Archive for January 4th, 2011

Alpha India ME - The long portfolio updated

We added Reliance Infrastructure to the long portfolio, as it is a worst performer according to both the BSE Capital Goods and BSE Power integrated Jiseki rankings. These two sectors are also worst rankers in the sector Jiseki. We closed Sesa Goa and Tech Mahindra as both reached 0.618 Fibonacci resistances (previous minor highs) and daily RSI is overbought in both cases.

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 India: BSE500 traded stocks and Indian Indices.

Michesan Anna-Maria, the columnist for the WAVES.INDIA weekly and Head of India Research. Anna 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.


Alpha Global - Dollar Corrective Continues

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

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. Jyoti will be covering Forex in her weekly columns.


The Primary Inflation

Relative performance line between the Commodity Index (CRB) and Global Bonds can indicate whether the time ahead is inflationary or not. The primary case (Fig 1.) illustrates that Bonds have outperformed CRB and are now at historical extreme of more than a decade. There has been a relentless rise in global bonds, but that has not been the case with commodities, which have slowed down and stagnated a bit compared to the controlled interest rate situation.

So where does this leave us? Extremes are unsustainable, especially when they become of a multiyear nature.

This article is written for ATMA

Time Triads, Time Fractals, Time Arbitrage, Performance Cycles are terms coined by Orpheus Research. Time Triads is our weekly market letter. The report covers various aspects on TIME patterns, TIME forecast, alternative research, emerging markets, behavioral finance, market fractals, econohistory, econostatistics, time cyclicality, investment psychology, socioeconomics, pop cultural trends, macro economics, interest rates, derivatives, money management, Intermarket trends etc.

The 2011 Outlook - Get ready for inflation investing?

This is what we said in our 2010 outlook.

“Any rally in Indian markets should not last beyond Q1 2010 (high of 2010). At this stage however, we see the market opening positive on 4 Jan and pushing higher. A net positive 2010 is a low probability scenario at this stage. India is in a multiyear trading range for us, something like the 1990’s US bear market.”

Mar 2010 high was 17,793 (Sensex). Markets closed 2010 15% up. 2010 became one of the least change years on Sensex since 1990. Now one may say, so what, it was positive. Well getting in and out of the market costs money. The Nifty indeed went to sleep in 2010, as the fear gauge VIX went to historical lows and stagnated at sub 20 levels.  Sub 20 VIX for multiple months is high complacency, which did not deliver. High complacency that does not deliver is like an exhausted market in a state of rest before tumbling lower. For me sub 20 VIX after almost 24 months of rise can never be an absolute buy. I need to see a real volatility spike for at least a few weeks before any return of the absolute bull.

In 2010 we made cases suggesting relative opportunities and illustrating how absolutism was old tech. Marginal move on Sensex just proved us right. Relatively we talked about ‘Health Care outperformance’ on 09 Sep. We talked about top shorts  on 19 Nov in ‘India Pair Grid’ when we mentioned that Banks were a sell and Federal Bank, Bank of Baroda, Cummins, Corporation Bank, Canara Bank, Andhra Bank, LIC housing were best shorts. LIC Housing cracked more than 30% after the signal. We also talked about best longs like Punj Lloyd, Suzlon, Housing Development and Infrastructure limited, Sesa Goa and NTPC. We got many of the calls right. Relatively we were able to capture alpha. We ended last year with ‘The Rieki Hedge’ 9 Dec where we illustrated how a hedge could be made profitably.

About 2011…

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 India: BSE500 traded stocks and Indian Indices.