ORMI US 30 © Technical Update

The latest US 30 ORMI © Index update carries the equity curve from February 2002 till date. The Orpheus Risk Management Index (ORMI) is up 213.38% since 2002. The S&P 500 is up 29.55% since 2002. The ORMI outperformed the S&P 500 by 183.83% (2002 till date).

Technical Charts

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Download the latest Technical update for US ORMI (291012)

Indexing: The US 30 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 US 30 Index is based on the 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.

Coverage USA: DOW 30, S&P 500 traded stocks and other US Indices.

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Megh is the algorithmic trading developer at Orpheus Capitals.  He completed Bachelors of Engineering in Information Technology from Mumbai University and has worked extensively in the area of stochastic calculus while pursuing his Masters in Statistical Science from La Trobe University in Melbourne, Australia. He has keen interest in pricing, hedging and replicating structured products along with developing numerical algorithms. He interned with Orpheus Capitals in early 2011, developing proprietary algorithms for trading and continued working with Orpheus Capitals while completing his Masters program.