By Orpheus | Published:
21 February, 2010
The Dow performance cycles have turned lower. The Dow is set to underperform the S&P 500 and many other global benchmarks like Indian Sensex and Hong Kong Hang Seng. This is not very surprising as HSI and Sensex share a high correlation. Moreover Hang Seng has been underperforming DOW since May 2009. The Long Dow [...]
By Orpheus | Published:
9 February, 2010
The running pairs are long German 30 yrs - short German 10 yrs (Bund); long German 30 yrs – short German 5 yrs (Bobl). The pairs about to close are long German 30 – short US 10 yrs (up 6.83% in 102 days i.e. 25% annualized) and long German 30 yrs – short German 2 [...]
By Orpheus | Published:
26 January, 2010
This is the excerpt of the brief presentation made by Mukul on the SIBEX 15 year anniversary.
Q: Is Dow connected to Romanian Bet?
A: Performance connects everything including DOW and BET.
Q: Does this performance move?
A: Yes it does. From 7 July 2009, Dow moves up from 10 ranking to 4, BET moves down from 4 ranking [...]
By Orpheus | Published:
13 January, 2010
The latest Alpha Bond carries Numeric Rankings from 8 Nov 2009, 13 Jan 2010 and the change in rankings. The idea is to illustrate that Numeric Rankings are not static as they are based on performance. When relative performance changes, Numeric Ranking also changes. Over the last few weeks the biggest change in Rankings is [...]
By Orpheus | Published:
7 January, 2010
We carried the Long Nikkei – Short Brazil BVSP strategy on 26 Nov 2009. Nikkei outperformed against Brazil BVSP and delivered 13% in 40 days. ALPHA Global Indices have done this regional strategy on prior occasions between India and China, Dow and Nikkei etc. Now with Numeric Ranking between top global Indices we can [...]
By Orpheus | Published:
26 November, 2009
We carried the Long India – Short China strategy on 21 Feb. If this was not enough, we surprised by publishing an academic paper (Kyoto University Journal) on performance cycles suggesting Nikkei outperformance against Brazil and China and Nikkei underperformance against India and Russia. Guess what, the pairs delivered. Now we created ALPHA (profiled below).
The [...]
By Orpheus | Published:
22 November, 2009
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 [...]
By Orpheus | Published:
8 November, 2009
Understanding interest rates and bond markets are key for not only understanding macro economic situation but also Intermarket capital flows. ALPHA BONDS introduces Numeric Ranking between American, Japanese and German bonds. The product also illustrates pair and individual cycles between bonds. The debut issue focuses on quarterly tendencies and will be adding intermediate (multi week) [...]
Posted in Global Pairs | Tagged bonds |
By Orpheus | Published:
28 September, 2009
The first pair we tested on performance cycles were BOEING vs. OIL in July 2008. Oil was heading into new highs every day and Boeing was underperforming. Time fractals suggested that it was time for the performance cycle to turn in favor of the Industrial major. What happened was historical. The performance cycle we were [...]
By Orpheus | Published:
21 September, 2009
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 [...]