About Us

Orpheus CAPITALS, Global Alternative Research

 

Orpheus group of companies are into global alternative research, data analytics, risk management solutions etc. The company’s vision is to revolutionize the world’s understanding of TIME and build research and analytics around it. The company is listed with Integrity Research (New York). Alternative Research includes price and time fractals, cycles, sentiment and quantitative research. The company publishes research reports internationally on Reuters, Thomson, Capital IQ, FactSet, Research and Market platforms and Finalaya. The research coverage includes 10,000 global assets and non-capital market data. The services include forecasts, cycles, strategies, analytics, risk management and Indices.

 

Mukul Pal, Founder, Orpheus Group of companies

MUKUL PAL

Mukul is a Chartered Market Technician, MBA Finance and a member of the reputed Market Technicians Association (MTA). He has more than a decade of Capital Market experience dealing with derivatives and global assets. He has worked for Bombay Stock Exchange, multinational Banks and brokerage houses in leading research positions before starting on his own in 2005. He is currently the President of the MTA Central and Eastern European Chapter.

Orpheus group of companies are into global alternative research, data analytics, risk management solutions etc. The company’s vision is to revolutionize the world’s understanding of TIME and build research and analytics around it. The company is listed with Integrity Research (New York). Alternative Research includes price and time fractals, cycles, sentiment and quantitative research. The company publishes research reports internationally on Reuters, Thomson, Capital IQ, FactSet, Research and Market platforms and Finalaya. The research coverage includes 10,000 global assets and non-capital market data. The services include forecasts, cycles, strategies, analytics, risk management and Indices.

Patent Filed

System and method for risk management of a data variable
India Bearing number: 1844/DEL/2013
Filed June 24, 2013

International Academic Research

Mukul has actively researched on ‘Time’ and has written seminal papers on the mathematical hierarchy of time. His first paper on performance cycles was published in the Kyoto Economics Journal in Mar 2009. His paper on Time Fractals was accepted by the ERN History of Economics Journal and Capital Markets Market Microstructure eJournal (SSRN Economics Research Network). Time Fractals attempt to explain the exponentiality in nature and markets. The subject has wide application even outside capital markets. Mukul has written on the toplogy of Time, coined ideas like Extreme Reversion.

He is in the top 10,000 authors on SSRN. Social Science Research Network (SSRN) is devoted to the rapid worldwide dissemination of social science research and is composed of a number of specialized research networks in each of the social sciences. The site has received several excellence awards for their web site and currently has 203,896 listed authors.

Other Publications

Mukul has written extensively on derivatives markets, sentiment indicators, alternative research, investment psychology, commodities and global assets from 1997 till date for local and international journals like Business Standard (India), The Economic Times (India), E-Mecklai (India), Yahoo Business, Economistul (Romania), Ziarul Financiar (Romania), Bucharest Daily News (Romania), Business Week (Romania), Technically Speaking (MTA Newsletter USA), Euro Physics letters (France) etc. He has also published a electronic book on Derivatives for the Bombay Stock Exchange.

Trainer, Speaker and Media Appearances

Mukul is also an active trainer and speaker. He has spoken at TED, at the Canadian Society of Technical Analysts in Toronto, conducted training programs for Thomson Reuters (Romania, Bulgaria, Macedonia, and Albania), Oil and Gas Forum Romania, Bombay Stock Exchange, SIBIU Derivatives Exchange, Bucharest Stock Exchange, Academy of Economic Studies. Mukul has been interviewed on CNBC India, Zee Business, NDTV and other international TV shows.

Orpheus proprietary research on Time fractals redefine stock picking, hedging, pair trading, sector selection, index construction and offers tools and indicators for market timing. We publish Alpha, a numeric ranking product that ranks assets across time frames, allowing the investment community to understand that performance is cyclical and select assets only when they are ready to perform. Orpheus Time analytics is a web based application that allows the user to review, monitor and generate strategy signals for investment and trading.

Time Triads

Time is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what is not visible is a challenge. Understanding ‘Time’ could bring more than a conventional thought down.

Since 1909 when Vilfredo Pareto wrote about the Pareto curve, the curve is an unchallenged rule. Time Fractals or exponentiality of Time is the answer to Vilfredo Pareto’s 1909 ‘nature of men’, Edward R Dewey’s ‘mysterious force’ and Mandelbrot’s ‘chaos’. It is a revolution, which could redefine everything from economics to history, from geometry to relativity. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in ‘Time’ forecasts and interpret the world around us a bit more.

(Jiseki) Performance Cycles

Jiseki is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. Jiseki is a bounded oscillator that moves in a range of 1% to 100%. 1% is a top relative performance and 100% is the worst performance. Since performance is cyclical, the top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick.

The study of performance cycles in single assets, pair of assets, economic and social indicators is the study of Economic History. Performance cycles can be studied for any time frame, for as small as a tick data to multiyear time frame. This objective approach to performance cyclicality can explain why markets are connected. Why bonds and commodities tend to be inversely related? What is the connection between Oil and global economy? Why we watch Dow Industrial Average sometimes and sometimes we look at Shanghai Index? Why correlation between assets moves from near perfect at times to weak correlation at other times? Why the same news has different impact on a stock or market? Are we in inflationary or deflationary time? When and why does gold outperform and underperform silver? What does it mean if Apple is the best and Sugar is the worst performer for a certain period? What does it mean if football outperforms baseball in revenue generation? Performance cycles can objectively answer these questions because Economic history is mathematical.

Orpheus Risk Management Indices (ORMI) 

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.

Disclaimer

This document, information, update is not to be construed as an offer to sell or the solicitation of an offer to buy any security in any jurisdiction where such an offer or solicitation would be illegal. No person associated Orpheus CAPITALS is obligated to call or initiate contact with you for the purposes of elaborating or following up on the information contained in this document. The material is based upon information that we consider reliable, but we do not represent that it is accurate or complete, and it should not be relied upon as such. Neither Orpheus CAPITALS, nor any person connected with him, accepts any liability arising from the use of this document. The recipient of this material should rely on their own investigations and take their own professional advice. Opinions expressed are our current opinions as of the date appearing on this material only. While Orpheus CAPITALS endeavor’s to update on a reasonable basis the information discussed in this material, there may be regulatory, compliance, or other reasons that prevent him from doing so. Prospective investors and others are cautioned that any forward-looking statements are not predictions and may be subject to change without notice. No part of this material may be duplicated in any form and/or redistributed without prior written consent. In so far as this report includes current or historical information, it is believed to be reliable, although its accuracy and completeness cannot be guaranteed.

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