Abstract In finance, arbitrage is an essential framework to understand asset pricing. However, the study of anomalies also called as premiums, which are not arbitrageable has led to a debate regarding whether markets are efficient in correcting price imbalances or is inefficiency a reality. This is why the Economics Nobel prize 2013 was awarded to both the […]
These are the performance numbers of the NASDAQ Orpheus RMI US Value Growth 20, Year to Date vs. NASDAQ Benchmark, NASDAQ 100 and S&P 100. Our claim that combining Value and Growth is the smarter Beta approach, is in its first year of validation. The RMI has outperformed the NASDAQ benchmark, NASDAQ 100, S&P 100 by 9.66%, 3.28% […]
Marina Ferent marina.ferent@orpheusindices.com Abstract Stationarity tests are used to detect mean reversion in a certain dataset. Mean Reversion processes suggest a non-random behavior in a time series (Lo and MacKinley, 1988). Previous research has focused on studying mean reversion at stock price level (Debondt and Thaler, 1985; Lindemann et al., 2004) and considers stationary assumptions […]
Abstract Information is an assumption for modern finance. The Efficient Market Hypothesis uses information to back its case of efficiency. The EMH case is weak, but as Martin Swell (2011) explains, until a flawed hypothesis is replaced by better hypothesis, criticism is of limited value. This paper challenges the information assumption in EMH based on […]
Dacian Jurj dacian.jurj@orpheusindices.com A system based investing is different from news based investing. It’s hard to quantify news and how up or down the market would go. This is why we let our models do the work for us. The current India Active has outperformed India top 50 by 5.27% year to date. Today we […]
Dacian Jurj dacian.jurj@orpheusindices.com A system based investing is different from news based investing. It’s hard to quantify news and how up or down the market would go. This is why we let our models do the work for us. The current India Active has outperformed India top 50 by 5.27% year to date. Today we […]
Recently we tested stationarity for a group of markets from US, Japan and UK. These are some visuals generated by the plotly for Stationarity data. “In mathematics and statistics, a stationary process (or strict(ly) stationary process or strong(ly) stationary process) is a stochastic process whose joint probability distribution does not change when shifted in time. Consequently, parameters […]
Inefficiency Searching for alpha is searching through inefficiency, because there are no super normal returns in efficiency. This seems intuitive and correct because there is cost to searching through inefficiency. And agents who spend that cost have to be rewarded for that effort. The case for inefficiency is unassailable. Subjective Inefficiency The case for what […]
Inefficiency Searching for alpha is searching through inefficiency, because there are no super normal returns in efficiency. This seems intuitive and correct because there is cost to searching through inefficiency. And agents who spend that cost have to be rewarded for that effort. The case for inefficiency is unassailable. Subjective Inefficiency The case for what […]
With the end of 2014 A.D, RMI India models marked another year of delivering higher returns along with less transactions and lower risk. RMI India Active IFTY 5 delivered an absolute return of 114.51% for the year against 33.35% of that of the benchmark. RMI India Active 10 and RMI India Active Growth 10, the […]