Posts tagged ‘Transgaz’

TGN VS. TEL VS. DAFOR VS. XNG

Transelectrica (TEL) is a 472 million dollar market cap Electric Utility, Transgaz (TGN) is a 1 billion dollar market cap Natural gas utility which also features in GICS oil & gas storage & transportation sector, Dafora is a Romanian small cap stock in Oil and Gas drilling and XNG is the AMEX Natural Gas Index. What do they all have in common? All these components are from the late economic sector. How do we find out which one is better for the months ahead and which one to hold and which one to reduce? Is this not what stock picking is about?

Rieki performance cycles have a simple objective answer for this query. Rieki can not only individually illustrate performance cycles of individual assets, but also illustrate seasonality in a pair. If you want to know which component of the pair should outperform the other you can use Rieki. And the best part is that you can make any pair combination.

In Fig. 1 we have illustrated the Rieki pair performance cycle between TGN and TEL. As one can see the cycle (red dashed) line was up from Jan 2010 till Jan 2011. This mean that TGN outperformed TEL by  almost 30% in the year. And now the Rieki cycle for the pair has turned down and also the relative performance line has broken a key trendline support. This means it’s time for TGN to underperform TEL. Since start of the year,  TGN has already underperformed TEL by 15% and we think there is more to come.

Now since both TGN and TEL are the absolute best performers and are overstretched, we need a stock that should outperform TEL. We paired Dafora with TEL (Fig 2.). What did we observe? We saw that after underperforming TEL by nearly 80%, Dafora – TEL Rieki is turning up. When this happens Tel should underperform Dafora. And where does Dafora stand globally? We paired it with AMEX natural gas index XNG. What did we observe?  XNG – Dafora Rieki is reversing. This means Dafora is potentially the best to accumulate while for TEL and TGN, the Rieki stock filter suggests reduce.

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.


TGN VS. NATGAS – Positive or negative correlation?

Did you know that while Natural Gas was falling from Jan 2009 by 76%, Transgaz was rising by 176% during the same period. This means that TGN outperformed Natural Gas by 252% in nearly 24 months. Such a divergence in performance suggests a negative correlation between Natural Gas and Transgaz. Is this negative correlation going to continue?

If we go back in history from 2008 to 2009, one can observe a positive correlation between the same assets. How is this possible? How can correlation change from positive to negative? Will the correlation between the two assets change to positive again? For us at Orpheus, like everything else, even correlation is cyclical. It gets stronger and weaker with time.

We have illustrated the Rieki pair cycle between TGN and Natural Gas. The Rieki structure has topped and suggests that it may be time for Natural Gas to outperform Transgaz. Above this the Alpha Numeric Rankings suggest that Natural Gas is the worst performer and Transgaz is the best. Since performance is cyclical, either Transgaz should fall or stagnate (underperform) and Natural Gas should move up. The Relative performance has turned lower and Transgaz has failed to move above previous resistances. This confirms our preferred negative view on TGN.

Rieki is still negative for other top indices. We continue to look lower as the year comes to a close.

Enjoy the latest Alpha Indices.

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.