The Jiseki Best (INDEX)

Since we are still looking at a bottoming NIFTY in the 4,500-4000 range, we can’t lose sight of the short ideas we have been covering the last few weeks. This update we have carried the Jiseki BEST Portfolio Index (Selling the top ranking assets). We have illustrated the first equity curve of the Jiseki BEST portfolio among 1000 global assets. Equity curve is a graphical representation of the change in value of a trading account over a time period. A curve with a consistently positive slope would generally indicate that the trading strategies of the account are profitable, while a negative slope would indicate that the account is in the red. The global portfolio contains CNX 100 stocks, S&P 500 components., Brazil 30, China 30, Commodities, Global and Indian Agricultural assets, global indices etc.
1) Every week we look at the BEST Jiseki rankings.
2) Apply FILTERS to existing list of components.
3) Look for the Jiseki cycles turning negative.
4) Allocate equally among selected components creating a portfolio.
5) Review every week.
6) If there is an exit signal, close the stock and reallocate the cash in a new stock signal.
From the Dec 2009 to Dec 2011 highs, ‘THE JISEKI BEST’ delivered absolute returns of 68.2 percent. This means 34% annualized returns (assuming non leveraged short). As of 11 Dec, this portfolio had 69 components. We will be reducing the same to a standardized and tradable 30 asset Index. From the running signals we have 16 Indian assets that were short as of 11 Dec closing. (Slide 2). Next ALPHA we carry the JISEKI RUNNING LONG SIGNALS. Watch this space.

To read more about THE JISEKI INDICES download the latest ALPHA reports from the Orpheus e-store.


Avinash Barnwal is Master of Science in Statistics and Informatics from IIT Kharagpur. He has worked on human response time at Department of Psychology, University of Amsterdam.  Avinash is a Quantitative Analyst at Orpheus developing money management solutions and building statistical models to address temporal challenges.