XTR 21 – The new components

Last whole week we have been working on the new issue of XTR 21. Our leading blue chip index is 6 months old and a clear market leader. We have some performance history now and we wanted to rerun the model before we start the second half of the year. As we mentioned prior, statistical models are emotion free and clear rule based. The only discretionary work that we have done on the XTR 21 model is to set up limits and caps for stocks and sectors. The current model was updated with forward estimates. Rest everything was similar to what we did last time when we created the Index. It’s a clear system based approach.
The results are exciting. Last time in FEB, the model did not select SIFs and PHARMA stocks. We know what happened? Health sector and BETFI have the worst performing sector components of the year. Even now the model refused to select SIFs and popular health majors. But despite all this filtering, the model has changed a third of the XTR components.
Seven stocks got out and were replaced by new stocks. The model churned out a lot of INDUSTRIALS and a DISCRETIONARY major and selected four new material components. The model has selected one new BANKING stock and two fresh INDUSTRIALS. The new XTR 21 has both the utility majors. 75% of XTR 21 is allocated to the late economic sector components. For us, it’s not a coincidence that model valuations, sector rotation and price performance continue to point to late economic sector stocks. We have detailed out the specifics in SLIDE 11.
Week over Week, we had few gainers. PRSN and ELMA were positive gainers from the XTR 30. XTR 100 had eight gainers from late economic sector viz. ZAREA, SIOR, REFE, BUCUR, PRAE, VEGA, ALU and UARG. The broad market index also filtered out one DISCRETIONARY (NEPTUN) and one INDUSTRIAL component (CMVX). Week over Week XTR 21 continued to outperform all other market benchmarks. Year to date, XTR 21 remained the top performer followed by XTR LE (Late Economic Sector) and Materials sector.
Overall another interesting week, polarizing the market between future winners, outperformers and laggards. The current issue also contains the regular updates on XTR 30, XTR 100 along with the market annexure. We continue to believe in the late economic sector component stories and with barely 10% negativity on XTR 21 for the first half, we are confident of expected outperformance on the late economic sector components in the time ahead.
XTR is our analytics product, which creates and manages Romanian market indices like XTR 21, XTR 100 and XTR 30 (Free Float). We also run models based on breadth indicators (Advance Decline ratio) and statistical parameters (correlations, betas, volatilities, top price changes, 200 day moving average etc.)
XTR 21 – THE BLUE CHIP INDEX
REUTERS RICS COVERED – PTRI.BX, BRDX.BX, BRKU.BX, ARTM.BX, IMPT.BX, TUBU.BX, ALTC.BX, SNOS.BX, ARSB.BX, APOM.BX, MEFI.BX, ALRO.BX, AZOM.BX, OTSP.BX, ALUM.BX, MOPN.BX, BERS.BX, EFOR.BX, TSEL.BX, TGNM.BX
XTR 100 – BROAD MARKET INDEX
XTR 30 – FREE FLOAT INDEX
XTR EE – EARLY ECONOMIC CYCLE SECTOR
XTR ME – MID ECONOMIC CYCLE SECTOR
XTR LE – LATE ECONOMIC CYCLE SECTOR
ORPHEUS RESEARCH is also available on Reuters Knowledge, Yahoo Finance, Thompson ONE and Thompson Research. And can be accessed at the following links.
ORPHEUS RESEARCH AT REUTERS – UNITED KINGDOM
ORPHEUS RESEARCH AT REUTERS – USA
We cover Romanian capital markets, Indian Capital markets, Metals, Currencies, Agro Softs, Grains, Energy markets and Alternative Energy (Solar, Bio Energy, Water and Wind).