Archive for January 24th, 2011

Is it time to rebalance your portfolio?

We have updated the global Indices for Rieki & Jiseki readings. The VIX Futures (iPath S&P 500 VIX Short-Term Futures ETN) is the worst performer along with Short ETFs on S&P 500, DOW (DXD) and Nasdaq 100. The performance of VIX and Short ETF’s is correlated as both Volatility indicators and short ETFs should fall as the markets rises. The other global indices that are reeling under poor performance are Brazilian BVSP and Japanese Nikkei.

On the top performing side we have the Agricultural Equity Index (MOOO.L), CBOE Technology Index (TXX). Well technology has been a global top performer. CNXIT Indian Technology sector index is also a top performer, different settings but similar timing.

Regarding other major indices…barring S&P500 the DOW Industrials, Dow Utilities, and Dow composite continue to witness falling Rieki performance cycles. S&P 500 continued positivity case is confirmed by performance positivity on Russell broad based indices, which are also positive on Rieki. A broad market index may never reach the top of the performance rankings among a group of assets owing to the large number of components. Large number of components smoothen returns. And at any intermediate top we can expect blue chip weakness before the broad market underperforms. A bigger ship takes more time to turn.

This analogy of bigger ship and smaller ship also confirms that indicators don’t suggest that we have a real primary multiyear case of weakness yet. What at best the indicators tell us is that there will be a rise in volatility, an intermediate multi week weakness where top ranking Technology, Material and Agro sectors pause and underperform the rest of the market. Reading into the news is a hard task but beyond Steve Jobs and Eric Schmidt might just be an indication that it is time to rebalance portfolios.

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.


Alpha India Indices - Sector review

Nifty view
Nifty’s minor structure remains negative and we need a break below 5,600 for further minor negative confirmation. The subminor structure looks like a second corrective wave up and, considering the over reactive 60MIN RSI momentum, we don’t expect prices to push higher than 5,800-5,840 at this stage. The Nifty Rieki has topped near previous extremes and suggests that the underperformance of the broad market should start now.
Jiseki rankings
The integrated Jiseki rankings for sectors suggest BSE Healthcare, BSE Consumer Durables and CNXIT as top performers and BSE Realty, BSE Capital Goods and BSEOIL as worst performers. NIFTY VIX has pushed higher in rankings now that its anticipated outperformance has started, while BSE Metals and NSEBANK have pushed lower. FMCG and Auto remain on the higher side of the rankings.
Worst rankers
BSE Realty and BSE Capital Goods, the worst rankers of the sector rankings show bottoming intermediate and minor structures. The oversold RSI momentum structures further confirm our positive view on the respective assets.
Top rankers
The top rankers of the sector Jiseki are BSE Healthcare and BSE Consumer Durables. The respective sectors are still holding previous supports and neckline levels. We need a break below respective levels to confirm that the reversal is here: 6,500 for Healthcare and 5,800 for Consumer Durables.
The market bias remains negative. We expect NIFTY VIX to find supports somewhere near 20-19 levels, after which the anticipated rise in volatility should continue. INR also pushed higher as anticipated and is heading to key Fibonacci projection levels at 45.9. Both NIFTY VIX and INR Rieki structures are positive and confirm further outperformance.

Enjoy the latest Alpha India.

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, 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.


Metals Rieki & Jiseki updated

XAU PHLX gold silver Index Rieki has turned negative from near 100 levels. XAG (Silver) is also negative. The Silver (ISHR SILVER TR) is also at an extreme ranking (the best performer) among our global coverage. Base metals Zinc and Aluminum have non confirming Rieki performance cycles. Overall the metals complex remains topping for us. Palladium is the best reduce (Sell) while Zinc and Aluminum are the worst ranking metals (the holds). From a strategy point of view, short Palladium and Tin, long Aluminum and Zinc should work.

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.



Global Intermarket Conference (Pictures)

The Global Intermarket Conference
Budapest
Saturday, January 15th, 2011

As markets get integrated and opportunities shift from one asset to the other, intermarket analysis gains prominence among market participants. At a time when Gold is at an all time high and interest rates at an all time low, one wonders whether we are in inflationary or deflationary times. Agro asset prices have started to rise, Indian markets are at a new high, some European economies are struggling with a debt crisis, Oil continues to stay below dollar 100, pinpointing performance and isolating alpha gets tougher. The conference will address the area of intermarket perspective between global assets attempting to identify outperforming sectors in 2011.

Are times ahead inflationary or deflationary?
Is it time to hold cash or tangible assets?
Will Gold continue to outperform global equity?
Will China boost the global economy?
Will Oil reach $100 in 2011?
What are the driving stories for Central Eastern Europe?
Is EUR DOLLAR parity a reality?
What will be the top sectors of growth?
Will financial sector outperform or underperform?

How to decode intermarket cyclicality?

Presentations

Cost of MoneyCOST.OF.MONEY
Outlook 2011MARKETS OUTLOOK FOR 2011
The Performance CycleTHE PERFORMANCE CYCLE
How to overcome behavioral errorsBEHAVIOURAL FINANCE AND TECHNICAL ANALYSIS

For registration and further details visit the Market Technicians Association.



Sensex vs. Dow

Emerging equity is an active asset class. Money flows in and out of them actively. No wonder intermarket analysis between Sensex and Dow assumes an important role.

This week we are looking at Sensex, Dow and their intermarket relationship. Sensex is testing its previous low. The more prices test their previous supports successively, the more likely to break. Even if look at the current formation as an Elliott C wave and not a 3 wave down (Fig. 3), next immediate supports lie at 18,000. Weekly momentum and negative Rieki performance cycle (Fig. 1) confirm our negative case.

What happens from Sensex 18,000 is the tricky part. Whether that’s all the correction we will have on India? Or is there more to come? …

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.