ORMI Toronto 15

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 both the GSPTSE and Toronto 15 ORMI ©.
Performance Parameters

Indexing: The Toronto 15  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 Toronto 15  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.