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6 h7 {0 j: _* Eprovide the novice with basic knowledge presumed by the remainder of the# `0 [0 ^- i: i/ }. {! `
book. In adherence to the truth-in-labeling principle, Chapter 2 has been
* {, _1 e! \) }" z+ {; _5 t. D+ m% vappropriately titled "For Beginners Only." Readers who are familiar with
! [& @8 J8 r7 T; q$ G7 hfutures and justifiably feel that they will go into a catatonic state if they read' ?5 ^) N6 p% ]! N6 z
one more definition of futures markets or introduction to hedging are strongly0 j! `0 t+ M, F& v5 r, X) R
advised to proceed directly to Chapter 3./ W$ z2 p0 s+ F- N/ e/ u: S
All Readers s8 W0 s9 ~8 j! E9 w
The market examples sprinkled throughout the text are intended to illustrate5 o. m' ?6 j0 X' M1 a& z, i. z
general concepts rather than specific fundamentals of the given market. The
5 a3 w' `# v" K% d( F; Eactual market used as an illustration is an entirely secondary consideration.
) u) `- L6 v: L% v! C; I# NThus, readers should avoid skipping certain sections because the discussion
" ~, g2 F. n; uemploys a market in which they have little interest. Such a selective reading) v) `1 J( R* ^& K
approach is ill-advised because it will result in a disjointed flow of
2 `" k" v3 ~* U7 i$ L; {information.
" P m3 L" z5 ^2 {5 Y( ?0 EJACK D. SCHWAGER7 b/ k" K$ a; ~" [/ Z% q
New York, New York; S O3 `" ^8 l( @$ v
March 19958 V+ V5 A4 C! y$ u' h
PART ONE: PRELIMINARIES
0 H- n8 A- w/ I1 The Great Fundamental versus Technical Analysis Debate 3
4 ~3 r* H4 J1 x3 w' o: C, W2 For Beginners Only 7" o/ L% v# L& |1 ~% ^
Purpose of This Chapter 7# H% W r5 r- F' ~* _1 B$ X$ N
The Nature of Futures Markets 7 p2 _: u4 O+ f. G
Delivery 8
+ v; F% F/ }+ P7 y8 {! y! s8 aContract Specifications 9
' n% @3 L2 O5 j# `Volume and Open Interest 11
; j$ \$ W+ y' x* R3 M6 A- rHedging 122 p- X7 y' E( k. B, L' S
Hedging Examples fora Commodity 12! O5 B; m% l& G! L
Hedging in Financial Futures 15
' ]: D. J4 b1 K: @, d$ _+ bGeneral Observations Regarding Hedging 16
3 p( V; G/ Z. V/ f) NSpeculation 185 u0 V0 |; J4 c
Types of Orders 192 t8 S6 {- n0 R3 X8 ]! R3 N, ?
Commissions and Margins 228 k7 B6 {1 L0 V9 I( [$ G7 k
Tax Considerations 22! j9 X* ?9 c5 N9 L9 n
PART TWO: FUNDAMENTAL ANALYSIS
: Q$ k8 y! p+ G! E8 m" H6 ~# |& l& L/ e3 Fourteen Popular Fallacies, or What Not to Do Wrong 276 M; S* P. z- W v! ~5 b2 c3 e
Five Short Scenes 277 k: U {6 i o/ i& U
Scene 1 275 R8 v- u4 L; S; e. }3 C
Scene 2 28
) t1 x* C& ^: c" O6 Y% |Scene 3 28
: L, ]$ V3 e; g. A2 X8 \Scene 4 286 M6 b' F/ ?6 e t0 r& M* k- a
Scene 5 29
' T/ p4 Q+ y' z( _* r3 }The Fourteen Fallacies 29
: ~! e0 J6 N' W/ f, q, wViewing Fundamentals in a Vacuum 29
2 \9 a5 b2 x/ SViewing Old Information as New 30
4 y) m0 }1 j( K& u- _6 m9 SOne-Year Comparisons 30" d% C# }. N) a' G( `
Using Fundamentals for Timing 31
" _; P8 Q3 _* ^+ j" q! OLack of Perspective 31
- v+ \: i: Y$ sIgnoring Relevant Time Considerations 32
( G9 B# a: T: Q, J9 EAssuming That Prices Cannot Decline Significantly Below the Cost of
0 A9 r- F3 v n, W" lProduction 32
2 ]4 |' s% u2 ~1 p% \* u! ]Improper Inferences 33$ [/ e. X }; l$ Y9 Y" p7 y& ?
Comparing Nominal Price Levels 36" f: d. B8 E* v1 I8 X' G
Ignoring Expectations 36! e- Y+ R# F4 X* u8 a
Ignoring Seasonal Considerations 37
% h. g7 V* J; wExpecting Prices to Conform to Target Levels in World Trade Agreements7 |1 J6 I$ p2 h; _% \. u G$ F
38- a6 t7 [4 t! F ^9 x
Drawing Conclusions on the Basis of Insufficient Data 382 A3 `4 F4 N( t, j
Confusing the Concepts of Demand and Consumption 39$ a) C; u! t, M/ D7 p$ \
4 Supply/Demand Analysis: Basic Economic Theory 41
4 n) ~$ w6 g0 u( p5 j- ESupply and Demand Defined 41" z1 E6 t$ `, a1 L" C
The Problem of Quantifying Demand 45. O; f) Y- E9 M
Understanding the Difference Between Consumption and Demand 46
! M5 x/ J3 _6 yThe Need to Incorporate Demand 49. w; }0 z7 ^: o* _ e
Possible Methods for Incorporating Demand 513 E$ n0 C4 K8 K4 j8 d
Why Traditional Fundamental Analysis Doesn't Work in the Gold Market 568 D: w3 `6 S+ ~9 l# ?% q
5 Types of Fundamental Analysis 57
" v8 `, F1 a* ^3 X) yThe "Old Hand" Approach 577 r9 o4 {! Y) [, l# o& l
The Balance Table 574 ]5 ?- f1 I; r- k
The Tabular and Graphic Approach 58
* @* k% F! _; Z8 _- LRegression Analysis 67
& B- \ o" o8 _# C# R$ V& wEconometric Models 68& G9 M- {2 z. B
The Analogous Season Method 69
6 m" f! B& c5 L# x3 aRank Classification Method 69
; G7 `2 w' C/ D, d: \Index Models 70' s* u6 ]3 H6 g9 R7 w2 J6 v R1 A
6 Applying Technical Analysis to Fundamental Data 73
, H% y6 K# l l+ Y& D, qMethods of Trend Definition 73
3 U( T/ y% R5 H2 s4 v- wA Practical Example 74
' q7 h% X9 y5 `% vDetrending Data 78
! u) z% x7 X- ?! o: E. o7 zThe Need to Incorporate Data Lags 841 g h! F3 i' w5 C
Measuring Time Lags 90 U7 x3 Z7 g2 }1 y9 E+ f' F6 g
The Danger of Optimization 94
: \, i/ c9 g0 ]' S* \" d* C+ zLags for Data Availability 96( \3 q0 _) U5 @
Weighting the Indicators 96# z+ _- Y6 u w8 b3 {
An Example of an Index Model 97
; g: H4 h4 ~+ o9 C: U5 ]A Final Caveat 1001 w) |- B8 v. r# k9 ?8 _
7 The Role of Expectations 1010 b) I9 V' V, F2 M P6 E
Using Prior-Year Estimates Rather Than Revised Statistics 101: ]% {$ V4 g; c# d# [6 D
Adding Expectations as a Variable in the Price-Forecasting Model 105# e& F" z/ P& K; N- |. x
The Influence of Expectations on Actual Statistics 106
5 Z2 a3 O1 Y( \& m: K- Y& q3 P9 UDefining New-Crop Expectations 107& b) H+ Q4 ~9 y D
8 Incorporating Inflation 108
! X2 t8 I& z- K+ x) r9 Seasonal Analysis 115
- F, S- g9 h' l3 d! Z" n1 j! vThe Concept of Seasonal Trading 115
) j, X. `. p! \2 V: UCash versus Futures Price Seasonality 115
$ O- l) H2 q& l( W+ KThe Role of Expectations 116* _. x* S# f4 }/ g" f8 n
Is It Real or Is It Probability? 116
% y9 p4 ?% h6 n( j- b7 NCalculating a Seasonal Index 1172 _: y" p; Q+ f, q3 W
Average Percent Method 117
7 D" L. d; V4 @Link Relative Method 121
: S- p0 x7 ]6 y, j0 `5 {Segmented Seasonals 126! X) a: m! [' O( `+ z" `$ t2 Z
Deseasonalizing Data 130
# \: `) k, }9 G9 Z N4 r1 k+ sMaximum Gain/Maximum Loss Seasonal Comparisons 134
) I9 S |3 n' p: u8 t9 p2 KCounterseasonal Price Action 134
& l( @5 R, J2 w) J4 V% H3 o( `9 [Chart Detection of Seasonalities 136
' {; }, `+ ~+ K) l4 v* E" q& r* J- wConclusion 148
( f/ p B1 U7 O1 Q9 n# @% U10 Market-by-Market Seasonality 149) _: e, w! q ]
Interpreting the Tables in This Chapter 149: w% j1 _. @) C3 M
Interpreting the Charts in This Chapter 1509 A$ g! ~2 d; ~+ \3 ~* c( A
A Word About the Price Data Used in Constructing Seasonal Indexes 151# |; |+ n: M) P& a
Caveats in Using Seasonal Information for Trading 152/ @ |2 \, t9 f
Seasonal Tables and Charts 1520 V, }: l& Z" p0 u, r* m4 l2 U3 v$ F
11 Analyzing Market Response 184; e0 _( K- @4 i" ^# Z) ]
Evaluating Market Response for Repetitive Events 184
, V% H v7 }9 R8 C6 w& j9 i. eExample A: USDA Hogs and Pigs Report 184- R3 C; ^6 [$ L+ J, b5 m7 W
Example B: October Orange Production and Yield Estimate 189; Q+ I2 A5 ]4 M
Counter-to-Anticipated Market Response 1904 d/ s2 z6 m9 n2 N3 ^3 P
Repetitive Events 190! h0 \+ S) j5 i. z6 t5 f9 f# w
Isolated Events 1932 l' Y- A9 v) M9 ?
12 Government Programs and International Agreements 1968 Q, q0 b* e1 m, _: S5 j( w
A Focus on Price Influence 196- [, p8 [% s0 J
U.S. Agricultural Policy: A Conflict of Goals 198- o/ y. ^0 E0 {. [$ P+ X4 i
Acreage Programs 199
1 y, a9 T; b( T, l. j1 @Acreage Reduction Program 199
- ^, D r& ~7 }* N x+ q: yNormal Flex Acreage 200
$ W4 l$ N/ Y& T& H% ZOptional Flex Acreage 201
/ q0 d( o& U$ H$ L- F5 zPaid Land Diversion 202
. K& p* F0 l" UThe Price-Support Loan Program 202
3 \1 n; G) L$ b: E, vBasic Loan Rates 203
: h' N1 Q! C8 x4 ZTarget Prices and Deficiency Payments 206
1 o5 E2 B) \1 k: ^Marketing Loan Program 206# J, K6 A" F( C. i" \3 r0 q+ @
Farmer-Owned Reserve 207
' ]7 o \; q$ eImport/Export Controls 2095 T$ A% g3 v/ l: d1 F2 o
Export Support Programs 210
1 C1 p) I+ l4 r9 D! ]Summary: Domestic Government Programs 211, |$ g& d, m g5 L3 o
International Agreements 212
, V4 i/ N- t- d: CBibliography 214
8 a& C- ^2 A7 }- j. F13 Building a Forecasting Model: A Step-by-Step Approach 2167 I! Q2 Z+ W3 ~! H7 j1 q; {
14 Fundamental Analysis and Trading 2200 z2 P6 R3 x9 n* ] U+ C* j
Fundamental versus Technical Analysis: A Greater Need for Caution 220
) p# a, i! q( A- j4 I8 ~" CThree Major Pitfalls in Fundamental Analysis 221$ ^6 p- v n4 Z; z3 T$ n$ ]8 I# W
Combining Fundamental Analysis with Technical Analysis and Money( {' e; w$ V2 G* x* n
Management 228
( c( M* b/ C) A# VWhy Bother With Fundamentals? 229
H: X9 W( [' U" eAre Fundamentals Instantaneously Discounted? 230
5 i, ]3 O s8 D0 x, NFitting the News to Price Moves 234 ?8 C t7 d3 T9 E. d
Fundamental Developments: Long-Term Implications versus Short-Term
' z5 W* M- m9 A6 aResponse 235
3 l( k' q8 E( O2 @; w5 n2 {# iSummary 238 _8 J$ @$ i0 q; q% C6 k
PART THREE: A PRACTICAL GUIDE TO REGRESSION
: `* ?1 h! f7 e/ z% F K9 ]0 K- uANALYSIS
' k0 M1 U" U' Q0 t8 d. d3 c15 Introduction to Regression Analysis 241- x4 I' J& w& k+ i) [: Y2 U
Basics 2413 P! A( z9 \& O6 h
Meaning of Best Fit 244
' s" X/ k- x4 V8 F% M e! BA Practical Example 246
2 n3 F4 T- W+ Z+ D/ X9 mReliability of the Regression Forecast 248
8 t! u. }1 B# V* u16 A Review of Elementary Statistics 249+ J4 R. p1 }2 ?: U& }! J% K
Measures of Dispersion 2491 P2 \1 W! [0 a% s: H g! u1 e% N
Probability Distributions 251! k% ~" @; J$ C# ?" @3 m' e# A
Reading the Normal Curve (Z) Table 257
5 V: Q8 c0 e+ m. T3 o2 n2 |8 CPopulations and Samples 260
' C0 i$ Z- n8 b" t+ yEstimating the Population Mean and Standard Deviation from the Sample
w2 v7 X' t }! \. vStatistics 2600 L/ W/ Z$ ~, d# d" Y
Sampling Distribution 262
0 o0 N8 S" c6 T/ h# c/ FCentral Limit Theorem 264
2 H; m- u! Z! O4 \& ?0 OStandard Error of the Mean 2668 t- s" f0 A/ Q6 d& L7 H4 L9 w& N
Confidence Intervals 267- ?% j% c* z' }
The t-Test 269; ^9 j* g8 F0 ]$ w: o D
17 Checking the Significance of the Regression Equation 2747 R0 x. ^" p- N, H- |1 P8 w
The Population Regression Line 274
+ S" p" x2 a; vBasic Assumptions of Regression Analysis 275
4 \% x% y0 N0 a% V0 @: nTesting the Significance of the Regression Coefficients 283+ I. ]5 z# t+ w; h7 i! C
Standard Error of the Regression 283
& q: L9 U4 x$ W1 }% ~Confidence Interval for an Individual Forecast 284
9 h, [# z7 m1 o5 p& hExtrapolation 286
- m# V [% H2 r4 Q0 BCoefficient of Determination (r2) 287
* C: r+ w# h* W9 OSpurious ("Nonsense") Correlations 2915 \' Z, @0 O/ T i( o. a3 ^+ y
18 The Multiple Regression Model 2934 n' ^! O- _; b( d
Basics of Multiple Regression 2932 I6 x" X0 \, q n5 Z R: D
Applying the t-Test in the Multiple Regression Model 296' g( w$ |8 x0 K6 e1 h! O% j; L2 m" u
Standard Error of the Regression 298
9 [0 }8 D$ ~& y" l! P! pConfidence Intervals for an Individual Forecast Yf 299
; M* G' t. z0 a" ]8 G* nR2 and Corrected R2 299
* |* _$ W2 F' aF-Test 301
8 r/ c! [. k% d* lReading the Computer Printout 303
# O4 K5 r% P: ?' B4 L19 Analyzing the Regression Equation 306
( G7 C; Q& s3 U3 x* IOutliers 306
+ [1 A2 V! q6 r+ I5 ]/ WThe Residual Plot 310
6 z* O. m/ a. l' j9 mAutocorrelation Defined 312
+ B. F$ Z& m/ v. L/ D- ^The Durbin-Watson Statistic as a Measure of Autocorrelation 312
+ Y) s5 l" Z: _9 Y: u4 o: ~The Implications of Autocorrelation 315
( @0 x/ |7 h5 {# \, t5 G5 t gMissing Variables and Time Trend 316
2 H+ d; f$ B3 e2 `/ h8 [Transformations to Achieve Linearity 327
' h- q' u$ \. D2 p8 `: [/ c3 ]8 iTransformation to Remove Autocorrelation 330/ [0 |# e4 q6 X+ r& U7 m! U8 x
Heteroscedasticity 332# D- M1 Q7 E; M# D* |
Dummy Variables 334
/ G/ \& A& m$ l+ F% u" Q( K9 JMulticollinearity 340# G; p/ @2 `6 w$ U& L
20 Practical Considerations in Applying Regression Analysis 347
) d2 Q8 T& `9 p K" gDetermining the Dependent Variable 347 u3 i) B5 _! `" k1 P& `
Selecting the Independent Variables 349; G a/ L- x$ Y" o3 y
General Considerations 349
8 e# k: y. H3 {3 C* q6 T9 SShould the Preforecast Period Price Be Included? 350; _, d. r9 ^$ G/ g8 O
Choosing the Length of the Survey Period 3514 d7 E# t+ b% \- ]2 ~
Sources of Forecast Error 3524 u3 k4 }! T( H" ]8 p3 c. k* j
Simulation 354
9 M4 u) ~. k6 I+ S( X$ PStepwise Regression 355
c7 q7 h% ^% k% h2 w; |Sample Step-by-Step Regression Procedure 356
U: R G, d' B, CSummary 357
+ z0 K# j7 J2 Q6 v* j& pReferences (Chapters Fifteen-Twenty) and Recommended Readings 358
# h2 `4 P5 ~; X" F6 xPART FOUR: FUNDAMENTAL ANALYSIS APPLIEDTHE MARKETS. V' J0 T+ f' A* d
21 Forecasting Hog Prices 361
0 J+ h+ p% z6 a1 E+ I3 uProjecting Supply 361, v. c' F5 s* L& s) E& j; w; a
Demand Considerations 364. w% z! ~! M$ ]
Price Forecasting Model 1 364
& S( |( u% Y. N8 s& w% G: w0 C. _Price Forecasting Model 2 369( M9 R" F6 D! H J
Allowing for Forecast Error 370
! P& C$ `# l/ d. S* T3 L0 EProjecting Price Highs and Lows 371
! A7 T( H5 I4 U/ h+ i$ ]! ^- S8 r7 ^Price Forecasts and Trading 372
* [ f$ E4 s$ K, X" H+ t; n: P# T! bConclusion 3731 E, @% N% H% f6 o8 f+ ?
22 Forecasting Cattle Prices, by Bill Gary 375' _8 F* L7 F2 A* U( B) Z2 `
Consumption Is Entirely a Function of Production 375/ W( b, r, B* f6 K* O8 O7 C/ K% c
Long-Term Supply Factors 376
/ z/ W2 Y5 ?0 {* E3 HFeedlot Inventories 379
$ ~& {0 b% y# r4 DSeasonality 381) r7 j! G/ v+ \( q& j" @* r
Production Seasonality 382
9 _8 }" ?' [- ~Consumption Seasonality 384
9 e7 H# A2 b6 B. tPrice Seasonality 385
; w/ ~3 K" M! e. |( _7 N. k* Q! GMajor Secular Changes in the Cattle Industry 388& U4 j9 h4 b- `: F- J
Conclusion 391
: r" N2 O: h; i2 ^ h+ j% ~5 d23 Forecasting Grain Prices 392
; B1 H, U* h; z& R$ {3 ?! p) Y- gThe Stocks/Disappearance Ratio as a Key Fundamental Indicator 392/ a2 u: Q' s; P# w0 V: M/ X
A Background Sketch of Wheat Fundamentals 395
1 `9 B2 K2 w7 I4 D) H/ t7 a: l) vClasses of Wheat 395
5 g/ i8 J4 |; a8 X2 B/ A2 jProduction 397
, |9 t3 o9 T3 G5 A3 gDisappearance 397+ ~. r# | Z j& D
Annual Wheat-Price-Forecasting Model 399% L8 o% ^! H6 `+ `( ]5 i- q
A Background Sketch of Corn Fundamentals 4047 C, w' S+ @" h* S- ?
Production 4047 X) j" R o1 J8 `! B0 |
Disappearance 404- v$ [5 R; L$ S2 n1 X+ Y
Quarterly Corn-Price-Forecasting Model 401
' \: ^: v5 R' x3 Z2 gSummary 407* i7 h$ k' Q6 L* S' [( G9 d! F
24 Forecasting Soybean Prices, by Anne Frick 408/ x. s: `( f9 I/ |
The Analogous Season Study: A Fundamental Timing Approach 4088 z* M7 N" ]6 s0 C0 B- n
Background Sketch of Fundamentals 410) A+ P4 s3 x- j
The Soybean Complex 4101 b3 J6 w, Y0 h4 O3 B- e
U.S. Soybean Production 411
f# l! _7 y5 f# O0 HU.S. Exports 411
; R$ s5 u) P: gSoybean Meal Usage 414
% |" n* V0 K0 WSoybean Oil Usage 416! ~% X* m8 h; x) g# y9 |
Ending Stocks 416
1 Z& q9 Q% `2 E7 ?6 J0 m: ZKey Factors 416+ i. D0 C. j; Q' ^, a' I
Carryover Stocks 418% L2 K, U4 M: ?# e, h
Production 420& R/ u* P8 |* G+ ^% b
Total Supply 420
3 O- l% ]. T- y/ l0 q. N' _$ W1 HUsage 4205 ^: t- J" ?0 w3 j, H
Price Action 422) c2 b* O) ]) l# x& p0 I
Combining Factors 422& d) m( o; X, M2 l7 q& v
Consistent Seasonal Patterns 422
- M2 I; {$ h# W6 LCrop-Scare Rally High 423) K7 u$ e( l" {& X9 y" V
Harvest Low 424, D+ B9 h+ W$ l! H/ O; v) G
Postharvest High 425
7 B( b. l0 X' P; u" t3 J- T" bFebruary Break 425* t$ Q! A) P8 V9 B# ?- _0 }6 Z" R" M
Selection of Contracts for Seasonal Studies 425
( F! h+ n( D6 k; UExamples of Analogy Studies 426
* z+ Z5 [3 l3 G" z- D7 V) ?Projection of Spring High and Subsequent Low in July 1993 Soybeans 426
4 m& b, L* A @/ RAnalogous Season Approach Based on Price Action: Projecting the July8 O0 p. ^+ O7 q
High and the Setback Low in November Soybeans 4285 K, k$ n- m3 i' u
Incorporating Soybean Oil and Soybean Meal Forecasts 430
* p# b& S1 Z" }Reports and Sources of Information 430% [5 M5 G! b' ^& h
Major Reports 4302 m( _0 `+ u4 i0 X. }5 Z
Minor Reports 4311 w2 y* q1 g1 n B5 E7 h$ D: o
Conclusion 432
, i7 }$ w& }# i9 |25 Forecasting Sugar Prices 433
% W4 I8 y) C& R9 ^7 k4 xOn Tulips and Sugar 433$ C/ E2 E/ v: Q1 c, I! _ b* U+ B+ ?
Production 436
0 q" e7 b! f6 u9 ~2 @6 HConsumption 4392 p! |6 j+ N: ?& Z
Price-Forecasting Model 4413 Q$ J' j3 w5 z& |
Forecasting Prices Before the Start of the Season 444- |: A- h. u/ \2 `: Y1 i& _
Conclusion 446# p) J( F$ c( j* B. Z
26 Forecasting Coffee Prices, by Sandra Kau! 447+ s6 _3 o* q) G( t
Coffee Before and After Export Controls 4474 g0 |4 P/ [3 `
The Rank Classification Method of Analysis 451! f+ V4 w9 D# A
Evaluating the Producer Nation Balance Sheet 4514 t5 _: f6 X/ k3 a
Export Availability 453
: J$ y1 L0 c1 o6 v. ]Exports as a Percent of Export Availability 4537 I8 q9 c: `/ }4 N/ T Q8 k
Forward Supply Coverage 454
1 E6 z8 G1 E" A( L' f1 _The Basics of Coffee Production 454
; V8 N: B. F+ H# w& q8 {3 x9 ZCombining the Producer Balance Sheet Variable Rankings 455$ W& |' @* b0 o
Ranking the Production Variables: Two Examples 4554 w: ^; q; b F# L
Evaluating the Consumer Nation Balance Sheet 457
- W L$ f; Z# q8 l/ wConstructing a Consumer Nation Balance Sheet 458
Z* O9 i8 T( \( Q4 n% j7 E* KConsumer Stocks 460
6 t( \0 v$ U5 M1 O8 SConsumer Disappearance 461# f) z0 I7 [- p; q. M
Stocks/Disappearance Ratio 4619 ^, X5 q o) D' a* Z* M
Ranking the Consumer Variables: Two Examples 462% j r: \! N% ~
Deriving a Combined Price Forecast 465
, U( @9 U2 h1 w5 _' e- l/ S# ^ YExpanding the Basic Model 468
# f( ]3 e" Y! vConclusion 468- j% W, c- `4 z' X* H8 t
27 Forecasting Crude Oil Prices, by Michael S. Rothman 469
6 U9 C* D* t$ q5 DFirst Things First: Not All Crudes Are Created Equal 469+ l; }' S' g) h d# K: ^" F1 y6 K
The Supply/Consumption Balance 4704 P2 V. K; B/ n# p$ A
Consumption 470
9 G0 k( |& @) }3 V4 ~" i* _5 mNon-OPEC Oil Supplies 471
) l6 j6 d1 U q2 v5 COPEC Supplies 472+ G4 D# Y" }- b/ T9 {
Inventories: The Phantom Data 472: \* `+ [* i% t
OPEC Politics: The Critical Determinant of Oil Price Forecasting 4743 K4 R+ T$ @' F& q) n: c/ R
Forecasting Oil Prices: A Synthesis of Methodologies 476
1 @" j8 J, a/ j# y2 p28 Forecasting Copper Prices 480
+ g- L* r3 e: H- r6 pSupply Factors 480
+ k5 ?" q' D/ o9 @* S( l4 o( Y2 ?Demand Factors 481
1 T1 Z! F9 y; d3 N0 h& v0 @Economic Indicators 481: }3 {# Z) U- _0 G" {
Inflation Indicators 482
- a9 r4 J3 i4 n* SThe Copper Spread as an Indicator 484
1 f5 a' E$ _- Q* OLagging Variables for Availability 4877 K$ n5 _8 o; b7 D- l" n9 n4 B
Translating Fundamentals into Timing Signals 487
5 `1 k2 @. i; OConclusion 494. M7 c% t2 M' Z& B) }
Appendix: Understanding the Difference between Nearest and Continuous
" w; n$ \9 {3 s* n' [( h2 ZFutures 4952 J$ Z% X& g7 {7 a3 v) b
Nearest Futures 495$ N/ T Z, }: {. d. @3 |
Continuous Futures 496
* q' o: F+ c. [6 D( P. }Which Price Series Is Better? 4970 Q; H# \4 D8 V
29 Forecasting Gold (Precious Metal) Prices 498) u& o- y7 ^4 i
Gold Fundamentals: What's Not Important 4985 `; j* R) H; R) N4 `9 z+ ~
Gold and Inflation 499+ q' Q# W! p' T) b; O
Currency Price Movements 501; F" H" p, B/ L! I6 `3 }
Economic Indicators 504% ?1 |0 L: J/ E# a
The Relationship Between Gold and Interest Rates 5050 P9 I5 V) ]5 \! A. d! T6 c$ H
Sentiment Indicators 507
4 O) F( P$ g" x' d8 |; l' cConstructing a Composite Index 508
/ i2 ^. L; m, C3 uConclusion 509
0 F5 f2 r s) a; j0 d5 h( n6 n- f, M- H30 Forecasting Currency Rates, by Katherine Jones 511
( f" J/ D, @- ]( f6 APurchasing Power Parity Theorem 512( _( y- P+ ]* ? G S$ X
Balance of Payments 5140 Z- \% @: z+ I+ T/ v2 T$ J
Interest Rates 516
: F3 `" y) y3 E6 L3 i4 kEconomic Factors 518
/ A+ |3 w& X" y t Y8 N: ZPolitical Factors 519' v# Y' n+ R9 i* p4 n
Constructing a -Currency-Forecasting Model: The-$/ DM 520
* ~1 K/ u' `! x0 j- }. f2 ]/ m' P6 o8 zWhen Things Go Wrong: Structural Changes and Impact of Government
6 s9 r4 l2 Y8 O7 zPolicies 521
! B5 h7 m! T+ [1 G+ Q! g9 ^3 \Monetary Agreements 525
, \, L$ J; q9 j) A- q% }5 _Conclusion 526% z8 s1 ~) }- J
31 Forecasting Interest Rates, by Katherine Jones 528
' r* S: i# X4 U$ c8 I4 S$ v8 }Structure of the Market 529
, C+ r/ Y0 c) [. H5 m# pDemand Factors 532
! n C+ j' l. S. l" hSupply Factors: The Federal Reserve 536- k7 Y4 p# G' ?8 W Q
Conclusion 540$ K7 y' v+ l+ s: E% z
Addendum: Pricing the T-Bond Futures Contract 540
" \! X: X$ @3 l: O32 Forecasting Foreign Interest Rate Markets, by Katherine Jones 5446 {& U6 Y& P2 t% u, A# v( F8 P
The Interdependence of the World's Bond Markets 548- q6 T- a! B: e9 e
Currency Impacts 550
4 q, l# h Q" L) G' T4 a: ZPolitical Developments 552
7 W8 A% V% O$ I/ ]/ [Economic Growth 553
$ n5 S9 D9 ^; ]# H, Q/ s7 g, nInflation 555
4 ~' w' K: H4 yMonetary Policy 556
, n9 }/ N o: V4 @4 PFiscal Policy 558
2 x+ M' s3 F, X" ~9 [Assessing Risk 5589 Q3 H% H9 V; i9 k; Q
A Forecasting Example: British Interest Rates 559
" i1 ^& C# z8 d, L0 C) PRegional Factors and Prospects for the Future 560- a6 v7 M1 q) W$ l5 C- B
Europe 561
1 D) s& N: M: BJapan/Asia 562
8 D( w2 u" M5 d- d" R' CDollar Bloc Countries 563; q- V5 z) _0 p# R' B$ \, }( e
Conclusion 563
8 n/ a4 Y8 o% j0 H4 Y5 \" H" c33 Forecasting the Stock Market, by Courtney Smith 5649 J( n6 _, Z; x! H- X
What Drives the Stock Market? 565 h, K8 L- }9 c0 g2 s
Selection of Indicators 5651 y, b# I3 l, A& U6 B2 D5 o
Earnings Growth 566
" i! C6 J5 W8 D; {7 T0 AValuation 568
% I! T+ V: X# [& S' V1 N7 sMonetary Policy and Interest Rates 574; x- _; r2 U& u; J$ f
The Economy, the Business Cycle, and Inflation 5782 m) I' }: Q7 x; O/ u
Inflation 586
1 o$ `/ ~4 O5 sMisery Index 586' y/ u( b8 x; O( X* m4 W4 ~0 e
Sentiment 586% ~# M* y# y' s
Translating Market Indicators into Timing Signals 5896 n( P! m0 P- i5 G) A' \
Tying It All Together 592
3 }1 V7 _8 c% [1 a* B7 HConclusion 593
: s; D% ~/ l- o, nAppendix: Contract Details 595
+ Z% g; ~+ F& mIndex 625
1 Q7 A4 t) i7 Q; M8 w, q; x) `- ]( f/ X, W0 w0 _
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