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Trader Vic on Commodities


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Table of Contents

Preface ix

Acknowledgments xiii

CHAPTER 1 The Basics 1

CHAPTER 2 You Can't Win Them All 9

CHAPTER 3 Indicators and Tools 15

CHAPTER 4 2B or Not 2B: A Classic Rule Revisited 23

CHAPTER 5 An Introduction to the S&P DTI 35

CHAPTER 6 A Challenge to the Random Walk Theory 45

CHAPTER 7 The Rationale and Value of a Long/Short Futures Strategy 67

CHAPTER 8 Why the S&P DTI Is an Indicator 81

CHAPTER 9 The Fundamental Reason the S&P DTI Generates Core Returns 105

CHAPTER 10 The Nature of the S&P DTI Returns 115

CHAPTER 11 A Fundamental Hedge 133

CHAPTER 12 S&P DTI Subindexes: The S&P Commodity Trends Indicator and the S&P Financial Trends Indicator 139

Afterword 143

APPENDIX A S&P DTI Methodology and Implementation 147

APPENDIX B How to Interpret Simulated Historical Results 177

APPENDIX C Correlation Statistics 191

About the Author 195

Index 197

About the Author

Victor Sperandeo is a principal of Enhanced Alpha Management. He has more than forty years' experience on Wall Street, trading independently with, among others, George Soros, Leon Cooperman, and BT Alex Brown. He has written two very successful books with Wiley: Trader Vic: Methods of a Wall Street Master and Trader Vic II: Principles of Professional Speculation. Sperandeo has appeared on CNN and CNBC, as well as in leading financial publications.

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