ORMI Commodity Index ©
So here we are with ORMI commodity index. Why are we excited? Because ORMI delivered on global equity in 2012 and it’s time we scaled up ORMI to work on other asset classes. While we will continue with ORMI line extensions on equity and give you more long only products on global and Indian equity, our data innovations lend themselves across asset classes. This is the versatility and beauty of ORMI.
The ORMI commodity index delivered 16% (since Jan 2008) compared to 8% for the CRB Commodity Index. On one side this is a clear relative outperformance vs. the underlying universe but on the other the ORMI commodity Index returs are lower than what ORMI equity has delivered on average for various regions and instruments (India, US, Canada, UK, Global ETFs). One reason is that unlike equity, commodity as an asset class has been negative from May 2011 and sideways from Sep 2011. CRB Index is still below Sep 2011 levels.
ORMI is designed to invest in negative outliers and have a low correlation with the underlying universe. However, it’s hard to deliver double digit absolute performance in a market which is negative or sideways. Too much choppy action kills the trade quality and reduces holding period. Despite this the ORMI commodity Index held up and delivered.
Currently ORMI Commodity index has selected a host of metals like platinum, lead, zinc, copper, and nickel along with crude oil. Enjoy the latest ORMI commodity index.
Download the latest Commodity Orpheus 04022013
Indexing: The Orpheus Risk Management Index (ORMI) is based on proprietary algorithm.
The indices values that are disseminated today are broadly based on market capitalization methodology. Market capitalization methodology has been challenged globally for a few broad reasons. 1) As an asset strengthens it is given more weight 2) As an asset weakens it is given lesser weight. This on one side captures momentum but on the other side suggests investors to focus more on growth compared to value. This increases portfolio risk when market growth slows down or reverses, as has been the case since 2007. When markets contract, the erstwhile top performers push into red for extended period of time causing large drawdowns and emotional pain.
The ORMI Index is based on the extreme reversion idea i.e. outliers tend to reverse, which suggests that investing is about value picking and extremes are prone to reversion. Our Index extends and fine tunes the idea first mooted by De Bondt and Thaler in their 1981 paper suggesting that 3 year worst losers portfolio tends to outperform the 3 year best winners portfolio.
To download the latest report please visit our Reuters Store
For knowing more about ORMI Indices mail us for details or contact a sales representative.
Presentations and Primers: ORMI Indices and Analytics
North American Sales Office (Toronto)
Central Switchboard Phone: 001.905.847.1400
Phone: 001.905.847.1400
Toll Free: 001.877.289.5673
Fax: 001.416.352.0190
northamerica@orpheus.asia
India Sales Office (New Delhi)
Phone: 0091.11.65181118
Phone: 0091.9873155513
india@orpheus.asia
European Sales Office (Cluj Napoca)
Romania, EU
Phone/Fax: 0040.364.401.172
Phone: 0040.746919497
Phone: 0036.704195211
europe@orpheus.asia