We have been requested for a signal product for quite some time. Though ORMI is based on Jiseki signals, it generally needs on average more than 10 components to build a portfolio, a few equal weighted and many weighted proportionally. Keeping in mind the need for a signal product we are introducing the ORMI IFTY […]
The RMI EUROPE 50 is rebalanced twice a year and has delivered 5.7% annualized from Aug 2010 compared to -1.8% for STOXX50. Though ORMI is based on a statistical universality that leads to outperfomance compared to an underlying UNIVERSE (STOXX50 in this case), the current model has delivered an unparalleled feat by beating the STOXX50 every year since […]
The RMI EUROPE ACTIVE 10 has an average holding period of 35 days for each trade. The ORMI delivered 8% annualized from 2007 with half the volatility at 10% compared to the selection UNIVERSE STOXX 600, which returned -3.9% annually, at a volatility of 22.8%. An event like 2008 can challenge all active models. ORMI […]
For RMI® Global Active Fixed Income we took the top 100 ETF assets from iShares, SPDRS and PowerShares and applied the RMI Active style to the selected universe. The Index has delivered 6.2% annualized (from April 2011) compared to the benchmark AGG iShares Core Total U.S. Bond Market ETF that delivered 1.5% annualized for the […]
The Extreme Reversion style is a passive index which is all invested. The ORMI India Extreme Reversion IFTY 50 has outperformed the Nifty 50 by 6% annualized since 2006. Though the style has not outperformed the sideways NIFTY action for the last 2 years, it has delivered 14% annualized over the last 7 years. Now that we […]
•Orpheus Risk Management Indices are based on the Extreme Reversion methodology. The Idea redefines 1902 Mean Reversion, redefines 1950 Behavioral finance, looks at market as a dynamical system (Chaos) and marries value with momentum. •The idea works across assets, regions, styles, risk profiles and strategies. Orpheus is a global alternative research company building data analytics, […]
Introducing ORMI India Bank IFTY © We are pleased to launch ORMI India Bank IFTY. This is our seventh Index for India after ORMI India 30, ORMI India 10, ORMI India Worst 20, ORMI India Senzex 30, ORMI India TECH 20 and ORMI Bank IFTY. Is ORMI India Bank IFTY like the Bank NIFTY? Unlike […]
We are pleased to introduce a new style of ORMI Indices. We call it ‘The Worst 20’. Why is it called ‘Worst’? The Index selects the worst performers among a group of assets or the worst performers among a broad index e.g. UK FTSE 100. Why is it 20? The index selects the bottom 20 […]
The latest Toronto 15 ORMI © Index update carries the equity curve from February 2002 till date. The Orpheus Risk Management Index (ORMI) is up 828.91% since 2002. There are two new entries in the portfolio. ORMI Returns and Cash Density Plot for Quarterly Returns The density plot above describes the frequency of returns for […]