1.
careful interleaving of materials with very different indices of refraction an
2.
components with different indices of refraction make ideal semi-conductors
3.
not sitting up at night, watching the NASDAQ and other stock indices to see what they
4.
One of the indices of my blood analysis (extremely high level of the choline
5.
New indices of the true state of the economy must be
6.
While it's true some investors will find a way to beat market indices, the average guy or gal will have a tough time
7.
And indices are derivatives
8.
But we have to be careful to not lazily apply what we learn there into asset classes that do not actually behave as stocks do, like derivatives such as the inverses and of course volatility indices
9.
Is it indexes or indices? I use the plural form indexes because that’s the more traditional form, but you may also run into indices as a plural alternative
10.
On the other hand, Standard & Poor’s, which also has a commodity index, spells the plural form as indices
11.
No matter how you spell them, though, at the end of the day, indexes and indices refer to the same thing
12.
Meanwhile as the main indices rally, the small caps and recovery plays have been struggling
13.
When the main indices are booming it is often the case that the minor stocks take a breather
14.
Indices go wild
15.
Whether it's the market makers in stocks and indices, or the big operators in futures, or the market makers in forex, or the big operators in bonds, it doesn't matter
16.
Dow's own work centred around the creation of indices, which now form the cornerstones of the financial markets, with the S&P 500, the Dow Jones (DJIA), the Nasdaq (NQ100) and many more around the world
17.
In addition, the concept of an index has been adopted by virtually every other market and instrument and led to the creation of volatility indices, such as the VIX, sector indices for stocks, currency indices such as the Dollar Index (DXY) and commodity indices such as the CRB, with hundreds of others in between
18.
In some markets, indices are now considered more attractive to trade than the underlying assets from which they are derived
19.
However, it is extremely volatile and of all the indices, is the most manipulated by the big operators, which is what I wanted to show here
20.
22 we have the weekly chart for the DJIA and really for those investors amongst you reading this book, this is precisely the sort of time horizon you would be considering for longer term investing in stocks, of which the primary indices will be key
21.
No effort was made to construct indices, because indices would not add to the illustration
22.
Options on individual stocks or futures give us the measure of volatility on those instruments, while options on broad-based indices, such as OEX, S&P 500, or the Major Market Index (XMI) give us a feeling for the overall stock market
23.
Naked combo selling in indices is usually less trouble than selling combos in individual futures or equity options
24.
indices; indices on foreign markets (JPN or FSX, for example) gap virtually every day since the actual trading in those markets is occurring while the U
25.
FTSE All-Share: the aggregation of the FTSE100, FTSE250 and FTSE Small Cap indices; it does not cover all shares on the market
26.
As far as the general market is concerned, the usual procedure is to construct indices representing various economic factors, e
27.
, money rates, carloadings, steel production, and to deduce impending changes in the market from an observation of a recent change in these indices
28.
Broadly speaking, therefore, the endeavor to forecast security-price changes by reference to mechanical indices is open to the same objections as the methods of the chart readers
29.
3 These indices may also be plotted on charts, in which case the forecasting takes on the aspect of chart reading
30.
Let’s see how we could have traded the indices in the first half of 2014
31.
The stock market was rising during this time and the three ETFs tracking the three major indices all reflected this uptrend
32.
But I think it is better to deploy the bulk of our trading capital when the major indices are breaking out of trading ranges and possibly starting a run
33.
market indices could behave in a prolonged, sloppy, reluctant sideways move that would persist for years, so this grinding market action caught me by surprise
34.
The nice thing about the systematic portion of the market direction model, which will be discussed in the next chapter, is that it does not care how bad things look on a fundamental basis because it focuses purely on the price/volume action of the major market indices
35.
It may seem decidedly un-O’Neil to consider using a market direction model, essentially a systematic program for generating valid buy and sell signals for the general market indices
36.
For example, some may assert that a day like August 28, 2009, is not a distribution day because the market indices did not fall at least -0
37.
Adjusting threshold levels for index volatility is correct, in our view, and statistical studies of market volatility and follow-through days over history indicate that the optimal threshold level remained at 1 percent for both indices from 1974 to 1998, then increased to 1
38.
It is important to note that the threshold level is not always the same for both indices, either
39.
5 percent for both indices
40.
3 percent/yr return going back to January 2005, beating the major indices and the top timing sites, and actual returns were greatly enhanced by buying top quality stocks in top industry groups on buy signals, especially during mid/late 2006 and late 2007
41.
I figured if someone with Bill O’Neil’s market experience could get whipsawed in his market calls during challenging periods, perhaps it is better to stick with the set of systematic rules that have statistically proven themselves based on actual price/volume action of the major indices
42.
Again, while my intuition says such discretionary intervention should improve the systematic results, I hold to my original thought: I figured if someone with O’Neil’s extensive market experience could get whipsawed during challenging, trendless markets, perhaps it is better to stick with the set of systematic rules that have statistically proven themselves based on actual price/volume action of the major indices
43.
I switched into FAZ because the financials had lagged the major indices for months and a 30 percent position in the FAZ is effectively a 90 percent short position in the XLF, the SPDR Financial ETF
44.
O’Neil primarily relies on the elements of price/volume behavior of the leading stocks and major indices on weekly and then daily charts, the shape of the patterns the stocks and indices trace out, relative strength, the relative strength line confirming new highs, institutional sponsorship, the accumulation/distribution rating, group rank, and the 50-day moving average
45.
In academic finance, it is believed that such macro factors as the level of interest rates, the level of various stock indices, gross domestic product (GDP), employment data, and inflation, indices are virtually always extremely important inputs into most valuation processes
46.
We read a report recently by economist Otmar Issing in which it was stated that the three principal sources of bias in the measurement of price indices are substitution bias, quality change bias, and new product bias
47.
ological indices of cocaine craving: evoked brain potentials and cue modulated startle reflex
48.
There is very little reason to look beyond the next quarter or next year because they are concerned with commission based activity or just trying to match the major market indices for management fees (closet indexing)
49.
Anytime your portfolio gets closer to 20 positions you will start to mirror the indices
50.
On the basis if individual stocks, the same principles apply as those applied to market-wide indices like those tracked by Dow Jones
51.
However, a study of the historical price movements of these two indices shows how the Dow Theory works
52.
Although volume was not shown on the chart of the two indices, any spikes in volume levels add confirmation to the price direction
53.
Long spread bettors pay a small daily interest charge to hold rolling spread bets, but I regard this as negligible compared with the leveraged profits that are possible, and for equities and indices it can be offset by the dividends that are received on long positions
54.
Whereas the majority of the examples up to this point in the book have focused on the FTSE 100 index for consistency, in this chapter and the next I demonstrate stop orders in the contexts of other markets including individual equities, foreign exchange currency pairs, and international (non-UK) indices
55.
com crash at the turn of the century, she considers the world’s major stock indices to have bottomed-out at the beginning of 2003 and decides to invest her $100,000 ‘retirement’ savings in the S&P 500 index via a traditional mutual fund
56.
Investors should be especially wary of strategies that amount to selling tail insurance or “lottery tickets” that pay off in bad times—writing options on equity indices, carry trading, and harvesting illiquidity premia
57.
Mutual fund managers as a group cannot cover their fees and the majority tend to lag passive indices
58.
Empirical analyses unequivocally confirm that most managers underperform passive indices after fees and leave open the possibility that winners have just been lucky
59.
The equity premium is ideally computed for stock market indices that weight each constituent stock by its market capitalization
60.
Early research also analyzed equally weighted stock indices that effectively overweight small-cap stocks and require frequent turnover to maintain equal weights
61.
Newer research focuses on fundamental value-weighted indices and (inversely) volatility-weighted indices, given the historic tendency of both kinds of indices to outperform market cap indices (see Chapters 12 and 19)
62.
Stock market indices (made up of listed stocks) do not participate in all growth, and indeed may miss the dynamic growth of yet unlisted startup ventures, other small businesses, and sole proprietorships—all of which count toward total business profits:• The aggregate earnings growth of the corporate sector (listed and unlisted firms) should better keep pace with aggregate GDP growth
63.
Broader indices of financial conditions may serve better now (and are likewise countercyclical; favorable financial conditions augur low future returns)
64.
These facts hold for corporate bond indices and Treasury benchmarks over long periods
65.
For example, average default rates are based on the fraction of issuers in distress, while the yields and returns of bond indices are weighted by issues
66.
Other factors may also need to be taken into account: The market cap weighting of indices could explain some of the gap between ex ante and ex post credit premia if average losses from default and downgrading are not similarly cap weighted
67.
These Moody’s and Ibbotson yield indices (Treasury yields are from Ibbotson and represent a roughly 20-year maturity) are the best known long histories
68.
In addition to data quality concerns regarding individual bonds, we caution that yield spreads are not option-adjusted and that there may be duration mismatches between these indices which matter when the curve is steep (all indices are for long-dated bonds)
69.
With the introduction of bond indices by Lehman Brothers (now Barcap) and others, better quality data have become available, including option-adjusted spreads (OAS)
70.
Morgan’s indices called EMBI, EMBI+, and EMBI Global became the flagships for monitoring these markets
71.
This development partly reflects the improving credit ratings of emerging markets; perhaps half of the debt and half of the countries in EMBI indices were IG-rated by 2007
72.
My empirical analysis focuses on cash market credits that have long data histories, but I note that over the past decade certain credit derivatives and related indices have become the preferred, most liquid means for trading credits
73.
Based on current industry practice, I would also include index derivatives, based on various indices of stocks, interest rates, and credits, as traditional investments
74.
The commercial and residential real estate markets are inextricably linked, so I present data from both markets, especially because house price histories date back further than commercial property indices
75.
Many REIT indices exist—I show returns for the popular U
76.
Mixing the characteristics of appraisal-based and listed indices, the transactionsbased index of MIT’s Center for Real Estate (MIT-CRE) relies on actual transactions in the NCREIF database
77.
It should be more timely and accurate than appraisal-based indices but it is a statistical product (e
78.
It mitigates problems caused by smoothed and/or stale pricing of appraisal-based indices
79.
The Case–Shiller house price index and Federal Housing Finance Agency’s index of owner-occupied house prices are the best known indices of residential real estate, but they only cover price changes
80.
Private real estate (both the NCREIF and MIT-CRE indices) earned a bit over 7% annual return since 1984, while listed holdings (REITs and other property stocks) all earned over 8%
81.
There are no indices on the performance of private infrastructure investments as there are for, say, private equity, real estate, or timber
82.
However, several indices have been developed covering listed companies that invest in infrastructure (akin to REIT indices)
83.
Commissions and insurance costs are ignored (as they are in other asset indices, but such costs are higher in art investing
84.
While the S&P GSCI is the oldest and still the most popular index of commodity futures (it was launched in 1991 and its overall return index history was back-populated to 1970), numerous new indices have come to the marketplace
85.
Nonetheless, the changes made in the new indices appear a priori reasonable: less weight in the energy sector; changes in roll schedules (because monthly rolling from nearby to second contract according to the S&P GSCI’s schedule puts one-sided pressure on market prices and causes temporary price distortions that other traders can exploit or avoid); and, increasingly, a shift from holding only the most liquid nearby futures contract toward including a basket of deferred contracts
86.
The modest returns of standard commodity indices such as the S&P GSCI in recent years—notably negative roll return offsetting most of the spot price gains in 2000s—have raised interest in more dynamic indices that try to enhance performance in various ways
87.
A plethora of such “second-generation” indices are now offered to investors
88.
First, recall that all reporting to HF indices is voluntary
89.
FoF numbers are more realistic but they contain a double layer of fees which could explain a good chunk of observed return difference between HF and FoF indices
90.
Also FoF index returns may be subject to the same biases as indices of single funds, although to a lesser degree (FoFs have less scope to benefit from certain biases discussed below; see Fung–Hsieh, 2002)
91.
How biased are the major indices? All HF databases capture only a subset of HFs; and HF indices capture only a subset of the database, but the hope is that indices contain fewer systematic biases than broader databases
92.
One could also expect the value-weighted DJ CS index to exhibit milder biases than equally weighted fund indices such as the HFR, so it may not be surprising that the 1994–2009 average return of the former index is slightly lower (9
93.
Both indices easily beat the HFR FoF index (6
94.
9 shows that while the broad contours are similar, calendar year returns of the two indices have diverged by as much as 9%; at least the gaps have become smaller over time
95.
Contrasting the annual returns of two hedge fund indices
96.
FoF indices have lagged direct HF investing due to the double layer of fees and dispersion risk (a FoF must pay incentive fees to winning managers in its portfolio even if net performance across all of the FoF’s holdings is flat or negative)
97.
The typical PE manager is skillful enough to outperform public indices on a gross basis but the benefits of these skills accrue primarily to the manager and not to the investor
98.
Yet, academic studies and many popular investment products (FF and LSV, MSCI-Barra and S&P value/growth indices, and the RAFI fundamental index) do nothing to impose sector neutrality
99.
Arnott–Hsu–Moore (2005) proposed fundamental indices as superior alternatives to the market-cap-weighted indices that dominate the passive indexing business
100.
Supporters of market cap indices object to the name “fundamental index” because it is not as passive a strategy as market cap weighting and because it is not an equilibrium strategy that all investors could employ (the growing popularity of this strategy would make fundamental index weights and market cap weights gradually converge and thereby eliminate any return advantage)
