Monthly Archives: November 2009

ALPHA.GLOBAL – Short Pfizer, Long J&J continues

By Orpheus | Published: 30 November, 2009
To login to the member’s area or access Orpheus estore click here. 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 [...]
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ALPHA.INDIA – Grasim to outperform L&T

By Orpheus | Published: 29 November, 2009
The pair performance cycle between Grasim vs. L&T has reached a low and suggests a turn around. This means Grasim should outperform L&T now. Performance pair cycles isolates extreme divergences between highly correlated and similar sector peers too. We have illustrated the backtested results of the pair. The tendency has changed in favor of Grasim [...]
Posted in Indian Pairs and Assets | 1 Comment

ALPHA ENERGY: Chevron moves up in rankings

By Orpheus | Published: 29 November, 2009
What does it mean if a stock nears top ranking among its peers, like Chevron is doing now among the top 11 energy and utility assets in the world? (The stock moved up a place higher from last week and is at the second spot now). It means that Chevron’s best performance is behind and [...]
Posted in Energy Pairs and Assets | Leave a comment

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). [...]
Posted in Global Pairs | Leave a comment

ALPHA.INDIA – TCS VS NIFTY UP 60%

By Orpheus | Published: 23 November, 2009
Performance pair cycles isolates extreme divergences between highly correlated and similar sector peers too. Starting 8 July, Long TCS – Short Nifty strategy returned 60%. Another pair illustrated on ALPHA was Long Nifty – Short Reliance. This pair delivered 14% since  30 Jun. This is 150% and 37% annualized performance respectively for the two pairs. [...]
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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 [...]
Posted in Energy Pairs and Assets, Global Pairs | Leave a comment

ALPHA.CEE – CENTRAL AND EASTERN EUROPE INDICES

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 [...]
Posted in Romanian Pairs and Assets | Leave a comment

ALPHA.ROM – Can BRD outperform BETXT by 100%?

By Orpheus | Published: 22 November, 2009
We wrote on divergent pairs and how such recurrence performances can challenge the inefficient behavioral school, which believes that mispricing in markets are not easy to capture. Large 100% absolute outperformance of a component against its index or sector peer like we illustrated in Grasim and L&T (Indian multibillion dollar companies) might look like coincidence, [...]
Posted in Romanian Pairs and Assets | Leave a comment

ALPHA.ROM – Long BETXT Short SNP delivers 16%

By Orpheus | Published: 16 November, 2009
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 [...]
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ALPHA.INDIA – CAN SHORTING GRASIM AGAINST L&T MAKE 100%?

By Orpheus | Published: 15 November, 2009
I bet you think we are crazy, but performance pair cycles can isolate extreme divergences between highly correlated and similar sector peers too. Starting 24 Oct – 24 Mar, a Long Grasim – Short L&T strategy returned 72%, while from 24 mar  – 1 July, the Short Grasim – Long L&T strategy returned 100%.  The [...]
Posted in Indian Pairs and Assets | Leave a comment