BHARTI WEEKLY (BRTI) Potential Head and Shoulders continuation pattern. Neckline levels lie at key 275. A clear break here would push prices lower to our target at key 150 levels. Performance cycles are heading to a performance bottom. TATA MOTORS DAILY (TAMO) Anticipated and happened Prices break the neckline as anticipated and validate the Head and Shoulders reversal pattern. Immediate supports lie at 660-630 levels.

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.

CHANNELS.INDIA is our second perspective product published on MONDAY, WEDNESDAY and FRIDAY. The report uses conventional technical tools and covers most top traded stocks. The report illustrates key price levels, price targets, price projections and time turn windows. WAVES.INDIA, CHANNELS.INDIA are bundled together as PERSPECTIVE products. Unlike WAVES which focuses more on blue chips, CHANNELS covers the other mid cap and small cap stocks also.

CHANNELS.INDIA carries the Early Economic cycle sector components, which includes FINANCIAL and DISCRETIONARY sector stocks, the Mid Economics cycles sector which includes INDUSTRIAL sector stocks and the Late Economic Sector cycle including ENERGY, STAPLES, UTILITIES, PHARMA, CHEMICALS sector stocks. REUTERS EARLY ECONOMIC RICS DLF.NS, HDFC.NS, HDBK.NS, ICBK.NS, SBI.NS, INFY.NS, TCS.NS, MAHM.NS, UNTE.NS, TITN.NS

REUTERS MID ECONOMIC RICS ASOK.NS, TAMO.NS, CROM.NS, BHEL.NS, LART.NS, MTNL.NS, IDEA.NS, BRTI.NS, RLCM.NS, TATA.NS REUTERS LATE ECONOMIC RICS ONGC.NS, RLIN.NS, NTPC.NS, ACC.NS, HALC.NS, TISC.NS, ABUJ.NS, CIPL.NS, RANB.NS, ITC.NS

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Author: Orpheus | Date: 25 May 2010 | Comments (0)

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Categories: Accuracy India, Anticipated and Happened, India

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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.

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Author: Orpheus | Date: 25 May 2010 | Comments (0)

Categories: Romanian Pairs and Assets

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The whole idea of performance ranking can also be seen through Fibonacci retracements. There are stocks that fell more than the market and there are stocks that fell less than the market. And even indices and sectors had polarized performance.

For example BET and BETC barely retraced 0.382 Fibonacci levels while BETFI is already down 50% of the total up move from Mar 2009. One may think this financial sector underperformance is broad based. But this was not the case BRD and ERST retraced 0.382 Fibonacci levels and outperformed SIFs.

Last but not the least, stocks and indices that are at 0.618 Fibonacci levels are heading to worst performance and become potentially attractive. Remember the worst ones offer the best value and vice versa.

The latest WAVES.ROM carries candle sticks and Fibonacci updates for the top indices and stocks at BVB.

Enjoy the latest WAVES.ROM

WAVES.ROM is a perspective product published on TUESDAY’S and THURSDAY’S. The report highlights Romanian Stock Market top three Equity Indices viz. the top ten blue chip BET Index (.BETI), BET Composite (.BETC), the Financial Index BETFI (.BETFI) and the local currency RON (EURRON=, RON=). The products covers the top ten BET component stocks. (ROMP.BX, SNPP.BX, BATR.BX, BRDX.BX, TSEL.BX, ATBE.BX, BRKU.BX, BIOF.BX, IMPT.BX, TUBU.BX) and all the components of BETFI Financial Index(SIF2.BX, SIF5.BX, SIF3.BX, SIF1.BX, SIF4.BX) are covered in the report. 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. WAVES.ROM, CHANNELS.BVB and CHANNELS.RASDAQ are bundled together as PERSPECTIVE products. Unlike WAVES which focuses more on blue chips, CHANNELS covers all the BVB and RASDAQ stocks.

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.

REUTERS COVERAGE .BETFI, TUBU.BX, TSEL.BX, SNPP.BX, SIF5.BX, SIF4.BX, SIF3.BX, SIF2.BX, SIF1.BX, ROMP.BX, IMPT.BX, BRKU.BX, BRDX.BX, BIOF.BX, BATR.BX, ATBE.BX

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Author: Orpheus | Date: 25 May 2010 | Comments (0)

Categories: Romania

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