ORMI ® beats CNX Midcap

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MIDCAP`

PERFORMANCE.MIDCAP

We are pleased to launch ORMI India Relative Performance, Extreme Reversion and Active CNAXE Midcap Indices. All these are reallocation and selection models based on the CNX Midcap Index component universe.

ORMI Midcap Performance

ORMI Relative Performance CNAXE delivered 21% annualized vs. 6.2% on the CNX Midcap since 2006. ORMI Extreme Reversion delivered 17% annualized vs. 6.2% on the CNX Midcap since 2006. Though this was nearly 3 times returns, the ORMI Extreme Reversion had a lower standard deviation (20.7) for the underlying universe (25.8). On the other hand the ORMI India Active CNAXE Midcap is running 10 components. Though on an annualized basis ORMI Active delivered the most (27 % annualized) among Relative performance and Extreme Reversion, active management comes at a cost be it monitoring cost, or transaction cost etc. If absolute return is what matters to you then ORMI Active did not disappoint even in risk terms. The Index delivered the highest return per risk (1.17) among its peers i.e. ORMI Relative Performance CNAXE Midcap (0.81), ORMI Extreme Reversion CNAXE Midcap (0.85) and CNX Midcap (0.24).

ORMI Styles

The RELATIVE PERFORMANCE STYLE recreates 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, Technology, Pharma etc.

THE EXTREME REVERSION STYLE recreates the top benchmarks and sector indices. It’s an all invested strategy. For example the Dow 30, TSX 60, Sensex 30 or various regional sector indices like Banking, Auto, Energy, Health Care 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 Energy.

The ACTIVE STYLE is a periodical entry and exit signals like the ORMI Active US 30, ORMI Active Toronto 15, and ORMI Active India 30. The difference between them is the underlying universe. ORMI Active US 30 and ORMI Active Toronto 15 select components from the S&P 500 and TSX 350 respectively. Active styles are cash conserving, absolute return Indexed models. They actively enter and exit a position and go cash if needed.

What’s new?

We have added some new features to the ORMI report viz. VAR tables, Monthly Return Tables, Average Drawdown numbers, Compact Jiseki and Review level charts. This 36 page report carries a comprehensive review on all the 100 components of the CNX Midcap. How can you use this report? You can use this ORMI report for selection, allocation, perspective, cycles, review and for portfolio management.

Enjoy the latest ORMI Midcap Indices.

Indexing: The Orpheus Risk Management Index (ORMI) is based on proprietary algorithm.

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 based on the above 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.

To download the latest report please visit our Reuters Store

For knowing more about ORMI Indices mail us for details or contact a sales representative.

Presentations and Primers: ORMI Indices and Analytics

India Sales Office
Phone: 0091.11.65181118
Phone: 0091.9873155513
[email protected]


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