Toronto 15 ORMI ©

The latest TORONTO 15 ORMI © Index update carries the equity curve from February 2002 till date. The Orpheus Risk Management Index (ORMI) is up 700% since 2002.

The Risk index in the plot above is a proprietary quantitative methedology of analyzing risk in markets. For the Toronto exchange when the risk index level rises above 20, there is a 95.45% chance that the TMX 300 index will be either negative or not rise by more than 4%.

The density plot above describes the frequency of returns for both the GSPTSE and Toronto 15 ORMI ©. The density plot for Toronto 15 ORMI © displays high positive returns variability and fewer negative returns when compared to GSPTSE.

Download the latest Toronto 15 ORMI (050912)

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Megh is the algorithmic trading developer at Orpheus Capitals.  He completed Bachelors of Engineering in Information Technology from Mumbai University and has worked extensively in the area of stochastic calculus while pursuing his Masters in Statistical Science from La Trobe University in Melbourne, Australia. He has keen interest in pricing, hedging and replicating structured products along with developing numerical algorithms. He interned with Orpheus Capitals in early 2011, developing proprietary algorithms for trading and continued working with Orpheus Capitals while completing his Masters program.

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