Executive summary What is the idea? The investment management industry is like a Fruit Basket [2]. The manager is searching for superior returns at the same risk level. The Orpheus Risk Management Indices (RMI) [3] ability to deliver risk-weighted excess returns, which can also be understood as outperformance of the RMI portfolio vs. the market […]
The rich do not always get richer. Explaining this probabilistically resolves a 100-year-old puzzle, opening up opportunities for smart beta portfolios, an architecture of complexity and eventually an architecture of data that could become Web 4.0. Group vs. Component Financial markets have moved from regional to global, from one asset to Intermarkets [1]. This has […]
Abstract Investment management which is worth USD 70 trillion can be seen like a fruit basket. The job of the fund manager was to select the fruits from the market and sell it to the investor. Global pensions are a part of this pool. Despite the important role fund managers play, there is a lot […]
MIT ranked the Orpheus BP in the top 50. MIT launched the first graduate level course on Financial Technology applications. Enclosed below are the press release on the program and the list of top 50 capstone projects. The Martin Trust Center for MIT Entrepreneurship and the Finance Group at the MIT Sloan School of Management, in […]
Our current RMI® models cover the component stocks from the US 500, Canada 350, UK 100 and Europe 50. Two RMI models are listed on NASDAQ and 15 RMI models are listed on Bloomberg (ORMI <GO>). RMI Canada 15 is the only Active model, which selects 15 stocks from the TSX 350 universe. All the […]
It took the industry more than 200 years to transition from a 100% discretionary selection systems to rule based portfolios. The first mutual fund was founded in 1775. The popular benchmarks were established by Charles Dow and Henry Varnum Poor in 1880’s. This was when benchmarking performance to an Index started. After the Great Depression […]
Robots vs. Advisors Ok! advisors might be inefficient but is it enough reason for the media wave against them. Agreed that evolution has to happen, and after the industry restructured broking, sized up researchers, and the equity sales, maybe it’s time to disrupt advising. One may argue that somebody has to take the responsibility for […]
These are some of the RMI Indices listed on Bloomberg. The models delivered average annualized excess returns of 4% on a risk weighted basis. RMI Europe Growth 50 was the top outperformer delivering annualized excess returns of 6.7% at a negative excess volatility of 1.4%. RMI Europe Growth 50 vs. STOXX 50 RMI Europe Value 50 […]
Symbol: Verizon Sector: Telecommunication ORMI: RMI™ US 10 Active (Jan 2014) Status: Exit Type: Stop Remarks: Though the stock has made a Stop exit, the Jiseki Cycle is still positive. The stock entered Value Rankings i.e. bottom 20% performers among the US 500 Universe starting July 2014. Orpheus RMI™ duration studies suggest an average of […]
The work of Jules Regnault, Francis Galton, John Rae and Vilfredo Pareto covered Duration, Behavior, and Value. Regnault talked about stock market science, statistical nature of Value, duration importance and price behavior. Galton laid the foundation for the robust behavior of Reversion in natural phenomenon. Rae introduced the idea of intertemporal choices which showcased time […]