Enhanced Indexing Strategies - Yates, Tristan

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Auteur(s) : Yates, Tristan

Editeur : John Wiley & Sons

Langue : Anglais

Parution : 01/11/2008

Format : Moyen, de 350g à 1kg

Nombre de pages : 304.0

Expédition : 14

ISBN : 9780470259252

Résumé :
Leveraged index investments, including index futures, options, and ETFs, are one of the fastest growing products in finance, as both retail and institutional investors are attracted to their long-term returns and capital efficiency. With Enhanced Indexing Strategies, author Tristan Yates reveals how you can create and build high-performance indexing strategies using derivatives that can potentially generate much higher returns than conventional index investing. In addition, Enhanced Indexing Strategies introduces six innovative long-term indexing strategies using futures and options, each with its own advantages and applications....

Biographie:

TRISTAN YATES researches and writes about global index investing, leveraged portfolio management, and derivative strategies for many publications, including Futures & Options Trader, Seeking Alpha, and Investopedia, and his articles are distributed through Yahoo! Finance, Forbes, Kiplinger, and MSN Money. An industry expert on leveraged ETFs, his research has been cited in the Wall Street Journal.

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Sommaire:
Preface.

CHAPTER 1 Owning the Index.

The Story of Indexing.

Indexing: Strategy or Philosophy?

Active Investment Selection.

Index Investing and the Efficient Markets.

Reconciling Indexing and Active Investing.

Index Risk and Reward.

Drift and Noise.

Momentum, Mean Reversion, and Market Cycles.

Cycles and Regime Change.

Understanding Volatility.

High Performance Indexes.

Small Cap and Value Premium.

Stock Migration.

Additional Factors.

Forecasting Index Returns.

Summary.

CHAPTER 2 Applying Leverage.

Leveraged Investments: Conservation of Risk.

Using the Leverage Ratio.

Underwater Investments.

Debt and Interest Effects.

Sources of Leverage.

Margin Loans.

Futures.

Options.

Example: Synthetics.

Other Debt Sources.

Managing a Leveraged Portfolio.

Portfolio Sizing.

Portfolio Allocations.

Rebalancing with Leverage.

Dollar Cost Averaging and Liquidity Preference.

Reinvesting Leveraged Gains.

Summary.

CHAPTER 3 Indexing with Synthetics and Futures.

Asset Allocation.

Index Portfolio Returns.

Applying Leverage.

Holding Synthetic Positions.

Transaction Costs.

Expected Returns and Reinvestment.

Adding Portfolio Volatility.

Random Scenarios with Monte Carlo.

Margin Calls.

Substituting Futures.

Summary.

CHAPTER 4 Capturing Index Appreciation with Calls.

Intuitive Option Pricing.

Options as Potential Liabilities.

Strike Prices.

Time and Volatility.

Dividends and Interest Rates.

Following an Option.

Risk Components of Various Options.

Capturing Appreciation with Options.

Daily Cost of Options.

Volatility Skew.

Uneven Appreciation.

Option Analysis.

Marginal Returns-Extending Time or Lowering Strike.

Out-of-the-Money.

Monthly Returns of Calls.

More about Volatility.

Summary.

CHAPTER 5 Leveraged Covered Calls with Futures.

Covered Calls as a Source of Income.

Position Details.

Expected Strategy Returns.

Annual Return Backtests.

VIX Modifications.

Asset Allocation.

Additional Analysis.

Summary.

CHAPTER 6 Rolling LEAPS Call Options Explained.

Understanding LEAPS Calls.

LEAPS-by the Greeks.

One Year Later.

Rolling LEAPS Forward.

Roll Cost Prediction.

Estimating Average Returns.

Investing Cash Flow.

Capturing Appreciation.

Rolling Up.

Selecting Indexes and Strike Prices.

Market Drops and Volatility Spikes.

LEAPS Covered Calls.

Summary.

CHAPTER 7 Long-Term Returns Using Rolled LEAPS.

Strike Price Selection.

Sector Performance: 1999 to 2006.

Sector Portfolio Returns.

Rebalancing.

Higher Performance Portfolios.

Reinvestment Issues.

Covered Calls and Mid-Caps.

Covered Calls with Sectors.

Summary.

CHAPTER 8 Long and Short Profits with Call Spreads.

Understanding Debit Spreads.

Bull Call Spreads.

Call Spreads and Appreciation.

Spreads and Skews.

Early Exit.

Staggered Exit.

Diagonal Call Spreads.

Long/Short Portfolios from Diagonals.

Early Exit and Theta.

Calendar Call Spreads.

LEAPS Calendar Calls and Early Exits.

Cycling Investment Gains.

Reinvestment Strategies.

Constant Investment and Hybrid.

Index Regime Change.