American Active 30 @ 12% Cash


ORMI North America Active 30. Top 200 blue chip companies from USA and Canada jostle to make it to ORMI North Active 30 portfolio. ORMI Active relies on Extreme Reversion, which means investing in the worst outliers of the group. Active styles are cash conserving, absolute return Indexed models. They actively enter and exit a position and go cash if needed.The interesting aspect of the ORMI North American Active is its selection. 57% of the group was just the financial sector. This one side is not very surprising considering Financials have still underperformed. But on the other hand the fact that the sector is overweight in ORMI Active suggests a potential outperformance. What does it mean if financials outperform? It means improving numbers, earnings, growth in business cycle and a continued positive stock market. The ORMI is also just 12% cash, which means ORMI North America continues to anticipate a positive bias for the broader market. At a stock specific level Yahoo despite its 54% lead and 205 days holding continues to stand firm. The ORMI North America active 30 beat the underlying universe and delivered 12.5% annualized. This was an out performance of 8% above the S&P500. On a risk weighted level, the ORMI had a lower standard deviation at 14% compared to 21% for the benchmark. ORMI North America Active 30 is up 16% for the year to date. Enjoy the latest ORMI.



2Indexing: 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.


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