It has been a challenge for fund managers and money managers to outperform the market. The market being the popular benchmark. Statistics suggest that 90% of the fund managers can’t beat the benchmark and the few who can, find it tough to do it consistently. This is why behavioral finance suggests that investor should search for Alpha generators and not just pay for active management.

We at Orpheus believe there is a way to allocate the components of the DOW or S&P500 and outperform both of them consistently. If a strategy can accomplish this, it would mean higher return per unit of risk. This idea is what we call Jiseki Portfolio Indices. What we do? We invest or increase allocations in the worst and reduce or close out our allocations from the best. How do we do it? We follow the Jiseki CYCLES. When it turns up from the worst we BUY and vice versa.

Today we are illustrating the JISEKI LOSER’S INDEX performance from DEC 2009 to DEC 2011. The Index delivered absolute positive returns of 27 percent during the period. This was 13.5% annualized. The Index selects ideas from global 1000 assets (including 600 from S&P500 and TSX 100). The DOW delivered 15% for the respective period. This means worst performers of the S&P500 Index delivered more than the Index itself.

This report carries the current running LONG SIGNALS on Indices, a few Commodities and Bonds. In our next report we cover the Early Economic stocks from USA and Canada. We have also carried a primer on Jiseki signal interpretation.

Our Jiseki Time cycles are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings from 1 to 100. The higher the percentile more the chance for an asset to weaken and worst the ranking, better the chance for the respective asset to outperform. 100 is top relative performance and 1 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. Jiseki is another name for Performance cycles, time triads and time fractals. The signals are illustrated as a running portfolio and as Jiseki Indices. These signals can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades.

Jiseki Interpretation. Signals are interpreted as crossovers between various Jiseki Cycles. All three Jiseki cycles (Jiseki 1,2 and 3) depict different time frames. Example: An asset is ranked above 80 percentile and all the three Jiseki cycles are pointing lower, this suggests a running SHORT SIGNAL. Our Jiseki Indices use different kind of exits based on price and Jiseki Cycles. We have color coded the (Jiseki 1>Jiseki 2) SHORT zones with brown sandy (burlywood) and grey (Jiseki 1>Jiseki2) for LONG SIGNALS.

Dr. Ionut Nistor is the co-author of Performance Cycles paper published in Kyoto Economics Journal in March 2009. Ionut is 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.

The Bric Model from a Japanese Perspective
Ionut Nistor – Econohistory

Author: Orpheus | Date: 04 January 2012 | Comments (0)

Categories: Global, Research Updates

We recommend: The Orpheus Virtual Store | The Orpheus Research at Reuters: UK, USA

It has been the bane of fund managers and money managers to outperform the market. The market being the popular benchmark. Statistics suggest that 90% of the fund managers can’t beat the benchmark and the few who can, can’t do it consistently. This is why behavioral finance suggests that paying for active management for returns lower than the benchmark (Sensex) is fruitless.

We at Orpheus believe there is a way to allocate the components of the SENSEX and outperform the SENSEX consistently. If we can illustrate this, you our valued reader will have higher return for lower risk. This idea is what we call Jiseki Portfolio Indices. What we do? We invest or increase allocations in the worst and reduce or close out our allocations from the best. How do we do it? We follow the Jiseki CYCLES. When it turns up from the worst we BUY and vice versa.

Today we are illustrating the JISEKI WORST INDEX performance from DEC 2009 to DEC 2011. ‘THE JISEKI WORST’ delivered absolute positive returns of 28 percent during the period. This was 14% annualized. Now one may say, but this is very less for India. Well, first this is not an India dedicated Index. This is an Index which selects ideas from global 1000 assets including CNX100 India components. And secondly the Index delivered in the time Sensex turned 3% negative.

The latest report suggest BUY signals, technical and Jiseki cases and the Nifty update in the latest JISEKI INDICES report.

Our Jiseki Time cycles are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings of 0 to 100. The higher the percentile more the chance for an asset to weaken and worst the ranking, better the chance for the respective asset to outperform.

Alpha is a daily strategy signal product that gives trading and investment signals. Alpha is a numeric Ranking product based on TIME fractals. The signals are 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. Alpha is a part of the time triads analytics developed by Orpheus Research.

Coverage India: CNX100 traded stocks and Indian Indices.

Michesan Anna-Maria, 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.

Author: Orpheus | Date: 04 January 2012 | Comments (0)

Categories: India, Research Updates

We recommend: The Orpheus Virtual Store | The Orpheus Research at Reuters: UK, USA

The Jiseki BEST Index is about selling the top ranking assets. We have illustrated the equity curve of the Jiseki top ranked assets among 1000 global assets. Equity curve is a graphical representation of the change in value of a trading account over a time period. A curve with a consistently positive slope would generally indicate that the trading strategies of the account are profitable, while a negative slope would indicate that the account is in the red. The global portfolio contains TSX100 components, S&P 500 components, BRICS, Commodities, global indices etc. How does the Jiseki BEST Index work?

1) Every week we look at the BEST Jiseki rankings.
2) Apply FILTERS to existing list of components.
3) Look for the Jiseki cycles turning negative.
4) Allocate equally among selected components creating a portfolio.
5) Review every week.
6) If there is an exit signal, close the stock and reallocate the cash in a new stock signal.

From the Dec 2009 to Dec 2011 highs, ‘THE JISEKI BEST’ delivered absolute returns of 68.2 percent. This is 34% annualized returns (assuming non leveraged short). As of 11 Dec, this portfolio had 69 components. How we plan to improve this Index?

1) Reduce the components to tradable 30 asset Index.2) Introduce region specific Indices, just for India, Canada, US, BRICS etc.3) Create asset specific Jiseki Indices for commodity, bonds, currencies etc.

Our Jiseki Time cycles are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings from 1 to 100. The higher the percentile more the chance for an asset to weaken and worst the ranking, better the chance for the respective asset to outperform. 100 is top relative performance and 1 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. Jiseki is another name for Performance cycles, time triads and time fractals. The signals are illustrated through as a running portfolio and as Jiseki Indices. These signals can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades.

Jiseki Interpretation. Signals are interpreted as crossovers between various Jiseki Cycles. All three Jiseki cycles (Jiseki 1,2 and 3) depict different time frames. Example: An asset is ranked above 80 percentile and all the three Jiseki cycles are pointing lower, this suggests a running SHORT SIGNAL. Our Jiseki Indices use different kind of exits based on price and Jiseki Cycles. We have color coded the (Jiseki 1>Jiseki2) for LONG SIGNALS.

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. Ionut is also 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.

The Bric Model from a Japanese Perspective
Ionut Nistor – Econohistory

Author: Orpheus | Date: 03 January 2012 | Comments (0)

Categories: Global, Research Updates

We recommend: The Orpheus Virtual Store | The Orpheus Research at Reuters: UK, USA

Since we are still looking at a bottoming NIFTY in the 4,500-4000 range, we can’t lose sight of the short ideas we have been covering the last few weeks. This update we have carried the Jiseki BEST Portfolio Index (Selling the top ranking assets). We have illustrated the first equity curve of the Jiseki BEST portfolio among 1000 global assets. Equity curve is a graphical representation of the change in value of a trading account over a time period. A curve with a consistently positive slope would generally indicate that the trading strategies of the account are profitable, while a negative slope would indicate that the account is in the red. The global portfolio contains CNX 100 stocks, S&P 500 components., Brazil 30, China 30, Commodities, Global and Indian Agricultural assets, global indices etc.

1) Every week we look at the BEST Jiseki rankings.
2) Apply FILTERS to existing list of components.
3) Look for the Jiseki cycles turning negative.
4) Allocate equally among selected components creating a portfolio.
5) Review every week.
6) If there is an exit signal, close the stock and reallocate the cash in a new stock signal.

From the Dec 2009 to Dec 2011 highs, ‘THE JISEKI BEST’ delivered absolute returns of 68.2 percent. This means 34% annualized returns (assuming non leveraged short). As of 11 Dec, this portfolio had 69 components. We will be reducing the same to a standardized and tradable 30 asset Index. From the running signals we have 16 Indian assets that were short as of 11 Dec closing. (Slide 2). Next ALPHA we carry the JISEKI RUNNING LONG SIGNALS. Watch this space.

To read more about THE JISEKI INDICES download the latest ALPHA reports from the Orpheus e-store.

Avinash Barnwal is Master of Science in Statistics and Informatics from IIT Kharagpur. He has worked on human response time at Department of Psychology, University of Amsterdam.  Avinash is a Quantitative Analyst at Orpheus developing money management solutions and building statistical models to address temporal challenges.

Author: Orpheus | Date: 03 January 2012 | Comments (0)

Categories: India, Research Updates

We recommend: The Orpheus Virtual Store | The Orpheus Research at Reuters: UK, USA

NIFTY historical high is a contrarian call. Why do we think NIFTY 8000 is likely? A few reasons, first, price confirmation is the most important indicator. Since the current bear is already primary multi month in nature, we would let prices break the NIFTY 4,500-4000 support zones before looking at the extension of the current bear market. Second, most sector indices monthly momentum (ROC) is not only oversold but also over reactive. This suggests bottoming price structure for most sector indices. Third, the current bear market can be measured for time and price retracement. Did we have enough time and price retracement? From the October 2008 low till Jan 2012 we have completed 39 months. The 40 month Kitchin Cycle is the most conspicuous in stock markets and the best part is that it is almost complete. So prices have retraced in time. In terms of price we are hitting key Fibonacci retracements.

From an Elliott perspective, our ongoing preferred is a running flat, which could bottom near Nifty 4,500-4,000 levels. Running flats happen in strong markets. And if this is the IV cycle wave with a pending V cycle wave up, 38.2% and 50% Fibonacci retracements could complete the formation. If this preferred view is correct we are in for a move to NIFTY 8,000.

If this sounds unrealistic, let’s look at the DOW JONES bear market of 1990′s and its similarity to the Indian case. First the 1987 crash, a recovery back to 1987 high, a crash again in a flat like formation, followed by a secular multiyear bull run. Nifty’s crash in 2008, recovery back to previous highs and then a crash again, a flat like structure. Any low now would suggest that the multi years trading range is complete and we are in for a multiyear recovery.

Our anticipated cases from 20 Sep 2010 also seem complete. (The Primary Corrective).

To read the annual India outlook, download the latest report.

Our Jiseki Time cycles are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings of 0 to 100. The higher the percentile more the chance for an asset to weaken and worst the ranking, better the chance for the respective asset to outperform.

Alpha is a daily strategy signal product that gives trading and investment signals. Alpha is a numeric Ranking product based on TIME fractals. The signals are 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. Alpha is a part of the time triads analytics developed by Orpheus Research.

Coverage India: CNX100 traded stocks and Indian Indices.

Michesan Anna-Maria, 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.

Author: Orpheus | Date: 02 January 2012 | Comments (0)

Categories: India, Research Updates

We recommend: The Orpheus Virtual Store | The Orpheus Research at Reuters: UK, USA