Category Archives: Romanian Pairs and Assets

SIF5 moves up in rankings

By Orpheus | Published: 9 July, 2010
Best to worst and vice versa happen in the markets, nature and society all the time. It’s just that our current research tools are focused more on absolute than relative performance. In just a month you can see that SIF5 moved up from bottom 3 to top 3 in performance. What does it mean? This [...]
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Alpha Romania – Banking and Financials

By Orpheus | Published: 28 June, 2010
It might look strange, but banking and financials are at the bottom of numeric rankings. All of BRD, SIFs and Impact are at the bottom. What does this mean? This means unlike popular belief that financials are more in the heat of things, it’s the financials that should outperform the rest of the market. And [...]
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SNP, TEL, TGN, ATB to underperform BETXT

By Orpheus | Published: 22 June, 2010
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 [...]
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Alpha Romania – Long DOW, short SIF5 Futures up 70%

By Orpheus | Published: 14 June, 2010
Strategy Update Exactly two months ago, we initiated the DOW-SIF5 Futures pair. We are now up, with 70% gain. Also DOW-BETXT is up since last week, and reaches 32% gain. ATB showed an underperformance against DOW, thus closing the ATB-DOW pair on stop loss hit. The other pharmaceutical pairs recorded increases taking BIO-BETXT to 5% [...]
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Alpha.Romania: Dow, Betxt close at 26% in 48 days

By Orpheus | Published: 7 June, 2010
The performance cycles suggest it is time to close long DOW, short BETXT pair. The pair delivered 26% in 48 days. All our three running pharmaceutical pairs (BIO-BETXT, ATB – DOW FUTURES, ATB-BETXT) are marginally up since last week. We continue to look at the outperformance on the pharma sector. Also the financials TLV and [...]
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Alpha.Romania – Pharma sector back in focus

By Orpheus | Published: 31 May, 2010
We initiate today Long BIO – short BETXT pair. We are already running ATB-BETXT pair with 10% gains, long Dow – Short SIF5 Futures with 58% gains and Dow – BETXT with 24% gains. We initiate the Long BETXT – Short TGN pair and the ATB-DOW pair. We closed the latter pair last week as [...]
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Reducing Romanian BETXT portfolio risk by hedging with Dow Jones Euro STOXX 50

By Orpheus | Published: 25 May, 2010
Orpheus Performance cycles are not only about ranking assets, long only – short only signal, but also about the time arbitrage. This arbitrage is between performance, buying the performer and selling the underperformer. Such a strategy reduces overall volatility in the payoff. We saw this happening on prior occasions where despite market volatility, the pair [...]
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Alpha.Romania: long DOW, short SIF5F up 36%

By Orpheus | Published: 18 May, 2010
Long Dow Short SIF 5 Futures pair turns 4 weeks old and brings 36% gain. After adjustments to the TLV price due to changes in the reference price for the trading session of May 12, the pair is up at 16%. We initiate the Dow, ATB pair today. The latest Alpha Romania carries the latest [...]
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Alpha.Romania – Long DOW, short BETXT up 21%

By Orpheus | Published: 9 May, 2010
As anticipated the running long DOW – short BETXT initiated on 19 April is up 21%. We are looking for a reversal on polarity as DOW heads the top of the rankings this week. COMI underperformed BETXT (up 27% in three weeks), long BRD – short BETXT is up 9% and long ATB – short [...]
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Alpha.Romania – Long DOW, short SIF5 Futures delivers 6% in 13 days

By Orpheus | Published: 1 May, 2010
We initiated long DOW – short SIF5 Futures pair on 19 April. The pair is up 6% in 13 days. The other pair that we initiated, Long DOW – short BETXT is also up 7% for the same period. We incorrectly mentioned in the 19 April report ATB, BIO as underperformers to SIF5 futures. Both [...]
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