Since there can be a lot of worst performers in 1000 component asset group, we follow a multi-tier filtering process.

1) Rank the 1000 group
2) Filter the list for UK 100 or BSE 500
3) Filter for worst < 20% ranking in the interest group (UK, US, India, Commodities etc.)
4) Filter for stocks that have positive cycles (grey mode)
5) Filter that list for outperformance vs. composite Index FTSE for UK 100 and Sensex for BSE 500 components.
7) Filter again among this list by making sector pairs.
8 ) Find the reduced list of BUY stocks.

This report carries Mean Reversion Indices for the UK, US  and India region along with current running signals for the respective Indices. The indices are passive and based on weekly data.

To read more about our JISEKI Rankings, Indices, Signals and queries mail us today.

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.

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: 20 February 2012 | Comments (0)

Categories: Global, Research Updates

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

One of our old members wrote to us today. He said “Mukul I miss Elliott Wave approach, you were one of the best Elliotticians. But I can accept the supremacy of statistics”. He on one side was upset and on the other side accepted the way we have evolved the research systems at Orpheus. We thank all our readers and members who have been with us over the last 7 years. You have given us confidence to challenge old systems, create new systems but more than anything embrace the best of the old with the improved new, a monumental feat.

Before embracing the old with the new, one has to ask tough questions. Some of these questions have rarely been asked by technicians on an open forum. Why Elliott wave despite the decades long following has a poor scientific acceptance? Why such a strong pattern recognition tool failed to validate itself scientifically or statistically? Why Elliott can’t be used for a portfolio approach? Why was Elliott not acknowledged by Mandelbrot when he wrote ‘Multifractal Walk down wall street’ in Scientific American in 1999? Why are technicians split when it comes to Elliott? Why Robert Prechter’s DOW 400 forecast evokes diverse responses? If Elliott can encompass all technical patterns, why can’t it work on relative or intermarket patterns? Why do Elliotticians ignore the work done by technicians like Plummer, who explain a Triad pattern as the real pattern behind Elliott wave? Why do we have two disconnected school of Elliotticians, the Neely and Prechter club? Why is there no hypothesis testing for previous 4 wave support rules? Why should Elliotticians defenselessly let Statisticians tear apart the subject of market patterns? Why can’t we make market patterns academic? Why can’t Elliotticians prove the reason for the longest 3 wave and the reason for 4 wave not overlapping the 1 wave high?

There are many answers to all the above questions. First, it is like what Herbert Simon said, we never will have enough information. Second, Elliott addresses price but not time. Third, we never started from the scratch. We never dared to understand the rule, we just accepted it. If you are reading our thoughts for the first time, we urge you to read our other articles on the subject.

Article 1 – Demystifying Elliott

Article 2 – Can Time Triads create the head and shoulder fractals?

Article 3 – A Dow Theory

Article 4 – Revisiting Time Triads

You can find a lot of material related to our quest with objective Elliott on our blogs in the time triads section. Irrespective of where we go tomorrow, how academic we get, at the heart of all science is pattern watching. And there’s always a stage when things can’t be proved scientifically. So just because some thing fails statistically or scientifically at a certain point of time, should we discard it? We won’t discard Elliott, but we would definitely give it lesser importance over a statistical system approach. We will continue to dedicate a part of our time watching market patterns, but we will filter investment or trade ideas statistically. This weekly report is designed to study Elliott waves, some time using the classic approach, some time using the modern approach. We have just have one aim. We want to see how well Elliott confirms our system approach, our long and short filtered ideas and our Indices.

This report carries Elliott and Technical perspective on 8 Global Indices and 4 Indian Sector Indices.

You can also download the report from our Reuters Store

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.

Coverage Global: Dow 30 components, Global Indices, ETF SPDRS, Commodities

Dan-Andrei Rusu graduated in 2005 the Faculty of Economics Cluj-Napoca, “Dimitrie Cantemir” University. In the same year he joined BT Securities as a financial analyst. He is currently the Head of Research at BT Securities and a speaker with Romanian Brokers’ Association. He is an MTA (Market Technicians Association, New York) affiliate and cleared CMT level 1 exam. He is a contributing columnist for Orpheus Capitals for the ALPHA GLOBAL INDICES.

Author: Orpheus | Date: 16 February 2012 | Comments (0)

Categories: Global, Research Updates

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This is what we said on 13 Apr 2011

Citi has become one of the worst performers (among Global 1000) of the last 24 month bull rally, it deserves another look. Our Jiseki performance rankings suggest that Citi is still among the bottom 20 percentile of performance over a quarter. Though the Jiseki cycles are not yet positive RSI support at 40 suggest that any fall in the stock should see buying support coming in. When a financial major suggests accumulation on an intermediate degree, it means that we are still in a continued bull market and any dip down should be intermediate in nature. We have illustrated both the Dow and Citi charts in the case here. Interpreting Citi price structure is the challenge, the Citi itself, never lies.

If the markets are connected, one should be able to understand the market structure by looking at a market component. Putting simply this means the market structure of a specific sector should suggest the direction of the broad market. Was this not the similar thought which Charles Dow mentioned in the Dow Theory? How different is the DOW Theory approach where we could (can) understand the DOW Industrials by looking at the DOW transports from understand the state of the bull market by studying a few financial majors.

Today we look at another two London financial majors, Barclays and Aviva. We also have revisited CITI. And guess what? Though CITI is 20% lower from where we left it in April, it still is above 0.618 Fibonacci retracement levels from 2009 lows.

Barclays has also moved back above 0.618 Fibonacci levels and is ready to test a multiyear trendline resistance. A break above 250 would confirm positivity. If these correctives look unclear and dirty, we have Aviva with a clear corrective a-b-c structure and 0,618 Fibonacci support. Even if we are looking at a large complex corrective, above 300 the price structure suggests higher. Now when three top financials fail the break previous lows and show resilience how can we ignore the Bull. And before we rest our case, let’s not forget to review Jiseki cycles for BARCLAYS and AVIVA. The cycles are bottoming and positive.

The latest ALPHA also carries a relative intermarket case between UK worst stocks, carries the running portfolio components for our passive UK index, Ranking of worst UK components, the passive UK Mean Reversion Jiseki Index, Elliott counts on top global Indices and minor Elliott Case on Indian Nifty.

Our Mean Reversion Jiskei Index on UK is built from UK 100 components. We select the worst losers from UK 100 to allocate. Our Index has outperformed the FTSE 30 by 32%. Every week we will update a regional Index.

You can also download the report from our Reuters Store

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.

Coverage Global: Dow 30 components, Global Indices, ETF SPDRS, Commodities

Dan-Andrei Rusu graduated in 2005 the Faculty of Economics Cluj-Napoca, “Dimitrie Cantemir” University. In the same year he joined BT Securities as a financial analyst. He is currently the Head of Research at BT Securities and a speaker with Romanian Brokers’ Association. He is an MTA (Market Technicians Association, New York) affiliate and cleared CMT level 1 exam. He is a contributing columnist for Orpheus Capitals for the ALPHA GLOBAL INDICES.

Author: Orpheus | Date: 09 February 2012 | Comments (0)

Categories: Global, Research Updates

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If the most important indicator in measuring and weighing market structure is price confirmation then there is nothing more important than a positive price breakout. Whether we have had the Jan effect (the first 5 day positive price effect) or not, the monthly close is suggesting some conspicuous price confirmations. As Indices around the world are breaking some significant true trendlines. For example the DOW 30. It has broken a significant true trendline of five years. We mentioned prior on 4 Dec in the DOW Illusion – II

“Did you know that DOW is 16% from an all time high, which it has not distinctly broken in 12 years. The basic rule of market structure suggests that the more a resistance is tested, the more likely it’s to break. Any 16% upside gives DOW a chance to test the 12 year resistance. How large is a 16% move?

This is what seems to happen now. This can of course be a false breakout. But how many false breakouts do you need? World Index, Russell 1000 broad index, Nasdaq 100, ISE home builders, Dow transports, and IYE real estate. True trendline breaks are all over the place. We need a failure across the board for the various sector indices to fail here and markets to come down. Well like I (Dan’s Elliott View is contrary to my conventional view) said, the bears are asking the bulls for the price confirmation or “show me the money”. Unfortunately “money” (price confirmation) is staring the bears in their face suggesting them to review their stand.

From the Indian perspective, the price confirmations are absent. You can’t expect India to lead everything. The whole idea of leadership is cyclical. Assets outperform and underperform their global peers cyclically. It’s time for India to lag hence no price confirmation. But if you observe closely all of CNXIT, BSE500, Sensex, CNX100, BSEAUTO, BSEPOWER are testing multi month resistances. A break would set the Indian Bull free to perform in 2012 (despite the odds). At the end of the day a few months or a 12 month Bull can happen in a large 90 year bottoming cycle. We as investors just need to focus on conserving portfolios while trying for double digit annual returns. The only way to do this is to focus on the worst losers and price breakout at the same time. This report carries some of the potential best long ideas in CNX100 components.

Let’s see, price confirmation prevails or Elliott Preferred topping 2 wave structures.

To read the report mail us for subscription details.

You can also download the report from our Reuters Store

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.

Coverage Global: Dow 30 components, Global Indices, ETF SPDRS, Commodities

Dan-Andrei Rusu graduated in 2005 the Faculty of Economics Cluj-Napoca, “Dimitrie Cantemir” University. In the same year he joined BT Securities as a financial analyst. He is currently the Head of Research at BT Securities and a speaker with Romanian Brokers’ Association. He is an MTA (Market Technicians Association, New York) affiliate and cleared CMT level 1 exam. He is a contributing columnist for Orpheus Capitals for the ALPHA GLOBAL INDICES.

Author: Orpheus | Date: 26 January 2012 | Comments (0)

Categories: Global, Research Updates

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

What does it mean if Natural Gas hits 10 Year LOW?
Does it mean Natural Gas will remain oversupply?
Or does it mean a rise in prices in Natural Gas is inevitable?
When will the reversal happen?
What does it mean for Indian Energy majors?
What does the intermarket relationship suggest between Indian Energy Majors and Natgas?

To read this special report on Natural Gas and Oil and Gas sector download it from our e store.

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.

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: 20 January 2012 | Comments (0)

Categories: Global, India, Research Updates

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Fibonacci Fan is another way to look at price proportions. This week along with the Elliott Wave special on top five global indices, we have looked at the conventional price confirmation on seven Indian sector Indices.

Which sectors are still positive?
Which sectors are still negative?
Which sectors have non confirming positive momentum?
Which sectors are still negative?

To read the report download it from the Orpheus e-store.

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.

Coverage Global: Dow 30 components, Global Indices, ETF SPDRS, Commodities

Dan-Andrei Rusu graduated in 2005 the Faculty of Economics Cluj-Napoca, “Dimitrie Cantemir” University. In the same year he joined BT Securities as a financial analyst. He is currently the Head of Research at BT Securities and a speaker with Romanian Brokers’ Association. He is an MTA (Market Technicians Association, New York) affiliate and cleared CMT level 1 exam. He is a contributing columnist for Orpheus Capitals for the ALPHA GLOBAL INDICES.

Author: Orpheus | Date: 19 January 2012 | Comments (0)

Categories: Global, Research Updates

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

In this new format of Alpha Global Indices Dan Rusu covered the Elliott Wave Global Equity perspective on S&P, EuroStoxx50, Sensex, Nikkei, Thai SET and Chinese SSEC and Mukul has answered the following questions on Indian sectors. Why Nifty bearish case may not influence BSE Health Care Sector? Why Real Estate sector could determine where Indian equity is headed in 2012? Why lack of price confirmation is a spoiler for a secular bear? Why just looking at Nifty may be a bad idea? Investors may feel that they can live without real estate, but can you live without POWER? What is consumer durables and FMCG indicating?

To read the report download it from the Orpheus e-store.

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.

Coverage Global: Dow 30 components, Global Indices, ETF SPDRS, Commodities

Dan-Andrei Rusu graduated in 2005 the Faculty of Economics Cluj-Napoca, “Dimitrie Cantemir” University. In the same year he joined BT Securities as a financial analyst. He is currently the Head of Research at BT Securities and a speaker with Romanian Brokers’ Association. He is an MTA (Market Technicians Association, New York) affiliate and cleared CMT level 1 exam. He is a contributing columnist for Orpheus Capitals for the ALPHA GLOBAL INDICES.

Author: Orpheus | Date: 12 January 2012 | Comments (0)

Categories: Global, Research Updates

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Recently economist carried the comparisons of currencies around the world. The table suggested in INR terms the BIG MAC INDEX was the cheapest. At Orpheus when we hear the world CHEAPEST bells ring very hard. When something gets cheapest it automatically senses of value. We don’t think INR to be in an impulse higher and don’t think the shooting star at 54 is easy to break in Jan. We see some strengthening to 52 and lower before anything. How this is going to influence equity remains to be seen. This latest FOREX JISEKI we have ranked the currencies over the last quarter and carried the various FOREX JISEKI around the world. For INR we have looked at the XEN (INR currency Index) Jiseki. The Jiseki has not bottomed yet, but in ranking terms INR is indeed one of the worst performers. We have carried a technical case on INR along with YEN, GBP etc.

The read the latest Alpha download the report from the Orpheus e store.

Coverage Global: S&P500 components, Global Indices, ETF SPDRS, Commodities, Bonds and Currencies

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.

Jyoti Nangrani, CMT (Chartered Market Technician) from the Market Technicians Association. She has 5 years of experience in Technical Analysis covering Equity and Commodity markets. She holds a Masters diploma in E-Business and is currently pursuing the MS Finance from ICFAI, Hyderabad. She is a Senior Technical Analyst at Aditya Birla Money covering Indian Equity Markets. She worked as a part of the core strategy team at Tower Capital devising CRM and MIS systems for Debt/Equity and Commodity divisions. She is passionate about Technical Analysis and considers it an extremely valuable skill in current times.

Author: Orpheus | Date: 10 January 2012 | Comments (0)

Categories: Global, Research Updates

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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

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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

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