Джон Мэрфи - Межрыночный Анализ

, ,
: PRESSI ( HERSON )
JOHN J. MURPHY
Intermarket
Analysis
Proting from
Global Market Relationships
John Wiley & Sons, Inc.
2012

FIBO Group, Ltd.
336.76
65.264.18
97
-
.
97
.
: /
; . . .: , 2012. 299 .
ISBN 978-5-9614-1707-4
1991 .
.
1980- . , .
, 1998 . . , ,
. .
, ,
, .
, , , ,
, .
336.76
65.264.18
.

, ,

. lib@alpinabook.ru
ISBN 978-5-9614-1707-4 (.)

ISBN 978-0471023296 (.)
John J. Murphy, 2004

John Wiley & Sons,
Inc., Hoboken, New Jersey.
, , .
, 2012
.................................................................................... 15
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1980- . .................................................................................... 17
1990 . ............................................... 18
2000 . ............................................. 18
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1980 1997 . ................................... 20
1998 . ...................................................................................... 20
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1. 1980- . ..........................................................25
1980 . .............................................................. 26
1980 . ................................................................ 27
1981 . ......................................................... 29
1982 . ................................................................ 29
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1987 . .................................................. 31
1987 . ................ 31
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1987 . ..................................................... 36
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1990 . ........................................................................... 39
2. 1990 . .......41
1990 . ....................................................... 42
CRB 1990 . .......................................................... 42
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1990 . .................. 52
$40 ........................................................... 55
1990 . ................................................................... 55
2003 1991 . ....................................................................... 56
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3. 1994 . ...........................59
19901993 . .......................................... 59
CRB ............................................................................................... 59
CRB 1993 . ......................................... 60
............................................... 62
Journal of Commerce (JOC-ECRI) ................................................. 64
..................................................... 65
Goldman Sachs ............................................................. 67
............................................. 67
....................................................................... 69
1994 . ................ 70
1995 . .................. 74
CRB/ .............................................................. 74
1998 . ........................................... 78
4.
1997 . .......................................................................79
1997 . ................................. 79
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1997 1998 . ........................... 81
1997 1998 . ................................................ 82
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1998 . .............................................. 86
CRB/ ............................. 88

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CRB/ 1997 . .................................. 89
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1997 1998 . ...................................................... 93
5. 1999 .: ...............95
1999 . .............................................. 95
1999 . ............................................. 97
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/ NYSE 1999 . .................................. 100
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1999 . ............ 103
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1999 . ................................................... 108
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McDonalds Procter & Gamble .......... 123
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7. NASDAQ 2000 . ..................129

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..... 129
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30 2000 .: .............. 131
1969 .? ......................................................................................... 132
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15 2000 .: Nasdaq
NYSE ......................................................................................... 134
REIT ...................................................................................... 134
REIT ............................ 135
REIT ...................................................... 135
21 2000 .: ...137
2000 . ... 137

................................................................... 138

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11 2000 .: ................................................ 140
................... 142
,
................ 143
10 2000 .: .......................................................... 144
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2000 . .......................................................................................... 146
8. 2003 . .................. 147

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11 .............................................................................. 148
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11 ....................................................... 153
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22 2002 .: ......... 156
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9. 2002 .
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..... 169

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10
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10.
..............................................................................179
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15- .......................... 180
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20 ...................... 182
2003 . 1991 . .......................................... 183
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.................. 186

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, .............................. 191
11.
......................................................... 193
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DJIA/ .................................................................. 197
................................ 198
......... 199
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11
................................ 201

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/ ............................................... 208
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12.
............................................................ 215
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, ............... 217
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2000 . ........................................................................................... 221
.................. 221
.................. 222
JOC ...................................... 222
2001 . ................................................................. 223
............................ 224
1920- 1930- . .................................................... 226
1920 . .......................................... 226
1920 . ....................................................... 226
1921 . ............................................................... 226
1928 . .......................................... 227
1929 .: ,
....................................................................... 227
1930- .
............................................................................. 228
1930- . ....................................................... 228
1931 . .................... 229

1940- . .................................................................................. 230
12
........................ 230
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, ....................................... 232
13. ...........235
................... 235
2000 . ............................. 235
...................................... 236
2003 . ............ 236

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................................... 239
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................. 241
Nasdaq 2003 . ......................................................... 241
......................................................... 242

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................................................................................. 249
2003 . ....................... 250
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14.
.............................................................................253
............................................................................. 253
................................................................................ 253
REIT NASDAQ .......................... 254
2000 . ............................................................................. 254
2002 . .......................................... 256
REIT 2002 ., ................. 257
REIT 2002 . ................ 258
13
................................................... 259
................................... 260
............... 260
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: 1930- . ......................................... 262
1940 . ..................................................... 262

? .............................. 263
1999 .
............................................................. 264

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2000 . ....................................................................... 266

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2003 . .................................................................... 283
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2003 . .................................................................... 284
2003 .
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2003 . ..................................................................... 287
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, : , Wiley,
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Stockcharts.com ; Topline
Investment Graphics ; ; ,
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12.
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10
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2003 . S&P 500.
(0,0%) S&P 500.
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Retailing Industry Group Index S&P 500.
2001 . 2003 . ,
,

.
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2000 . , , . .

.
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(200-)
S&P 500 Retailing / S&P 500

(20-)
. 13.4. 2003 ., S&P 500

13.
241

. 13.5
2002 . ( ) 16 2003 .
Nasdaq Composite Index
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S&P 500 . 2000 .,
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S&P 500
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DJTA
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NYSE
Nasdaq
Russell 2000
. 13.5. 2002 . 2003 . Nasdaq Russell 2000
242
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.
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, Nasdaq 100, Nasdaq (
).
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,
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189, 271
18, 23, 25, 29, 177

18, 23, 175, 182

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141
66
141
8890, 92, 93, 105,
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88, 182,
193
- 232
273
273
215
230
231, 232, 234,
261, 262
230, 253, 281
122, 161, 188, 207

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, 232, 234
232
18, 19, 21, 22, 30, 36, 57, 77,

8082, 87, 95, 97, 116, 118, 119,
126, 147, 152, 156, 159, 160163,
169, 173, 188, 199, 217219, 221,
226228, 230232, 234, 249,
250, 257, 260, 262, 271, 275,

277, 279, 285, 288, 291, 294
21, 36, 171, 195, 198,
199, 201, 203, 206, 212, 254
, 186
187, 188, 200, 206, 207, 211, 286

(REIT) 130, 134,
135, 140, 141, 254, 256258,
259, 274, 288
AMEX Gold Bugs Index (HUI) 191

AMEX Oil Index 102
AMEX Pharmaceutical Index (DRG)
107, 124
Bank Index (BKX) 105
CMR 89, 92
CRB 25, 26, 31, 42, 59, 60, 62, 67, 74,
75, 79, 8284, 89, 100, 148, 150,
151, 164, 166, 167, 169, 174, 182,
190, 193, 196, 199, 200, 203205,
211, 212, 217, 222, 224, 285, 289
CYC 89, 92
DAX 56
DJIA 25, 43, 51, 67, 70, 78, 80, 86,
123, 132, 139, 141, 151, 182, 197,
241, 243, 245, 277, 283
DJTA 70, 243
DJUA 70
Dow Jones 20 Bond Average 221
DRG 124
Gold Index (XAU) 157
GSCI 67, 98, 199, 203
Hang Seng 84, 108, 109
JOC-ECRI 64, 65, 67, 217, 222224
Morgan Stanley Capital International
Emerging Markets Global Index
273
296
Morgan Stanley Cyclical Index 244

Nasdaq 134, 135, 141, 241, 256, 257
Nasdaq 100 242
Nasdaq Composite Index 242, 283
Nikkei 225 57, 118, 171, 294
NYSE Composite Index 100, 134
Russell 1000 246
Russell 2000 241, 245, 246, 283
S&P 500 90, 103, 107, 124, 132, 135,
144, 148, 150, 155, 184186,
194, 200, 222224, 230, 237,
239241, 245, 259, 263, 264,
268, 274, 277, 283, 288, 289, 294
S&P Consumer Staples Index 244
S&P Retailing Industry Group Index
240
78, 82, 124, 156, 175,
199, 200, 291
(SOX)
109
(CPI) 160, 161
(PPI) 160, 161
29, 33, 51, 55, 60, 65,

74, 100, 121, 140, 148, 182, 217,
221, 226, 247, 279, 283
274
273
19, 25, 26, 29, 31, 34, 36,
65, 74, 76, 79, 81, 88, 95, 101,
104, 107, 108, 115, 119, 128, 131,
156, 159161, 166, 177, 188, 199,
200, 202, 203, 217, 220, 226,
227, 228, 230232, 234, 253,
260262, 277

19901991 . 41, 45, 49, 55, 56, 59,
183
20022003 . 5557, 116, 183
250, 251
20, 23, 42,
50, 51, 60, 80, 87, 107, 223, 230,
250, 286
161
189, 271
188, 200, 207, 211

188, 274, 284
, 261
, 231
CMR/S&P 500 90
CRB/ 212
CYC/S&P 500 90
XOI/S&P 500 102
182, 193195,
207, 211
21, 130133, 146,
248250, 252
19, 8082, 85,

87, 111, 115, 118, 119, 159, 169,
188, 288, 294
79, 87
204, 212
/ NYSE 95, 100,
129, 130, 133, 146
, 202
, 261
216, 248, 274,

279281
273
156
195
32,
52
142, 145, 151,
236, 247
32
45
, 65, 221223, 226

223
-
(NYSE) 70, 100
121,
129, 131133, 138, 249
226, 232
, 217, 219, 220, 222
31, 36
167, 168,
284
Nasdaq 18, 21, 42, 107, 130, 241, 254

21, 82, 93, 116
18
57
22, 101, 114,

145, 182, 186, 189, 200, 212, 217,
220, 267
42, 43, 45, 54, 167, 169,
227
273
21, 50, 70, 73, 88,
95, 102, 108, 113, 121, 130, 144,
235, 245, 279
215220, 223, 236, 244, 253, 262,

279, 281
, 142, 144, 145, 236, 238,
242, 247
31, 36
243
184, 186
297
100, 108, 119, 129, 131, 133, 134,

143, 146, 158161, 163, 173, 175,
218, 221, 223, 228, 230, 249,
250, 252, 257, 266, 269, 270,
272, 279, 281

(PHLX) 105
, 261, 262
191, 274
135
133, 140, 191
206
207
120, 280
189, 190, 198204, 212
221
231
234
261
261, 262
215
215217, 219223,
231, 235, 236, 243, 245, 247,
248, 253, 259, 261, 262, 267,
274, 279, 281
, 272
182
182
204
190,
198, 201, 202

() 2022, 65, 82, 87, 95, 97,
133
116, 122, 163, 171, 173, 188,
272, 274, 284, 286, 291, 293, 294
187, 208, 211, 286
298
Cohen & Steers Realty Fund 137
McDonalds 123
Merrill Lynch 206
MurphyMorris.com 156, 223
G
General Motors 116
Goldman Sachs Group 206
P
Procter & Gamble 123
Homestake Mining 156
Intel Corporation 116
Taiwan Semiconductor 116

Toyota 116
J
J.P. Morgan Chase 206
L
Long-Term Capital Management 87
U
UBS Warburg 206
UPS (United Parcel Service) 125
.
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ISBN 978-5-9614-1707-4 (.)

John J. Murphy, 2004

7. NASDAQ 2000 . ..................129

8. 2003 . .................. 147

15. ............................................ 271

1974 . Nasdaq 78% 19291932 . . ,

. , 2000 ., . 1998 . . 1990- .

CRB BRIDGE Futures Index

CRB BRIDGE Raw Industrial Index

Goldman Commodity Spot Index

Reuters Commodity Index

1985 1987 . 1987 .

1985 1987 . , CRB ( ,

CRB 1985 . 1989 . , , CRB.

. 1.10. 1985 1989 .

DJIA 1989 . 1990 .

. 2.13. 1990 . 1990 .

JOURNAL OF COMMERCE JOCECRI

Institute (ECRI). JOC 1986 . *

(a) DJIA 1994 . 10%.

. 3.11. 1994 . 10%-

CMR/S&P 500 1998 .,

S&P 500 Large Cap

S&P 500 Large Cap

SP 500 Financials/S&P 500

GSCI Spot Index / 30-

Morgan Stanley Cyclical Index

. 5.13. Hang Seng

. 5.14. 19971999 . SOX

Toyota Motor Corp.

MCDONALDS PROCTER & GAMBLE

S&P 2000 . 2002 .

S&P 500 Large Cap

. 1990, 1982, 1980,

2000 . DJIA 200-

NYSE Composite Index

REIT/S&P 2000 ., Nasdaq

Cohen & Steers Realty Shares, Inc.

Cohen & Steers Realty Fund . (

Consumer Index/DJIA 2000 .

(Standard & Poors Guide to Sector Investing).

S&P 500 Large Cap Index

CRB 2000 ., 2001 . . ,

S&P 500 Large Cap Index

S&P 500 Large Cap Index

. 8.11. 2001 2002 . .

2000 ., . , 2002 ., XAU

1995 . CRB 2002 .

S&P 500 Large Cap Index

S&P 500 Large Cap Index

. 10.2. 2002 ., DJIA

. 10.4. 2003 . 1991 .? 2003 .

S&P 500 Large Cap Index

Ned Davis Research, , .

. 11.4. CRB 2002 . ,

. 11.5. DJIA/ 1999 .,

Dow Jones AIG Commodity Index.

Institute (JOC-ECRI). JOC 18 , , , , .

. 12.4. CRB 2000 .

. 12.5. S&P 500 2000 .,

. 12.6. $35 1930- .

18351844 18751896 19301949 20002010