Archive for the ‘Alpha’ category

Alpha India Indices – INR retraces from 46 resistances

Alpha is a daily strategy signal product that gives long only, short only, pair trading signals. Alpha is a numeric Ranking product based on TIME fractals. The signals are carried over minor (10-30 days) and intermediate (above 30 days) time frame. The signals are illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.
Naked and/or pair strategies are not riskless strategies. Time arbitrage portfolio legs should be risk weighted before any implementation. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the Orpheus Research products.

Performance cycles (Rieki) is a term coined by Orpheus Capitals. This 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. Rieki is a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A 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.

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 we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Stop loss and exits are activated at 4%

Coverage India: BSE500 traded stocks and Indian Indices.

Michesan Anna-Maria, the columnist for the WAVES.INDIA weekly and Head of India Research. Anna discovered her interest of markets immediately after completing her graduate studies in Economics. She followed it up with post graduate studies in corporate finance. A host of research work in behavioral finance, option strategies and quantifying market sentiment followed. Anna covers Indian equity and combines Elliott, Time Fractals and Time Analytics to deliver accuracy across time frames. To review some of her work, check out the annual India accuracy report 2009.

India Accuracy Report 2009


Alpha India ME - The Rieki hedge

The main purpose of having a portfolio is diversification, which reduces risk. Investing with Rieki is about matching outperformers against underperformers. This is like investing in pairs. However, instead of developing individual pairs, matching an asset with another say Suzlon (potential outperformer) vs. Bajaj Auto (potential underperformer), Rieki portfolio lets you adopt a combination strategy. This new approach invests in two groups of assets and not just in individual assets alone. One is a group of outperformers and the other group contains underperformers.

How does this help? First it lets us pick up the best value from a universe of stocks. Second, it reduces risk by giving us the opportunity to short potential underperformers, hence reducing portfolio risk by creating a strategy hedge. Third, it increases our holding period for the overall portfolio. We can hold and accumulate the long spot for a longer period of time and similarly we can hold futures beyond intraday volatilities. The Reiki portfolio accumulation approach of value picks keeps us prepared to capture the next stage of the bull market that should start in 2011.

Fourth, this approach also allows us to play according to the underlying bias of the market. If the intermediate multi week market view is negative. We could churn our short futures portfolio actively. We could have more short components against few value spot picks (though the value hedge between long and short is maintained). The market bias can be judged by a trending system, by the ongoing VIX structure, by the view on INR and by a host of factors. The LOSO trending systems that we use is negatively inclined now. In case the bias is positive. Instead of short futures, one could look at using option strategies for the short side of the portfolio (for the potential underperformers).

We have assumed a leverage of 4 times for the short portfolio. This means an average leverage of 2 times for the overall portfolio. We have illustrated the Rieki portfolio with the best and worst components of the pair grid mentioned in our earlier features. It consists of four long trades (Reliance, Tech Mahindra, Suzlon and Reliance Power) and five shorts (Bajaj Auto, Federal Bank, Bank of Baroda, Cummins and Tata Motors).

As one can see the spot portfolio moved from -1% to -10% in the last 10 trading days closing Thursday at 8% negative. The enclosed Rieki portfolio illustrates the running futures and closed trades. The net portfolio is down 1% outperforming the overall market by 7%. The value of the portfolio is nearly 50,000 Euros (INR 30 lakh).

On the sector side, BSE Consumer Durables and NIFTY VIX remain the two extremities of the sector numeric ranking. BSE Auto, Healthcare, FMCG should underperform in the next weeks, while BSE Realty, BSE Metals, BSE Power and INR Futures are best hold and outperformers. So Rieki will be looking for auto, healthcare and FMCG shorts and best hold (buy) opportunities in Power and Metals.

The intermediate (multi week) view on the overall market remains negative. Any potential subminor correction up should end early next week after which Nifty should head towards our anticipated targets at 5,600-5,400 levels. The Indian Rupee is weakening as anticipated, triggering further negativity on the equity side. We also expect further rise of NIFTY VIX till 26-28 levels.

Alpha is a daily strategy signal product that gives long only, short only, pair trading signals. Alpha is a numeric Ranking product based on TIME fractals. The signals are carried over minor (10-30 days) and intermediate (above 30 days) time frame. The signals are illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Naked and/or pair strategies are not riskless strategies. Time arbitrage portfolio legs should be risk weighted before any implementation. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the Orpheus Research products.

Stop loss and exits are activated at 4%

Coverage India: BSE500 traded stocks and Indian Indices.

Michesan Anna-Maria, the columnist for the WAVES.INDIA weekly and Head of India Research. Anna discovered her interest of markets immediately after completing her graduate studies in Economics. She followed it up with post graduate studies in corporate finance. A host of research work in behavioral finance, option strategies and quantifying market sentiment followed. Anna covers Indian equity and combines Elliott, Time Fractals and Time Analytics to deliver accuracy across time frames. To review some of her work, check out the annual India accuracy report 2009.

India Accuracy Report 2009


Gaming like Cleo

My cat Cleo loves to play. She is a big communicator when it comes to gaming. She is a gamer. The more I see her playing, the more I see a behavior similarity with humans. The idea of play is equally important if not less in investments. Or maybe it becomes important in time. She knows where the ball is but she will look the other way, walk a bit ahead and then turn and crouch, getting ready to attack.

A reader on mail asked, “I am genuinely worried about the rising Sensex but I don’t know why I am worried about rising prices. I don’t want to have my savings wiped out when foreign investors start pulling out their money. I don’t understand why domestic FIIs are selling and foreign FIIs are buying. so are the foreign fund inflows likely to stop/ stabilize soon?

Just like Cleo, many of market participants are playing, like Crystal Moore admitted, her job was to sign not to read. The people who made her sign were gaming too. There is a wide section of us, who gamble and play. How can we assume that domestic and foreign FII’s have no play element. Ultimately what does majority understand by speculation? It’s a game for them.

Of course its fun to play the game, but that could be a lot of risk. How about adding a system to the game, a risk reducing system? If you are an investor wondering the game of FII’s, let’s help you lay down the ground rules for a system based play. 1: We cover 120 assets which includes CNX100 components and sector indices. 2: We rank them on multiple holding periods. 3: The worst rankers are best holds and buys and best rankers are best sells and reduce, simple.

The attached pair gird from 120 Indian assets suggests that for the intermediate period the best holds are: Punj Lloyd, Suzlon, Housing Development and Infrastructure, Tech Mahindra, GMR Infrastructure, Sesa Goa and Sterlite and the Best reduce are Federal Bank, Bank of Baroda, Canara Bank, Cummins, Corporation Bank and Bajaj Auto.

The current outlook of the market may need effort to understand what the FII’s are doing, but don’t forget the threes.
3 negative for the markets. 1: Volatility is coming out of historical lows and should rise. This could mean fast down activity. 2: A similar structure suggests Rupee multi week weakness (negative for equity) 3: Markets generally correct an 18-20 month upsides in both time and price. We have carried anticipated and happened cases.

3 Positives. 1: There are more than a few sectors (stocks) that can hedge (falling less or not falling at all). 2: Quantity of fall may not be more than 30% from current levels. 3: Hedging Put options owing to current low volatility are still cheap.
3 Strategies. 1: A simple ranking process can isolate the potential outperformers. 2: This ranking is linked to a certain holding period (say a quarter).3: The ranking process also isolates the potential underperformers that should be closed or reduced in a portfolio. And the best part we can do it for you. We will rank your portfolio and tell you which of your assets are mismatched with your holding periods (quarterly, monthly, weekly etc.). We will tell you which of your assets are going to underperform and which are going to outperform. We can also tell you which of your assets are going to be more volatile. So if you are uncomfortable with the current market situation, we could help you reduce your portfolio risk. Maybe watching the game would be relaxing and not stressing then.

Alpha is a daily strategy signal product that gives long only, short only, pair trading signals. Alpha is a numeric Ranking product based on TIME fractals. The signals are carried over minor (10-30 days) and intermediate (above 30 days) time frame. The signals are illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Naked and/or pair strategies are not riskless strategies. Time arbitrage portfolio legs should be risk weighted before any implementation. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the Orpheus Research products.

Performance cycles (Rieki) is a term coined by Orpheus Capitals. This 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. Rieki is a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A 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.

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 we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Stop loss and exits are activated at 4%

Coverage India: 100 top traded stocks and Indian Indices.

Orpheus Store

Orpheus Research at Reuters - United Kingdom

Orpheus Research at Reuters - United States


Alpha Romania Coverage increases to 54

Alpha is a daily strategy signal product that gives long only, short only, pair trading signals. Alpha is a numeric Ranking product based on TIME fractals. The signals are carried over minor (10-30 days) and intermediate (above 30 days) time frame. The signals are illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

Naked and/or pair strategies are not riskless strategies. Time arbitrage portfolio legs should be risk weighted before any implementation. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the Orpheus Research products.

Performance cycles (Rieki) is a term coined by Orpheus Capitals. This 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. Rieki is a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A 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.

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 we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Stop loss and exits are activated at 4%

Coverage Romania: Romanian Indices, Stocks, gold, Oil, Dow,  CEE Indices (54 assets).

Orpheus Store

Orpheus Research at Reuters - United Kingdom

Orpheus Research at Reuters - United States


Ionut Nistor

Orpheus is honored to introduce Dr. Ionut Nistor. Many of our readers might already know him as the co-author of Performance Cycles paper published in Kyoto Economics Journal. Ionut has been part of the core team that developed and nurtured the idea of Alpha products since July 2008. A real gentleman with a kind disposition, Ionut’s understanding of markets and finance comes from his decade long experience as a professor of Corporate Finance. Currently he is pursuing his post doctorate studies at Kobe University in Japan. He is fluent in Japanese, Romanian and English and plays multiple roles at Orpheus. He is the academic consultant for Orpheus, assisting us in taking many of our ideas to the academic world. Currently he is working on an Orpheus paper for an economic conference in Tokyo in August 2010. He also handles Alpha Romania and Alpha Japan. You can follow his work on Econohistory and linia de trend blogs and soon on the SSRN (Social Science Research network).

The Bric Model from a Japanese Perspective
Ionut Nistor - Econohistory
Alpha Romania

Performance cycles is a term coined by Orpheus Capitals. This is another name for time triads, time arbitrage, time fractals but expressed in terms of relative performance. It’s a bounded oscillator that moves in a range say from 1 to 30. 1 is top relative performance and 30 is worst performance. The idea is that performance is cyclical. A 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.

Alpha is a pair trading, long only – short only strategy and numeric ranking product based on TIME fractals. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

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ORPHEUS RESEARCH AT REUTERS - UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS - USA


MINOR LONG SIF2 SHORT SIF5

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Please feel free to mail us for any clarifications.

Enjoy the latest ALPHA.ROM

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

ALPHA is a pair trading strategy product based on TIME ARBITRAGE, a term coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and binary charts. The product carries running performance portfolio tracker and give clear entry and exit signals. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

ORPHEUS RESEARCH AT REUTERS - UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS - USA


SUBMINOR LONG CNXIT-SHORT NIFTY

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Please feel free to mail us for any clarifications.

Enjoy the latest ALPHA.INDIA

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

ALPHA is a pair trading strategy product based on TIME ARBITRAGE, a term coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and binary charts. The product carries running performance portfolio tracker and give clear entry and exit signals. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

ORPHEUS RESEARCH AT REUTERS - UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS - USA


THE ROMANIA FIVE

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Please feel free to mail us for any clarifications.

Enjoy the latest ALPHA.ROM

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

ALPHA is a pair trading strategy product based on TIME ARBITRAGE, a term coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and binary charts. The product carries running performance portfolio tracker and give clear entry and exit signals. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

ORPHEUS RESEARCH AT REUTERS - UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS - USA


THE INDIA FIVE

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Please feel free to mail us for any clarifications.

Enjoy the latest ALPHA.INDIA

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

ALPHA is a pair trading strategy product based on TIME ARBITRAGE, a term coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and binary charts. The product carries running performance portfolio tracker and give clear entry and exit signals. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

ORPHEUS RESEARCH AT REUTERS - UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS - USA


ALPHA.ROMANIA - LONG AND SHORT OF SIFS

Read more…

Please feel free to mail us for any clarifications.

Enjoy the latest ALPHA.ROM

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

ALPHA is a pair trading strategy product based on TIME ARBITRAGE, a term coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and binary charts. The product carries running performance portfolio tracker and give clear entry and exit signals. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

ORPHEUS RESEARCH AT REUTERS - UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS - USA


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