Rieki portfolio outperforms all Indian benchmarks (30 days)

Mukul Pal ·

The first 30 calendar days of the year our Rieki portfolio turned out to be the best performer among all the Indian sector and composite indices. At -4.4% the Rieki portfolio matched in performance with the top performing BSE metals and outperformed the worst performing BSE Reality by 12%. Though 30 days is too early for a strategy to show merit, let’s review the portfolio and Rieki’s novel approach to money management.

On 12 Sep we explained how the ‘The Rieki Hedge‘ strategy lets us pick up the best value from a universe of stocks. Second, it reduces risk by giving us the opportunity to short potential underperformers, hence reducing portfolio risk by creating a strategy hedge. Third, it increases our holding period for the overall portfolio. We can hold and accumulate the spot positions for a longer period of time and similarly, we can hold short futures beyond intraday volatilities. The Reiki portfolio accumulation approach of value picks also keeps us prepared to capture the next stage of the bull market that should start in 2011. Fourth, this approach also allows us to play according to the underlying bias of the market. If the intermediate multi-week market view is negative, we could churn our short futures portfolio actively. We could have more short components against few value spot picks (though the value hedge between long and short is maintained). The market bias can be judged by a trending system, by the ongoing VIX structure, by the view on rupee and by a host of factors.


The Rieki strategy is novel and is not a classic pair, spread trading or long short strategy. It’s a strategy where we can chose to be hedged completely, over – under hedged or un-hedged. We can do this because if performance is cyclical like everything else, even portfolio risk is cyclical. There is a time the portfolio needs hedging and there is a time the portfolio does not need a hedge. We closed 2010 with a 7.4% profit in 90 days.
This year we traded 27 Short futures trade on 16 Futures  assets. We made an average gain of 4% per asset. We had 5 losing Future trades and 25 profiting trades. We traded  an average of 2 lots per asset. Our maximum gain came from Sun, while metals were the ones where we lost.

Alpha is a daily strategy signal product that gives long only, short only, pair trading signals. Alpha is a numeric Ranking product based on TIME fractals. The signals are carried over minor (10-30 days) and intermediate (above 30 days) time frame. The signals are 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.
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Coverage India: CNX100 traded stocks and Indian Indices.