Posts tagged ‘BRD’

Alpha Romania - BETNG to underperform BET

While doing asset allocation it’s important to understand which sector is outperforming and which sector is underperforming. Orpheus performance cycles  objectively showcase relative performance between sectors.

We have illustrated three charts on here. Fig. 1 is the Jiseki performance cycle on BETNG, Fig. 2  is the Jiseki performance cycle on BET and Fig. 3 is the Jiseki performance cycle between BETNG and BET.

Fig. 3 suggests that BETNG is underperforming BET from start of the year by 7%. And if the trend is to be believed BETNG should continue to underperform the BET. This means TGN, TEL, SNP should underperform TLV and BRD.

Enjoy the latest Alpha Romania Late Economic update.

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 Research products.


BRD (up 25%) and TLV (up 15%) deliver

This is what we said on 7 Dec “This may seem hard to believe, but both TLV and BRD are the best potential outperformers according to the latest pair grid. This is in sharp contrast to the other two financial companies viz. BVB and BRK. The brokerage major and the listed stock exchange company are both the top ranked performers and hence the most expensive in the list of 54 assets we cover in Alpha Romania. We continue to look at an underperformance in BRK and BVB and would reduce it in our Rieki portfolio. We anticipated outperformance in BRD and TLV and will increase the allocations for the respective stocks.  The Pair grid carries the best with the worst. ”

BRD is up 25% since 7 Dec, while TLV is up 15%. This was a clear example of how performance cycles work. The worst outperforms and the best underperforms.

In the latest report we have illustrated Jiseki performance cycles for individual stocks and also for the pair between BRD and TLV. Both BRD and TLV are still positive on performance cycles. Among BRD- TLV (Fig. 3), BRD is still outperforming TLV and is up 25% against TLV since July.

We have updated the latest Alpha Early Economic with other financial majors and BETFI.

Enjoy the latest Alpha Early Economic Update.

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 Research products.


ALPHA.ROMANIA - ROMANIAN LONGS CONTINUE TO EXHAUST

BRD, ERST ARE OFF THEIR TOP GAINS NEAR 50%

BETXT VS BRD PAIR IS OFF THE TOP 30% GAINS

THE PAIR SUGGESTS TOPPING. EVEN RETURN LINES FOR ERSTE, BRD AND BETXT SUGGEST PRICES COULD BE TURNING LOWER. WE SHOULD NOT FORGET THAT THE PERFORMANCE LINES HAVE MOVED UNINTERRUPTED FROM MARCH LOWS AND AVERAGE HOLDING PERIOD HAS ALREADY BEEN EXCEEDED.

ALPHA is a pair trading, long only and short only strategy 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.

TIME ARBITRAGE portfolio has five pairs now viz. BRD-BET, BETXT-SNP, SIF2-SIF5, BRD-BETXT, BET-SNP. The above tracker will be updated on a daily basis. The freshly opened trades will have the shortest holding periods. The type of trade will be depicted in the degree i.e. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). The legs should be risk weighted before any implementation. We are assuming a running stop loss of 4% per traded pair. BRD/BET means LONG BRD, SHORT BET. This also means +A-B. When the pair inverts to BET/BRD, it would mean SHORT BRD, LONG BET meaning -A+B.

LONG ONLY, SHORT ONLY portfolio covers SIF2, SIF5, BRD, ERST, TGN. BET, BETFI, BETNG, BETXT, SNP.

STOP LOSS AND EXITS are activated at 4%

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LONG ONLY - ROMANIA

We have included the following indices and stocks. SIF2, SIF5, BRD, ERST, TGN. BET, BETFI, BETNG, BETXT, SNP. Based on reader feedback we will be carrying SUB MINOR ALPHA trades (2-3 days) on our intra day offer TICKS. If you are a short term trader ask for a free trial of TICKS.ROM. Looking forward to your feedback, suggestions and clarifications.

Enjoy the latest ALPHA.ROM

DOWNLOAD THE REPORT ALPHA.ROM.170809

LONG ONLY - ROMANIA

ALPHA is a pair trading, long only and short only strategy 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.

TIME ARBITRAGE portfolio has five pairs now viz. BRD-BET, BETXT-SNP, SIF2-SIF5, BRD-BETXT, BET-SNP. The above tracker will be updated on a daily basis. The freshly opened trades will have the shortest holding periods. The type of trade will be depicted in the degree i.e. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). The legs should be risk weighted before any implementation. We are assuming a running stop loss of 4% per traded pair. BRD/BET means LONG BRD, SHORT BET. This also means +A-B. When the pair inverts to BET/BRD, it would mean SHORT BRD, LONG BET meaning -A+B.

LONG ONLY, SHORT ONLY portfolio covers SIF2, SIF5, BRD, ERST, TGN. BET, BETFI, BETNG, BETXT, SNP.

STOP LOSS AND EXITS are activated at 4%

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LONG ONLY - ROMANIA

It was on 22 July we introduced the pairs based on TIME ARBITRAGE. Today we are adding the LONG ONLY ROMANIA portfolio on MINOR (10-30 days) to the existing TIME ANALYTICS offer. TIME FRACTALS can identify and isolate market performance across time frames. We started with pairs and now have added plain assets. On the first impression one might think that the returns seem better on single assets and pairs seem relatively more work. The reality is different. Pairs remain lower on the risk – return profile. While LONG ONLY or SHORT ONLY on single assets are higher on the risk return scale. The LONG ONLY portfolio will be updated every day. We have included the following indices and stocks. SIF2, SIF5, BRD, ERST, TGN. BET, BETFI, BETNG, BETXT, SNP. Based on reader feedback we will be carrying SUB MINOR ALPHA trades (2-3 days) on our intra day offer TICKS. If you are a short term trader ask for a free trial of TICKS.ROM. Looking forward to your feedback, suggestions and clarifications.

Enjoy the latest ALPHA.ROM


WAVES.ROM - BRD. PRICES CONTINUE TO PUSH HIGHER TO KEY FIB LEVELS

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WAVES.ROM is a perspective product published on TUESDAY’S and THURSDAY’S. The report highlights Romanian Stock Market top three Equity Indices viz. the top ten blue chip BET Index (.BETI), BET Composite (.BETC), the Financial Index BETFI (.BETFI) and the local currency RON (EURRON=, RON=). The products covers the top ten BET component stocks. (ROMP.BX, SNPP.BX, BATR.BX, BRDX.BX, TSEL.BX, ATBE.BX, BRKU.BX, BIOF.BX, IMPT.BX, TUBU.BX) and all the components of BETFI Financial Index(SIF2.BX, SIF5.BX, SIF3.BX, SIF1.BX, SIF4.BX) are covered in the report. The product highlights Primary (Multi Month) and Intermediate (Multi Week) price trends. The report illustrates key price levels, price targets, price projections and time turn windows. The product uses Elliott waves, traditional technical analysis tools, sentiment indicators and other alternative research tools like INTERMARKET to spot outperformers. WAVES.ROM, CHANNELS.BVB and CHANNELS.RASDAQ are bundled together as PERSPECTIVE products. Unlike WAVES which focuses more on blue chips, CHANNELS covers all the BVB and RASDAQ stocks.

REUTERS COVERAGE .BETFI, TUBU.BX, TSEL.BX, SNPP.BX, SIF5.BX, SIF4.BX, SIF3.BX, SIF2.BX, SIF1.BX, ROMP.BX, IMPT.BX, BRKU.BX, BRDX.BX, BIOF.BX, BATR.BX, ATBE.BX

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ALPHA.ROM - THE ROMANIA FIVE

The Romanian TIME ARBITRAGE portfolio has five pairs now viz. BRD-BET, BETXT-SNP, SIF2-SIF5, BRD-BETXT, BET-SNP. The above tracker will be updated on a daily basis. The freshly opened trades will have the shortest holding periods. The type of trade will be depicted in the degree i.e. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). The legs should be risk weighted before any implementation. We are assuming a running stop loss of 4% per traded pair. BRD/BET means LONG BRD, SHORT BET. This also means +A-B. When the pair inverts to BET/BRD, it would mean SHORT BRD, LONG BET meaning -A+B.

Please feel free to mail us for any clarifications.

Enjoy the latest ALPHA.ROM.040809

*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.

DOWNLOAD THE REPORT ALPHA.ROM.040809

ALPHA is a pair trading strategy product based on TIME ARBITRAGE, a term 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 binary charts. The product carries running performance portfolio tracker and give clear entry and exit signals. 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.

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ERSTE AND THE TIBETIAN MONK

Hard speculators find it tough to stick around in markets. The volatility of great wealth and bankruptcy cycle gets too much. “I just can’t take it any more. Things will get worse before they get better. So I m quitting”. Is it really that easy to quit, to leave. And even if you leave do you think markets will ever leave you. Till the time you are an economic being and not a meditating monk in TIBET, the markets will be connected to you. You want to do a green job, BPO, the social mood decides how long you will have that job and even if you have that job, there will be currency worries. How much are you worth in Euros or Dollars? The only way out of the market way is spiritualism. A new job is not going to take your miseries away. Oh! Yes there is the luck factor. If you are lucky, you will anyway survive
But then luck has cycles too. So when the luck runs out, you still need prayers. So the best thing is to understand the markets that you can’t shake off till you live. Forgive us, we are pushing you hard. But we want to get the message across, making a profit in a market or avoiding a loss is easier in markets than becoming a spiritual peaceful monk.

“In this dead markets” as a few claim we showcased how one can profit. The BETFI vs. BRD pair we showcased delivered 40% over 90 days.  This is what we said on 19 MAY. “ BETFI starts underperforming BRD”. We have been talking about many pairs over the last few months. We have some more shocking news for you, if you are one of those who think Romanian markets have no future. As markets change stock selection and investment strategies change. The Orpheus pair strategy revolutionizes stock selection. If BRD was outperforming BETFI and ERST was outperforming BRD then the best stock to pick was ERST. The banking major outperformed by BRD by 127% from the start of the year. “Ok! so what everything moved up”. Yes everything did, but ERST moved up more than BRD. Understanding winners is a part of the game. If you understand them, you will never have to leave the market, as you know the road to becoming a TIBETIAN MONK is much harder.

We have carried the latest performance cycles. Enjoy the latest WAVES.ROM.

*This is a perspective product and not 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 ECONOHISTORY research products.

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WAVES.ROM is a perspective product published on TUESDAY’S and THURSDAY’S. The report highlights Romanian Stock Market top three Equity Indices viz. the top ten blue chip BET Index (.BETI), BET Composite (.BETC), the Financial Index BETFI (.BETFI) and the local currency RON (EURRON=, RON=). The products covers the top ten BET component stocks. (ROMP.BX, SNPP.BX, BATR.BX, BRDX.BX, TSEL.BX, ATBE.BX, BRKU.BX, BIOF.BX, IMPT.BX, TUBU.BX) and all the components of BETFI Financial Index(SIF2.BX, SIF5.BX, SIF3.BX, SIF1.BX, SIF4.BX) are covered in the report. The product highlights Primary (Multi Month) and Intermediate (Multi Week) price trends. The report illustrates key price levels, price targets, price projections and time turn windows. The product uses Elliott waves, traditional technical analysis tools, sentiment indicators and other alternative research tools like INTERMARKET to spot outperformers. WAVES.ROM, CHANNELS.BVB and CHANNELS.RASDAQ are bundled together as PERSPECTIVE products. Unlike WAVES which focuses more on blue chips, CHANNELS covers all the BVB and RASDAQ stocks.

REUTERS COVERAGE .BETFI, TUBU.BX, TSEL.BX, SNPP.BX, SIF5.BX, SIF4.BX, SIF3.BX, SIF2.BX, SIF1.BX, ROMP.BX, IMPT.BX, BRKU.BX, BRDX.BX, BIOF.BX, BATR.BX, ATBE.BX

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ALPHA ROMANIA STARTS SIGNALLING

This update on ALPHA ROMANIA will take you through the mechanics of trading or investing based on the product signals. The pair trading strategy is divided into three different time horizons viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). We will call the portfolio with the respective names. Every pair has been classified. The above pair between SIF2-SIF5 is labeled as (RO1). The tracker illustrated above is an Intermediate portfolio with multi week trades lasting an average 66 trading session. The open date is at the top right corner. The pair was opened 14 days back.

Intermediate trades have large holding period and hence few entry points. Minor portfolio on the other hand have shorter holding periods and hence more signals than the intermediate portfolio. The +A – B notations suggest that the strategy is about buying SIF2 and selling SIF5. Now a trader should keep in mind that intermediate signals are less sensitive and hence may not be effected by short term cycles. The net unit return (assuming risk weighted baskets) is 4% over the last 14 days. Time Arbitrage is an attempt to reduce risk per unit of return, but a seasoned trader knows that risk can never be eliminated and riskless arbitrage, a term quoted in finance textbooks does not exist. This is why though backtested results show limited drawdown, we have a stop loss limit at 4%.  Leveraged traders should try to diversify with multiple pairs in a portfolio. ALPHA.ROM plans to have 10 pair portfolio next month. Please review the product everytime for fresh signals. The report carries other entry signals for other pairs.

Please feel free to mail us for any clarifications.

Enjoy the latest ALPHA.ROM

*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.

ALPHA is a pair trading strategy product based on TIME ARBITRAGE, a term 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 binary charts. The product carries running performance portfolio tracker and give clear entry and exit signals. 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.

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Credit Bonanza! Is it?

Emerging Market Series, Eastern Europe, Romania

So it finally happened. The BNR (Central Bank of Romania) decided to drop the minimum requirement barrier and allow the banks to decide based on their credit system evaluation what the population’s level of debt should be. Additionally, the banks will determine what will be the minimum down payment for their new and existing customers. The BNR would like to see a qualifying ratio of 35%. That means the monthly principle and interest payment cannot exceed 35% of the median family monthly income.

Already, we see that Primary Banks are “breaching” this level with 30% for BRD and low or no initial down payment. So what does this all mean to the average family of Romania? Based on several “Specialized” real estate agencies - don’t hold your breath - the housing market is only heating up. Only in Bucharest alone according to several brokers there are over 750,000 new habitants coming into the market. Is this so? Last time we checked the population of Romania was diminishing with many participants leaving the labor and looking overseas for better “paid” work. This is not to mention that many if not all these who are working abroad have any access to local bank for credits since they can’t provide income qualification. Or maybe the banks will just issue credit to just about everyone? Have they not learned from their counterparts overseas?

It is hard to believe that the credit markets around the globe are tightening up after the collapse in the Sub-prime landing. So where are all these people coming from? Probably many are swapping the apartments and they probably are not even affected by the new rate system. Or is just because all agencies post similar ads, we have an “artificial” price? Probably a combination of both.

So now we are asking. Will the credit bonanza announced catapult the real estate prices through the stratosphere? Hard to believe considering that there is no correlation between the average income levels and the real estate prices. Only yesterday the INS reported the April monthly average income level of 308 Euros, a 1.7% increase over March level. This includes the Easter bonus etc. So what does this mean for a family of 2 working people with an average of 620 Euros? Assuming no down payment, for a 6% APR (Annual Percentage Rate) to be extremely conservative, a 30 year fix mortgage loan will qualify the family in the best case scenario for a 103,410 Euro mortgage. A 70% debt ratio to income will allow the same family a mortgage of only 72,387 Euros. No PMI* (Private Mortgage Insurance) is included on the first 20% down payment that the bank will ask for, nor do we speculate on the standard of living that an average family will have when all their incomes will be locked in the mortgage payments.

It is possible that many “qualified buyers” will go into debt for speculative reasons only resulting in temporary price appreciation. If this is the case how will they afford the payments? Maybe they will rent out units. It means rents have to go up to 600 Euros/month to justify those prices… hard to believe.

It is likely the CPI (Consumer Price Index), which the BNR is trying to keep under 5% will skyrocket. After all there is plenty of “free money” which will have an exponential effect on the multiplier, especially if this money will be used for discretionary spending.

So who are the winners and who are the losers? Banks evidently are going to take huge risks by allowing consumers to take large debts. Insurances will charge premium on naked mortgages that either banks will pass to buyers thereby resulting in larger mortgage payments, or simply will absorb. The most recent American Housing Bubble followed by the Sub prime Lending should raise a red flag. Winners are major material and construction companies who will take the lion’s share with an already overheated housing sector ready to accelerate. This may raise subsequently the price of commodities and natural resources. Ultimately the labor cost will have to rise to keep up with demand.

Did the BNR open a Pandora Box by eliminating any restrictions on credit? This is a question that will be answered soon. One way or another market will find equilibrium. In a perfect scenario, the overheated house prices will come down to match the existing affordability level, This is sustainable if supply of housing keeps up with demand and if banks recognize and prevent the potential of a crisis that lays within their hands. Or maybe the Romanian government should introduce an index of affordability such as US-NAR (National Association of Realtors)*.

The affordability index measures whether or not a typical family could qualify for a mortgage loan on a typical home. A typical home is defined as the national median-priced, existing single-family home as calculated by NAR. The typical family is defined as one earning the median family income. The prevailing mortgage interest rate is the effective rate on loans closed on existing homes from the Federal Housing Finance Board These components are used to determine if the median income family can qualify for a mortgage on a typical home.

Interpreting the indices, a value of 100 means that a family with the median income has exactly enough income to qualify for a mortgage on a median-priced home. An index above 100 signifies that family earning the median income has more than enough income to qualify for a mortgage loan on a median-priced home, assuming a 20% down payment. For example, a composite HAI of 120.0 means a family earning the median family income has 120% of the income necessary to qualify for a conventional loan covering 80% of a median-priced existing single-family home. An increase in the HAI, then, shows that this family is more able to afford the median priced home. The calculation assumes a down payment of 20% of the home price and it assumes a qualifying ratio of 25%.That means the monthly principle and interest payment cannot exceed 25% of the median family monthly income. In addition to providing a composite index, the monthly report breaks the index down by fixed-rate mortgages and adjustable-rate mortgages. It’s also broken down by region.

How is it used? The index helps analysts understand consumer’s ability to purchase a home. The monthly index tends to receive the most attention because of its timeliness. It’s also valued because it breaks the index down by mortgage type and geographical region.

Why use it?

First, falling mortgage rates can actually improve affordability when the overall economy is growing below its potential. Mortgage rates are closely tied to the yield of the 10-year Treasury note, which is tied to expectations of inflation and economic growth. If inflation or economic growth expectations or both are subdued, the yield of the 10-year Treasury note usually falls, thereby bringing mortgage rates down to more affordable levels. Yet, inflation typically has a greater affect on the movement of the yield of the 10-year Treasury note and mortgage rates.

Example, if the economy is expanding at a solid pace, supported by robust productivity growth, inflation would likely be contained. This could keep the yield of the 10-year Treasury note subdued and mortgage rates relatively affordable.

Second, home prices are also affected by the health of the economy. If the economy is strong, it likely means home prices are rising. But is this necessarily a bad situation? It probably isn’t for consumers in general because family incomes could also be rising, thereby improving home affordability from that perspective. Furthermore, it clearly isn’t negative for established homeowners because they build greater equity and that provides a source for consumer spending.

However, rising home prices clearly hurt affordability for first-time buyers. Consequently, analysts use the affordability index for first-time buyers in conjunction with various other reports to gauge how the impact from rising home prices is affecting overall economy growth. In conclusion, the credit bonanza, might only heat up the already inflated real estate bubble.

Horatiu Tocan

* Lenders mortgage insurance (LMI), also known as private mortgage insurance (PMI), is insurance payable to a lender that may be required when taking out a mortgage loan. It is an insurance in the case that the mortgagor is not able to repay the loan, and the lender is not able to recover its costs after foreclosing the loan and selling the mortgaged property. The annual cost of PMI varies between 0.19% and 0.9% of the total loan value, depending on the loan term, loan type and proportion of the total home value that is financed.