Enhanced indexing strategies: utilizing futures and options to achieve higher performance

INDICE: Preface. Acknowledgments. Chapter 1. Owning the Index. The Story ofIndexing. 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. Covered Calls with Futures. Covered Calls as a Source of Profits. Position Details. Expected Strategy Returns. Annual Return Backtests. VIX Modifications. Asset Allocation. Additional Analysis. Summary. Chapter 6. Rolling LEAP Call Options. Understanding LEAP Calls. LEAPs by the Greeks. One Year Later. Rolling LEAPs Forward. Roll Cost Prediction. Estimating Average Returns. Investing Cashflow. Capturing Appreciation. Rolling Up. Selecting Indexes and Strike Prices. Market Drops and Volatility Spikes. LEAP Covered Calls. Summary. Chapter 7. Rolled LEAP Call Option Portfolio Performance. Strike Price Selection. Sector Performance: 1999 to 2006. Sector Portfolio Returns. Rebalancing. Higher-Performance Portfolios. Reinvestment Issues. Covered Calls and Midcaps. Covered Calls with Sectors. Summary. Chapter 8. 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. LEAP Calendar Callsand Early Exits. Cycling Investment Gains. Reinvestment Strategies. Constant Investment and Hybrid. Index Regime Change. Summary. Chapter 9. Call Spread Strategies. Short Option Selection. Long Option. Creating the Diagonal Spread. Option Portfolio. Cycling Fractional and Fixed. Faster Re-investment. Transaction and Spread Costs. Fast Cycling with Calendars. Sample Run. Volatility Modeling. Weekly Volatility Simulation. Weekly Strategy Returns. Summary. Chapter 10. Portfolio Hedging. About Put Options. Selling Puts vs Covered Calls. SellerRisk in Pricing. Protecting Portfolios. Puts, Futures, and Leverage. Diversification and Correlation. Collared Portfolios. Bear Put Spreads and Speedbumps.Bull and Calendar Put Spreads. Calendar Put Spread. Deep-In-The-Money Calendars and Diagonals. Rolling LEAP Puts. Rolling LEAP Calendar Spread. Summary. Chapter 11. Three Ways to Profit With LEAP Puts. Portfolio Safety Nets. ExpectedReturns and Hedging Analysis. Correlated Indexes using SIMTOOLS. Correlated Protected Portfolios. LEAP Calendar Put Spreads. LEAP Calendar Put Portfolios. Historical Performance. Put Writing with LEAPs. Expected Returns. Scenarios. Summary. Chapter 12. Managing Multi-Strategy Portfolios. The Question of Alternative Assets. The Solution: Own the Producer. ProShares ETF Analysis. Multiplier Leverage Effect. Learning from Failure. Asset Management Overview. SecuritySelection. Long and Short Strategy Combination. Strategy Selection. Minimum Investment Sizes. Strategy Exposure. Summary. Final Words. Appendix A: ETF and Index Futures Investing Options. About the Author. Index.

• ISBN: 978-0-470-25925-2
• Editorial: John Wiley & Sons
• Encuadernacion: Cartoné
• Páginas: 304
• Fecha Publicación: 12/11/2008
• Nº Volúmenes: 1
• Idioma: Inglés