Romanian Energy and Utilities set to underperform?
Indices are averages constructed from stock components. This is why they are less volatile and also don’t generally reach the best or worst performance rankings. For example BETXT and BETNG, the Romanian Indices have a lower chance of reaching above 50 (the worst performers) or near 1 (the best performer). This is why the Rieki pair cycle of BETXT vs. BETNG becomes interesting. The pair cycle has reached near a bottom and suggests that after underperforming BETNG for almost a year, it is time for BETXT to outperform BETNG.
During the period Jan 2010 till date, BETNG outperformed BETXT by 24%. This is serious alpha specially if we consider these returns are generated between Indices. We have illustrated the relative performance below between BETXT and BETNG. The ratio line is near Mar 2009 lows and indicates that Rieki pair perspective might be correct in indicating an outperformance of BETXT components compared to BETNG components. This also reinforces the idea of TGN underperformance.
Rieki is still negative for other top indices. We continue to look lower as the year comes to a close. Enjoy the latest Alpha Indices.
Enjoy the latest Alpha Romania Indices. 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.
Naked and/or pair strategies are not riskless strategies. Time arbitrage portfolio legs should be risk weighted before any implementation. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the Orpheus Research products.