ORMI Indices and Analytics


Orpheus Risk Management Indices (ORMI) © and Analytics

The indices values that are disseminated today are broadly based on market capitalization methodology. Market capitalization methodology has been challenged globally for a few broad reasons. 1) As an asset strengthens it is given more weight 2) As an asset weakens it is given lesser weight. This on one side captures momentum but on the other side suggests investors to focus more on growth compared to value. This increases portfolio risk when market growth slows down or reverses, as has been the case since 2007. When markets contract, the erstwhile top performers push into red for extended period of time causing large drawdowns and emotional pain.

The ORMI Indices are based on the extreme reversion idea i.e. outliers tend to reverse, which suggests that investing is about value picking and extremes are prone to reversion. Our Index extends and fine tunes the idea first mooted by De Bondt and Thaler in their 1981 paper suggesting that 3 year worst losers portfolio tends to outperform the 3 year best winners portfolio. However instead of just choosing the worst 3 year losers, we have tested worst losers on different time frames. The aim was to see if the mean reversion results can be simulated to different holding period durations. This makes the extreme reversion idea more investible (reduced holding period).

Orpheus Risk Management Indices (ORMI) is running four Index styles now viz. Active, Worst 20, Extreme Reversion and Relative Performance (upcoming)

ACTIVE STYLES are with periodical entry and exit signals like the ORMI US 30, ORMI Toronto 15, ORMI UK 20, ORMI India 30 and ORMI India 10. The difference between them is the underlying universe. For example ORMI India 30 and India 10 selects from BSE 500 and CNX 100 respectively. Active styles are cash conserving, absolute return Indexed models. They actively enter and exit a position and go cash if needed.

THE WORST 20 STYLE is about selecting the worst components from top 100 Universe (India, UK, USA, Canada, Japan etc.). This is a quarterly rebalanced portfolio and is more about relative performance vs. the underlying top 100. This style is not a cash conserving absolute return model, but about beating its respective peer universe. Because of the idea of negative outliers outperforming, the worst 20 style outperforms the universe. So it’s an easier basket to create and hold.

THE EXTREME REVERSION STYLE is about recreating the top benchmarks and sector indices. It’s an all invested strategy. For example the Dow 30, TSX 60, Sensex 30 components, or the Nifty 50, or various regional sector indices like Banking, Auto, CNXIT, Pharma etc. Why do we need to recreate the top benchmarks? There is a section of market that is not active and wants to outperform or assume exposure to top blue chip components and sector indices like Auto.

For example in India the current available ETF indices are just NIFTY BEES, which allow for benchmarking Nifty but don’t offer superior returns or relative outperformance vs. Nifty. NIFTY BEES just benchmarks NIFTY, while ORMI IFTY 50 recreates NIFTY and offers 5 to 10% more every year compared to NIFTY. A passive market audience considers this an investible performance if the holding period is 6 months or 12 months. It’s a convenient allocation.

THE RELATIVE PERFORMANCE STYLE is about recreating the top benchmarks and sector indices using relative performance. It’s an all invested strategy. For example the Dow 30, TSX 60, Sensex 30 components, or the Nifty 50, or various regional sector indices like Banking, Auto, CNXIT, Pharma etc.

THE TACTICAL STYLE works around a macro portfolio that needs to allocate across various asset classes like Fixed Income, Commodity, Forex or Equity. Tactical styles can work around a group risk level.

Risk Management Styles

Risk Management Models (Rest)

Risk Management Models (ETF)

Real Money

The Extreme Reversion (Brief)

Jiseki Query

5 Year Rolling Return Cases - Simulating Fundamental Index

Multiple_Jiseki Cycles USA and Toronto Top 30

Multiple_Jiseki_Cycles Index_and_Commodity

Divergence Cyclicality

Presentations, Product Profile, Summary

The recorded link for the Orpheus Global Webcast - Performance Cyles - Filters, Signals and Indices
Prezi presentation for the webcast
ORMI - Brief Presentation
ORMI - Product Profile
ORMI - Product Summary Apr 2013
ORMI - Active Performance
The Orpheus Risk Management Framework
Orpheus - Econohistory.0413
Budapest Conference 19 Sep 2013

Orpheus Risk Management Indices ORMI © (India)

ORMI INDIA Active 30
ORMI INDIA Extreme Reversion TECH
ORMI INDIA Extreme Reversion PHARMA
ORMI INDIA Extreme Reversion AUTO
ORMI INDIA Extreme reversion Ifty 50
ORMI INDIA Relative Performance Ifty 50
ORMI INDIA Relative Performance Senzex 30
ORMI INDIA Extreme Reversion Senzex 30
ORMI India Active IFTY 5 13.09.13

Orpheus Risk Management Indices ORMI 
© (Global)

ORMI Toronto 15
ORMI UK Worst 20
ORMI Australia
ORMI US Extreme Reversion SNP
ORMI North America Active 30
ORMI North American Fixed Income 10
ORMI Toronto Extreme Reversion TSAXE 60
ORMI Global Active ETF
ORMI Austria Extreme Reversion ATX Prime
ORMI Japan Nikkei Active 20
ORMI Japan Extreme Reversion 23.08.13
ORMI UK Active 20 28.08.13
ORMI UK FTSE 100 Extreme Reversion 28.08.13

Orpheus sub-advisor services for Portfolio Management

CM RMI Toronto 15 Performance Profile
CM RMI US 30 Performance Profile

Case studies

Godrej up @ 572%
The Apple Top
Yahoo, Rona, Marissa and Jiseki
Madras Cement up @ 53%
Dow @ 14000
Dow fall and Brokers rise
Prestige Estate exits @ 54%
Hathway exits @ 15% gains
Where is Indian Banking headed
Remembering NHPC
Remembering HLL
Too late for United Spirits


FAQ - The ORMI Indices

Orpheus Webinars

Orpheus WEBINAR Schedule

Research Papers

SSRN - Social Science Research Papers


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