Category Archives: Global Pairs

Alpha.Forex – Dollar outperformance against LERO continues.

By Orpheus | Published: 26 March, 2010
We illustrated the Dollar Index – EUR USD (LERO.L) strategy last time. We illustrated the dollar index performance cycle against EUR USD, which was turning up. Since 16 Mar, the Dollar Index – LERO (EURUSD) pair registered a gain of 6%. Owing to the short history of exchange traded currency commodities we are running a [...]
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Alpha Forex – Can long Dollar Index, Short Euro Dollar make money?

By Orpheus | Published: 18 March, 2010
When it came to dealing with forex, I had to rethink whether performance cycles will work on Forex. The thoughts which came to mind was “Mukul forex is a pair too”, so performance cycles should work on forex too, irrespective of anything. When Orpheus was travelling to Sofia and Skopje, we were told clearly to [...]
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Alpha.Bonds – Arbitraging Romanian Yields

By Orpheus | Published: 15 March, 2010
Geographical biases are so strong that either investors are too optimistic about them or too pessimistic. Take the example of Romanian equity. Market participants were so negative about the markets that equity delivered handsome returns in 2009. We can’t change mindsets, what we can do is illustrate workability when it is assumed that none exists. [...]
Also posted in Bonds, Romanian Pairs and Assets | 1 Comment

Alpha.global.Indices – Short Hong Kong, long Dow delivers 17%

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 [...]
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Alpha.bonds – long German 30 yrs, short US 10 yrs deliver 25% annualized

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 [...]
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Alpha.Global.Indices (Alpha.Romania) – Profiting from DOW futures

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 [...]
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Alpha.Bonds – Schatz vs. Bobl

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 [...]
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Alpha.Global Indices – Long Nikkei, Short BVSP (Brazil) delivers 13% in 40 days

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 deliver [...]
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ALPHA.GLOBAL.INDICES – Long Nikkei, Short Brazil (BVSP)

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). [...]
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ALPHA.ENERGY – Long Gazprom, Short Chevron

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 [...]
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