Archive for the ‘Romanian Pairs and Assets’ category

SIF5 moves up in rankings

Best to worst and vice versa happen in the markets, nature and society all the time. It’s just that our current research tools are focused more on absolute than relative performance.

In just a month you can see that SIF5 moved up from bottom 3 to top 3 in performance. What does it mean? This means that a month back when SIF5 was at 1.03 it was the worst performer and hence one of the best value picks (outperformers) among BETXT components. Now that the stock has completed its 40% upside to 1.4 and retraced back to 1.25 (still nearly 20% above June low prices), it is not as attractive as it was 30 days back. Performance is cyclical among a group of stocks in an Index, among indices, among regional markets and among various assets. There is a time for a stock to perform its peer and vice versa. This is not the time for SIF5 to outperform its peers in Romania.

CMP, AZO, SIF5 are the top ranking stocks and hence poor potential performers. While COMI, IMP, ALR, PTR are the worst ranking stocks and hence the best potential performers for weeks ahead.

The latest Alpha Romania carries the latest numeric ranking, numeric ranking changes, long only – short only signals, running pair performance signals, performance and pair cycles and strategy updates.

For more information on Alpha Romania mail us at [email protected]

Numeric Ranking

Performance Cycles - I

Performance Cycles - II


For more information on Alpha Romania mail us at [email protected]


Dr. Ionut Nistor is 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.

Time Arbitrage portfolio legs should be risk weighted before any implementation.

Coverage: BETXT, BETXT components, SIF5 Futures, DOW Jones

Stop loss and Exits are activated at 4%

Please feel free to mail us for any clarifications. *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.

To login to the member’s area or access Orpheus estore click here.

Orpheus Research at Reuters - United Kingdom

Orpheus Research at Reuters - United States


Alpha Romania – Banking and Financials

It might look strange, but banking and financials are at the bottom of numeric rankings. All of BRD, SIFs and Impact are at the bottom. What does this mean? This means unlike popular belief that financials are more in the heat of things, it’s the financials that should outperform the rest of the market. And if financials are not at the heat of things after the 10% disaster on SIFs last week, then markets are measuring the ongoing political and economic crisis differently. Well we have to wait and see what happens.

The long BRD - short BETXT is running for 91 days and is still marginally positive at 3%. Since BRD along with SIFs have a bottoming performance cycle, we still continue to hold the pair and expect BRD outperformance against BETXT. The other banking major TLV is not as low as BRD on numeric rankings but has a bottoming cycle. We have a reversal signal on TLV against BETXT. We initiate a pair on the same today.

As anticipated last week, STOXX has topped and is about to underperform BETXT. A similar topping perspective is valid for Dow against BETXT. All of SIF5, DAFR, BIO, ATB should outperform STOXX. We will keep you posted on the same.  Last week’s pair BETXT –ATB pair delivered 7% gain. We have closed the pair and are looking at a renewal of ATB outperformance against BETXT.

Fresh Signals

The newly initiated BETXT-SNP hit a stop at -4%. However, SNP continues to be a topping performance cycle for us. This is in sync with our view on Oil and Energy sector, which looks topping with a multi month downside. We will reinitiate SNP as soon as we get a reentry signal. The other freshly initiated BETXT-TEL is running at a marginal gain of 1%. We expect the signal to continue.

Long Only, Short Only Signals

On the long only – short only signals we closed the short BRD and have only TRP running short. The latest Alpha Romania carries the latest numeric ranking, numeric ranking changes, long only – short only signals, running pair performance signals, performance and pair cycles and strategy updates. COMI, AZO, SNP, ALR are the top ranked stocks, while SIFs remain the worst ranked and hence the best potential outperformers for weeks ahead.

For more information on Alpha Romania mail us at [email protected]us.asia

Strategy Update

Numeric Ranking

Performance Cycles - I

Performance Cycles - II


Dr. Ionut Nistor is 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.

Time Arbitrage portfolio legs should be risk weighted before any implementation.

Coverage: BETXT, BETXT components, SIF5 Futures, DOW Jones

Stop loss and Exits are activated at 4%

Please feel free to mail us for any clarifications. *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.

To login to the member’s area or access Orpheus estore click here.

Orpheus Research at Reuters - United Kingdom

Orpheus Research at Reuters - United States


SNP, TEL, TGN, ATB to underperform BETXT

Today we initiate new pairs as SNP, TGN. TEL, ATB get ready to underperform BETXT. BRD - BETXT remains a running pair in favor of BRD.

We close ATB-BETXT as ATB tops performance cycles and gets ready to underperform. The DOW and STOXX outperformance against many BVB majors has topped. Both DOW and STOXX get ready to underperform. This is why we closed DOW-BETXT and DOW-SIF5 Futures. TLV is ready to underperform BETXT leading to a close in running pair. Though the performance cycle is up for Bio, the bottoming process is ongoing. We have a close signal there. We review next week in case the pair has to be restarted. Barring COMI - BETXT which hit a stop, all other pairs delivered 5%, 18%, 47%, and 6% respectively.

The latest Alpha Romania carries the latest numeric ranking, numeric ranking changes, long only – short only signals, running pair performance signals, performance and pair cycles and strategy updates. COMI, AZO, CMP, ALR are the top ranked stocks, while SIFs remain the worst ranked and hence the best potential outperformers for weeks ahead. All of short only signals closed last week with gains on SIF4, SIF2, SIF3 and BETFI. BRD is the only short signal still running with a profit of 15%.

For more information on Alpha Romania mail us at [email protected]

Strategy Update

Numeric Ranking

Performance Cycles - I

Performance Cycles - II


Dr. Ionut Nistor is 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.

Time Arbitrage portfolio legs should be risk weighted before any implementation.

Coverage: BETXT, BETXT components, SIF5 Futures, DOW Jones

Stop loss and Exits are activated at 4%

Please feel free to mail us for any clarifications. *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.

To login to the member’s area or access Orpheus estore click here.

Orpheus Research at Reuters - United Kingdom

Orpheus Research at Reuters - United States


Alpha Romania – Long DOW, short SIF5 Futures up 70%

Strategy Update

Exactly two months ago, we initiated the DOW-SIF5 Futures pair. We are now up, with 70% gain. Also DOW-BETXT is up since last week, and reaches 32% gain. ATB showed an underperformance against DOW, thus closing the ATB-DOW pair on stop loss hit. The other pharmaceutical pairs recorded increases taking BIO-BETXT to 5% gain and ATB-BETXT to 11%. On the long only – short only portfolio we are still running short.

The latest Alpha Romania carries the latest numeric ranking, numeric ranking changes, long only – short only signals, running pair performance signals, performance and pair cycles and strategy updates. AZO, ALR, SNP are the top ranked stocks, while SIF1, SIF2, SIF3 the worst.

For more information on Alpha Romania mail us at [email protected]

Numeric Ranking

Performance Cycles

Performance Cycles II

Dr. Ionut Nistor is 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.

Time Arbitrage portfolio legs should be risk weighted before any implementation.

Coverage: BETXT, BETXT components, SIF5 Futures, DOW Jones

Stop loss and Exits are activated at 4%

Please feel free to mail us for any clarifications. *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.

To login to the member’s area or access Orpheus estore click here.

ORPHEUS RESEARCH AT REUTERS - UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS - USA


Alpha.Romania: Dow, Betxt close at 26% in 48 days

The performance cycles suggest it is time to close long DOW, short BETXT pair. The pair delivered 26% in 48 days. All our three running pharmaceutical pairs (BIO-BETXT, ATB – DOW FUTURES, ATB-BETXT) are marginally up since last week. We continue to look at the outperformance on the pharma sector. Also the financials TLV and BRD are marginally up. We have 15 short signals still running on the long only, short only portfolio with short SIF2 registering top gains at 35%.

The latest Alpha Romania carries the latest numeric ranking, numeric ranking changes, long only – short only signals, running pair performance signals, performance and pair cycles and strategy updates. AZO, SNP, CMP are the top ranked stocks, while SIF1, SIF5F, SIF2 the worst.

For more information on Alpha Romania mail us at [email protected]

Strategy Update

Performance Cycles

Performance Cycles - II

Dr. Ionut Nistor is 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.

Time Arbitrage portfolio legs should be risk weighted before any implementation.

Coverage: BETXT, BETXT components, SIF5 Futures, DOW Jones

Stop loss and Exits are activated at 4%

Please feel free to mail us for any clarifications. *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.

To login to the member’s area or access Orpheus estore click here.

ORPHEUS RESEARCH AT REUTERS - UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS - USA


Alpha.Romania – Pharma sector back in focus

We initiate today Long BIO – short BETXT pair. We are already running ATB-BETXT pair with 10% gains, long Dow – Short SIF5 Futures with 58% gains and Dow – BETXT with 24% gains. We initiate the Long BETXT – Short TGN pair and the ATB-DOW pair. We closed the latter pair last week as it hit a stop. This week the short TEL – long BETXT pair hit a stop loss signal. On the Long only – Short only side we are still running negative with short BETFI at 25% gains.

The latest Alpha Romania carries the latest numeric ranking, numeric ranking changes, long only – short only signals, running pair performance signals, performance and pair cycles and strategy updates. AZO, CMP, ALR are the top ranked stocks, while SIF1, SIF5F, SIF2 the worst.

For more information on Alpha Romania mail us at [email protected]

Performance Cycles I

Performance Cycles II

Dr. Ionut Nistor is 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.

Time Arbitrage portfolio legs should be risk weighted before any implementation.

Coverage: BETXT, BETXT components, SIF5 Futures, DOW Jones

Stop loss and Exits are activated at 4%

Please feel free to mail us for any clarifications. *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.

To login to the member’s area or access Orpheus estore click here.

ORPHEUS RESEARCH AT REUTERS - UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS - USA


Reducing Romanian BETXT portfolio risk by hedging with Dow Jones Euro STOXX 50

Orpheus Performance cycles are not only about ranking assets, long only – short only signal, but also about the time arbitrage. This arbitrage is between performance, buying the performer and selling the underperformer. Such a strategy reduces overall volatility in the payoff. We saw this happening on prior occasions where despite market volatility, the pair returns were not as volatile.

Execution of a strategy is as important as the construction of the strategy. Leverage is an essential part of the execution. Local markets in Romania don’t offer low leverage instruments. To do a long ATB – Short Dow Futures pair at SIBEX the arbitrageur has to assume a leverage of 20 times on Dow futures. This means that a 5% negative performance wipes off all the capital. Hence executing a performance cycles strategy for local markets remain limited to performance rankings, stock picking, naked signals and high leverage pair trading. There is nothing wrong with the high leverage trading, but it adds volatility to an arbitrage strategy that is designed to reduce payoff volatility.

Today we explore a method to reduce leverage on the arbitrage strategy. We have introduced DJ STOXX Euro 50, in our local BETXT portfolio. The index represents the top European 50 companies. It is a popular index and well traded on the secondary market on many stock exchanges. London Stock Exchange trades a double short ETF on the Dow Jones Euro STOXX 50. This instrument offers a leverage of two times. The symbol traded as SEU2.L has a unit price of 78 Euros.

We not only ranked Dow Jones Euro STOXX 50 along with BETXT components and BETXT, but also looked at performance cycles of Dow Jones Euro STOXX 50 with SIF5, TGN, TEL, ATB etc. The performance cycles are pretty clean and suggest that we can use SEU2.L (derivative on Dow Jones Euro STOXX 50) to hedge SIF5 or local BVB stocks. One may want to ask why one would want to buy local BVB stocks. The answer is easy. Despite all the visible negativity Dow Jones Euro STOXX 50 should underperform BETXT stocks i.e. SIF5, ATB, TGN, TEL etc.

If you believe Romanian markets are oversold and could offer a good entry opportunity, but you want to have an exit strategy too, you can also use SEU2.L traded in London to hedge your local spot portfolio. This way you not only reduce the risk in the strategy making it less volatile, have more instruments to hedge than what the local market offers and also make potential arbitrage gains.

We continue to monitor the open Dow pairs. They are all up from last week: Dow - SIF5 Future 48%, Dow- BETXT 36%, ATB - BETXT is up 11% and DOW – ATB hit a stop. The latest Alpha Romania carries the latest numeric ranking, numeric ranking changes, long only – short only signals, running pair performance signals, performance and pair cycles and strategy updates. BRD, AZO, CMP are the top ranked stocks, while IMP, SIF3, SIF2 the worst. To read the report login to the member’s area.

For more information on Alpha Romania mail us at [email protected]

Dr. Ionut Nistor is 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.

Time Arbitrage portfolio legs should be risk weighted before any implementation.

Coverage: BETXT, BETXT components, SIF5 Futures, DOW Jones

Stop loss and Exits are activated at 4%

Please feel free to mail us for any clarifications. *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.

To login to the member’s area or access Orpheus estore click here.

ORPHEUS RESEARCH AT REUTERS - UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS - USA


Alpha.Romania: long DOW, short SIF5F up 36%

Long Dow Short SIF 5 Futures pair turns 4 weeks old and brings 36% gain. After adjustments to the TLV price due to changes in the reference price for the trading session of May 12, the pair is up at 16%.

We initiate the Dow, ATB pair today. The latest Alpha Romania carries the latest numeric ranking, numeric ranking changes, long only – short only signals,running pair performance signals, performance and pair cycles and strategy updates. DOW, TGN, TEL are the top ranked stocks, while SIF2, TLV, BRD the worst.

For more information on Alpha Romania mail us at [email protected]

Pair Tracker

Long only, Short only signals

Strategy Update

Numeric Ranking

Performance Cycles - I

Performance Cycles - II

Dr. Ionut Nistor is 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.

Time Arbitrage portfolio legs should be risk weighted before any implementation.

Coverage: BETXT, BETXT components, SIF5 Futures, DOW Jones

Stop loss and Exits are activated at 4%

Please feel free to mail us for any clarifications. *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.

To login to the member’s area or access Orpheus estore click here.

ORPHEUS RESEARCH AT REUTERS - UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS - USA


Alpha.Romania – Long DOW, short BETXT up 21%

As anticipated the running long DOW - short BETXT initiated on 19 April is up 21%. We are looking for a reversal on polarity as DOW heads the top of the rankings this week. COMI underperformed BETXT (up 27% in three weeks), long BRD - short BETXT is up 9% and long ATB - short BETXT is also up 3% since last week. We continue to expect ATB outperformance against BETXT.

On the negative side we hit a stop loss with long BETXT - short SNP pair. SIF 5 Futures will be adjusted for the 8% dividend. We closed BIO and ATB pairs running against SIF5 Futures. On the single asset long only short only signals, SIF 3 has a running sell signal. There is no long only signal.

The latest Alpha Romania carries the latest numeric ranking, numeric ranking changes, long only – short only signals, running pair performance signals, performance and pair cycles and strategy updates. TGN, TEL, ALR are the top ranked stocks, while SIF2, TLV, BRD the worst.

For more information on Alpha Romania mail us at [email protected]

Numeric Ranking

Strategy Update

Performance Cycles - I

Performance Cycles - II

Dr. Ionut Nistor is 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.

Time Arbitrage portfolio legs should be risk weighted before any implementation.

Coverage: BETXT, BETXT components, SIF5 Futures, DOW Jones

Stop loss and Exits are activated at 4%

Please feel free to mail us for any clarifications. *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.

To login to the member’s area or access Orpheus estore click here.

ORPHEUS RESEARCH AT REUTERS - UNITED KINGDOM

ORPHEUS RESEARCH AT REUTERS - USA


Alpha.Romania - Long DOW, short SIF5 Futures delivers 6% in 13 days

We initiated long DOW – short SIF5 Futures pair on 19 April. The pair is up 6% in 13 days. The other pair that we initiated, Long DOW – short BETXT is also up 7% for the same period. We incorrectly mentioned in the 19 April report ATB, BIO as underperformers to SIF5 futures. Both the pharmaceutical stocks are running long pairs against SIF5 Futures and are expected to outperform SIF5 futures. The respective pairs have not changed much since 19 April. This week we are initiating two new pairs viz. BETXT – SNP (underperformer) and TLV (underperformer) – BETXT. On the other pairs, BETXT-COMI is running a loss, we expect COMI to underperform BETXT. We hit a stop on Long BETXT-Short SIF5, BETXT – TGN. We will keep them under review.

On the single asset signals, Dafora delivers top returns at 36% in 89 days. TGN, SIF1 deliver above 30% in 75 and 116 days respectively. TEL, BETC, SIF5, BETXT, BET, BETNG average above 10% returns. Barring Erste, which is still running with 12% returns, rest all longs have closed down.

The latest ALPHA.ROM carries the latest numeric Ranking, numeric ranking changes, long only – short only signals, running pair performance signals, performance and pair cycles and strategy updates. TGN, TEL is the top ranked stocks while DOW, BRD, TLV the worst. For more information on Alpha Romania mail us at [email protected]

Strategy Update

Numeric Rankings

Performance Cycles - I

Performance Cycles - II


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.

Time Arbitrage portfolio legs should be risk weighted before any implementation.

Coverage: BETXT, BETXT components, SIF5 Futures, DOW Jones

Stop loss and Exits are activated at 4%

Please feel free to mail us for any clarifications. *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.

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