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Enhanced Indexing Strategies: Utilizing Futures and Options to Achieve Higher Performance

Book Description

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.

Table of Contents

  1. Title Page
  2. Copyright Page
  3. Preface
    1. CHAPTER BY CHAPTER
    2. PERSONAL ENRICHMENT
  4. CHAPTER 1 - Owning the Index
    1. THE STORY OF INDEXING
    2. INDEXING: STRATEGY OR PHILOSOPHY?
    3. INDEX RISK AND REWARD
    4. HIGH PERFORMANCE INDEXES
    5. FORECASTING INDEX RETURNS
    6. SUMMARY
  5. CHAPTER 2 - Applying Leverage
    1. LEVERAGED INVESTMENTS: CONSERVATION OF RISK
    2. USING THE LEVERAGE RATIO
    3. UNDERWATER INVESTMENTS
    4. DEBT AND INTEREST EFFECTS
    5. SOURCES OF LEVERAGE
    6. MANAGING A LEVERAGED PORTFOLIO
    7. SUMMARY
  6. CHAPTER 3 - Indexing with Synthetics and Futures
    1. ASSET ALLOCATION
    2. INDEX PORTFOLIO RETURNS
    3. HOLDING SYNTHETIC POSITIONS
    4. TRANSACTION COSTS
    5. EXPECTED RETURNS AND REINVESTMENT
    6. ADDING PORTFOLIO VOLATILITY
    7. RANDOM SCENARIOS WITH MONTE CARLO
    8. MARGIN CALLS
    9. SUBSTITUTING FUTURES
    10. SUMMARY
  7. CHAPTER 4 - Capturing Index Appreciation with Calls
    1. INTUITIVE OPTION PRICING
    2. CAPTURING APPRECIATION WITH OPTIONS
    3. OPTION ANALYSIS
    4. SUMMARY
  8. CHAPTER 5 - Leveraged Covered Calls with Futures
    1. COVERED CALLS AS A SOURCE OF INCOME
    2. POSITION DETAILS
    3. EXPECTED STRATEGY RETURNS
    4. ANNUAL RETURN BACKTESTS
    5. VIX MODIFICATIONS
    6. ASSET ALLOCATION
    7. ADDITIONAL ANALYSIS
    8. SUMMARY
  9. CHAPTER 6 - Rolling LEAPS Call Options Explained
    1. UNDERSTANDING LEAPS CALLS
    2. ROLLING LEAPS FORWARD
    3. ROLL COST PREDICTION
    4. ESTIMATING AVERAGE RETURNS
    5. INVESTING CASH FLOW
    6. CAPTURING APPRECIATION
    7. ROLLING UP
    8. SELECTING INDEXES AND STRIKE PRICES
    9. MARKET DROPS AND VOLATILITY SPIKES
    10. LEAPS COVERED CALLS
    11. SUMMARY
  10. CHAPTER 7 - Long-Term Returns Using Rolled LEAPS
    1. STRIKE PRICE SELECTION
    2. SECTOR PERFORMANCE: 1999 TO 2006
    3. SECTOR PORTFOLIO RETURNS
    4. REBALANCING
    5. HIGHER PERFORMANCE PORTFOLIOS
    6. REINVESTMENT ISSUES
    7. COVERED CALLS AND MID-CAPS
    8. COVERED CALLS WITH SECTORS
    9. SUMMARY
  11. CHAPTER 8 - Long and Short Profits with Call Spreads
    1. UNDERSTANDING DEBIT SPREADS
    2. BULL CALL SPREADS
    3. CALL SPREADS AND APPRECIATION
    4. SPREADS AND SKEWS
    5. EARLY EXIT
    6. DIAGONAL CALL SPREADS
    7. LONG/SHORT PORTFOLIOS FROM DIAGONALS
    8. EARLY EXIT AND THETA
    9. CALENDAR CALL SPREADS
    10. LEAPS CALENDAR CALLS AND EARLY EXITS
    11. CYCLING INVESTMENT GAINS
    12. INDEX REGIME CHANGE
    13. SUMMARY
  12. CHAPTER 9 - Cycling Earnings Using Spread Positions
    1. SHORT OPTION SELECTION
    2. LONG OPTION
    3. CREATING THE DIAGONAL SPREAD
    4. OPTION PORTFOLIO
    5. CYCLING FRACTIONAL AND FIXED
    6. FASTER REINVESTMENT
    7. TRANSACTION AND SPREAD COSTS
    8. FAST CYCLING WITH CALENDARS
    9. VOLATILITY MODELING
    10. WEEKLY VOLATILITY SIMULATION
    11. WEEKLY STRATEGY RETURNS
    12. SUMMARY
  13. CHAPTER 10 - Practical Hedging with Put Spreads
    1. ABOUT PUT OPTIONS
    2. SELLING PUTS VERSUS COVERED CALLS
    3. SELLER RISK IN PRICING
    4. PROTECTING PORTFOLIOS
    5. PUTS, FUTURES, AND LEVERAGE
    6. DIVERSIFICATION AND CORRELATION
    7. COLLARED PORTFOLIOS
    8. BEAR PUT SPREADS AND SPEED BUMPS
    9. BULL AND CALENDAR PUT SPREADS
    10. CALENDAR PUT SPREAD
    11. DEEP-IN-THE-MONEY CALENDARS AND DIAGONALS
    12. ROLLING LEAPS PUTS
    13. ROLLING LEAPS CALENDAR SPREAD
    14. SUMMARY
  14. CHAPTER 11 - LEAPS Puts and Three Ways to Profit
    1. PORTFOLIO SAFETY NETS
    2. EXPECTED RETURNS AND HEDGING ANALYSIS
    3. CORRELATED INDEXES USING SIMTOOLS
    4. CORRELATED PROTECTED PORTFOLIOS
    5. LEAPS CALENDAR PUT SPREADS
    6. LEAPS CALENDAR PUT PORTFOLIOS
    7. HISTORICAL PERFORMANCE
    8. PUT WRITING WITH LEAPS
    9. SUMMARY
  15. CHAPTER 12 - Managing the Leveraged Multistrategy Portfolio
    1. THE QUESTION OF ALTERNATIVE ASSETS
    2. PROSHARES ETF ANALYSIS
    3. ASSET MANAGEMENT OVERVIEW
    4. SUMMARY
    5. FINAL WORDS
  16. APPENDIX - List of Index ETFs and Futures
  17. About the Author
  18. Index