Alpha.Romania – BET vs BRD closes at 36%

…and BETXT vs. BRD closes at 33%. What does this mean? This means that starting late July BRD the blue chip Banking major has reached an outperformance top again the two benchmarks BET and BETXT. When will the performance cycle invert and cause BRD to underperform BET and BETXT remains to be seen. The latest ALPHA.ROM carries the latest NUMERIC RANKING on BETXT stocks.

Performance Pairs

Long only, Short only BETXT component stocks

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.

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.

LONG ONLY, SHORT ONLY portfolio covers 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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