Trader Vic on commodities : what's unknown, misunderstood, and too good to be true

Online-Ressource (xvi, 201 p)

ill

24 cm

Wiley Trading Ser ; v.300

Includes index

Trader Vic on Commodities; Contents; Preface; Acknowledgments; 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; 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 DTITHE 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; CONCLUSION; Chapter 8: Why the S&P DTI Is an Indicator

PREDICTIVE VALUE OF THE S&P 500DISTRIBUTION CLASSES; CONCLUSION; Chapter 9: The Fundamental Reason the S&P DTI Generates Core Returns; CORE RETURNS IN DIFFERENT ASSET CLASSES; THE SOURCE RETURNS OF COMMODITIES; 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 DOES NOT DETERMINE THEM

WHIPSAWS AND SHORT-TERM TRENDS CANNOT DOMINATE THE S&P DTI'S MOVEMENTS FOR LONGBASIS 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; A PURE COMMODITY PLAY; BUILDING S&P CTI-BASED PRODUCTS

AfterwordSUMMARIZING AND CLARIFYING; Appendix A: S&P DTI Methodology and Implementation; INTRODUCTION; DESCRIPTION; METHODOLOGY AND MAINTENANCE; REBALANCING; THE ECONOMIC FUNCTION OF THE FUTURES MARKET; THE S&P DTI AND INFLATION; ACTIVE CONTRACT POSITION FOR SECTOR i; 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 WITHIN DIFFERENT ECONOMIC PERIODS; Appendix C: Correlation Statistics; About the Author; Index

Electronic reproduction; Available via World Wide Web

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