FOR SUGARVERSUS 97 FOR COFFEE), COFFEE HAS A BETTER TECHNICAL PATTERN. BOTH MARKETS AREINCLUDED IN THE CRB IMPORTED CROUP INDEX AND ARE RALLYING TOGETHER.Sugar/CRB Index Relative Ratio-100 Days
COMMODITIES
Figure 11.13 shows the lumber/CRB ratio in the upper box; the orange juice/CRB ratio is shown in the lower chart. These markets rank one and two over the past 25 days.
FIGURE 11.13TWO STRONG PERFORMERS IN LATE 1989-EARLY 1990. THE TOP CHART SHOWS A LUMBER/CRB INDEX RATIO. THE BOTTOM CHART USES A 40-DAY MOVING AVERAGE ON THE ORANGE JUICE/CRB RATIO. BOTH MARKETS HAVE BEEN STRONG BUT LOOK OVEREXTENDED.MARKETS WITH HIGH RELATIVE-STRENGTH RANKINGS ARE SOMETIMES TOO OVERBOUGHTTO BUY.
Coffee/CRB Index Ratio-100 Days
Lumber/CRB Index Relative Ratio-100 Days
Orange Juice/CRB Index Relative Ratio-100 Days
(Orange juice ranked first over the previous 100 days, and lumber ranked seventh).Figure 11.14 shows the ratios for sugar (upper box) and coffee (lower). Although sugarhas the higher.ranking over the previous month, coffee has the better-looking chart.Figure 11.15 shows a couple of weaker performers that are showing some signs ofbottoming action. The cotton ratio (upper box) and the soybean oil (lower chart) havejust broken down trendlines and may be just starting a move to the upside. Figure11.16 uses copper as an example of a market near the bottom of the relative strengthranking that is just beginning to turn up.SUMMARY
This chapter applied relative-strength analysis to the commodity markets by usingratios of the individual commodities and commodity groups divided by the CRB Index. By using relative ratios, it is also possible to compare relative-strength numbersfor purposes of ranking commodity groups and markets. The purpose of relativestrength analysis is to concentrate long positions in the strongest commodity markets
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FIGURE 11.15EXAMPLES OF TWO RATIOS THAT ARE JUST BEGINNING TO TURN UP IN THE FIRST QUARTEROF 1990. THE COTTON/CRB INDEX RATIO (UPPER CHART) AND THE SOYBEAN OIL/CRB INDEX (BOTTOM CHART) HAVE BROKEN DOWN TRENDLINES. SOYBEAN OIL HAS THE BETTERPATTERN AND HIGHER RELATIVE RATIO THAN COTTON.Cotton/CRB Index Relative Ratio-100 Days
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FIGURE 11.16AN EXAMPLE OF A DEEPLY OVERSOLD MARKET. COPPER HAD THE LOWEST RELATIVESTRENGTH RANKING DURING THE PREVIOUS 100 TRADING DAYS. A LOW RANKING, COMBINED WITH AN UPTURN IN THE RATIO, USUALLY SIGNALS AN OVERSOLD MARKET THATIS READY TO RALLY. CONTRARIANS CAN FIND BUYING CANDIDATES NEAR THE BOTTOMOF THE RELATIVE-STRENGTH RANKINGS AND SELLING CANDIDATES NEAR THE TOP OF THERANKINGS.CRB Index versus Copper-100 days
Soybean Oil/CRB Index Relative Ratio-100 DaysRelative Ratio of Copper Divided by CRB Index
within the strongest commodity groups. One way to accomplish this is to isolatethe strongest groups and then to concentrate on the strongest commodities withinthose groups. A second way is to rank the commodities individually. Short-sellingcandidates would be concentrated in the weakest commodities in the weakest groups.The trend of the relative ratio is crucial. The best way to determine this trend is toapply standard chart analysis to the ratio itself. The ratio line should also be comparedto the group or commodity for signs of confirmation or divergence. A second way is tocompare the rankings over different time spans to see if those rankings are improvingor weakening. The trend of the ratio is more important than its ranking. One caveatto the use of rankings is that those markets near the top of the list may be overboughtand those near the bottom, oversold.Ratio analysis enables traders to choose between markets that are giving simultaneous buy signals or simultaneous sell signals. Traders could buy the strongest ofthe bullish markets and sell the weakest of the bearish markets. Used in this fashion,ratio analysis becomes a useful supplement to traditional chart analysis. Ratio analysis can be used within commodity groups (such as the platinum/gold and gold/silverratios) or between related markets (such as the gold/crude oil ratio).
By applying relative-strength analysis to the commodity markets, technical tradersare using intermarket principles as an adjunct to standard technical analysis. In addition to analyzing the chart action of individual markets, commodity traders are usingdata from related commodity markets to aid them in their trade selection. Anotherdimension has been added to the trading process. As in all intermarket work, tradersare turning their focus outward instead of inward. They are learning that nothinghappens in isolation and that all commodity markets are related in some fashionto other commodity markets. They are now using those interrelationships as part oftheir technical trading strategy.While this chapter dealt with relative action within the commodity world, relativestrength analysis has important implications for all financial sectors, including bondsand stocks. Ratio analysis can be used to compare the various financial sectors forpurposes of analysis and can be a useful tool in tactical asset allocation. Chapter12 will focus on ratio analysis between the financial sectors—commodities, bonds,and stocks—and will also address the role of commodities as an asset class in theasset allocation process.
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those represented in the CRB Index) in the asset allocation process, along with bonds,stocks, and cash, is the most complete and logical application of intermarket analysis.While addressing this issue, the question of utilizing managed commodity funds asanother means for bond and stock portfolio managers to achieve diversification andimprove their overall results will also be briefly discussed.RATIO ANALYSIS OF THE CRB INDEX VERSUS BONDS
Commodities and Asset Allocation
In the preceding chapter, the concept of relative-strength, or ratio, analysis was applied within the commodity markets. This chapter will expand on that applicationin order to include the relative action between the commodity markets (representedby the CRB Index) and bonds and stocks. There are two purposes in doing so. Oneis simply to introduce another technical tool to demonstrate how closely these threefinancial sectors (commodities, bonds, and stocks) are interrelated and to show howintermarket ratios can yield important clues to market direction. Ratio charts canhelp warn of impending trend changes and can become an important supplement totraditional chart analysis. A rising CRB Index to bond ratio, for example, is usually awarning that inflation pressures are intensifying. In such an environment, commodities will outperform bonds. A rising CRB/bond ratio also carries bearish implicationsfor stocks.The secondary purpose is to address the feasibility of utilizing commodity markets as a separate asset class along with bonds and stocks. Up to this point, intermarket relationships have been used primarily as technical indicators to help tradethe individual sectors. However, there are much more profound implications havingto do with the potential role of commodities in the asset allocation process. If it canbe shown, for example, that commodity markets usually do well when bonds andstocks are doing badly, why wouldn't a portfolio manager consider holding positionsin commodity futures, both as a diversification tool and as a hedge against inflation?If bonds and stocks are dropping together, especially during a period of rising inflation, how is diversification achieved by placing most of one's assets in those twofinancial areas? Why not have a portion of one's assets in a group of markets that usually does well at such times and that actually benefit from rising inflation—namely,the commodity markets?One of the themes that runs throughout this book has to do with the fact thatthe important role played by commodity markets in the intermarket picture has beenlargely ignored by financial traders. By linking commodity markets to bonds andstocks (through the impact of commodities on inflation and interest rates), a breakthrough has been achieved. The full implication of that breakthrough, however, goesbeyond utilizing the commodity markets just as a technical indicator for bonds andstocks. It may very well be that some utilization of commodity markets (such as206
This section will begin with a comparison of the CRB Index and Treasury bonds.As stated many times before, the inverse relationship of commodity prices to bondprices is the most consistent and the most important link in intermarket analysis. Theuse of ratio analysis is another useful way to monitor this relationship. Ratio chartsprovide chartists with another indicator to analyze and are a valuable supplement tooverlay charts. Traditional technical analysis, including support and resistance levels,trendlines, moving averages, and the like, can be applied directly to the ratio lines.These ratio lines will often provide early warnings that the relationship between thetwo markets in question is changing.Figures 12.1 to 12.3 compare the CRB Index to Treasury bonds during the fiveyear period from the end of 1985 to the beginning of 1990. All of the figures aredivided into two charts. The upper charts provide an overlay comparison of the CRBIndex to Treasury bonds. The bottom chart in each figure is a relative ratio chart ofthe CRB Index divided by Treasury bond futures prices. As explained in Chapter11, the relative ratio indicator is a ratio of any two entities over a selected period oftime with a starting value of 100. By utilizing a starting value of 100, it is possible tomeasure relative percentage performance on a more objective basis.Figure 12.1 shows the entire five-year period. The ratio chart on the bottom wasdropping sharply as 1986 began. A disinflationary period such as that of the early1980s will be characterized by falling commodity prices and rising bond prices.Hence, the result will be a falling CRB/bond ratio. When the ratio is falling, as wasthe case until 1986 and again from the middle of 1988 to the middle of 1989, inflationis moderating and bond prices will outperform commodities. When the ratio is rising(from the 1986 low to the 1988 peak and again at the end of 1989), inflation pressuresare building, and commodities will outperform bonds. As a rule, a rising CRB/bondratio also means higher interest rates.The trendlines applied to the ratio chart in Figure 12.1 show how well this type ofchart lends itself to traditional chart analysis. Trendlines can be used for longer-rangetrend analysis (see the down trendline break at the 1986 bottom and the breaking ofthe two-year up trendline at the start of 1989). Trendline analysis can also be utilizedover shorter time periods, such as the up trendline break in the fall of 1987 and thebreaking of the down trendline in the spring of 1988.The real message of this chart, however, lies in the simple recognition that thereare periods of time when bonds are the better place to be, and there are times whencommodities are the preferred choice. During the entire five-year period shown inFigure 12.1, bonds outperformed the CRB Index by almost 30 percent. However, from1986 until the middle of 1988, commodities outperformed bonds (solely on a relativeprice basis) by about 30 percent.Figure 12.2 shows the relative action from the mid-1988 peak in the ratio toMarch of 1990. During that year and a half period, bonds outperformed the CRBIndex by about 20 percent. However, in the final six months, from August of 1989into March of 1990, the CRB Index outperformed bonds by approximately 12 percent.
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FIGURE 12.1A COMPARISON OF THE CRB INDEX AND TREASURY BONDS FROM THE END OF 1985 TOEARLY 1990. THE UPPER CHART IS AN OVERLAY COMPARISON. THE BOTTOM CHART IS ARELATIVE RATIO CHART OF THE CRB INDEX DIVIDED BY BOND FUTURES. A RISING RATIOFAVORS COMMODITIES, WHEREAS A FALLING RATIO FAVORS BONDS. FROM 1986 TO MID1988, COMMODITY PRICES OUTPERFORMED BONDS BY ABOUT 30 PERCENT. TRENDLINESHELP PINPOINT TURNS IN THE RATIO.
RATIO ANALYSIS OF THE CRB INDEX VERSUS BONDS
FIGURE 12.2AN OVERLAY CHART OF THE CRB INDEX AND TREASURY BONDS (UPPER CHART) AND A RATIOCHART OF THE CRB INDEX DIVIDED BY BONDS (LOWER CHART) FROM EARLY 1988 TO EARLY1990. THE FALLING RATIO FROM MID-1988 TO MID-1989 WAS BULLISH FOR BONDS. IN THESEVEN MONTHS SINCE AUGUST OF 1989, THE CRB INDEX OUTPERFORMED BOND FUTURESBY ABOUT 12 PERCENT.CRB Index versus Treasury Bonds
CRB Index versus Treasury Bonds
Relative Ratio of CRB Index Divided by Treasury BondsRelative Ratio of CRB Index Divided by Treasury Bonds
This chart also shows that the breakdown in the ratio in the spring of 1989 reflecteda spectacular rally in the bond market and a collapse in commodities.Figure 12.3 shows a closer picture of the rally in the CRB/bond ratio that beganin the summer of 1989. This figure shows that the bottom in the ratio in August 1989(bottom chart) coincided with a peak in the bond market and a bottom in the CRBIndex (upper chart). Inflation pressures that began to build during the fourth quarterof 1989 began from precisely that point. And very few people noticed. The upsidebreakout in the ratio in Figure 12.3 near the end of December 1989 indicated thatinflation pressures were getting more serious. This put upward pressure on interestrates and increased bearish pressure on bonds.There are two lessons to be learned from these charts. The first is that turningpoints in the ratio line can be pinpointed with reasonable accuracy with trendlinesand some basic chart analysis. The second is that traders now have a more useful
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FIGURE 12.3THE CRB INDEX VERSUS TREASURY BOND FUTURES FROM FEBRUARY 1989 TO MARCH 1990.IN AUGUST OF 1989, THE CRB/BOND RATIO HIT BOTTOM. IN DECEMBER, THE RATIO BROKEOUT TO THE UPSIDE, SIGNALING HIGHER COMMODITIES AND WEAKER BONDS. A RISINGRATIO MEANS HIGHER INTEREST RATES.CRB Index versus Treasury Bonds
THE CRB INDEX VERSUS STOCKS
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tool to enable them to shift funds between the two sectors. When the ratio line isrising, buy commodities; when the ratio is falling, buy bonds. The direction of theCRB Index/bond ratio also says something about the health of the stock market.THE CRB INDEX VERSUS STOCKS
Figures 12.4 through 12-.6 use the same relative-strength format that was employed inthe previous figures, except this time the CRB index is divided by the S&P 500 stockindex. The time period is the same five years, from the end of 1985 to the first quarterof 1990. The bottom chart in Figure 12.4 shows that the S&P 500 outperformed theCRB Index by almost 50 percent (on a relative price basis) over the entire five years.There were only two periods when commodities outperformed stocks. The first wasin the period from the summer of 1987 to the summer of 1988. Not surprisingly,this period encompassed the stock market crash in the second half of 1987 and the
FIGURE 12.4THE CRB INDEX VERSUS THE S&P 500 STOCK INDEX FROM LATE 1985 TO EARLY 1990. THECRB/S&P RATIO (BOTTOM CHART) SHOWS THAT ALTHOUGH STOCKS HAVE OUTPERFORMEDCOMMODITIES DURING THOSE FIVE YEARS, COMMODITIES OUTPERFORMED STOCKS FROMMID-1987 TO MID-1988 AND AGAIN AS 1989 ENDED. COMMODITIES TEND TO DO BETTERWHEN STOCKS FALTER.CRB Index versus S&P 500
surge in commodity prices during the first half of 1988 owing to the midwest drought.During these 12 months, the CRB Index outperformed the S&P 500 stock index byabout 25 percent. The second period began in the fourth quarter of 1989 and carriedinto early 1990.Figure 12.5 shows a significant up trendline break in the CRB/stock ratio duringthe summer of 1988 and the completion of a "double top" in the ratio as 1989 began.This breakdown in the ratio confirmed that the pendulum had swung away fromcommodities and back to equities. In October of 1989, however, the pendulum beganto swing back to commodities.In mid-October of 1989, the U.S. stock market suffered a severe selloff as shownin the upper portion of Figure 12.6. A second peak was formed during the first weekof January 1990. Stocks then dropped sharply again. The upper portion of Figure 12.6also shows that commodity prices were rising while stocks were dropping. The lowerportion of this chart shows two prominent troughs in the CRB/S&P ratio in Octoberand January and a gradual uptrend in the ratio. From October 1989 to the end ofFebruary 1990, the CRB Index outperformed the S&P 500 by about 14 percent.
FIGURE 12.6THE CRB INDEX VERSUS THE S&P 500 FROM MID-1989 TO MARCH OF 1990. THE CRB/S&P RATIO (BOTTOM CHART) TROUGHED IN OCTOBER OF 1989 AND JANUARY OF 1990 AS STOCKSWEAKENED. IN THE FIVE MONTHS SINCE THAT OCTOBER, THE CRB INDEX OUTPERFORMEDTHE S&P 500 BY ABOUT 14 PERCENT. DURING STOCK MARKET WEAKNESS, COMMODITIESUSUALLY DO RELATIVELY BETTER.CRB Index versus S&P 500
FIGURE 12.5THE CRB INDEX VERSUS THE S&P 500 FROM 1987 TO EARLY 1990. THE DOUBLE TOP IN THECRB/S&P RATIO (BOTTOM CHART) DURING THE SECOND HALF OF 1988 SIGNALED A SHIFTAWAY FROM COMMODITIES TO EQUITIES. IN THE FOURTH QUARTER OF 1989, COMMODITIES GAINED RELATIVE TO STOCKS.CRB Index versus S&P 500
One clear message that emerges from a study of these charts is this. While stockshave been the better overall performer during the most recent five years, commoditiestend to do better when the stock market begins to falter. There's no question thatduring a roaring bull market in stocks, commodities appear to add little advantage.However, it is precisely when stocks begin to tumble that commodities often rally.This being the case, having some funds in commodities would seem to lessen theimpact of stock market falls and would provide some protection from inflation.Another way of saying the same thing is that stocks and commodities usuallydo best at different times. Commodities usually do best in a high inflation environment (such as during the 1970s), which is usually bearish for stocks. A low inflationenvironment (when commodities don't do as well) is bullish for stocks. Relative-,strength analysis between commodities and stocks can warn commodity and stockmarket traders that existing trends may be changing. A falling ratio would be supportive to stocks and suggests less emphasis on commodity markets. A rising commodity/stock ratio would suggest less stock market exposure and more emphasis oninflation hedges, which would include some commodities.
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Bonds and stocks are closely linked. One of the major factors impacting on theprice of bonds is inflation. It follows, therefore, that a period of accelerating inflation(rising commodity prices) is usually bearish for bonds and will, in time, be bearish forstocks. Declining inflation (falling commodity prices) is usually beneficial for bondsand stocks. It should come as no surprise then, that there is a positive correlationbetween the CRB Index/bond ratio and the CRB Index/S&P 500 ratio. Figure 12.7compares the CRB/bond ratio (upper chart) and the CRB/S&P 500 ratio (lower chart)from 1985 into early 1990.Figure 12.7 shows a general similarity between the two ratios. Four separatetrends can be seen in the two ratios. First, both declined during the early 1980s intothe 1986-1987 period. Second, both rose into the middle of 1988. Third, both fellfrom mid-1988 to the third quarter of 1989. Fourth, both rallied as the 1980s ended.The charts suggest that periods of strong commodity price action (rising inflation)usually have an adverse effect on both bonds and stocks.During periods of high inflation (characterized by rising CRB Index/bond-stockratios), commodities usually outperform both bonds and stocks. This would suggest
FIGURE 12.7A COMPARISON OF THE CRB/BOND RATIO (UPPER CHART) AND THE CRB/S&P 500 RATIO(LOWER CHART) IN THE FIVE YEARS SINCE 1985. THERE IS A SIMILARITY BETWEEN THE TWORATIOS. RISING COMMODITY PRICES USUALLY HAVE A BEARISH IMPACT ON BOTH BONDSAND STOCKS, ALTHOUGH THE IMPACT ON BONDS IS MORE IMMEDIATE.CRB Index/Treasury Bond Ratio
CRB Index/S&P 500 Ratio
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that limiting one's assets to bonds and stocks at such times does not really provideadequate protection against inflation and also falls short of achieving proper diversification. Diversification is achieved by holding assets in areas that are either poorlycorrelated or negatively correlated. In a high inflation environment, commodities fillboth roles.Figure 12.8 compares the commodity/bond ratio (upper chart) and the commodity/stock ratio (lower chart) from 1988 to early 1990. To the upper left, it canbe seen that both ratios turned down at about the same time during the summer of1988. These downtrends accelerated during the spring of 1989. However, both ratios bottomed out together during the summer of 1989 and rose together into Marchof 1990. Once again, the similar performance of the two ratios demonstrates therelatively close linkage between bonds and stocks and the negative correlation ofcommodities to both financial sectors. Traders who attempt to diversify their fundsand, at the same time protect against inflation by switching between stocks and bonds,
FIGURE 12.8A COMPARISON OF THE CRB/BOND RATIO (UPPER CHART) AND THE CRB/S&P RATIO (BOTTOM CHART) FROM EARLY 1988 TO EARLY 1990. BOTH RATIOS PEAKED AT ABOUT THE SAMETIME IN MID-1988 AND BOTTOMED DURING THE SECOND HALF OF 1989. SINCE BOTH RATIOS OFTEN DECLINE AT THE SAME TIME, NEITHER BONDS NOR STOCKS APPEAR TO PROVIDEAN ADEQUATE HEDGE AGAINST INFLATION.CRB Index/Treasury Bond ratio
CRB Index/S&P 500 ratio
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are actually achieving little of each. At times when both bonds and stocks are beginning to weaken, the only area that seems to offer not only protection, but real profitpotential, lies in the commodity markets represented by the CRB Index.THE CRB/BOND RATIO LEADS THE CRB/STOCK RATIOAnother conclusion that can be drawn from studying these two ratios shown in Figure12.7 and 12.8 is that the CRB Index/bond ratio usually leads the CRB Index/S&P500 ratio. This is easily explained. The bond market is more sensitive to inflationpressures and is more closely tied to the CRB Index. The negative impact of risinginflation on stocks is more delayed and not as strong. Therefore, it would seem logicalto expect the commodity/bond ratio to turn first. Used in this fashion, the CRB/bondratio can be used as a leading indicator for stocks. The CRB/bond ratio started to rallystrongly in the spring of 1987 while the CRB/stock ratio was still falling (Figure 12.7).The result was the October 1987 stock market crash. The CRB/bond ratio bottomedout in August of 1989 and preceded the final bottom in the CRB/stock ratio twomonths later in October. In both instances, turning points in the CRB/stock ratiowere anticipated by turns in the CRB Index/bond ratio. Figure 12.9 provides anotherway to study the effect of the commodity/bond ratio on stocks.Figure 12.9 compares the commodity/bond ratio (bottom chart) with the actionin the S&P 500 Index over the five years since 1986. By studying the areas markedoff by the arrows, it can be seen that a rising CRB Index/bond ratio has usually beenfollowed by or accompanied by weak stock prices. The two most striking examplesoccurred during 1987 and late 1989. The rising ratio during the first half of 1988didn't actually push stock prices lower but prevented equities from advancing. Themajor advance in stock prices during 1988 didn't really begin until the CRB/bondratio peaked out that summer and started to drop.A falling ratio has usually been accompanied by firm or rising stock prices. Themost notable examples of the bullish impact of a falling ratio on stocks in Figure12.9 can be seen from the fourth quarter of 1986 to the first quarter of 1987 and theperiod from the summer of 1988 to the summer of 1989. A falling ratio during theearly 1980s also provided a bullish environment for stocks (not shown here). Thestudy of the CRB Index/bond ratio tells a lot about which way the inflation windsare blowing, which of these two markets is in the ascendancy at the moment, andsheds light on prospects for the stock market. A falling CRB/bond ratio is bullish forstocks. A sharply rising ratio is a bearish warning.CAN FUTURES PLAY A ROLE IN ASSET ALLOCATION?With the development of financial futures over the past twenty years, futures traderscan now participate in all financial sectors. Individual commodities, representing theoldest sector of the futures world, can be traded on various exchanges. Metals andenergy markets are traded in New York, whereas most agricultural commodities aretraded in Chicago. CRB Index futures provide a way to use a basket approach to thecommodity markets.Interest-rate futures provide exposure to Treasury bills, notes, and bonds as wellas the short-term Eurodollar market. Stock index futures offer a basket approach totrading general trends in the stock market. Foreign currency futures and the U.S.-DollarIndex provide vehicles for participation in foreign exchange trends. All four sectors
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FIGURE 12.9A COMPARISON OF THE S&P 500 STOCK INDEX (UPPER CHART) AND A CRB/TREASURY BONDRATIO (LOWER CHART) SINCE 1986. A RISING CRB/BOND RATIO IS USUALLY BEARISH FORSTOCKS. A FALLING RATIO IS BULLISH FOR EQUITIES. A RISING RATIO DURING 1987 WARNEDOF THE IMPENDING MARKET CRASH IN THE FALL OF THAT YEAR. A FALLING RATIO FROMMID-1988 TO MID-1989 HELPED SUPPORT A STRONG UPMOVE IN THE STOCK MARKET.S&P 500 Stock Index
are represented in the futures markets—commodities, currencies, interest rates, andequities. Futures contracts exist on the Japanese and British bond and stock marketsas well as on several other overseas financial markets.Futures traders, therefore, have a lot to choose from. In many ways, the futuresmarkets provide an excellent asset allocation forum. Futures traders can easily swingmoney among the four sectors to take advantage of both short- and long-term markettrends. They can emphasize long positions in bond and stock index futures whenthese financial markets are outperforming the commodity markets, and reverse theprocess just as easily when the financial markets start to slip and commodities beginto outperform. During periods of rising inflation, they can supplement long positionsin commodity markets with long positions in foreign currencies (such as the Deutschemark), which usually rise along with American commodities (during periods of dollarweakness).
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A GLIMPSE OF THE FOUR FUTURES SECTORS
Figure 12.10 provides a glimpse at the four sectors of the futures markets during the100 days from November of 1989 to the first