ORMI Worst 20 (allocation in the worst 20 from CNX 100) and ORMI Relative Performance Sensex 30 (weighting according to winner rankings) delivered similar risk adjusted returns (Annualized returns vs. standard deviation) and as we changed the group from Sensex 30 to Nifty 50 the margin of outperformance between relative performance and extreme reversion (weighing [...]

The Elephant Is there everything wrong with this statement? If you want to create wealth you need to let your winners run and you have to cut your losers short. Unfortunately this statement is also an “elephant” modern finance is trying to comprehend. A few questions that can challenge this adage; what qualifies as a [...]

Indexing: The Orpheus Risk Management Index (ORMI) is based on proprietary algorithm. The indices values that are disseminated today are broadly based on market capitalization methodology. Market capitalization methodology has been challenged globally for a few broad reasons. 1) As an asset strengthens it is given more weight 2) As an asset weakens it is given lesser weight. [...]

The Extreme Reversion style is a passive index which is all invested. The ORMI India Extreme Reversion IFTY 50 has outperformed the Nifty 50 by 6% annualized since 2006. Though the style has not outperformed the sideways NIFTY action for the last 2 years, it has delivered 14% annualized over the last 7 years. Now that we [...]

Because seasonality persists, it registers in societal memory. Calendar seasonalities are the most significant. There has been a lot of work on the almanac tendencies, starting from the Yale Hirsch Nov-Apr cycles, to Jan effect, and October declines (8 Sep 2008). For us seasonalities are an essential starting point to understanding the element of market [...]