Archive for the ‘India’ category

RMI India Active 10 Feb

After you select the RMI model which fits your risk preference, the key question investors ask is “How should one come on model?” RMI Models are customizable for any risk preference and do not suffer from starting point bias. So it can be customized from wherever you begin. The RMI India Active 10 initiated in February has gone 70% invested. And considering the average holding period of any RMI Active 10 style for most global regions is around 200 days, we might just have our leading bullish signal for the Indian market pre-election. RMI Active is absolute capital conserving models which are designed to outperform their respective universe. RMI Active India 10 back-tested model has delivered 23% annualized at a 6% lower volatility than the respective top 100 India universe benchmark.

Enjoy the latest RMI Active India 10 February


RMI ® Active IFTY 5

What if you would have a choice to simulate the NIFTY 50 by 5 stocks instead of 50. That means using just five stock allocations you can not only simulate NIFTY 50, but do it at 9% lower standard deviation compared to NIFY 50, with 70% average invested cash and more than 180 days average holding for each component. Above this your RMI portfolio just fell 30% in 2008 compared to 60% for Nifty, you have an average worst case drawdown near 15% and about 50% chance of outperforming Nifty any running year. All comparisons to NIFTY are owing to lack of a disruptive active benchmark accomplishing an Active 5 selection out of top 50 in India. In real terms an Active model cannot be compared to NIFTY. The IFTY 5 delivered an annualized 10% (2% above NIFTY) from July 2006.

Well this is not stellar performance, as we are used with a much better ACTIVE 10 performance, but considering capital protection, lower volatility, ease of execution and a stock selection mechanism highlighting the top 5 India blue chips, Active IFTY 5 caters well to the Indian investors and global participants looking at the best in India.

We created ACTIVE IFTY 5 (updated for version 3) for the signal driven Indian market, where traders crave for stock picks. It’s still hard to simulate this portfolio on Options owing to low liquidity even in the top 50 stocks. So this remains a spot only portfolio for us. All simulations for 2 times and 3 times are just simulations and should not be attempted using derivatives.


RMI ® India 10 v3

Happy New Year. The RMI Active v3 is a 10 stock portfolio selected from the top 100 India universe. It trades on average 23 trades annually (2.3 trade per component). This gives it an average holding period of 190 days per component. The average cash is 30%. The RMI model is at a new historical high and at 11% has beaten the Nifty (at 5%) (Similar returns for CNX100). The model has relatively outperformed and is all invested now. The exits have been further simplified. We have one trailing exit for protecting profits and one stop loss. RMI’s annualized performance is at 25% vs 9% for Nifty. We have added a new drawdown section which illustrates the weekly losses of more than 10%. We also have a new updated annexure. Enjoy.

 


India Active; 90% invested

RMI India Active 10

Enjoy the latest RMI India Active 10


India Passive

Risk Management Index ®
Styles and Methodology

Risk Management Indices are built on the premise of data universality and that absolute price performance, relative performance or any other stock market variable can be ranked and then queried to build different style of portfolio matching different risk profiles. The Risk Management Index has one Active, three Passive (Worst 20, extreme reversion and relative performance) and one Tactical style.

These are the various India Passive Models. Passive models are not managed actively and are re-balanced from a minimum of 30 days to 730 days. The passive styles are designed for relative out-performance vs. the respective benchmarks e.g. India Midcap Passive styles are designed to outperform the CNX Midcap across various risk and return parameters.

 

 

To download the latest report please visit EconoHistory.com

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

Presentations and Primers: ORMI Indices and Analytics

India Sales Office
Phone: 0091.11.65181118
Phone: 0091.9873155513
[email protected]


Infosys enters India 10

Though India 10 selects from the top 100 India stocks, Infosys making it to the top 10 list suggests a few things. First; Infosys was neither a momentum case nor a case for reversion. It was stagnating. A selection means that the stagnation time might be over for the stock. Second; When the ORMI system selects a blue chip, it indicates that smart money anticipates a turn around in the stock. Third; This is all good news for the stock and for the market. 

To download the latest report please visit EconoHistory.com

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

Presentations and Primers: ORMI Indices and Analytics

India Sales Office
Phone: 0091.11.65181118
Phone: 0091.9873155513
[email protected]


Is the correction over?

A move back near 6,000 gives the NIFTY a clear corrective form. Correctives are countertrends and known to be overlapping. What has happened from the start of this year definitely qualifies as an overlapping sideways action. On the big picture view the corrective sideways action is ongoing from 2010. This means that till prices break NIFTY 4,500 the counter trend action is ongoing. Bear markets inside secular bull markets sometime take the form of extreme sideways action. Indian equities can still be considered a leading Indicator for India’s macro economic strength. And the very fact that there was a non-confirmation between INR’s one way fall and the NIFTY consolidation also suggests that equity markets assumed this to be a pause in a larger uptrend rather than end of the Indian bull market; the popular opinion. We continue to look at Nifty 8,000 and higher. Enjoy the latest update.

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The India Signal

We have been requested for a signal product for quite some time. Though ORMI is based on Jiseki signals, it generally needs on average more than 10 components to build a portfolio, a few equal weighted and many weighted proportionally. Keeping in mind the need for a signal product we are introducing the ORMI IFTY Active 5. This is still a portfolio product but has just a small 5 component portfolio selected from the NIFTY 50 Universe. This makes it very liquid, very tradable, and workable on options and very signal. The reason we still opted to build ORMI for such a small selection is because we think even few signals should be open to back testing, equity curves and portfolio workings. Diversification is key for even signals, and six running signals (including cash) offers a good opportunity for any active trader on India.

We understand that signal trading comes with leverage, which is desirable for a trader. But ORMI IFTY 5 is designed for cash only now. We are working on replicating ORMI IFTY 5 using Options and on our first ORMI India Options Portfolio. Leverage only means long or debit Options for us. We strongly recommend not implementing the respective ORMI using futures. Just for starters and showcase the replication process we have simulated IFTY 5 with 2X and 3X leverage. We need to look at contract specific margins, tradability, portfolio size, component weights before we suggest which strikes to use. The higher the leverage, the more the risk and how fast one can burn the risk capital. ORMI methodology has witnessed lower comparative standard deviation; this is why the burn rates at 2X and 3X are low. But these are still simulations which do not warrant a trade execution.

IFTY 5 numbers; average holding 37 days, portfolio wide stop and 2008 negativity gives it an average 47% cash; annualized returns were 3.25 times NIFTY at 21%; standard deviation was 10% lower; since Jan 2013 IFTY 5 outperformed NIFTY; and underperformed only 3 out the 7 years till now vs. Nifty. IFTY 5 2X and 3X had average volatility 30% and 50% respectively; annualized returns were at 42% and 62% respectively; both passed the 2008 test by conserving starting cash from JULY 2006.

To know what the current IFTY 5 is doing, download the latest ORMI.

For a daily update contact our India sales representative.

To download the latest report please visit EconoHistory.com

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

Presentations and Primers: ORMI Indices and Analytics

India Sales Office
Phone: 0091.11.65181118
Phone: 0091.9873155513
[email protected]

 


The New Active

The New Active

Now that we have a series of passive styles (Worst20, Extreme Reversion and Relative Performance), we decided to get more dynamic with our active models. We started with a few objectives. First; more focus on capital conservation. Second; is to avoid a 2008 like negative outlier recurrence. Third; is to protect gains.

Portfolio Wide Stop
The New Active does all the above and more. We have applied a portfolio wide stop loss at 15%. This means that if the market takes a nose dive like in 2008, ORMI New Active would go cash after a 15% loss from any maximum level. The advantage of this approach is that ORMI works with an intrinsic hedge. The same conserved cash can be either reallocated into another model or just be an interest bearing component. After all money saved is money earned. Despite this dramatic but conscious going cash approach the ORMI New Active is still on average 26% cash without considering the large all cash periods of multiple months.

2009 Underperformance
2009 “V” shaped recovery was not a normal bottom. Market basing generally takes more time. Owing to the cash period in 2008 ORMI New Active took a while to get allocated again, but even then this did not affect its net outperformance vs. the benchmark. The NEW ACTIVE has underperformed the market only twice since 2006. The OLD ACTIVE underperformed the benchmark just once.

50% Average Cash, Sleeping Market, Rotation
Though the average cash was just 26%, on overall ORMI NEW ACTIVE has 50% cash. We have not accounted for interest earned on this average cash. However, since the ORMI NEW ACTIVE is consistent when it goes cash, the model allows us to invest that amount for more than a few months in other ORMI models or interest bearing accounts. Moreover, it’s better for cash to be re-allocated than remain invested in a stagnant performance.

New Active vs. Old Active
The results for New Active stand out. It has a lower position and portfolio wide stop, lower volatility, higher annualized returns (without interest on cash). It gives away some holding period 40 days vs. 60 days and also on winners vs. losers, which again in the broad theme of things is irrelevant. And let’s not forget we are still comparing two ORMI models which deliver more than 3.6 times compared to NIFTY.             

Enjoy the latest ORMI ® .

To download the latest report please visit EconoHistory.com

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

Presentations and Primers: ORMI Indices and Analytics

India Sales Office
Phone: 0091.11.65181118
Phone: 0091.9873155513
[email protected]

 


ORMI ® Midcap Extreme 3X

ORMI ® India Extreme Reversion CNAXE Midcap

The ORMI ® THE EXTREME REVERSION STYLE recreates the top benchmarks and sector indices. It’s an all invested strategy. For example the Dow 30, TSX 60, Sensex 30 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 assume exposure to blend benchmarks across various asset classes. The Extreme Reversion style allows investor to assume exposure and also outperform respective benchmarks at lower risk.

The ORMI ® India Extreme Reversion CNAXE Midcap delivered around three times annualized returns (11.2%) compared to the respective CNX Midcap universe (4%) since 2006, with 3% lesser annualized volatility, 1.4% lower average drawdown, at a holding period of 24 months (rebalanced once in two years) and with only one year net underperformance vs. CNX Midcap.

Enjoy the latest ORMI ®.

To download the latest report please visit EconoHistory.com

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

Presentations and Primers: ORMI Indices and Analytics

India Sales Office
Phone: 0091.11.65181118
Phone: 0091.9873155513
[email protected]