Alpha.Rom - Mid Economic.


VESY is an industrial sector component. It is also one of the worst performers in the mid economic sector. Since performance is cyclical we expect the worst performers to outperform. We have illustrated the weekly momentum here which suggests that there is buying support for the stock at lower levels. Above 0.07 we are positive on the stock. We have also carried the LOSO tracker which is still negative on Armatura capturing 20% negativity since 23 July 2010.

We have updated the rankings for the 54 asset covered in Alpha Romania. The Alpha report represents rankings in various ways. Here we have illustrated the best and the worst as radar rankings. In best ranked radar grid (right) we have Petrom, Transelectrica, Dafora, Broker, Transgas and BVB. On the worst rankers side we have TLV, SIF3, BRD etc. The pair grid visual clubs the rankers in a grid form ranking them in terms of divergence, difference in performance extremes. Larger the divergence larger the ranking. For example among the 54 assets Transgaz and Natural Gas is one of the most diverged pair. This means that TGN should underperform Natural Gas. Many other relationships between sectors can be studied from the grid. TLV and BVB have also a large divergence among financials. The report illustrated Rieki cycles for top early economic performers and underperformers and carries the latest LOSO signals for the covered assets.

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.

Performance cycles (Rieki) 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. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. Rieki is 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 is a social construct and we see time through the life and nature around us. Understanding time can not only give a unifying theory to research of a few thousand years, but also help us understand the world we live in. Time evolves, oscillates and continues. Time comes before everything, but we don’t see it. We just feel it. We believe what we see and this is why understanding what we don’t see is a challenge. Understanding time could bring more than a conventional thought down, it’s a revolution, which could rock the very foundation of economic thought or the geometric structures Euclid laid down in 300 BC. We are at the start of the journey, but if time is indeed the real mathematics, we could see high accuracy in time forecasts.

Stop loss and exits are activated at 4%

Coverage Romania: Romanian Indices, Stocks, gold, Oil, Dow, CEE Indices (54 assets).

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