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‘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 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.

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WAVES.IND is a perspective product published on Tuesday and Thursday. The report highlights Indian Stock Market top sectoral Indices and Sensex (BSE 30) viz. BSEOIL, BSESC (Small Cap), BSEMC (Mid Cap), BSEHC (BSE Health Care), BSEPHARMA (Pharmaceuticals), BSECG (Capital Goods), BSEBANK (Banking), CNXIT (Technology), BSEFMCG (FMCG), BSEAUTO (Auto) etc.. The product also covers all the 30 Sensex components. The product highlights Primary (Multi Month) and Intermediate (Multi Week) price trends. The report illustrates key price levels, price targets, price projections and time turn windows. The product uses Elliott waves, traditional technical analysis tools, sentiment indicators and other alternative research tools like INTERMARKET to spot outperformers.

COVERAGE: REUTERS RICS. INDICES. .BSEBANK, .BSEOIL, .NSEI, .BSECG, .BSESN, .BSEAUTO, .CNXIT, .NSEBANK, CITc1, IFc1, .NSEBANK

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ORPHEUS RESEARCH AT REUTERS – UNITED KINGDOM

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Author: Orpheus | Date: 01 February 2010 | Comments (0)

Tags: waves

Categories: Accuracy India, Anticipated and Happened, India

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Boeing is at the top while Exxon is at the bottom. Boeing was also the fastest change in positive ranking. The stock is up 8% from start of the year. Exxon on the other side is down 7% from the start of the year. The pair delivered 15% from start of the year, as both short and long legs were profitable. Now that the pair components are at two extremes (BA at top and XOM at bottom), we should be get ready for a reversal in performance in February. We will keep you posted on the signal.

In terms of change of rankings Microsoft witnessed the fastest negative change. The stock is down 9% from start of the year. MSFT also delivered positive returns against Intel. Long MSFT- Short Intel was up 6% since30 Nov. Long Kraft,  Short Coca Cola is stagnating at 10% since 9 Dec. The pairs we expect to deliver in the coming weeks are long HP – Short Microsoft; Long JPM – Short Amex; Long Exxon – Short Chevron; Long Intel – Short Microsoft.

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 : Alcoa, Disney, Kraft, P&G, American Express, GE, Coca Cola, AT&T, Boeing, Home Depot, Macdonald’s, MMM, HP, Bank of America, Travelers, United Tech, Caterpillar, IBM, Merck, Verizon, Cisco, Intel, Microsoft, Chevron, J&J, Pfizer, Exxon, Dupont, JPM, Walmart

*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.

STOP LOSS AND EXITS are activated at 2%

‘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.

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.

ORPHEUS RESEARCH AT REUTERS – UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS – USA

Author: Orpheus | Date: 01 February 2010 | Comments (0)

Categories: American Pairs and Assets

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MOVING AVERAGE. SUMMARY: SIF1 WEEKLY Weekly moving average crossover is positive with prices above it. Minor positivity continues. SIF 2 WEEKLY Weekly moving average crossover is positive with prices above it. Minor positivity continues. SIF3 WEEKLY Weekly moving average crossover is positive with prices above it. Minor positivity continues. SIF4 WEEKLY Weekly moving average crossover is positive with prices above it. Minor positivity continues. SIF5 WEEKLY Weekly moving average crossover is positive with prices above it. Minor positivity continues. BRD WEEKLY Weekly moving average crossover is positive with prices above it. Minor positivity continues. IMPACT DAILY (IMP) ANTICIPATED AND HAPPENED Daily moving average crossover turns positive with prices above it. As anticipated prices went up in a minor rising trend. BANCA TRANSILVANIA DAILY (TLV) Daily moving average crossover is negative with prices below it. Minor negativity. ERSTE WEEKLY (EBS) Weekly moving average crossover is positive , but prices continue the sideways movement.

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CHANNELS.BVB is our second perspective product published on MONDAY, WEDNESDAY AND FRIDAY. The report uses conventional technical tools and focuses on stocks more than Indices. The report illustrates key price levels, price targets, price projections and time turn windows. WAVES.ROM and CHANNELS.ROM are bundled together as PERSPECTIVE products. Unlike WAVES which focuses more on blue chips, CHANNELS covers just BVB stocks all mid cap and small cap.

CHANNELS.BVB on MONDAY covers the Early Economic Sector cycle including Financials and Discretionary sector stocks. REUTERS RIC – (BATR.BX, BRDX.BX, BRKU.BX, SIF1.BX, SIF2.BX, SIF3.BX, SIF4.BX, SIF5.BX, BCCA.BX, ASAG.BX, FLAA.BX, EFOR.BX, TUFE.BX, SIPA.BX, ELBU.BX, ERST.BX, IMPT.BX)

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ORPHEUS RESEARCH AT REUTERS – UNITED KINGDOM

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Author: Orpheus | Date: 01 February 2010 | Comments (0)

Categories: Romania

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Integrity Research

New York – today marks a departure from the traditional style of analysis used in our quarterly assessment of research performance. The data used in this analysis is from Investars and the interpretation of the data is Integrity’s.

Today, the question we are asking the data is whether the distribution of sell recommendation portfolios is different from the distribution of the buy recommendation portfolios of the research providers.

We created a histogram (below) which shows the number of research providers (y-axis) that generated each level of return (x-axis) over a one year period.  Theoretically, it is more difficult to select sells than it is to select buys. We note that  part of the difficulty in selecting sells in the real world relates to the costs of funding these short positions, which means that the timing of shorts is more critical than those of long positions. However, the Investars analysis does not treat sells like short positions, but tracks the portfolio of sells without regard for funding costs.

In the graph above, the buy portfolio of the research providers is much more centrally located (less variance) and has fewer outliers, while the sell portfolio is broadly disbursed, has a large number of outliers and has one fat tail close to the zero return mark. As a result, we must conclude that the buy and sell portfolio distributions are distinct from one another over the time period we have reviewed.

ORPHEUS RESEARCH AT REUTERS – UNITED KINGDOM

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Author: Mukul PAL | Date: 01 February 2010 | Comments (0)

Categories: Cases

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