SNP, TEL, TGN, ATB to underperform BETXT

Today we initiate new pairs as SNP, TGN. TEL, ATB get ready to underperform BETXT. BRD – BETXT remains a running pair in favor of BRD.

We close ATB-BETXT as ATB tops performance cycles and gets ready to underperform. The DOW and STOXX outperformance against many BVB majors has topped. Both DOW and STOXX get ready to underperform. This is why we closed DOW-BETXT and DOW-SIF5 Futures. TLV is ready to underperform BETXT leading to a close in running pair. Though the performance cycle is up for Bio, the bottoming process is ongoing. We have a close signal there. We review next week in case the pair has to be restarted. Barring COMI – BETXT which hit a stop, all other pairs delivered 5%, 18%, 47%, and 6% respectively.

The latest Alpha Romania carries the latest numeric ranking, numeric ranking changes, long only – short only signals, running pair performance signals, performance and pair cycles and strategy updates. COMI, AZO, CMP, ALR are the top ranked stocks, while SIFs remain the worst ranked and hence the best potential outperformers for weeks ahead. All of short only signals closed last week with gains on SIF4, SIF2, SIF3 and BETFI. BRD is the only short signal still running with a profit of 15%.

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

Strategy Update

Numeric Ranking

Performance Cycles – I

Performance Cycles – II

Dr. Ionut Nistor is the co-author of Performance Cycles paper published in Kyoto Economics Journal. Ionut has been part of the core team that developed and nurtured the idea of Alpha products since July 2008. A real gentleman with a kind disposition, Ionut’s understanding of markets and finance comes from his decade long experience as a professor of Corporate Finance. Currently he is pursuing his post doctorate studies at Kobe University in Japan. He is fluent in Japanese, Romanian and English and plays multiple roles at Orpheus. He is the academic consultant for Orpheus, assisting us in taking many of our ideas to the academic world. Currently he is working on an Orpheus paper for an economic conference in Tokyo in August 2010. He also handles Alpha Romania and Alpha Japan. You can follow his work on Econohistory and linia de trend blogs and soon on the SSRN (Social Science Research network).

The Bric Model from a Japanese Perspective
Ionut Nistor – Econohistory
Alpha Romania

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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