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XTR.SCREEN

Mukul Pal · October 6, 2008

screen
– CAPITALIZATION AND PRICE PERFORMANCE SCREEN
We introduce a new numeric ranking screen for the XTR 100 stocks and sectors. The screen is based on three broad categories of market capitalization viz. small cap, mid cap and large cap. We have illustrated the capitalization categories with the weekly and monthly price performance in the annexure. We have already categorized market screens in broad indices, sectors and in individual stock price performance. Now the capitalization screen allows us to filter and rank stocks based on their price performance, capitalization and economic sector.
For example, the large cap outperformance comes out clearly from this screen. The large cap components have fallen the least followed by small and mid cap. Among the large capitalization category (LC), ALRO (ALR) is the top performer for the month and the week. This is a positive alert considering broad markets have fallen in August. The material major has delivered a net relative return of 7% compared to all other Indices. This outperformance is owing to its late economic characteristic. Out of 20 positive performers of August, more than half came from the late economic sector. The LE components also screened out as outperformers in the mid cap category with TRANSGAZ, OIL TERMINAL and MECHEL as the only three positive august performers.
Till the time weekly performance is not matched by monthly performance the signal remains week. Small cap category August top performers were LAFARGE AGREGATE SI BETOANE (AGEM) at positive 16.92% for the month, energy component CONPET (COTE) and DUCTIL. These were the only three stocks which were positive both on weekly and monthly time frames.
Another interesting aspect of the current screens is how it can illustrate inter sector performance. EFO and TUFE are two discretionary tourism majors. THR MAREA NEAGRA (EFO) is a small capitalization company and it’s performance was opposite to it’s Discretionary peer TURISM FELIX (TUFE), which was the worst performing mid cap company for the month. Though small cap companies might be prone to volatility, such a clear performance extreme suggests EFO is indeed a better sector peer compared to TUFE. EFO is a part of XTR 30. On sector leaders, SIF MOLDOVA (SIF2) topped the rankings, with a positive performance of 5.26%. What happened starting Monday (01 sep 2008), when SIFs moved up was just a follow up on SIF2 previous week outperformance signal.
Despite the good gains registered by individual stocks the broad market ended the week lower along with the other Indices. BETFI was the top performer for this week with the least drop at 1.50%. Though XTR 21 does not include EFO and SIFs, it still managed to be the third best performer of the week with a marginal loss at 2.82%. Among the underperformers was the Blue Chip Index BET with a loss of 4.67%. XTR 21 is still the top index performer year to date.
Enjoy the latest XTR INDICES.010908
ORPHEUS ROMANIA RESEARCH
XTR.INDICES 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.TRPS.BX, VNCA.BX, AMSL.BX, PEXI.BX, BATR.BX, ARTM.BX, COMI.BX, PTRI.BX, BRDX.BX, BRKU.BX, ARTM.BX, SNOS.BX, ARSB.BX, ALRO.BX, AZOM.BX, OTSP.BX, ALUM.BX, MOPN.BX, TSEL.BX, TGNM.BX XTR 100 – BROAD MARKET INDEX. XTR 30 – FREE FLOAT INDEX. XTR – EE (XTR EARLY ECONOMIC INDEX), XTR – ME (MID ECONOMIC SECTOR), XTR – LE (LATE ECONOMIC SECTOR)
ORPHEUS RESEARCH AT REUTERS – UNITED KINGDOM
ORPHEUS RESEARCH AT REUTERS – USA

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