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ALPHA.ROM – Long BETXT Short SNP delivers 16%
If you would have known that SNP will underperform BETXT from 20 Aug by 16% what would you have done? You would have created a BETXT portfolio without SNP in it. How would it have helped? Your BETXT portfolio without SNP would have returned more than just a plain BETXT portfolio. Is 16% valuable in portfolio construction? If you annualize 16% return in 85 calendar days it comes to 69%. The latest ALPHA.ROM carries the latest numeric ranking on Romanian Stocks and CEE indices. Hungarian BUX remains the top ranked performer (REDUCE) and CZECH PX and Romanian BETFI the worst performers (ACCUMULATE). BRD, TLV despite the ongoing positivity have topping performance cycles. ATB, TERPLAST, TEL, TGN remain the best picks for the quarter ahead. Enjoy the latest ALPHA.ROM. For further information please mail us or visit econohistory.com.
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ALPHA is a pair trading, long only and short only strategy 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.
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. The type of trade will be depicted in the degree i.e. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). The legs should be risk weighted before any implementation. We are assuming a running stop loss of 4% per traded pair. BRD/BET means LONG BRD, SHORT BET. This also means +A-B. When the pair inverts to BET/BRD, it would mean SHORT BRD, LONG BET meaning -A+B.
LONG ONLY, SHORT ONLY portfolio covers SIF2, SIF5, BRD, ERST, TGN. BET, BETFI, BETNG, BETXT, SNP.
STOP LOSS AND EXITS are activated at 4%
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