Archive for the ‘Global’ category

The Italian Long

Italy Index MSCI Ishares (EWI) is the new running ORMI Global Active ETF selection.

The Global Active ETF

This is our second ETF model after Global ETF Sector. The reason we created this second model was because we wanted to make a new ORMI model, which encompassed Regional Indices, top US blue chip indices and had a blend character. Liquidity is a big constraint for ETFs. We have selected the top liquid ETFs from the respective space.

It is hard to benchmark such a model with any regional indices. First; the universe is much larger than US indices and S&P 500. Second; because ORMI is active allocation and S&P is a passive construction. But considering 90% of active models don’t beat the S&P 500 consistently and US Equity was the top performing global market in the last few years, it was interesting for us to see that our ETF selection mechanism model matched the S&P 500 performance and even bettered it compared to the underlying risk. The volatility for the ORMI model was 7% lower than the S&P 500. The ORMI delivered 12.3% annualized.

We have added a new correlation matrix to the current update to illustrate how low correlated the ORMI selections are compared to the universe or benchmark. Low correlation suggests that ORMI could also perform in a lackluster market and not fall if the Universe witnesses a drawdown. We have also simplified our entry and exit conditions. The ORMI model is designed to protect all positions for a loss bigger than 5%.

Enjoy the latest ORMI ®

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

Presentations and Primers: ORMI Indices and Analytics


American Active 30 @ 12% Cash

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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.

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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.

ORMI NORTH AMERICA 30 060613

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

Presentations and Primers: ORMI Indices and Analytics

North American Sales Office (Toronto)
Phone: 001.905.847.1400
Toll Free: 001.877.289.5673
Fax: 001.416.352.0190
[email protected]

India Sales Office (New Delhi)
Phone: 0091.11.65181118
Phone: 0091.9873155513
[email protected]

European Sales Office (Cluj Napoca)
Romania, EU
Phone/Fax: 0040.364.401.172
Phone: 0040.746919497
Phone: 0036.704195211
[email protected]


Global Active Fixed Income 10

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For ORMI® Global Active Fixed Income we took the top 100 ETF assets from iShares, SPDRS and PowerShares and applied the ORMI Active style to the selected universe. The Index has delivered 6.2% annualized (from April 2011) compared to the benchmark AGG iShares Core Total U.S. Bond Market ETF that delivered 1.5% annualized for the same
period. The sharpe ratio for ORMI® Fixed Income was 1.16.

ORMI ® 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® US 30 selects from S&P500 respectively. Active styles are cash conserving, absolute return Indexed models. They actively enter and exit a position and go cash if needed.

Some of the top running ETFs are: (TLT) iShares Barclays 20+ Year Treasury Bond Fund (the Fund) seeks investment results that correspond generally to the price and yield performance of the Barclays Capital U.S. 20+ Year Treasury Bond Index.

(TLO) SPDR® Barclays Long Term Treasury ETF provides investment results that corresponds to the price and yield performance of the Barclays Capital Long U.S. Treasury Index (the Index). The Index includes all publicly issued, United States treasury securities that have a remaining maturity of 10 or more years, are rated investment grade, and have $250 million or more of outstanding face value.

(HYMB) The SPDR® Nuveen S&P High Yield Municipal Bond ETF seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of the S&P Municipal Yield Index (index ticker: SPMUHT), an index that tracks the US high yield municipal bond market and to provide income that is exempt from federal income taxes.

Enjoy the latest ORMI® Global Active Fixed Income Index.

running

ORMI

ORMI.FI.RETURNS

Download the sample ORMI Global Active Fixed Income 10 26.05.13

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

North American Sales Office (Toronto)
Phone: 001.905.847.1400
Toll Free: 001.877.289.5673
Fax: 001.416.352.0190
[email protected]

India Sales Office (New Delhi)
Phone: 0091.11.65181118
Phone: 0091.9873155513
[email protected]

European Sales Office (Cluj Napoca)
Romania, EU
Phone/Fax: 0040.364.401.172
Phone: 0040.746919497
Phone: 0036.704195211
[email protected]


ORMI Toronto TSAXE 60 ©

We are pleased to launch ORMI Toronto TSAXE 60 (ORMI TSAXE60). This is our second Index for Toronto after ORMI Toronto 15. ORMI is running four Index styles now viz. Active, Worst 20, Extreme Reversion and Relative Performance (upcoming). ORMI TSAXE 60 is an Extreme Reversion Style Index.

ACTIVE STYLE is a periodical entry and exit signals like the RMI US 30, RMI Toronto 15. The difference between the two is the underlying universe. RMI US 30 and RMI Toronto 15 selects 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.

THE WORST 20 STYLE is about selecting the worst components from top 100 Universe (USA, Canada 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 recreates the top benchmarks and sector indices. It’s an all invested strategy. For example the Dow 30, TSX 60 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 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.

ABOUT THE ORMI Toronto TSAXE60.

. Is ORMI Toronto TSAXE60 like the S&P/TSX60?
Unlike S&P/TSX60 which is based on market capitalization weightage, ORMI Toronto TSAXE60 is based on Orpheus proprietary Extreme Reversion Style allocations.

. Why the need to create ORMI Toronto TSAXE60?
Canadian blue chips are identified by S&P/TSX60. It’s the most visible benchmark for Canadian markets. ORMI Toronto TSAXE60 is an Orpheus initiative to showcase that just by changing allocations of the respective sector components, investor could beat the market.

. What are the differences between ORMI Toronto TSAXE60 and S&P/TSX60?
ORMI Toronto TSAXE60 is more active than S&P/TSXE60 is rebalanced annually (12 month holding). This means that if you are investing in ORMI Toronto TSAXE60, you could enter every quarter based on the current allocation. But the actual portfolio component allocations are rebalanced every 365 days.

. What does it mean if ORMI Toronto TSAXE60 beats the S&P/TSX60?
It means the extreme reversion methodology is able to isolate outperformance from its respective universe.

. Are the results of ORMI Toronto TSAXE60 vs. S&P/TSX60 comparable?
Annual comparisons are normal for any indexing approach to the popular benchmark. The comparison of S&P/TSX60 with ORMI Toronto TSAXE60 is nearly perfect as the ORMI TSAXE60 is rebalanced once in a year (this could be increased to once in 24 or 36 months).

. Why does ORMI Toronto TSAXE60 deserve attention?
ORMI TSAXE60 outperformed the S&P/TSX60 by a multiple of 1.5 since July 2006. This is a large margin for any money manager, investor or trader to look up and notice. On an annualized basis ORMI TSAXE60 delivered 23% compared to 5.5% annual gains on S&P/TSX60 for the last decade.

. How can you invest in ORMI TSAXE60?
Currently ORMI TSAXE60 is available as a portfolio management service and on license fee. We are working on making it available as an ETF secondary market product.

. What are the other highlights of the ORMI TSAXE60?
ORMI TSAXE60 has lower volatility. The latest ORMI TSAXE60 © Index update carries the equity curve from Feb 2002 till date. The Orpheus Risk Management Index (ORMI) is up 935% since then.

Enjoy the latest ORMI Toronto TSAXE60 Extreme Reversion Index.

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

North American Sales Office (Toronto)
Phone: 001.905.847.1400
Toll Free: 001.877.289.5673
Fax: 001.416.352.0190
[email protected]

India Sales Office (New Delhi)
Phone: 0091.11.65181118
Phone: 0091.9873155513
[email protected]

European Sales Office (Cluj Napoca)
Romania, EU
Phone/Fax: 0040.364.401.172
Phone: 0040.746919497
Phone: 0036.704195211
[email protected]


Manulife Toronto up and runnning

 

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

North American Sales Office (Toronto)
Phone: 001.905.847.1400
Toll Free: 001.877.289.5673
Fax: 001.416.352.0190
[email protected]

India Sales Office (New Delhi)
Phone: 0091.11.65181118
Phone: 0091.9873155513
[email protected]

European Sales Office (Cluj Napoca)
Romania, EU
Phone/Fax: 0040.364.401.172
Phone: 0040.746919497
Phone: 0036.704195211
[email protected]

 


ORMI US 30 (Active) Running

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

North American Sales Office (Toronto)
Phone: 001.905.847.1400
Toll Free: 001.877.289.5673
Fax: 001.416.352.0190
[email protected]

India Sales Office (New Delhi)
Phone: 0091.11.65181118
Phone: 0091.9873155513
[email protected]

European Sales Office (Cluj Napoca)
Romania, EU
Phone/Fax: 0040.364.401.172
Phone: 0040.746919497
Phone: 0036.704195211
[email protected]


Yahoo, Rona, Marissa and Jiseki

More than 24 months back Rona told Orpheus to look at Yahoo. Rona as a fund manager and a technician always had a knack for value. She told us that “Yahoo is a good takeover candidate, something should soon happen with the stock”. Well talking about knack that was one hell of an intuition Rona. The same story has another intuition linked with it. The intuition of Marissa Mayer who took over Yahoo and now both the stock and Marissa are all over the place. While all these intuitions were happening the Yahoo stock was a worst negative outlier in less than 10% of the S&P 500 universe. And as we put it, a negative outlier would be either kicked out of the system (bought over) or extreme reversion will help it bounce back. Call it nature’s law, or news happening when they are supposed to happen, karmic retribution, but Jiseki Cycles were dot on once again. Jiseki gave a buy call as early as Nov 2011. The stock moved sideways almost for a year till Aug 2012 and is up around 100% from Jiseki buy signals. We are not undermining an intuitive call of a fund manager or a CEO, what we are suggesting here is that a negative outlier is already done with its worst and the only way beyond that worst stage is up. Jiseki did it again not before Rona, but definitely before Marissa.

For more such Amazing Jiseki calls visit EconoHistory.com


Monthly Key Reversal

A key reversal bar has a high workability because of a few reasons. First; because the pattern is not that common. Second; because the pattern comes after a previous trend. Third; because it confirms a change of trend. And when we see such a confirmation on a monthly basis (April is almost over) the probability of a reversal becomes higher.


Dow above 14,000

Now that DOW has hit our anticipated targets (Dow @ 14,000), it could be a good time for review. DOW is above the Bollinger band extreme and above key resistance levels at 14,000. So any ‘Sell in May and Go away’ not only has to first give a breakdown support confirmation, but the breakout on Bollinger extreme is occasionally a first sign of positivity.


Looking for Goldman?

Are you looking for Goldman?
Try out the new Beta version of EconoHistory search page for the stock.
Now we have BSE 500, S&P 500 and Canadian TSX mapped to the EconoHistory Search Page.
Now you can check out Jiseki and Review levels.