Monthly Archives: December 2009

Orpheus India Outlook 2010

By Orpheus | Published: 31 December, 2009
Absolutely speaking India is in trading range for 2 more years, relatively speaking it’s time to shift allocations. It’s the time of the year, where we account for what we got right and where we were off mark. This is what we said in our annual outlook in Jan 2009 and what happened. Anticipated – [...]
Posted in Indian Pairs and Assets | Leave a comment

Alpha India – Performance cycles updated

By Orpheus | Published: 23 December, 2009
Numeric Ranking of Nifty 50 ‘Performance cycles’ is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is [...]
Posted in Indian Pairs and Assets | Leave a comment

Alpha.Romania – BET vs BRD closes at 36%

By Orpheus | Published: 22 December, 2009
…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 [...]
Posted in Romanian Pairs and Assets | Leave a comment

Alpha.India – Reliance bottoms

By Orpheus | Published: 15 December, 2009
Performance cycles challenge the conventional idea of bottoming and topping. When we talk about such ideas why do we always talk about absolute performance, why not relative performance? Why did relative, comparative performance never matter? Why though portfolio was always benchmarked to the market performance, markets give such less attention to relative selection. Absolute vs. [...]
Posted in Indian Pairs and Assets | 2 Comments

Alpha.CEE – Short Polish WIG, Long Austrian ATX

By Orpheus | Published: 8 December, 2009
This is the best part of performance cycles, it not only challenges conventional knowledge but also simplifies performance between any two assets, in this case the Polish WIG and Austrian ATX. From 12 Oct – 4 Dec the Polish WIG outperformed Austrian ATX returning 12% over 53 days. Now the polarity has reversed and it’s [...]
Posted in Central and East European Region | Leave a comment

Alpha.Energy – Is 0.9 correlation between Chevron – Brent tradable?

By Orpheus | Published: 7 December, 2009
Brent Crude is the biggest of the many major classifications of oil. Brent Crude is sourced from the North Sea. Strathspey field is one of the hundreds of Oil fields in North Sea. Chevron owns 67% of the Strathspey field. Brent is the commodity, Chevron is the equity based on the commodity. A correlation of [...]
Posted in Energy Pairs and Assets | Leave a comment

ALPHA.INDIA: Can HDBK – ICBK pair diverge 100%?

By Orpheus | Published: 6 December, 2009
This is another of our divergent pairs, where we isolated 8% in 14 days. This is more than 100% annualized performance. The Reliance vs. Nifty pair delivered 30%, TCS vs. Nifty delivered 156%, Infosys vs. CNXIT (Tech Index) delivered 72%, SBI vs. HDFC delivered 50% and there are more. Performance pair cycles isolates extreme divergences [...]
Posted in Indian Pairs and Assets | Leave a comment

ALPHA.ROM: Revisiting BET vs BRD.

By Orpheus | Published: 6 December, 2009
All our six pairs are running a profit. The BET vs. BRD pair is leading with 40% absolute and 140% annualized returns. The pair is running consistently for 108 days. This means that starting 14 July ALPHA.ROM  identified the top performer. We carried TLV last time. The performance cycle for the same has turned lower [...]
Posted in Romanian Pairs and Assets | Leave a comment

ALPHA.INDIA – Indian Pairs

By Orpheus | Published: 3 December, 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 Indian Pairs and Assets | Leave a comment

ALPHA.ROM – What is better BRD or TLV?

By Orpheus | Published: 1 December, 2009
Performance cycles turned in favor of TLV on 24 Jul when the pair performance cycles between BRD and TLV topped. Starting 24 July till 19 Nov respective pair performance cycles continued to push lower. During this period LONG TLV – SHORT BRD strategy delivered  60% gains. This is 168% annualized gains. Now did we ever [...]
Posted in Romanian Pairs and Assets | Leave a comment