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
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.
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