Trader Vic on Commodities 1st edition by Victor Sperandeo – Ebook PDF Instant Download/Delivery: 0470102128, 978-0470102121
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Product details:
ISBN 10: 0470102128
ISBN 13: 978-0470102121
Author: Victor Sperandeo
In Trader Vic on Commodities, Wall Street legend Victor Sperandeo explains in simple terms how these markets operate, removes some of the mystique and uncertainty involved, and offers a proven method for capitalizing on commodity market trends―without taking giant risks. Sperandeo shows that, as commodities are cyclical in nature, your goal should be to capture as much of the major market trends as possible, while balancing that goal with a minimum of risk.
Trader Vic on Commodities 1st Table of contents:
CHAPTER 1 The Basics
BREAKING IT DOWN
EVERYBODY WANTS SOME
BUY AND SELL, OR BUY AND HOLD?
CHAPTER 2 You Can’t Win Them All
WHY MOST TRADERS LOSE
HOW TO LOSE PROPERLY
THROW IN YOUR HAND
TRADES APPEAR EVERYWHERE IN LIFE
CHAPTER 3 Indicators and Tools
RELATIVE STRENGTH
TREND FOLLOWING VERSUS MOMENTUM
SENTIMENT
COMMITMENT OF TRADERS
LONG-ONLY COMMODITY INDEXES
REBALANCING
CHAPTER 4 2B or Not 2B: A Classic Rule Revisited
CHANGES IN TREND
THE 2B RULE
LONG-TERM 2BS
SPREADS AND THE 2B RULE
CALL OR FOLD, JUST STAY IN THE GAME
CHAPTER 5 An Introduction to the S&P DTI
THE LONG-ONLY INDEX—LEAVING TOO MUCH ON THE TABLE?
COVERING ALL THE BASES
DO IT YOURSELF?
CHAPTER 6 A Challenge to the Random Walk Theory
TREND FOLLOWING IS A LEGITIMATE CHALLENGE TO THE RANDOM WALK THEORY
HE WHO STATES A CLAIM MUST PROVE HIS STATEMENTS
A CHALLENGE
TREND FOLLOWING STATISTICAL ANALYSIS EXPLANATION
SUMMARY
CHAPTER 7 The Rationale and Value of a Long/Short Futures Strategy
THE RELATIONSHIP BETWEEN THE S&P DTI AND INFLATION
S&P DTI DURING DISINFLATIONARY ENVIRONMENTS
The Essence of What Makes an Index
Long/Short Indicators and Long-Only Indexes: The Same Asset Class
The S&P DTI: A Volatility Indicator
CONCLUSION
S&P DTI as an Asset Class
Why the S&P DTI Must Include Financial Assets
Hypothetical Statistical Information (Gross Returns—Fees Included)
Gross Hypothetical Returns
CHAPTER 8 Why the S&P DTI Is an Indicator
PREDICTIVE VALUE OF THE S&P 500
DISTRIBUTION CLASSES
CONCLUSION
CHAPTER 9 The Fundamental Reason the S&P DTI Generates Core Returns
CORE RETURNS IN DIFFERENT ASSET CLASSES
To Recap
THE SOURCE RETURNS OF COMMODITIES
Backwardation or Discount Markets
Contango or Premium Markets
WHY THE S&P DTI GENERATES CORE RETURNS
CHAPTER 10 The Nature of the S&P DTI Returns
DESIGN OF THE S&P DTI MOVING AVERAGE ALGORITHM
WHY THE PARTICULAR MOVING AVERAGE USED IS NOT IMPORTANT TO THE RESULTS
THE S&P DTI COMPARED TO LONG-ONLY INDEXES
THE MOVING AVERAGE RULE ALLOWS ONLY FOR THE APPROXIMATE MEASURE OF THE EXTENT OF THE RETURNS, BUT DO
WHIPSAWS AND SHORT-TERM TRENDS CANNOT DOMINATE THE S&P DTI’S MOVEMENTS FOR LONG
BASIS OF RETURNS AT ANY PARTICULAR TIME PERIOD IS THE EXTENT OF THE LONG-TERM TRENDS
THE NATURE OF LSM AND S&P DTI LOSSES
NONCORRELATION WITHIN ITS TWO MAJOR GROUPS
TRUE DIVERSIFICATION WITHIN ITS COMPONENTS
DIVERSIFICATION AND NONCORRELATION PROVIDES STABLE RETURNS
LSM AND S&P DTI LOSES BECAUSE OF SHORT-TERM TRENDS
LARGEST DRAWDOWN ANALYSIS
SUMMARY
CHAPTER 11 A Fundamental Hedge
TIME AS A FACTOR IN HEDGE RESULTS
CHAPTER 12 S&P DTI Subindexes: The S&P Commodity Trends Indicator and the S&P Financial Trends Indic
A PURE COMMODITY PLAY
BUILDING S&P CTI-BASED PRODUCTS
Afterword
SUMMARIZING AND CLARIFYING
APPENDIX A S&P DTI Methodology and Implementation
INTRODUCTION
DESCRIPTION
METHODOLOGY AND MAINTENANCE
Selection Criteria
Initial Weightings
REBALANCING
Monthly Rebalancing for Sector Weights
Variability of Component Weights
Annual Rebalancing for Component Weights
Position Determination
Price Input
Sectors versus Components
Energy’s Short Exemption—Risk of Ruin
Contract Maintenance
S&P DTI Oversight Committee
S&P DTI Performance
S&P Diversified Trends Pro Forma Indicator Performance Analysis
The S&P DTI Measures Trends and Volatility
Why Has the S&P Diversified Trends Indicator Been Profitable on a Pro Forma Basis?
THE ECONOMIC FUNCTION OF THE FUTURES MARKET
The Risk Transfer Phenomenon
Attracting Capital
Futures Price in Backwardation (Discount)
Futures Price in Contango (Premium)
THE S&P DTI AND INFLATION
Long Position Captures and Hedges Inflation Risk
The Short Position Profits from Commodity and Financial Cyclicality
Exponential Average Multiplier Schedule
S&P DTI Calculation Algorithm
ACTIVE CONTRACT POSITION FOR SECTOR i
S&P DTI Subindicator: Commodities—The S&P Commodity Trends Indicator
APPENDIX B How to Interpret Simulated Historical Results
THE LSM AS A PROXY FOR THE S&P DTI
COMPARISON OF THE PERFORMANCE OF THE S&P DTI TO OTHER ASSET CLASSES MEASURED
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