Sensex Pair 30 – Risk Metrics

On 14 June 2012 we introduced the Jiseki Cycles for Sensex 30, on 20 June we published risk metrics on the Indian Banking sector and on 21 Jun we carried an Indian Sector Special. Today we introduce a new web service called Sensex Pair 30. This service looks at the dynamics of all Sensex components vs. Sensex. The dynamics include relative performance, Jiseki pair cycles, various Risk Metrics and running signals.
This web service illustrates intermediate multi week performance perspectives for the Sensex components and fulfills the following objectives.
1) It identifies the strongest Sensex Component.
2) It identifies the weakest Sensex Component.
3) It identifies the outperforming and underperforming components in the Sensex.
4) It generates running signals for all 30 Sensex pairs (Sensex vs. it’s components)
Since Sensex is the average of the 30 components, we should see half of the Sensex components outperforming the Index and half of them underperforming. But in reality we witnessed a skew, there were half of the Sensex components outperforming. Another 10 were stagnating and value plays. Only 5 components were clearly underperforming the Sensex. What does this tell us? This tells us that performance is not equally distributed. It’s disproportional. The best Sensex component was HLL and the worst was GAIL.
In this update we have added new elements to the Sensex pair 30 subgroup. We have added a Risk Matrix based on ranking, a risk matrix based on price, group analysis, ranking histograms and Jiseki cycles. The latest ALPHA goes about analyzing the Sensex pair 30 components based on performance rankings and cycles.
The risk metrics are driven by our Jiseki Time cycles, which are seasonal patterns of strength or weakness in assets. They are derived from percentile rankings from 1 to 100. The higher the percentile more the chance for an asset to weaken and worst the ranking, better the chance for the respective asset to outperform. 100 is top relative performance and 1 is worst performance. The idea is that performance is cyclical. A top performer will underperform in future and vice versa. A top relative performer is also the worst value pick and the top relative underperformer is the best value pick. Jiseki is another name for Performance cycles, time triads and time fractals. The signals are illustrated as a running portfolio and as Jiseki Indices. These signals can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades.