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

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

Source:Wikipedia, Scrooges third visitor-John Leech,1843.

Merry Christmas to all our readers

Author: Orpheus | Date: 25 December 2011 | Comments (0)

Categories: Global, Research Updates

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

It’s not sometime but most of the time that over analysis kills. Simplifying is harder than any other approach of understanding markets. Rate of Change also called as ROC is one such simple tool which tops our conventionalism list. How many trading models and systems we may make, but we will not ignore the ROC.

How to interpret the ROC?
What does it tell us about NIFTY?
Did it ever fail on a monthly basis for NIFTY?
What does it tell us about GOLD on a monthly or weekly basis?
What about ROC on BRENT and SILVER?

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: 25 December 2011 | Comments (0)

Categories: Global, Research Updates

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

Technical analysis is about weight of evidence. More the indicators pointing in the negative side, the more negative the market and vice versa. Technical analysis is about Intermarket. Everything is connected. This means if we look at the CEE (Central and Eastern European) market, we should get some cues where Europe is headed and also get Q1 2012 cues regarding the global equity bias.

Here we are looking at Hungarian BUX, which seems to have completed a five wave impulse up and a three wave corrective down.

Now an Elliottician might contest or confirm this count. While the Intermarket analysts might say, “Look at the Romanian BETFI, which has a similar count like Hungarian BUX but an unclear five wave up.” And if Intermarket is true one of the counts is write either the Hungarian BUX or the Romanian BETFI. One of them is going to decide whether market attempts a low below 2009 or starts a new leg higher into 2012.

There is another reason, which Elliotticians can give. A cycle degree can bottom with a three wave structure and may not need a five wave structure. This is why Romanian markets could bottom with a three wave rather than a five wave structure. This means that whether it’s Mar 2012 or Dec 2011, the Romanian Equity could be ready to move higher in a new impulse up.

Now if we have to confuse the Elliottician we can show him the price chart of Austrian ATX, Polish WIG and the CEE Index, a composite of all CEE indices. Now the aim is not to confuse the Elliottician, but to remind him that there is subjectivity in counting waves even if Intermarket support is assumed.
Orpheus Jiseki on the other hand is a basic indicator which illustrates where the Hungarian BUX and Romanian BETFI or CEE indices are on the larger performance scale, in the top, in the bottom, in the middle. If there are on the top, no Elliott wave positive counting would help and if there are at the bottom, even the most negative counts on Elliott might not take the respective indices lower. The Jiseki is a performance time cycle for an asset and a valuable tool to fine-tune Elliott and Intermarket cases.
The CEE Index Jiseki is already at the worst ruling at sub 20 percentile readings. This suggests that the despite all negative in Europe at least parts of CEE region is already at its worst and to expect consistent selling pressure to take markets secularly lower in 2012 might be a tough task for bears. The odds are favoring the value pickers and bulls. If we look at things separately, the Austrian ATX (outside CEE) is still at 55 and has no reversal signs. Romanian BETXT (top 25) is sub 30 suggesting relative value. A whole new Intermarket case can be made from Jiseki, to understand Intermarket cases, whether Long German DAX short Sensex is workable or is Sensex Ready to outperform CEE and EU region Indices.

To read more of Jiseki Cycle updates mail us today.

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

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 100. 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.

Author: Orpheus | Date: 25 December 2011 | Comments (0)

Categories: Global, Research Updates

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

It was on 26 Aug 2009, we first talked about the loser’s index. We are still not there to present you the first ever Jiseki Worst Portfolio or Loser’s index. But keeping the tradition of talking about the worst performers, today we illustrate the first equity curve of the Jiseki worst portfolio among 1000 global assets. A graphical representation of the change in value of a trading account over a time period. An equity 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, Agricultural assets, global indices etc.

1) Every week we look at the worst Jiseki rankings.
2) Filter for the worst 30 components.
3) Look for the Jiseki cycles turning positive.
4) Allocate equally among 30 stocks 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 May 2010 to May 2011 highs, ‘THE JISEKI WORST’ not only delivered absolute positive returns of 37 percent but also outperformed all of SSEC Shanghai 20, DOW 30 and Sensex 30. Since the current NIFTY and market outlook remains negative sub 4,750 levels, THE JISEKI WORST should continue to outperform. In the weeks ahead we will be generating INDIA specific JISEKI WORST Portfolios. And considering we are not looking beyond 4500-4000 Nifty at this stage, the JISEKI INDIA WORST could just turn out to be a top investment opportunity. 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: 23 December 2011 | Comments (0)

Categories: Global, Research Updates

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

To understand market perspective we also cover global short indices. Short indices are inverse of the regular market indices and move up if markets fall and vice versa. A view on global short indices can also give us cues whether markets are ready to bottom yet or there is more negativity. The following 4 short indices on S&P500, DOW30, Nasdaq and broad Russell are at extremely low rankings. These means that short portfolios on US markets were the worst performers. And for us at Orpheus, whatever is worst is not going to be the worst in the time ahead.

This means that US Indices might underperform leading to delivery on SHORT portfolios on US indices. This also suggest that it still might be early to look for a bottom on India or emerging markets and the MAR 2012 lows could still be a reality. We are still expecting a weekly positive close above 4750 levels before taking this bounce seriously.

The report carries global cases on SHORT INDICES and Jiseki rankings. To read the report download the latest report from the Orpheus e store.

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.

Author: Orpheus | Date: 22 December 2011 | Comments (4)

Categories: Global, Research Updates

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

These are the top ranked early economic (financial IT) sector stocks in USA.

And this is MASTERCARD which has a topping Jiseki asking us three things.

1) If the current crisis has cost a few trillion dollars.
2) And the monetary stimulus is a few billion dollars every quarter.
3) Then how can the Mastercard be priceless?

We think Mastercard is set to underperform, as quarterly Jiseki tops.

To read more of Jiseki Cycle updates mail us today.

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

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 100. 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.

Author: Orpheus | Date: 19 December 2011 | Comments (0)

Categories: American Pairs and Assets, Global, Research Updates

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

This latest report carries levels, targets, projections for S&P500, EUROSTOXX50, NIKKEI 225, SSEC Shanghai and Indian Sensex. The report answers the following questions.

Is China headed lower like India or is it bottoming?
What are the key levels that define multi-year bull and bear in Japanese Nikkei?
How negative is the EUROSTOXX bear?
Will S&P500 ever reach 1000?

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

Alpha is a daily strategy signal product that gives long only, short only, pair trading signals. Alpha is a numeric Ranking product based on TIME fractals. The signals are carried over minor (10-30 days) and intermediate (above 30 days) time frame. 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. This is a part of the time triads analytics developed by Orpheus Research.

Naked and/or pair strategies are not riskless strategies. Time arbitrage portfolio legs should be risk weighted before any implementation. 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 Research products

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: 23 November 2011 | Comments (0)

Categories: Global, Research Updates

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

…because AZO is a top ranked JISEKI across time frames. Sub 332 this remains short and negative NYSE component that should become the next NETFLIX.

AutoZone, Inc. (AutoZone) is a retailer and a distributor of automotive replacement parts and accessories. As of August 28, 2010, the Company operated 4,389 stores in the United States and Puerto Rico, and 238 in Mexico. Each of its stores carries a product line for cars, sport utility vehicles, vans and light trucks, including new and remanufactured automotive hard parts, maintenance items, accessories and non-automotive products. As of August 28, 2010, in 2,424 of its domestic stores and 173 of its Mexico stores, AutoZone also has a commercial sales program that provides delivery of parts and other products to local, regional and national repair garages, dealers, service stations and public sector accounts. AutoZone also sells the ALLDATA brand automotive diagnostic and repair software through www.alldata.com. Additionally, it sells automotive hard parts, maintenance items, accessories and non-automotive products through www.autozone.com.

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

Author: Orpheus | Date: 22 November 2011 | Comments (0)

Categories: American Pairs and Assets, Global, Research Updates

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