The Pair Tracker – II

Mukul Pal ·

Top Sector Pairs

 
In continuation with the sector peer pairs we carried yesterday, today we are carrying the sector indices paired vs. CNX100. Since CNX100 is a broad index, we have used it as a comparative proxy vs. all sector indices. This ALPHA report answers the following questions.

1)Which are the sector current running a long outperforming status compared to CNX100?
2)Since when are the sector indices running a buy against CNX100?
3)How have the sectoral indices outperformed historically (since 2007) vs. CNX 100?
4)What are the average holding periods for these multi month outperformance signals?
5)How do we read the Jiseki Sector pair signals?
6)Is CNX 100 and NIFTY still positive?

How can we use Jiseki Sector pair cycles?

1)We can understand which one of the sectors are going to outperform against CNX100 ahead.
2)We can objectively calculate the percentage of outperformance.
3)We can anticipate a reversal in performance.
4)A sector selection can help us in a better stock selection
5)We can create a long – short strategy using options on some sectors.
6)We can create a better portfolio
BSE Consumer Durables (BSECD), BSE POWER, BSEFMCG, BSEOIL and BSEAUTO are running Outperformers against CNX100. This means if CNX 100 would remain positive, these respective sectors will outshine the rest of the market. BSE AUTO is the oldest outperformer since SEP 2011. The average holding period is 121 days and average annualized gains on these signals are 90%.

 

To read more about our JISEKI RANKINGS, Signals and queries mail us today.

Our Jiseki Time cycles 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.
Jiseki Interpretation. Signals are interpreted as crossovers between various Jiseki Cycles. All three Jiseki cycles (Jiseki 1,2 and 3) depict different time frames. Example: An asset is ranked above 80 percentile and all the three Jiseki cycles are pointing lower, this suggests a running SHORT SIGNAL. Our Jiseki Indices use different kind of exits based on price and Jiseki Cycles. We have color coded the (Jiseki 1>Jiseki 2) SHORT zones with brown sandy (burlywood) and grey (Jiseki 1>Jiseki2) for LONG SIGNALS.

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.