Short Nickel, Long AIGP up 56% in 52 days

By Orpheus | Published: 7 June, 2010

We suggested shorting Nickel against AIGP (Precious Metals) on 19 Apr. The pair is up 56% in 52 days. We illustrated the silver outperformance on 22 Feb. Barring long silver-Short AIGP, which gave away all the 10% gains, the other two pairs viz. long silver-short copper, long silver- short platinum delivered. Now silver has reached numeric ranking tops and copper has reached the bottom.

The latest Alpha Metals carries numeric ranking, numeric ranking changes, performance cycles, running pair signals, new pairs and pair trackers. To keep up with updated signals, mail us for subscription details.

Strategy Update

Numeric Ranking

Performance Cycles

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 a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

METALS: STEEL, ZINC, NICKEL, TIN, ALUMINIUM, URANIUM, GOLD, SILVER, LEAD

STOP LOSS AND EXITS are activated at 4%

Please feel free to mail us for any clarifications. *This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

To login to the member’s area or access Orpheus estore click here.

Orpheus Research at Reuters – United Kingdom

Orpheus Research at Reuters – United States

Posted in Metal Pairs | Leave a comment

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 BRD are marginally up. We have 15 short signals still running on the long only, short only portfolio with short SIF2 registering top gains at 35%.

The latest Alpha Romania carries the latest numeric ranking, numeric ranking changes, long only – short only signals, running pair performance signals, performance and pair cycles and strategy updates. AZO, SNP, CMP are the top ranked stocks, while SIF1, SIF5F, SIF2 the worst.

For more information on Alpha Romania mail us at support@orpheus.asia

Strategy Update

Performance Cycles

Performance Cycles – II

Dr. Ionut Nistor is the co-author of Performance Cycles paper published in Kyoto Economics Journal. Ionut has been part of the core team that developed and nurtured the idea of Alpha products since July 2008. A real gentleman with a kind disposition, Ionut’s understanding of markets and finance comes from his decade long experience as a professor of Corporate Finance. Currently he is pursuing his post doctorate studies at Kobe University in Japan. He is fluent in Japanese, Romanian and English and plays multiple roles at Orpheus. He is the academic consultant for Orpheus, assisting us in taking many of our ideas to the academic world. Currently he is working on an Orpheus paper for an economic conference in Tokyo in August 2010. He also handles Alpha Romania and Alpha Japan. You can follow his work on Econohistory and linia de trend blogs and soon on the SSRN (Social Science Research network).

The Bric Model from a Japanese Perspective
Ionut Nistor – Econohistory
Alpha Romania

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 in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

Time Arbitrage portfolio legs should be risk weighted before any implementation.

Coverage: BETXT, BETXT components, SIF5 Futures, DOW Jones

Stop loss and Exits are activated at 4%

Please feel free to mail us for any clarifications. *This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

To login to the member’s area or access Orpheus estore click here.

ORPHEUS RESEARCH AT REUTERS – UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS – USA

Posted in Romanian Pairs and Assets | Leave a comment

Alpha India: Maruti outperformance begins

By Orpheus | Published: 6 June, 2010

We have been mentioning in our latest Alpha India reports that we are expecting new entry signals in the case of the long Nifty – short HDFC, short Nifty – long Maruti pairs. The signals have come as anticipated and we started the respective pairs. We also have a fresh signal for the long Maruti – short SBI pair. The two stocks are at extreme rankings and we expect Maruti to outperform not only the broad market, but also our top potential underperformer, SBI.

We closed the Nifty – Hero Honda pair at a stop loss, the Nifty – Bhel at a marginal 5% gain after it failed to deliver sizeable divergence in 100 days. The performance cycles of Bhel has bottomed. Nifty – Infosys pair at 0% as it has been running for 77 days. The rest of our pairs are running positive. Nifty – Tata Motors gains have dropped to 3%, but performance cycles continue to suggest that Tata Motors underperformance should continue and we should see larger gains in the respective pair. Tisco –Sterlite and Nifty – ACC are up 12% and 16%, respectively.

On the sector side, FMCG remains at the top, meanwhile Metals has pushed lower to the bottom. We also carried the tracker for our sector specific pairs that we have been mentioning in our mid week special reports. We carry a special update on Hero Honda in the report.

The latest Alpha India carries long only – short only signals, pair tracker, numeric ranking, numeric ranking changes, performance cycles.

For more information on Alpha India mail us at support@orpheus.asia

Performance Cycles – I

Performance Cycles – II

Michesan Anna-Maria, the columnist for the WAVES.INDIA weekly and Head of India Research. Anna discovered her interest of markets immediately after completing her graduate studies in Economics. She followed it up with post graduate studies in corporate finance. A host of research work in behavioral finance, option strategies and quantifying market sentiment followed. Anna covers Indian equity and combines Elliott, Time Fractals and Time Analytics to deliver accuracy across time frames. To review some of her work, check out the annual India accuracy report 2009.

India Accuracy Report 2009
Alpha India

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 a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

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 in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

Time arbitrage portfolio legs should be risk weighted before any implementation.
Coverage India: BSE Health Care and components
Stop loss and exits are activated at 4%

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 in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Econohistory is the study of performance cycles between assets. Cycles are the generic name for time fractals. Performance cycles can be studied for any time frame, for as small as a tick data to multiyear time frames. This objective approach to performance cyclicality can explain why intermarket analysis is an area of study? Why bonds and commodities tend to be inversely related? What is the connection of Oil with world markets? Why the world watches DOW sometimes and sometimes a 500 point effect on DOW seems to have no impact? Why correlation between assets moves from near perfect at times to weak correlation at other times? Why the same news has different impact on a stock or market? Why equities and bond trend together and why the relationship decouples sometime? When will inflation become deflation, disinflation, stagflation or hyperinflation? When and why does gold outperform and underperform silver? Econohistory can objectively answer these questions, using performance cycles, time fractals and past data. Economic history is mathematical.

To login to the member’s area or access Orpheus estore click here.

ORPHEUS RESEARCH AT REUTERS – UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS – USA

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The dollar underperformance

By Orpheus | Published: 4 June, 2010

Since 16 Mar, the dollar index – LERO (EURUSD) pair registered a gain of 24%. The other running pair long dollar index – short GBP is also up 14%. Another historical case witnessed dollar index outperforming Japanese Yen for 13% since 25 Feb. Performance cycles have turned lower and suggest a close on the respective pairs. This means a reversal in performance for dollar index. The dollar index should underperform now all of GBP, EUR, Yen. The latest Alpha Forex carries the numeric ranking, numeric ranking changes, running pair signals, strategy update and performance cycles.

Numeric Ranking

Strategy Update

Performance Cycles

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 a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Assets Covered : Assets Covered : 1: SNOK.L (Short Norwegian Krone) 2: GCZ0 (Gold) 3: DDSH0 (Silver) 4. BRT- (Brent) 5: SSEK.L (Short Swedish Krona) 6: LAUD.L (Long Australian Dollar) 7: LCAD.L (Long Canadian Dollar) 8: LGBP.L (long British Pound Index) 9: LJPY.L (Long Japanese Yen) 10: LNZD.L (Long New Zealand Dollar) 11: =USD (Dollar Index)

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

To login to the member’s area or access Orpheus estore click here.

ORPHEUS RESEARCH AT REUTERS – UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS – USA

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 a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Assets Covered : Assets Covered : 1: SNOK.L (Short Norwegian Krone) 2: GCZ0 (Gold) 3: DDSH0 (Silver) 4. BRT- (Brent) 5: SSEK.L (Short Swedish Krona) 6: LAUD.L (Long Australian Dollar) 7: LCAD.L (Long Canadian Dollar) 8: LGBP.L (long British Pound Index) 9: LJPY.L (Long Japanese Yen) 10: LNZD.L (Long New Zealand Dollar) 11: =USD (Dollar Index)

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

<a href=”http://www.orpheus.asia/orpheus/login.php”>To login to the member’s area or access Orpheus estore click here.</a>

<a href=”https://commerce.uk.reuters.com/purchase/advancedSearch.do?providerList=38902″>ORPHEUS RESEARCH AT REUTERS – UNITED KINGDOM</a>

<a href=”https://commerce.us.reuters.com/purchase/advancedSearch.do?providerList=38902″>ORPHEUS RESEARCH AT REUTERS – USA</a>

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Alpha India: Mid week special, Metals

By Orpheus | Published: 2 June, 2010

Our latest mid week special carries the Numeric Ranking and performance cycles on the Indian Metals sector. Our benchmark is Bsemetals. National Aluminium is the top potential underperformer, meanwhile Tisco is most likely to outperform the Metals index. Although Nifty is not at extreme rankings yet, it has a topping performance cycle and should underperform Metals in the next few weeks.

We illustrated here a running pair performance along with the respective performance cycle. Short Tisco – long Hindalco started on 13 May and has delivered gains over 6% ever since.

The latest Alpha India also carries the updated pair tracker.

For more information on Alpha India mail us at support@orpheus.asia

Michesan Anna-Maria, the columnist for the WAVES.INDIA weekly and Head of India Research. Anna discovered her interest of markets immediately after completing her graduate studies in Economics. She followed it up with post graduate studies in corporate finance. A host of research work in behavioral finance, option strategies and quantifying market sentiment followed. Anna covers Indian equity and combines Elliott, Time Fractals and Time Analytics to deliver accuracy across time frames. To review some of her work, check out the annual India accuracy report 2009.

India Accuracy Report 2009
Alpha India

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 a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

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 in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

Time arbitrage portfolio legs should be risk weighted before any implementation.
Coverage India: BSE Metals Index and Components, Nifty
Stop loss and exits are activated at 4%

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 in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Econohistory is the study of performance cycles between assets. Cycles are the generic name for time fractals. Performance cycles can be studied for any time frame, for as small as a tick data to multiyear time frames. This objective approach to performance cyclicality can explain why intermarket analysis is an area of study? Why bonds and commodities tend to be inversely related? What is the connection of Oil with world markets? Why the world watches DOW sometimes and sometimes a 500 point effect on DOW seems to have no impact? Why correlation between assets moves from near perfect at times to weak correlation at other times? Why the same news has different impact on a stock or market? Why equities and bond trend together and why the relationship decouples sometime? When will inflation become deflation, disinflation, stagflation or hyperinflation? When and why does gold outperform and underperform silver? Econohistory can objectively answer these questions, using performance cycles, time fractals and past data. Economic history is mathematical.

To login to the member’s area or access Orpheus estore click here.

ORPHEUS RESEARCH AT REUTERS – UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS – USA

Posted in Indian Pairs and Assets | Leave a comment

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 it hit a stop. This week the short TEL – long BETXT pair hit a stop loss signal. On the Long only – Short only side we are still running negative with short BETFI at 25% gains.

The latest Alpha Romania carries the latest numeric ranking, numeric ranking changes, long only – short only signals, running pair performance signals, performance and pair cycles and strategy updates. AZO, CMP, ALR are the top ranked stocks, while SIF1, SIF5F, SIF2 the worst.

For more information on Alpha Romania mail us at support@orpheus.asia

Performance Cycles I

Performance Cycles II

Dr. Ionut Nistor is the co-author of Performance Cycles paper published in Kyoto Economics Journal. Ionut has been part of the core team that developed and nurtured the idea of Alpha products since July 2008. A real gentleman with a kind disposition, Ionut’s understanding of markets and finance comes from his decade long experience as a professor of Corporate Finance. Currently he is pursuing his post doctorate studies at Kobe University in Japan. He is fluent in Japanese, Romanian and English and plays multiple roles at Orpheus. He is the academic consultant for Orpheus, assisting us in taking many of our ideas to the academic world. Currently he is working on an Orpheus paper for an economic conference in Tokyo in August 2010. He also handles Alpha Romania and Alpha Japan. You can follow his work on Econohistory and linia de trend blogs and soon on the SSRN (Social Science Research network).

The Bric Model from a Japanese Perspective
Ionut Nistor – Econohistory
Alpha Romania

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 in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

Time Arbitrage portfolio legs should be risk weighted before any implementation.

Coverage: BETXT, BETXT components, SIF5 Futures, DOW Jones

Stop loss and Exits are activated at 4%

Please feel free to mail us for any clarifications. *This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

To login to the member’s area or access Orpheus estore click here.

ORPHEUS RESEARCH AT REUTERS – UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS – USA

Posted in Romanian Pairs and Assets | Leave a comment

Alpha.India: Long Nifty, short ACC up 17%

By Orpheus | Published: 30 May, 2010

We have been talking about ACC underperforming Nifty since mid March. The pair is now up 17% as the performance cycle kept pushing lower in favor of Nifty. We also illustrated here the short Tisco – long Sterlite pair which started at the end of April and has delivered 13% in one month.

We are expecting fresh entry signals in the case of the short Nifty – long Maruti, short HDBK – long ICBK, long TCS – short Infosys, long Nifty – short SBI, long Nifty – short HDBK and long Nifty – short HDFC pairs. SBI, HDFC and HDBK remain at the top of the list and seem ready to underperform Nifty. At the bottom of the list we have Maruti, Sterlite and DLF as top potential outperformers.

The Numeric Ranking for sectors suggests that FMCG and Oil should underperform the broad market in the weeks ahead, meanwhile Bse Small Cap and Consumer Durables are the top potential outperformers.

The long only – short only list remains mainly negative, with only Bharat Petroleum, Gail and ITC on the positive side.

For more information on Alpha India mail us at support@orpheus.asia

Michesan Anna-Maria, the columnist for the WAVES.INDIA weekly and Head of India Research. Anna discovered her interest of markets immediately after completing her graduate studies in Economics. She followed it up with post graduate studies in corporate finance. A host of research work in behavioral finance, option strategies and quantifying market sentiment followed. Anna covers Indian equity and combines Elliott, Time Fractals and Time Analytics to deliver accuracy across time frames. To review some of her work, check out the annual India accuracy report 2009.

India Accuracy Report 2009
Alpha India

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 a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

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 in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

Time arbitrage portfolio legs should be risk weighted before any implementation.
Coverage India: BSE Health Care and components
Stop loss and exits are activated at 4%

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 in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Econohistory is the study of performance cycles between assets. Cycles are the generic name for time fractals. Performance cycles can be studied for any time frame, for as small as a tick data to multiyear time frames. This objective approach to performance cyclicality can explain why intermarket analysis is an area of study? Why bonds and commodities tend to be inversely related? What is the connection of Oil with world markets? Why the world watches DOW sometimes and sometimes a 500 point effect on DOW seems to have no impact? Why correlation between assets moves from near perfect at times to weak correlation at other times? Why the same news has different impact on a stock or market? Why equities and bond trend together and why the relationship decouples sometime? When will inflation become deflation, disinflation, stagflation or hyperinflation? When and why does gold outperform and underperform silver? Econohistory can objectively answer these questions, using performance cycles, time fractals and past data. Economic history is mathematical.

To login to the member’s area or access Orpheus estore click here.

ORPHEUS RESEARCH AT REUTERS – UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS – USA

Posted in Indian Pairs and Assets | Tagged | Leave a comment

Ranking Indian health care

By Orpheus | Published: 27 May, 2010

Our latest Alpha India mid week special report carries the numeric ranking and performances cycles on the Indian Healthcare sector. The benchmark is BSE Healthcare. Lupin is the top potential underperformer, meanwhile Ranbaxy and Glaxosmithkline are most likely to outperform in the next few weeks.

We have also illustrated a pair performance along with the respective cycles. Long Bsehc – short Glaxo started on 18 May and is has delivered gains over 5% in one week.

For more information on Alpha India mail us at support@orpheus.asia

Michesan Anna-Maria, the columnist for the WAVES.INDIA weekly and Head of India Research. Anna discovered her interest of markets immediately after completing her graduate studies in Economics. She followed it up with post graduate studies in corporate finance. A host of research work in behavioral finance, option strategies and quantifying market sentiment followed. Anna covers Indian equity and combines Elliott, Time Fractals and Time Analytics to deliver accuracy across time frames. To review some of her work, check out the annual India accuracy report 2009.

India Accuracy Report 2009
Alpha India

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 a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

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 in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

Time arbitrage portfolio legs should be risk weighted before any implementation.
Coverage India: BSE Health Care and components
Stop loss and exits are activated at 4%

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 in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Econohistory is the study of performance cycles between assets. Cycles are the generic name for time fractals. Performance cycles can be studied for any time frame, for as small as a tick data to multiyear time frames. This objective approach to performance cyclicality can explain why intermarket analysis is an area of study? Why bonds and commodities tend to be inversely related? What is the connection of Oil with world markets? Why the world watches DOW sometimes and sometimes a 500 point effect on DOW seems to have no impact? Why correlation between assets moves from near perfect at times to weak correlation at other times? Why the same news has different impact on a stock or market? Why equities and bond trend together and why the relationship decouples sometime? When will inflation become deflation, disinflation, stagflation or hyperinflation? When and why does gold outperform and underperform silver? Econohistory can objectively answer these questions, using performance cycles, time fractals and past data. Economic history is mathematical.

To login to the member’s area or access Orpheus estore click here.

ORPHEUS RESEARCH AT REUTERS – UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS – USA

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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 returns were not as volatile.

Execution of a strategy is as important as the construction of the strategy. Leverage is an essential part of the execution. Local markets in Romania don’t offer low leverage instruments. To do a long ATB – Short Dow Futures pair at SIBEX the arbitrageur has to assume a leverage of 20 times on Dow futures. This means that a 5% negative performance wipes off all the capital. Hence executing a performance cycles strategy for local markets remain limited to performance rankings, stock picking, naked signals and high leverage pair trading. There is nothing wrong with the high leverage trading, but it adds volatility to an arbitrage strategy that is designed to reduce payoff volatility.

Today we explore a method to reduce leverage on the arbitrage strategy. We have introduced DJ STOXX Euro 50, in our local BETXT portfolio. The index represents the top European 50 companies. It is a popular index and well traded on the secondary market on many stock exchanges. London Stock Exchange trades a double short ETF on the Dow Jones Euro STOXX 50. This instrument offers a leverage of two times. The symbol traded as SEU2.L has a unit price of 78 Euros.

We not only ranked Dow Jones Euro STOXX 50 along with BETXT components and BETXT, but also looked at performance cycles of Dow Jones Euro STOXX 50 with SIF5, TGN, TEL, ATB etc. The performance cycles are pretty clean and suggest that we can use SEU2.L (derivative on Dow Jones Euro STOXX 50) to hedge SIF5 or local BVB stocks. One may want to ask why one would want to buy local BVB stocks. The answer is easy. Despite all the visible negativity Dow Jones Euro STOXX 50 should underperform BETXT stocks i.e. SIF5, ATB, TGN, TEL etc.

If you believe Romanian markets are oversold and could offer a good entry opportunity, but you want to have an exit strategy too, you can also use SEU2.L traded in London to hedge your local spot portfolio. This way you not only reduce the risk in the strategy making it less volatile, have more instruments to hedge than what the local market offers and also make potential arbitrage gains.

We continue to monitor the open Dow pairs. They are all up from last week: Dow – SIF5 Future 48%, Dow- BETXT 36%, ATB – BETXT is up 11% and DOW – ATB hit a stop. The latest Alpha Romania carries the latest numeric ranking, numeric ranking changes, long only – short only signals, running pair performance signals, performance and pair cycles and strategy updates. BRD, AZO, CMP are the top ranked stocks, while IMP, SIF3, SIF2 the worst. To read the report login to the member’s area.

For more information on Alpha Romania mail us at support@orpheus.asia

Dr. Ionut Nistor is the co-author of Performance Cycles paper published in Kyoto Economics Journal. Ionut has been part of the core team that developed and nurtured the idea of Alpha products since July 2008. A real gentleman with a kind disposition, Ionut’s understanding of markets and finance comes from his decade long experience as a professor of Corporate Finance. Currently he is pursuing his post doctorate studies at Kobe University in Japan. He is fluent in Japanese, Romanian and English and plays multiple roles at Orpheus. He is the academic consultant for Orpheus, assisting us in taking many of our ideas to the academic world. Currently he is working on an Orpheus paper for an economic conference in Tokyo in August 2010. He also handles Alpha Romania and Alpha Japan. You can follow his work on Econohistory and linia de trend blogs and soon on the SSRN (Social Science Research network).

The Bric Model from a Japanese Perspective
Ionut Nistor – Econohistory
Alpha Romania

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 in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

Time Arbitrage portfolio legs should be risk weighted before any implementation.

Coverage: BETXT, BETXT components, SIF5 Futures, DOW Jones

Stop loss and Exits are activated at 4%

Please feel free to mail us for any clarifications. *This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

To login to the member’s area or access Orpheus estore click here.

ORPHEUS RESEARCH AT REUTERS – UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS – USA

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Alpha.India – Introducing Kotak Mahindra Bank

By Orpheus | Published: 23 May, 2010

The long Nifty – short Tata Motors pair started on 18 May and gains already pushed above 8%. We illustrated here the pair along with the respective performance cycle. We now have 7 running pairs, meanwhile long only – short only is mainly negative, with only ITC and Gail remaining on the positive side.

We also illustrated the Grasim underperformance we were talking about last week (slide 2). Grasim moved from top to bottom in two and a half months. After Grasim was kicked out of Nifty and replaced with Kotak Mahindra Bank (KTKM), we also said that we will take it out from our list after it will move to lower rankings. Now that it reached the bottom, we replaced Grasim with Kotak Mahindra Bank.

SBI, HDFC and HDBK remain the top three potential underperformer stocks, meanwhile we have Maruti at the lower extreme of the ranking. On the sector side we have FMCG and Healthcare as top potential underperformers and Metals as the top potential outperformer.

The latest Alpha India carries the latest numeric ranking with Kotak Mahindra Bank, numeric ranking changes, running pair performance signals, long only-short only signals, performance and pair cycles and strategy updates. The long only short only signals are skewed towards negativity, ABB closed out because of open offer and L&T also hit a stop. The model is 24 short signals compared to 2 running long signal.

For more information on Alpha India mail us at support@orpheus.asia

Michesan Anna-Maria, the columnist for the WAVES.INDIA weekly and Head of India Research. Anna discovered her interest of markets immediately after completing her graduate studies in Economics. She followed it up with post graduate studies in corporate finance. A host of research work in behavioral finance, option strategies and quantifying market sentiment followed. Anna covers Indian equity and combines Elliott, Time Fractals and Time Analytics to deliver accuracy across time frames. To review some of her work, check out the annual India accuracy report 2009.

India Accuracy Report 2009
Alpha India

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 a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

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 in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

Time arbitrage portfolio legs should be risk weighted before any implementation.
Coverage India: Indices, top 50 Nifty stocks, requested portfolio stocks
Stop loss and exits are activated at 4%

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 in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Econohistory is the study of performance cycles between assets. Cycles are the generic name for time fractals. Performance cycles can be studied for any time frame, for as small as a tick data to multiyear time frames. This objective approach to performance cyclicality can explain why intermarket analysis is an area of study? Why bonds and commodities tend to be inversely related? What is the connection of Oil with world markets? Why the world watches DOW sometimes and sometimes a 500 point effect on DOW seems to have no impact? Why correlation between assets moves from near perfect at times to weak correlation at other times? Why the same news has different impact on a stock or market? Why equities and bond trend together and why the relationship decouples sometime? When will inflation become deflation, disinflation, stagflation or hyperinflation? When and why does gold outperform and underperform silver? Econohistory can objectively answer these questions, using performance cycles, time fractals and past data. Economic history is mathematical.

To login to the member’s area or access Orpheus estore click here.

ORPHEUS RESEARCH AT REUTERS – UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS – USA

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