Alpha.Bonds – Schatz vs. Bobl

The latest Alpha Bond carries Numeric Rankings from 8 Nov 2009, 13 Jan 2010 and the change in rankings. The idea is to illustrate that Numeric Rankings are not static as they are based on performance. When relative performance changes, Numeric Ranking also changes. Over the last few weeks the biggest change in Rankings is in US 2 Yr, German DE 2 Yr (Schatz), Japanese 5 Yr and German 5 Yr (BOBL). Could this swing in rankings be profited from? What kind of perspectives do these changes of rankings suggest? What is the forecast ahead? And did we make money on the strategy we gave on 8 Nov 2009 when we said JP 5 Yr should outperform US 3o Yr and German Schatz (2 Yr) should outperform German BOBL (5 Yr)?
The German Schatz vs Bobl has given 4 intermediate signals since Jun 2008. The last trade, long Schatz, short Bobl is running a marginal profit. We expect further upside on the pair. All the other three trades also returned positive returns. Even the JP5 outperformed the US30 yr bond delivering 5% in 77 days.



This week US 10 yr is the worst performer and JP 2 yr is the best. Though we don’t have a signal yet, we are expecting the pair performance cycle to turn in favour of US10 yr. The pair strategy will be long US 10, short JP2.


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ALPHA is a pair trading, long only – short only strategy and numeric ranking 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.
BONDS: GERMAN BONDS, AMERICAN BONDS, JAPANESE BONDS (2, 5, 10, 30 YEAR)
STOP LOSS AND EXITS are activated at 2%
Please feel free to mail us for any clarifications. *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.
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