Archive for the ‘MENA’ category

What’s happening to Egypt?

We ranked the MENA performance before Egypt was in the news and for the last 12 months Egypt CCSI was one of the worst performing markets of the region.

For us at Orpheus markets tend to make solid bottoms under extreme negative news and this is what seems to be happening in Egypt, worst news is taking the markets lower into a multiyear bottom.

News also has a tendency to time itself just like prices. We have illustrated the price curve illustrating the order in prices. There are extreme outperformers and underperformers at the same time and this curved order can be seen across asset classes and across time, a similar exponential curve (positive and negative). Now that Egypt is at the lower end of the curve, a reversal should not be far away.

CCSI Egypt is already down 61.8% from its top and another 15% lower takes it to 78.6% retracements from the top. Timing a bottom is tough but RSI momentums are non confirming for a few months now. Sub 1,285 historical lows prices could move down till 1,000. At this stage we expect 1,285 to hold. We will review if 1,285 breaks.

Time Triads, Time Fractals, Time Arbitrage, Performance Cycles are terms coined by Orpheus Research. Time Triads is our weekly market letter. The report covers various aspects on TIME patterns, TIME forecast, alternative research, emerging markets, behavioral finance, market fractals, econohistory, econostatistics, time cyclicality, investment psychology, socioeconomics, pop cultural trends, macro economics, interest rates, derivatives, money management, Intermarket trends etc.


What's happening to Egypt?

We ranked the MENA performance before Egypt was in the news and for the last 12 months Egypt CCSI was one of the worst performing markets of the region.

For us at Orpheus markets tend to make solid bottoms under extreme negative news and this is what seems to be happening in Egypt, worst news is taking the markets lower into a multiyear bottom.

News also has a tendency to time itself just like prices. We have illustrated the price curve illustrating the order in prices. There are extreme outperformers and underperformers at the same time and this curved order can be seen across asset classes and across time, a similar exponential curve (positive and negative). Now that Egypt is at the lower end of the curve, a reversal should not be far away.

CCSI Egypt is already down 61.8% from its top and another 15% lower takes it to 78.6% retracements from the top. Timing a bottom is tough but RSI momentums are non confirming for a few months now. Sub 1,285 historical lows prices could move down till 1,000. At this stage we expect 1,285 to hold. We will review if 1,285 breaks.

Time Triads, Time Fractals, Time Arbitrage, Performance Cycles are terms coined by Orpheus Research. Time Triads is our weekly market letter. The report covers various aspects on TIME patterns, TIME forecast, alternative research, emerging markets, behavioral finance, market fractals, econohistory, econostatistics, time cyclicality, investment psychology, socioeconomics, pop cultural trends, macro economics, interest rates, derivatives, money management, Intermarket trends etc.


Long Abu Dhabi

Performance cyclicality places Abu Dhabi as a relative buy among global equity indices along with an outperforming outlook for energy assets and volatility.

I am going to make some relative forecasts with my long case on Abu Dhabi. The local index should outperform DOW and many other global equity indices over the first half of 2011. We will review our portfolio end of the current quarter.

The Orpheus idea of relative performance is linked with relative price performance rankings. The best performers are the ones that should underperform while the worst performers are the ones that should outperform in the time ahead. We are assuming a multi month investment horizon. Our idea is very simple, if volatility fell by 72% in 12 months and…

This article is written for Alrroya

Time Triads, Time Fractals, Time Arbitrage, Performance Cycles are terms coined by Orpheus Research. Time Triads is our weekly market letter. The report covers various aspects on TIME patterns, TIME forecast, alternative research, emerging markets, behavioral finance, market fractals, econohistory, econostatistics, time cyclicality, investment psychology, socioeconomics, pop cultural trends, macro economics, interest rates, derivatives, money management, Intermarket trends etc.


Alpha Global - The Pair Grid

A technician always has a challenge of coverage. We are trained for speed to spot opportunities. One can look at BSE 30 components, but looking through BSE500 or say RUSSELL 3000 chart by chart is a tough task. The information is growing exponentially like everything else and systems are needed to know where to look.

Orpheus Performance cycles are a novel way to manage a large universe of coverage that works on the idea of mathematical time and cyclical performance. The worst performers should outperform and best performers should underperform.

Today we have matched the best with the worst in the pair grid. The horizontal menu is the top performers and the vertical components are the worst assets. Alpha Global covers 120 assets. This includes commodities, currencies, DOW 30 components, Global Equity Indices and sector representations.

This feature is written for Association of Technical Market Analysts

Enjoy the latest Alpha Global.

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 Time Analytics 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 Global: Dow 30 components, Global Indices, ETF SPDRS, Commodities


Alrroya - Trouble in the desert?

Don’t confuse sentiment extremities with a secular under performance for the Gulf region.

Performance is cyclical and nothing performs better than a worst performer. Objectively understanding an opinion is hard, having an opinion harder, and challenging an established opinion hardest.

Ruchir Sharma, the head of emerging markets at Morgan Stanley Investment Management wrote ‘trouble in the desert’ for Newsweek.

He made a case why the Gulf has yet to emerge. On one side, it’s no surprise that the region is under extreme scrutiny both internally and externally.

But on the other side it seems extreme negative sentiment is gone further than reality. A lot of what Ruchir wrote seems harsh. I will try to justify my case.

Read more…


Alpha.MENA - Trouble in the desert?

Don’t confuse sentiment extremities with a secular under performance for the Gulf region. Performance is cyclical and nothing performs better than a worst performer.

Objectively understanding an opinion is hard, having an opinion harder, and challenging an established opinion hardest. Ruchir Sharma, the head of emerging markets at Morgan Stanley Investment Management wrote ‘trouble in the desert’ for Newsweek.

He made a case why the Gulf has yet to emerge. On one side, it’s no surprise that the region is under extreme scrutiny both internally and externally. But on the other side it seems extreme negative sentiment is gone further than reality. A lot of what Ruchir wrote seems harsh. I will try to justify my case.

He says” The balance sheets of many Gulf countries are out of date with financial numbers disclosed well after the standard reporting period and few checks on insider trading.” Ok these are gaps to be filled, but accounting scandal happened in India and America under all care. If we are comparing emerging markets or specially China with the Gulf, we should also compare aspects like internet freedom. What corporate governance levels are we speaking about in China?

The article mentioned that there was a major disconnect between economic and stock market performance. “Over the past five years, the GDP of the gulf region expanded at an annual pace of nearly 5 per cent, yet the Gulf stock markets fell 20%.” The disconnect Sharma illustrates was highlighted three decades back when generation of thinkers proved that markets were inefficient. So what’s new here that markets are more volatile than real earnings? Robert Shiller’s American Economic Review paper from 1981 is an example.

Sharma also compares a time frame when markets fell 20% in Gulf and gained 80% in emerging markets. On the face of it this might look like a general case of underperformance for the Gulf region. However, looking at ADI and SSEC pair performance suggests differently.

Based on the performance cycle paper published in the Kyoto Economic Research Journal by Ionut Nistor and me in Mar 2009, I grouped ADI (Abu Dhabi Index) and DFMGI (Dubai Index) with BRIC countries and benchmarked it with Nikkei. Assuming we could do a long - short strategy between ADI and SSEC (Shanghai Composite), we obtained the following results. From 2 Jun 2008-22 Oct 2008 (Long ADI - Short Shanghai) delivered 104%. From 23 Oct 2008- 28 July 2009 (Short ADI - Long Shanghai) delivered 176%. From 30 July 2009 - 14 Oct 09 (Long ADI- Short Shanghai) delivered 15%. From 15 Oct 09- 17 Dec 09 (Short ADI - Long Shanghai) delivered 18%. From 18 Dec 09 - 26 Mar 2010 (Long ADI - Short Shanghai) performed 15%. Surprising isn’t it, while Gulf is being bashed, its leading index ADI is outperforming the Shanghai composite by almost 15%. On average ADI –SSEC, long – short pairs delivered 145% annualized. This suggests performance was cyclical not secular in favor of SSEC or ADI. So the gulf underperformance was a myth.

Ruchir also mentioned that Gulf exchanges list so few quality companies. Now the question one can ask, is this an opportunity or risk? Market capitalization to GDP ratio of average 70% globally in good times suggests that Gulf region is undercapitalized. Hence this becomes more of a new issues and listing opportunity into growth markets, a flip side of a weakness.

Mr. Sharma also suggested the home grown human capital and technology was needed to create a home grown manufacturing base. Gulf is not the first to import human capital. History is replete with cases like this. After the China glut and Asian leadership in high tech manufacturing, Gulf focus might need a new direction. I agree with Ruchir on aspects of tourism and its limitation, financial reforms, and need for a better education, which could build and strengthen strong structural base for the Gulf.

MENA is not isolated from the global equity. When global equities exhaust not only MENA but also Shanghai will fall. Relative performance is a quantifiable way to compare markets and regions complementing it with understanding of fundamental aspects. Global equities should head lower along with the Gulf and Shanghai. A 6-9 month correction is all that separates extreme negativity from a reemerging Gulf.

The Alpha MENA published this week carries numeric ranking, performance cycles and strategy updates with running signals. On the multi week basis Ruchir is correct that Shanghai might outperform the Gulf, but this is a part of the cyclical performance characteristic of markets. To take it to the extent of suggesting that “it may take some time before anyone mentions Dubai or any Gulf capital in the same phrase as Shanghai.” is more sentiment than valuation. Experts as a group do miserably wrong. It’s something an opinion leader has to live with. But like Robert Shiller says “opinion leaders should offer stabilizing opinions when major under pricing occurs.” Despite the rally from March 2009 lows Gulf is still living an ordeal after 90% drop in value and talking about troubles can cause more stress than solutions.

Numeric Ranking

Strategy Update

Performance Cycles

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.

Assets Covered : MENA region assets.

*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


MENA - Value and Rankings (Alrroya)

Numerically ranking the late economic sectors in UAE is bound to throw up surprising stock and asset picks and contrary to popular belief which looks more at growth than value. It is tough to explain why a majority of investors are momentum driven. Why most of us look at growth than value? Why investors and traders want price and volume action as the first filter?

Read more…


Introducing ALPHA.MENA

The new ALPHA MENA can illustrate the following.

1: Numerically Rank UAE sectors
2: Numerically Rank MENA indices
3: Numerically Rank UAE indices among global Indices
4: Numerically Rank UAE sector components
5: Illustrate performance cycles for the assets under coverage
6: Offer back testing results on performance pairs for historical data
7: Offer out performance and under performance signals for coverage universe
8: Customize ALPHA for selected assets
9: Illustrate long only, short only signals for the assets under coverage.
10: Illustrate strategy signals across multiple holding time frames.

Drop us a mail for more information on ALPHA.MENA

Performance Cycles - UAE SECTORS

Numeric Ranking - UAE SECTORS

Numeric Ranking ADI vs Global Indices

Performance Cycles - MENA Indices

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.

Assets Covered : MENA region assets.

*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


Ranking the Emirates

Numerically ranking assets and indices in the UAE equity universe illustrates future outperformers.

Emotional Rankings

Comparisons can get controversial. But let’s face it we are on the mean street, market values every asset and index with a traded tick. So why get so touchy about the fact that the asset we love is low or high in rankings. There are a few other aspects of markets we always forget when we get emotional and attached.

Read more…


Emirates Yield Curve

There was a time when society was credit less, as usury laws discouraged lending and penalty for rates higher than the legal maximum was death.

Then of course times changed and interest rates were let free. However, despite the perceived control on interest rates, the monetary tool is a cyclical phenomenon, which does not differentiate between geographical regions. So even Emirates Yield curve, that is i.e. the relationship between term rates can tell us where the global interest rate cycle is placed and where we are headed as a society.


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