ALPHA.ROM – Numeric ranking: reduce financials

BETNG SHOULD OUTPERFORM IN THE COMING QUARTER

The quarterly performance ranking for Romanian sectors suggest BETFI and BETXT are topping while BETNG is bottoming. BETNG is composed of the utility and energy majors. TEL, TGN and SNP are the three major components all of which are reeling as worst performers for the quarter. According to performance cycles the worst performers cyclically deliver better performances. This is why we continue to look at respective stocks as end of year performers. Overextended status for BETFI and BETXT does not augur well for the overall market. A reversal in performance cyclicality suggests negativity and or underperformance in case of SIFs. We did the same exercise for the 25 BETXT stocks. Apart from TGN and TEL, SIF4 and BCC are also low in the rank. The NR (numeric ranking) idea is to reduce the top ranked stocks from the portfolio and increase or stay invested in the worst ranked stocks.

SECTOR AND STOCK PERFORMANCE CYCLES

BARRING BETNG. LONG EXHAUSTION IS VISIBLE

…TEL REMAINS IN NEGATIVE ZONE

RUNNING: THE RECOMMENDATION +A (LONG ONLY), -A (SHORT ONLY) IS STILL RUNNING; FOR: THE RECOMMENDATION IS RUNNING FOR NUMBER OF DAYS; OPEN PRICE: THE TRADE WAS OPENED AT THIS PRICE; PRICE: THE CURRENT PRICE; RETURN; CHANGE PERCENT SINCE LONG ONLY TRADE WAS INITIATED.

PORTFOLIO

We continue to stay invested in TEL and BCC

BRD VS SNP

Though we don’t have a performance pair between SNP and BRD,  both the stocks  are paired against BET, the blue chip index. The reason both the pairs viz. BET vs. BRD and BET vs. SNP are in profit over its current holding period is because BRD has pushed up in performance to the top and SNP has pushed to the bottom in performance rankings. Now that extremes are visible, it’s time for the polarity to change i.e. BRD to exhaust and underperform and SNP to start bottoming and show strength against the other blue chip stocks.

RUNNING: THE RECOMMENDATION +A – B (LONG A. SHORT B) IS STILL RUNNING; FOR: THE RECOMMENDATION IS RUNNING FOR HOW MANY DAYS; OPEN PRICE: THE TRADE WAS OPENED AT THIS PRICE; PRICE FOR ASSET A AND ASSET B: THE CURRENT PRICE OF ASSET A AND ASSET B; RETURN; CHANGE PERCENT SINCE THE PAIR TRADE WAS INITIATED. ORANGE SHADED PAIRS ARE OF MINOR DEGREE (10-30 DAYS). PURPLE SHADED PAIRS ARE OF INTERMEDIATE (MORE THAN AVERAGE 30 DAYS) DEGREE.

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ALPHA is a pair trading, long only and short only strategy 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.
TIME ARBITRAGE portfolio has five pairs now viz. BRD-BET, BETXT-SNP, SIF2-SIF5, BRD-BETXT, BET-SNP. The above tracker will be updated on a daily basis. The freshly opened trades will have the shortest holding periods. The type of trade will be depicted in the degree i.e. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). The legs should be risk weighted before any implementation. We are assuming a running stop loss of 4% per traded pair. BRD/BET means LONG BRD, SHORT BET. This also means +A-B. When the pair inverts to BET/BRD, it would mean SHORT BRD, LONG BET meaning -A+B.
LONG ONLY, SHORT ONLY portfolio covers SIF2, SIF5, BRD, ERST, TGN. BET, BETFI, BETNG, BETXT, SNP.
STOP LOSS AND EXITS are activated at 4%
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