| 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 CHAPTER 6 Rolling LEAPS Call Options Explained. CHAPTER 7 Long-Term Returns Using Rolled LEAPS CHAPTER 8 Long and Short Profits with Call Spreads CHAPTER 9 Cycling Earnings Using Spread Positions CHAPTER 10 Practical Hedging with Put Spreads CHAPTER 11 LEAPS Puts and Three Ways to Profit CHAPTER 12 Managing the Leveraged Multistrategy Portfolio. Summary Final Words APPENDIX List of Index ETFs and Futures About the Author Index |
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