Index

A convertible, 106 MBS Index, 82 Adjustable-rate mortgages (ARMs), 97 stock-index, 137 Municipal Bond Index, 82 Agency securities. See Bonds Arnott, Robert, 84 BATS Global Markets, 52–53 Alaska, 91 Asian Development Bank, 87 Basis points, 20–21, 23–24, 32, 39, 44, 46–47, 48, 107, Alerian MLP Index, 117–118 Ask 109–110, 147, 149, 151, 153–154 Allied Capital, 113 premium, 141–142 benchmark Alternative assets. See , Real estate price, 5, 14, 27, 54–55, 66, 71, 94, 109, 116, 120, base metals prices, 131 Alternative Display Facility, 54, 55 132, 134, 142, 154, 162 CDS rate, 156 Alternative funds rate, 21, 149 commodities, 129 angel investing, 165–166, 170 Auctions, debt, 3, 18–20, 24–26, 30, 90 fund performance, 79, 128, 160–161, 164, funds of funds, 167 Australia, 113 168, 177 global macro, 166–167 Auto loans, 93 futures, 129 funds, 63, 106, 113, 127, 165–169, 177 index, bonds, 81–83 long-biased, 167 B index, commodities, 174–175 long-, 167 Backwardation, 135–136, 137 index, hard assets, 85 managed futures, 167 Bank for International Settlements (BIS), index, MLPs, 117 market neutral, 167 12, 150 index, stocks, 83, 125, 137 private equity, 63, 165–166, 169, 170 Bank of America, 100, 103 index, real estate, short-biased, 167 Merrill Lynch, 82, 175 index, REITs, 120–121 venture capital, 165–166, 170 Bank reserves, 36 interest rate, 8, 24, 32, 36, 97, 110, 147 Amazon.com, 164, 166 Bankers’ acceptances (BAs), 36 maturities, 49, American Depositary Bankruptcy. See also Eastman Kodak, Lehman mortgage-backed bonds, 95 Receipts (ADRs), 56 Brothers, Risk gold price, 65, 85 Shares (ADSs), 56 corporate, 21, 40, 54, 99–100, 103, 108, oil price, 70, 72, 131 Angel investing. See Alternative funds COPYRIGHTED152–153, 155 MATERIAL ratio, 58 Apollo Global Management, 168 municipal, 21, 88–90 REITs, 122 Apple, 51, 53–55, 116, 120, 139–140, 141–146, Barclays Capital, 65, 81–82 swap rate, 152 162, 166, 168 Aggregate Bond Index, 80 yield curve, 50 Arbitrage, 167 Aggregate Credit Index, 82 yields, 58 183

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Benchmark EFFAS government bond indexes, 81–83 municipal, 87–92, 101, 159 Bills, 87–88 exchange codes, 54 private label, 94 Bonds, 88 Fair Value pricing, 45–46, 91 putable, 48, 49 Notes, 88 functionality cheat sheet, 179–180 revenue, 90 Berkowitz, Bruce, 113 generic pricing, 14, 134 secured, 42, 44, 129 Berkshire Hathaway, 140 IPO Index, 52–53 supranational, 87 Bernanke, Ben, 63–64 Indexes for Active Funds, 177–178 unsecured, 42, 44, 111 BGCantor, 82 News, 77, 90 Bondholders, 153–154 Bid North America REIT Index, 120–121 Book value, 57–58, 118, 122 premium, 141 Spot Index, 85 Boston Personal Property Trust, 161 price, 5, 14, 27, 54, 66, 71, 94, 109, 120, 132, 134, terminal, 70, 142, 168 Bottom-up analysis, 4 142, 154, 162 Valuation, 109 Brent, North Sea, 72–73 rate, 21, 149 Bond indexes, 81–83, 85 British Bankers’ Association, 36–37 Bid-ask spread, 4, 5, 14 Bond insurance, 90, 92 British Commonwealth, 12 Bid-to-cover ratio, 26 Bonds, 6, 8, 10, 12, 15, 16, 52, 55, 57, 63, 64, 66, 67, 68, Buffett, Warren, 140 Bidders 71, 72, 73, 75, 76, 77, 79, 81, 87–97, 100–103, Build America Bonds, 91 direct, 26 109–111, 117, 119, 125–126, 129–130, 135, Business development companies (BDCs), 166 indirect, 26 137, 140, 148, 149–150, 152, 156, 160–161, Bids, auction 163, 166–170. See also Funds, Futures, C competitive, 3, 25 Options California, 90–91 noncompetitive, 25–26 agency, 23, 87–89, 95, 178 Cambridge Associates, 178 Big Mac, McDonald’s, 17 asset backed (ABS), 93 Canada, 113 Bills, 9, 11, 18–24, 25–26, 27–32, 35, 38–41, 57, 81–82, callable, 48 Cantor Fitzgerald, 20 83, 87, 88, 92, 103, 126, 128, 135, 145, 149, convertible, 48, 49, 99, 103–107, 128, 140, Capital, 88, 100 150, 175 159, 167 requirements, 99–100 Agency, 88 corporate, 5, 9, 35–36, 38, 40, 42–50, 55, 99–100, spending, 122 Treasury, 9, 11, 18–24, 27, 30, 31, 35, 38–41, 113–114, 156, 159, 170 Capitalization (cap) rates, 75–77 81–82, 83, 145, 150, 175 general obligation (GO), 90, 92 Carried interest, 169 Blackstone Group, 77, 115, 168 government (Treasury), 18, 20–23, 24–33, 54, Case, Karl, 74–75 Bloomberg 87, 156, 159, 169 Cash, 7, 9, 10, 11, 18, 36, 38, 42, 43, 49, 50, 52, 56, 58, bond indexes, 43 high yield (junk or non-investment-grade), 63, 64, 66–67, 76, 119, 130, 147, 160, 165 BondTrader, 20–21, 27, 94 42–43, 50, 107–108, 110, 111, 177, 178 Cash flow, 40, 77, 103, 111, 115, 118, 122, 164, 170 Constant Maturity Commodity Indexes, inflation indexed, 28, 48 CBOE Holdings, 140 173–175 investment grade, 42–43, 50, 110, 177 Central Falls, Rhode Island, 89 country code, 141 mortgage backed (MBS), 87–88, 93–97, Certificates of deposit (CDs), 36 data, 41, 111 119, 159 Chicago Board of Trade (CBOT), 130–131

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Chicago Board Options Exchange (CBOE), 131, gasoline, 69, 70, 73 Country of domicile, 177 140, 175 iron ore, 68 Coupon. See also Interest rate Chicago Mercantile Exchange (CME), 130–131, lead, 69, 131 rate, 26–27, 29, 44, 101 132, 142 livestock, 68–70. 71, 72, 86, 174–175 weighted average, 96 Citigroup, 88, 100, 103, 146, 164 heating oil, 69, 73, 137 Crack spread, 72–73 Clearinghouse, 37, 134–136, 148, 154 hogs, 70, 86 Credit card balances, 93 CMA Datavision, 154 natural gas, 69, 71, 115, 116, 137 Credit event, 152, 154 CME Group, 131, 140 nickel, 69, 131 Credit rating, 33, 40, 41–42, 49, 50, 91, 92, 110, Collateralized oil, 64, 68, 69, 70–73, 74, 116, 129, 131–132, 111, 153 debt obligations (CDOs), 94 135–136, 137, 161, 176 high yield, 42–43, 50, loan obligations (CLOs), 109 palladium, 68, 70 investment grade, 42–43, 50 mortgage obligations (CMOs), 94, 95, 96, 97, 109 platinum, 68, 70 services, 9, 21–22 Companies, 3 pork bellies, 70 scales, 22, 30 Commercial paper (CP), 38–42 precious metals, 68–70, 71, 174–175 Credit Suisse, 178 asset-backed, 42 silver, 68, 70 Crush spread, 73 dealer placed, 38, 39, 42 , 68, 69, 86 Currency, 6, 8, 12–18, 80, 153. See also Indexes, Risk direct issue, 38, 39, 41, 42 steel, 68 Australian dollar, 12 Commodities, 3, 4, 7, 10, 63, 64, 67, 68–73, 74, 79, steers, 86 British pound, 12, 80 85–86, 113, 116, 125, 129, 130, 161, 165, 166, tin, 69, 131 Canadian dollar, 12, 80 167, 170, 173–176. See also Gold wheat, 68, 69, 86, 130 Chinese renminbi, 15 agriculture, 68–70, 71, 72, 85–86, 113, 130, 131, zinc, 69, 131 codes, 14 137, 174–175 Commodity Research Bureau (CRB), 173–174 cross rates, 12, 14 aluminum, 68, 69, 131, 132–133 Commodity trading advisers, 167 deutschemark, 146 base (industrial) metals, 68–70, 71, 86, 131, Conduits, 38 devaluation, 15–16, 167 174–175 Constant dollar, 8, 12–18, 36–37, 45, 54, 56, 64, 66, 67, 71, cattle, 70, 130 default rate (CDR), 96 72, 79, 80, 87, 88, 101, 109, 116, 133, 146, 148, coal, 68, 69 maturity, 173–175 149, 152, 153, 154, 162. See also Dollar Index copper, 68, 69, 70, 131 prepayment rate, 96 euro, 12, 14, 80, 153 corn, 64, 68, 69, 132 Consumer price index (CPI), 6, 22, 28, 48 exchange rates, 15 cotton, 69, 72, 86 Contango, 135–136, 137 fixed rate, 15 electricity, 69 Conversion floating rate, 15 energy, 68–70, 71, 72, 74, 85, 113, 116, 131, premium, 103–104 Hong Kong dollar, 15 174–175 price, 103–106 intervention, 15 exchange-traded (ETCs), 161 ratio, 104–105 New Zealand dollar, 12 fiber, 72, 86 Cost basis, 117 pegging, 15, 16 food, 68, 69, 71, 72, 86 Counterparty, 128, 147. See also Risk reserve, 12, 87

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Currency (cont’d ) Dollar Index, 81 Exchange-traded products (ETPs), 161. See also Swedish krona, 80 Dow Jones, 173, 178 Commodities, Funds, Notes Swiss franc, 12, 80, 146 Dow Jones Industrial Average, 83, 85, 125 Expiration. See Futures, Options, Swaps yen, 12, 80, 153 Drexel Burnham Lambert, 42 Curve. See Benchmark, Rate, Yield Duration, 30 F modified, 30 Face value, 17, 19, 20, 21, 26, 27, 29, 36, 39, 44, 46, 47, D 57, 91, 92, 95, 100, 101, 104, 105, 153, 154, Dark pools, 53 E Fairholme Fund, 113 Debentures, 44. See also Bonds Earnings yield. See Yield Fannie Mae (FNMA), 87–88, 93–94, Debt, 3, 4, 7–11, 18, 20–22, 26, 28–30, 33, 35–50, 55, Eastman Kodak, 40, 164 Federal Farm Credit Banks, 88 76, 79, 81–83, 87–97, 99, 103–111, 116, 119, eBay, 164 Federal (fed) funds, 36, 38, 41, 150 122, 127, 128, 145–146, 150, 152–154, 159, Einhorn, David, 113 rate, 16, 36 161, 166, 167, 169, 170, 175, 177, 178. See also Electronic trading, 13, 20, 26, 52–53, 54, 90, 95, Federal Home Loan Bank System, 88 Bonds, Loans, Money Market, Notes 132, 141 Federal Home Loan Mortgage Corporation. senior, 153 El Paso, 115 See Freddie Mac subordinated, 153 Products Partners, 115 Federal National Mortgage Association. Deposit, bank, 16, 17, 126 Emerging markets, 15, 17, 60, 71, 80, 87, 167, 176, 177 See Fannie Mae rates, 18, 80 Enterprise Products Partners LP, 115–117, 120, 168 Federal Reserve (Fed), 8, 9, 16, 18–19, 23, 25, 32, 36, Developed markets, 60 ETFs. See Funds. 43, 63–64, 80–81, 144, 175 Derivatives, 3, 64, 66, 79, 86, 125–157, 165, 169, 170, ETNs. See Notes. Federal Reserve Bank of New York (New York Fed), 173–178 Equity, 3, 4, 11, 35, 49, 50, 57, 76, 79, 99–100, 104, 116, 18–19, 24–25 Direct Edge Holdings, 52–53 127, 140, 142, 166, 167. See also Stock Fidelity, 160 Discount rate, 19–25, 28, 31, 38, 39, 57, 66 home, 93 Magellan, 159 Distressed Debt Securities Newsletter, 89 Equity Office Properties, 77 FINRA (Financial Industry Regulatory Authority), Distressed securities, 170 Eurekahedge, 178 43, 44 Distributions, 52, 115–118, 120 Euro. See Currencies Bloomberg yield indexes, 43 quarterly required (QRD), 116, 117 Eurodollar Fiscal policy, 8. See also Risk Diversification, 159–160 deposits, 16, 126 Fitch Ratings, 9, 22, 30, 40, 42. See also Credit ratings Dividend yield. See Yield futures, 126–127 Fixed rate, 28, 47–48, 97, 110–111, 147, 149 Dividends, 6, 7, 9, 10, 35, 51–52, 55–58, 67, 71, 79, options, 126–127 Float, 84 81, 84–85, 88, 91, 99–106, 114–122, 127, 134, rates, 16 Floating rate, 48, 109–111, 149 137, 143, 163, 164, 166, 168, 170 European Federation of Financial Analysts Societies Floor trading, 53 Dividends received deduction, 102 (EFFAS), 81 Florida, 91, 92 Dodd-Frank Wall Street Reform and Consumer European Investment Bank, 87 Fooling Some of the People All of the Time, 113 Protection Act, 148 Euroyen rates, 16 Foreign exchange, 12–16, 150, 175. See also Dollar. See Currencies Exchange rates. See Currency. Currency

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Forward, 126, 128, 129–137, 138, 140, 148, 153 month codes, 132 H contract codes, LME, 133 roll, 71, 135 Hard assets, 3, 4, 6–10, 12, 16, 63–77, 79, 85–86, curves, 137 settlement price, 132 113–122, 125, 129, 145, 159, 163. See also rate agreements (FRAs), 131, 148–149 Futures contracts Commodities, Gold, Real Estate spreads, 137 bond, 134, 137 Harrisburg, Pennsylvania, 89 Forward contracts commodity, 70–73, 86, 173 Hedge Fund Research, 178 commodity, 132–133 Eurodollar, 126–127 Hedge funds. See Alternative funds currency, 133–134 gold, 65, 67, 68, 71 Hedgers, 64, 130, 135, 137–138 Freddie Mac (FHLMC), 87–88, 93, 94 oil, 70, 73, 129, 131–132, 135–136, 137 Hennessee Group, 178 Fujifilm Holdings, 40 S&P 500 and e-mini, 131–132, 134–135, 137 Hertz Global Holdings, 109–111 Fundamental analysis, 4 VIX (CBOE Volatility Index), 175 High-frequency trading, 53 Fund of hedge funds, 167 High-yield bonds. See Bonds Funds, 159–170. See also Alternative funds G Hurdle rate, 169 12b–1 fee, 163 Genentech, 166 Hyperinflation, 17 actively managed, 127, 160, 161, 163, 164, 177 General American Investors, 162 balanced, 160 General Electric Capital (GE Capital), 38–39, I bond, 79, 127–128, 159–161, 163–164, 178 45–47, 153–155 IBM (International Business Machines), 146, 150 closed-end, 160–161 Ginnie Mae (GNMA), 93–97 ICAP, 20 commodity, 160–161, 162, 163, 166, 170, 177 Gold, 3, 4, 7, 15, 63–68, 70, 71, 72, 85, 113–114, 129, Indexes, 79–86, 173–178 exchange-traded (ETF), 68, 159–165, 167, 168, 131, 161, 176 bond, 81–83 170, 177 allocated, 64 commodity, 85–86 expense ratio, 163–164 bullion, 64, 67, 113 credit default swap, 173, 176–177 load, 163 London fixing, 65 currency, 79–80 money market, 164 physical, 64 real estate, 85–86 mutual, 160, 168 unallocated, 64 stock, 83–85 no-load, 163 Goldman Sachs, 80, 140, 173 Industrial demand open-end, 160, 161–162, 177 Google, 164, 166 Industry passively managed, 127, 160, 161, 163, Government National Mortgage Association. See auto, 38, 59 164, 177 Ginnie Mae banking, 50 stock, 160–161, 163, 178 Government-sponsored enterprises (GSEs), 94 beverage, 59 Funds from operations (FFO), 119 Grantham, Mayo, Van Otterloo (GMO), 56 commodity, 59, 115, 125 Futures, 64–66, 70, 126–128, 129–137, 138, 140, 141, Green Street Advisors, 77 construction, 113 142, 143, 148, 167, 173–175 Greenlight Capital, 113 consumer discretionary, 59, 83 contract codes, 131–132 Gross, Bill, 159 consumer staples, 59, 83 curve, 135, 137 Groupon, 139 cyclical, 8, 59 expiration, 71, 126, 127, 128, 131 Growth stocks, 59 defensive, 59

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Industry (cont’d ) J London Metal Exchange (LME), 70, 131 energy, 59, 83, 113, 115, 125, 166 Jefferson County, Alabama, 89–90 Long financial, 38, 43, 49, 50, 83, 93, 100 JPMorgan Chase, 82, 100–102, 142, 175 bias, 167 food, 59 Junk bonds. See Bonds, high-yield position, 4 health-care, 59, 83 Lynch, Peter, 159 industrial, 49, 50–51, 59, 83 K media, 43, 49, 59 K-1, Schedule, 117 M raw materials, 83 Kinder Morgan, 114–115 Manufactured housing loans, 93 retail, 12, 59, 76, 86 Energy Partners, 114–115, 117–118 , 71, 130, 131, 134–136, 143, 154, 175 technology, 58, 59, 83 KKR, 168 initial, 135–136 telephone, 43, 49, 58, 59, 83 Kleiner Perkins Caufield & Byers, 166 maintenance, 135 utility, 43, 49, 59, 58, 83, 100 Market analysis, 4 Inflation, 7, 16. See also Risk L Market capitalization (cap), 58–59, 84–85, 164 Initial public offerings (IPOs), 3, 52–53, 64, 115, 119 LCH. Clearnet, 151 Markit, 176–177 Inside market, 55 Legg Mason Capital Management Value Trust, CDX, 177 Intel, 83 159, 164 iTraxx, 177 IntercontinentalExchange (ICE), 80, 131, 140 Lehman Brothers Holdings, 35–40, 49, 82, 113, SovX, 177 Internal Revenue Service (IRS), 115, 117 127, 151 Markowitz, Harry, 159 Interest. See also Risk Leverage, 106, 125, 136, 143, 167, 169, 170. See also Massachusetts Institute of Technology Center for payments, 3, 9, 24, 28, 30, 39, 44, 46, 47–48, 49, Loan, Risk Real Estate, 86 55, 71, 77, 82, 85, 93, 97, 100, 105, 109, 110, Leveraged buyout (LBO), 115 Massachusetts Investment Trust, 160 111, 114, 115, 116, 117, 163, 169 Libor (London interbank offered rate), 36–37, 38, 48, Master limited partnership (MLPs), 114–118, 119, rate, 8, 9, 11, 16, 18, 19, 22, 25, 26, 27, 28, 30, 107, 109, 110, 147, 149, 150–151 120, 122, 126, 127, 160, 166, 168 31, 32, 43, 44, 45, 46, 47, 48, 49, 57, 91, 92, Libor-OIS spread, 150–151 Maturity, 21, 26–31, 36, 39–40, 45, 48–49, 57, 83, 90, 94, 95, 96, 97, 101, 103, 104, 105, 106–107, Lipper, 178 94, 96, 140, 150–153, 156, 175 109, 110, 128, 129, 131, 133, 145, 147, 148, Liquidity, 7, 11, 130. See also Risk average, 164–165 150, 166 Loan Syndication and Trading Association, 109 constant, 173, 175 International Bank for Reconstruction and index, 108 date, 4, 9, 18, 20–21, 27–28, 30, 39, 45, Development, 87 Loans, 106–111 47–48, 50, 56, 77, 91, 96, 104, 109, 145, International Finance Corp., 87 first-lien, 108 150, 156, 177 International Monetary Fund (IMF), 64 investment-grade, 110 weighted average, 96 International Swaps and Derivatives Association leveraged, 99, 106–111 Medium-term notes (MTNs), 43, 44, 88 (ISDA), 147–148, 152–153 revolving, 108 Mergers and acquisitions (M&A), 40 Intrinsic value, 143 second-lien, 108 Merrill Option Volatility Estimate (MOVE), 175 Inverted yield curve. See Yield curve syndicated, 107 Microsoft, 42, 83 Investment-grade bonds. See Bonds term, 108 Mid price, 14

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Milken, Michael, 42 New York Stock Exchange (NYSE), 44, 52–53, 56, Over the counter (OTC), 13, 20, 26, 44, 64, 70, 90, 95, Miller, Bill, 159, 164 100, 119 100, 104, 108–109, 115, 126, 130, 131, 140, Montier, James, 56 Notes. See Bonds 144, 152, 154 Money market, 18–24, 30, 35–42, 49, 50, 57, 58, 73, exchange-traded (ETNs), 161 101–102, 125, 126, 129, 130, 156, 159. See Notional amount. See Options, Swaps P also Bankers’ acceptances (BAs), Bills, NYSE Amex, 54 Par value, 57, 100, 101, 104, 105, 109 Certificates of deposit (CDs), Commercial NYSE Arca, 54–55 Partners paper (CP), Federal funds, Repurchase Gold Miners Index, 113 general, 115, 166 agreements (repos or RPs) NYSE Euronext, 54, 131 limited, 115, 116, 119 Funds, 164 Partnership units, 115, 116 Ratings, 30 O Partnerships, limited, 166 Monetary policy, 8, 19, 36, 166. See also Risk Odd lot, 55 Passthrough Moody’s Offer price. See Ask price entities, 114, 118, 120, 121, 166 Investors Service, 9, 22, 30, 40, 41, 42, 49, 50, 74, Open market operations, 36 securities, 94, 96, 97, 114 85–86, 111. See also Credit ratings Open interest, 126, 131–132, 133, 141, 142 Paul, Rep. Ron, 63–64 REAL Commercial Property Price Index, Option-adjusted spread (OAS), 82–83 Payout ratio, 52 74–75, 86 Options, 49, 82, 103–106, 126, 128, 137–145, Pimco Total Return, 159 Mortgage-backed securities (MBS). See Bonds 173, 175–176 Policy MOVE index, 175 American-style, 139 fiscal, 8 Municipal bonds. See Bonds call, 126, 138, 139, 140–145 monetary, 8 competitive sale, 90 European-style, 139 Preferred stock. See Stock negotiated sale, 90 expiration date, 143, 144, 145 Prepayment, 96. See also Risk implied volatility, 145–146 speed, 96 N intrinsic value, 138, 143, 144, 154 Price-earnings ratio (P/E), 55, 57–58, NASDAQ notional amount, 138, 140 128, 164 Composite Index, 83–85 premium, 138, 141–142, 143, 144, 155, 175 Price ratios Stock Market, 44, 52, 56, 100, 119, 131 put, 126, 141–142, 154, 155, 156 book value, 58, 59, 122 National Council of Real Estate Fiduciaries put-call ratio, 139–140 cash flow, 57, 58, 122 (NCREIF), 86 strike price, 138, 140, 141, 142, 143–144, 145 sales, 57, 58 Net asset value (NAV), 160, 161, 162, 163, 168, time value, 138, 143, 144 Primary dealer, 18–20, 25–26 169, 170 Option contracts Primary market, 3–4, 18, 24, 38, 44, 52, 64, 74, 90, 94, Net operating income, 76–77 bond, 145 104, 115, 126, 131, 160 Nevada, 91 Eurodollar, 126–127 Principal, 27, 28, 44, 49, 88, 90, 92, 93, 94, 96, 99, 111, New Hampshire, 91 S&P 500, 175 114, 117, 150 New York Mercantile Exchange (NYMEX), stock, 145 Private equity. See Alternative funds 131–132 VIX (CBOE Volatility Index), 175 Prologis, 120, 168

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Protection Real Estate Analytics, 74, 86 price, 175 buyer, 152, 154–155 Real estate investment trust (REIT), 74, 118–122, real, 7, 28, 48 seller, 152, 154–155 126, 127, 160, 166 total, 81, 82, 85, 86, 165, 174–175 Purchasing power parity, 17 hybrid, 119 Rights, 140, 142–145 mortgage, 119, 122 Risk Q Real estate mortgage investment conduit (REMIC), basis, 151 Quantitative analysis, 4 93–94, 97 bankruptcy, 35, 49, 56, 170 Quantitative easing, 8 Recovery rate, 154 business, 9, 40, 49, 56, 77, 103, 105, 110, 122, 128, Quantum Fund, 167 Reference Bills, Notes, Bonds, 88 137, 145, 156, 164, 170 Reference call, 49, 103, 106, 128 R entity, 152–156 counterparty, 128, 134, 143, 144, 150, 151, Rate obligation, 152 154, 161 curve, 23, 41–42, 135, 148 Relative value, 6, 9–10, 15, 17–18, 21, 22–24, 28, credit, 9, 21, 23–24, 30, 40, 48–49, 57, 110, 114, spread, 23, 32, 41–42, 134 30–33, 39, 40–42, 47, 49–50, 55, 57–60, 128, 156, 164–165, 170 Ratings 67–68, 71–73, 76–77, 91–92, 95, 97, 103, 106, currency, 8, 48, 56, 67, 88, 128 money market, 22 110–111, 116–118, 120, 122, 127–128, 134, default, 49, 57, 110, 117, 128, 156, 170 note and bond, 30 137, 143, 145, 148, 150–152, 156, 163–165, economic, 8, 48, 56, 72, 77, 110, 122, 128, 143 Raw materials. See Commodities 168, 170 event, 40, 49, 46, 72, 77, 103, 105, 110, 122, 128, Real Capital Analytics, 86 Repurchase agreements (repos or RPs), 36–37, 137, 145, 156, 170 Real estate, 3, 7, 73–77, 121–122 41, 42 extension, 97 apartment buildings, 74 tri-party, 37 industry, 40, 49, 56, 77, 103, 105, 110, 122, 128, commercial, 74–75, 77, 85–86, 108, 119 Repurchases, stock, 52 137, 145, 156, 164, 170 developers, 113 Research Affiliates, 84 inflation, 16, 40, 103, 106, 128, 137, 170 farms, 73–74, 86 Reserve currency, 12 interest rate, 16, 22, 30, 40, 48, 57, 97, 103, hotels and motels, 74 Reserve Primary Fund, 35 106, 110, 121, 128, 137, 150, 151, 164, land, 4, 73, 74, 76, 86, 114 Return, 6–7, 9, 10, 11, 12, 15–16, 19, 21–22, 23, 24, 27, 165, 170 mobile home parks, 74 28–29, 36–37, 39, 40, 42, 43, 46, 47–48, 49, leverage, 128, 134, 136, 143, 144, 150, 151, 154, oil and gas fields, 73–74 55–56, 66–67, 71, 73, 76, 77, 79, 80, 86, 88, 168, 170 office buildings, 74 91–92, 93, 95–96, 99, 101–102, 105, 109–110, liquidity, 7, 11, 16, 40, 48, 56, 72, 77, 97, 128, 160, residential, 74, 76 116–117, 120–121, 127, 134–135, 142–144, 168, 170 self-storage facilities, 74 149–150, 154–155, 159, 161, 162–164, manager, 164 shopping centers, 76 168–170 market, 7, 11, 16, 40, 48, 56, 72, 97, 99, 120, 121, shopping malls, 74 absolute, 168, 170 126, 128, 135, 144, 150, 151, 167 stores, 74 excess, 175, 177 policy, 8, 16, 48, 56, 128 timberland, 74, 86, 118 fund, 127 political, 8, 48, 56, 128 warehouses, 74 nominal, 7, 28 prepayment, 96–97

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reinvestment, 22, 30, 40, 48, 57, 96, 103, 106, 110, Spot-forward spread, 133, 137 Supranational bonds. See Bonds 128, 170 Spread. See Bid-ask spread, Crack spread, Credit- Swap, 145–156 Risk-free rate, 11, 21, 22 default swap, Crush spread, Option- curve, 148, 152, 154–155, 156 Round lot, 54, 55 adjusted spread, Rate, Spot-forward expiration, 149, 155 Russell spread, Yield notional amount, 146–147, 150, 151, 154 2000 Index, 83 St. Joe, 113 spread, 152 Investments, 83 Standard & Poor’s (S&P), 9, 22, 30, 40, 41, 42, 49, Swap contract 50, 74, 82, 83, 111, 119, 173. See also Credit basis, 150, 151. See also Risk S ratings credit default (CDS), 152–156 Salomon Brothers, 146 100 Index, 175 cross currency, 146, 150, 152 Schwab, Charles, 160 500 Index (S&P 500), 6, 7, 52–53, 58–59, 79, interest-rate (IRS), 146, 147–152, 154 Secondary market, 3, 6, 18, 20, 26, 38, 44, 52, 64, 70, 83, 117–118, 119, 120–121, 125, 132, 136, overnight indexed (OIS), 150 74, 90, 108, 131, 160 140–141, 145, 159, 160, 161, 162–163, 165, Swensen, David, 73 Secondary offering, 52 175–176, 177 Symbol. See Ticker symbol Secured financing, 37, 42, 44, 108, 111, 129 BGCantor Treasury-Bill Index, 82 Securities lending, 6 Case-Shiller Composite 20-City Home Price T Securitized products, 94 Index, 74–75 Tax Reform Act of 1986, 115 Security Capital Group, 45–46, 91 Depositary Receipt (SPDR), 161 Taxes, 7 Sequoia Capital, 166 Starbucks latte, 17 Technical analysis, 4 Settlement price, 132, 141 State Street, 178 Tennessee, 91 Shelf registration, 44 Stock Tennessee Valley Authority, 88 Shiller, Robert, 74–75 common, 48, 50–60, 99–106, 115–118, 120, 162 Texas, 91 Short convertible preferred, 99, 103–108, 140, 159, 167 Ticker symbol, 5, 20, 26, 45, 54, 66, 70, 75, 94, 109, bias, 167 cumulative preferred, 102, 103 116, 120, 131, 132–133, 140–141, 141, 149, position, 4 non-cumulative preferred, 102, 103 153, 162, 168 sale, 6, 106, 113, 127, 128, 134, 135, 137, 167 preferred, 99–103, 140, 159 To be announced (TBA), 94 sellers, 130, 144, 156, 165 trust preferred, 100, 102 Top-down analysis, 4 Soros, George, 167 Stock-index weight, 83–84 TRACE (Trade Reporting and Compliance Engine), South Africa, 113 Float adjusted, 84 44–46 South Dakota, 91 Fundamental, 84 Tracking error, 164 Special investment vehicles (SIVs), 38 Market cap, 84 Trade-weighted indexes, 80 Speculators, 15 Price, 83–84 Tradeweb, 94 Spot STRIPS (Separate Trading of Registered Interest and Trading costs, 7 index, 173, 175 Principal Securities), 28–29 Tranche, CMO, 94 market, 64–71, 85–86, 129 Structured finance, 94 Transparency, 170 rate, 133–134 Style drift, 164 Treasury Direct, 19, 25–26

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Treasury securities. See Bills, Bonds, Notes Volume, 6, 45, 55, 75, 94, 116, 127, 132, 141, 142, 162, 168 Yield, 24–33, 44–47, 49–50, 57–58, 67, 72, 75, 76, 77, Treasury Inflation Protected Securities (TIPs), Voting rights, 51 87–88, 92, 103, 104, 106–107, 110, 117, 120, 28, 48 128, 148, 149, 150, 152, 153, 156, 163, 165 Tullett Prebon, 20 W bond-equivalent, 28 Warrants, 128, 137, 140–145 constant maturity, 175 U call, 143 curve, 31–33, 49, 50–51, 77, 88–89, 92, 135, UBS Bloomberg Constant Maturity Commodity put, 143 137, 156 Indexes, 173–175 Washington, 91 distribution, 118 underwriter, 44, 52, 100, 104, 107, 115, Weighted average dividend, 55–58, 67, 100–102, 103, 120–121, Unsecured financing, 37, 38, 41, 42, 44, 111 coupon (WAC), 96 122, 164–165 Upfront payment, 152, 154, 155 maturity (WAM), 96 earnings, 57–58 Uptick/downtick arrow, 5, 14, 20, 27, 39, 46, 54, 66, Wells Fargo, 100 fixed-rate equivalent, 111 71, 95, 109, 116, 132, 133, 141, 149, 162 West Texas Intermediate (WTI), 70–73, 129, index, 43 131–132, 135–136 municipal as percentage of Treasury, 93 V Weyerhaeuser, 118–119 spread (premium), 24, 32–33, 41, 42, 44, Value stocks, 59 Whitney, Meredith, 88–89 46–47, 77, 82–83, 92, 97, 104–105, 106–107, Vanguard, 160, 162 Wimpy, J. Wellington, 129, 137–139, 145–146, 117–118, 137 500 Index Fund, 160, 161–162 152–153 tax-free, 91–92 Venture capital. See Alternative funds World Bank, 87, 88, 146, 150–151 taxable equivalent, 91–92 VIX index, 175 Wyoming, 91 to worst, 48 Volatility, 43, 145, 167, 175 implied, See Options Y Z indexes, 175–176 Yale University, 73 Zero coupon, 28–29 realized, 145 Yen. See Currencies Zimbabwe, 17

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