifty – Maruti pairs are up 4% and 5% respectively. Nifty – HDFC is running negative, but the performance cycles continues to point lower in favor of Nifty, therefore we continue to hold the pair. Tisco – Sterlite continues to deliver as anticipated and is up 19%.

We sorted our long only – short only tracker by holding period and numeric ranking. The aim is to add filters to classify the naked calls further. A top performer may not give a short signal immediately. The long only – short signal system is trending and hence a reversal is backed by price confirmation. SBI is a top ranked performer that we expect to underperform. So from a Numeric Ranking perspective HLL is a better long than SBI, as the FMCG major has the least ranking among longs. The performance cycle for HLL is still positive, suggesting outperformance.

SBI was dethroned by HDFC this week as the top numerically ranked performer. The two financial stocks are the top potential underperformers for the next few weeks. Meanwhile at the bottom we have two metals stocks, Tisco and Sterlite. On the sector side we have Capital Goods at the top and Oil and Banks at the bottom.

The latest Alpha India carries long only – short only signals, pair tracker, numeric ranking, numeric ranking changes, performance cycles.

For more information on Alpha India mail us at support@orpheus.asia

Michesan Anna-Maria, the columnist for the WAVES.INDIA weekly and Head of India Research. Anna discovered her interest of markets immediately after completing her graduate studies in Economics. She followed it up with post graduate studies in corporate finance. A host of research work in behavioral finance, option strategies and quantifying market sentiment followed. Anna covers Indian equity and combines Elliott, Time Fractals and Time Analytics to deliver accuracy across time frames. To review some of her work, check out the annual India accuracy report 2009.

India Accuracy Report 2009
Alpha India

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 India: BSE Health Care and components
Stop loss and exits are activated at 4%

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.

*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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