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, ,

: 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
.........................................17
1980- . .................................................................................... 17
1990 . ............................................... 18
2000 . ............................................. 18
......................................................................... 19
1980 1997 . ................................... 20
1998 . ...................................................................................... 20
................................................................................................ 21
................................................................................. 22
................. 22
................................................................................... 24

1. 1980- . ..........................................................25
1980 . .............................................................. 26
1980 . ................................................................ 27
1981 . ......................................................... 29
1982 . ................................................................ 29
........................................................... 30
1987 . .................................................. 31
1987 . ................ 31
........................................................ 32
............................................................. 34
1987 . ..................................................... 36
................................ 36
...................................................... 38
1990 . ........................................................................... 39

2. 1990 . .......41
1990 . ....................................................... 42
CRB 1990 . .......................................................... 42
............................................................. 43
........................................ 44
.................................................. 45
................................................................................ 47
................................................................ 48
1990 . .................. 52
$40 ........................................................... 55
1990 . ................................................................... 55
2003 1991 . ....................................................................... 56
.............................................................. 57

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
.......................................... 80
......................................................................... 80
1997 1998 . ........................... 81
1997 1998 . ................................................ 82
....................................................................... 82

.................... 83
................................................................ 84
................................................................................... 85
1998 . .............................................. 86
CRB/ ............................. 88

................................................................................ 88
CRB/ 1997 . .................................. 89
.................................................................... 89

.......................................................... 92
1997 1998 . ...................................................... 93

5. 1999 .: ...............95
1999 . .............................................. 95
1999 . ............................................. 97
..................... 97
.................... 98
............................................................. 100
/ NYSE 1999 . .................................. 100
......................................................... 101

............................................................................... 102
......................... 103
1999 . ............ 103
....................................................................... 104
.............................................................. 107
1999 . ................................................... 108
.................................................................... 109
.............................................. 111

6. ....... 113
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................................................. 122
............................ 123
McDonalds Procter & Gamble .......... 123
.................... 123
.... 125
,
....................................................................... 125
................................................. 125

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


................................................................................... 129
..... 129
.................................... 130
, ................................................. 131
30 2000 .: .............. 131
1969 .? ......................................................................................... 132
........................................................ 132
............................................................ 133
15 2000 .: Nasdaq
NYSE ......................................................................................... 134
REIT ...................................................................................... 134
REIT ............................ 135
REIT ...................................................... 135
21 2000 .: ...137
2000 . ... 137

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

............................................ 139

.............................................................. 140
11 2000 .: ................................................ 140
................... 142
,
................ 143
10 2000 .: .......................................................... 144
............................... 145
2000 . .......................................................................................... 146

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


...................................................................................... 147

.......................................................................................... 148
11 .............................................................................. 148
.................................................. 148
................................................. 151

........................................................ 152
11 ....................................................... 153
.............................................. 155
22 2002 .: ......... 156
......................................... 156
................................... 157
: ............................................. 159
................................................................. 161

9. 2002 .
.......................................................................163
............................................................... 163
.............................. 164

.......................................................................... 165
...................................................... 166
: .......................... 167

............................................................................. 168
..... 169

................................................................................. 169

10

................................................................ 171
....................................................... 171
:
..................................................... 173
....................... 174
............................... 175
? ............................................................ 175

10.
..............................................................................179
......................................... 179
15- .......................... 180
, ...................................... 180
20 ...................... 182
2003 . 1991 . .......................................... 183
................................................... 184
.................. 186

............................................................. 186
........................................................................... 187
...................................... 187
............................................. 188
.............................................................................. 188
..................................................... 189
................. 190
, .............................. 191

11.
......................................................... 193
....................................... 193
................................................................................. 194
.............................................................. 196
DJIA/ .................................................................. 197
................................ 198
......... 199
.......................................... 200

......................................................................... 200

11

................................ 201

............................................................................................... 202
................................................. 203
.......................................................... 204
..................................................................... 205
........................................................................ 206
....................................................... 207
/ ............................................... 208
, ........................................... 211
..................................................................................................... 211

12.
............................................................ 215
.................................................... 215
.................... 216
, ............... 217
.............................................................. 219
.................................................... 219
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
........................................................................... 231
................................................................................. 231
, ....................................... 232

13. ...........235
................... 235
2000 . ............................. 235
...................................... 236
2003 . ............ 236

.................................................................. 237
................................... 239
................................................................................ 240
................. 241
Nasdaq 2003 . ......................................................... 241
......................................................... 242

......................... 244
................. 245
...................................................................... 247
.................... 247
.................................................................... 248
................................................................................. 249
2003 . ....................... 250
............................................ 251

14.
.............................................................................253
............................................................................. 253
................................................................................ 253
REIT NASDAQ .......................... 254
2000 . ............................................................................. 254
2002 . .......................................... 256
REIT 2002 ., ................. 257
REIT 2002 . ................ 258

13

................................................... 259
................................... 260
............... 260
....................................... 260
.................................................... 261
.............................................................. 261
: 1930- . ......................................... 262
1940 . ..................................................... 262

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

....................................................................... 265
2000 . ....................................................................... 266

................................................................................. 268

................................................................... 269
.............................................. 269

.............................................................. 269

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


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................................................................................ 276
..................................... 279
........................... 280
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.............................................................. 281

14

..................................................................................283
2003 . .................................................................... 283
..................... 284

2003 . .................................................................... 284
2003 .
................................................................................ 285
........... 285

, ................................................................. 286
2003 . ..................................................................... 287

....................................................................295


, : , Wiley,
; ,
;
Stockcharts.com ; Topline
Investment Graphics ; ; ,
, ,
, , . , ,
.

1990 . , : , ,
*. , . ,
. , , , .
.
,
, . ,
.
. !
. 2002 .
Journal of Technical Analysis . 14 . 10 .

1980 .
1980- ., .
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, , : . . .: , 2002.

18

1970- ., , , (, ) . 1980 .
20- , .
1980- . 1987 . ,
.
1987 .
. , 1990 .,
, ,
. ,
. , 13 ( 2003 .)

19901991 . . .

1990 .
,
1990- ., 10 .
.
13- (
) ( ).

. ,
, ,
, ,
2000 ., .

2000 .
10 2003 .
Nasdaq ,
. S&P 500 50%

19

1974 . Nasdaq 78% 19291932 . . ,


. , , , . 1970- . ,
1930- . . , .
1998 . , 1930- .,
. , 1997 1998 . ,
. , - , , 40 .

, , . ( ) .
. . , , .
, 1990- ., .


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. . , 1997 . , ,
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.
. , . 1998 . , . , , .
.
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. , . , , . , () 18 2001 ., , 2000 .


1980 1997 .
1980- . , .
1987 . - .
1990 . , . , , 13 .
1994 . 1998 .

1998 .
, 1998 .

21

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


. - Nasdaq
.
. , 2000 .
,
( ). ,
. 1987 ., 2000 .

: , ,
.


1999 . , 2000 . ,
2001 .
40 . 1999 . ,
,
1960- . . 2000 . ,

. , . ,
, , , .
,
. . 1999 .
.

22

. ,
1999 2000 .,
, Nasdaq
.


20 , 1980 2000 ., . ,
. , .
.
2000 . 20-
. ,
. . . , 2000 .
, .
, , .
1930- .
.

. , .
1930- .
2000- . 1930- . , , 70 .




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.

23


2000 . , .
. , ,
.
. . , , .
.
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. . .
2002 .
, 20 (,
)
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. , 45 . , 2003 .

. , . . , .
, ,

.

: PRESSI ( HERSON )

24


.
, . . .
. , .
.
.
, . . . .
,
( )
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, . . ,
-
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. , : , , , DJIA . . , , , .

1980 .
, 1980- ., ,
1970- . , . 1971
1980 . CRB , Commodity
Research Bureau
, 250%. 150%, . . 1.1
CRB 10-
19731987 .
1970- . 1980- ., .
1970- . . DJIA
1000
. 10- DJIA . 1970- .
; . $700 . . 1980 ., . . 1.2
DJIA . 1970- .
.
1980 ., . 1982 . DJIA
.

26

CRB 10-
( 1973 1987 .)
CRB

. 1.1.

, %

CRB,


10-

CRB 10-
19731987 .

1980 .
1980 . .
CRB 330
20- , . 20 $ 700 $ 250,
60%. ( ,
2000 ., , 20- .) 1980 .
1970- .
( ), XX . . 1.3 1970- . , 1980 .
20 .

1. 1980- .

27

DJIA/

. 1.2.

1970- .

1980 . ,
.
.

1980 .
1980 .
.
.

( ).
.
1980 .
, 20 . ( ,

28

CRB BRIDGE Futures Index


CRB BRIDGE Raw Industrial Index

Goldman Commodity Spot Index

Reuters Commodity Index

. 1.3.

1970- .
1980 .

2002 .,
.)

1. 1980- .

29

1981 .

. . (,
1970- .)
, . ( .)
, . 1980- .
, .
1981 . 15%. (7%),
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(
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1982 .
1982 ., , ,

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31

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, .
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1987 .
1987 . .
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1982 . ,
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, . 1987 . CRB , . ( ).
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32

CRB

CRB

CRB

. 1.4.

1985 1987 . 1987 .


1985 1987 . , CRB ( ,


) 1987 . ( ),

, ,
.


1987 ., . ,

1. 1980- .

33


1986 1987 .

. 1.5.

DJIA

19861987 . 1987 .

,
. , . . 1.5
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1987 . , 10%. , , .

34

. 1.6.

DJIA

DJIA

1987 .
. 8,5 10,0%.


, , ,
. , .
. ,
.
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1987 .
, 1987 . . .

1. 1980- .

35

DJIA

DJIA



1987 .

. 1.7.

1987 . .
.

( ). , ?
, , . ,
1987 . , . , , . 1987 .
,
. , .

36

1987 .

1987 . ,
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.



1990 2003 . . 1990 .
, .
1998 . , , , . . 1.8 ,

1970- ., 1980- .,
, 1990- .

1. 1980- .

37

. 1.8.


1970- . 1980- 1990- .,
.

38


, , .
. , 1987 .,
, .
1985 ., , . , . , .
, 1986 .,
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. ,
1987 . ,
. 1.9
(
1985 . 1986 .) 1987 . ,
.
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, . , 1985 ., , ,
1987 . ( ).
. 1.10 . 1985 .
, 1987 .
,
, .
, 1985 1995 .
.
,

1. 1980- .

39

CRB,
19851989 .

. 1.9.

CRB

CRB

CRB 1985 . 1989 . , , CRB.


CRB 1986 . 1985 .

10 . 1985
1989 .
( ) 1987 1990 . ,
. , 1994 .
.

1990 .

1987 ., , 1988 .

40

,
19851989 .

. 1.10. 1985 1989 .


. 1985- 1986 . ,

1989 . : , .
1990 . .
, .
. ,
, . $40 .
.
1990 . , 13 ,
.

1990 .

( : , , ) 1990 .
, .
, ,
, 1990 . . , .
. 1987 ., .
, . . .
$40
, .
. .
.
. ( , .
1970 . . 1974,
1980 1990 . .
, 1999 ., ,

42

Nasdaq.) ,
1990 . (16 1991 .)
. , . ,
.
1990 . .

1990 .
1990 . .
,
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.
1987 .,
. , 1987 . . 2.1 , CRB,
1990 .
, .

CRB 1990 .
CRB 1990 .
1989 .,
. 1990 .
. . . 2.2 , 1989 . 1990 .
. CRB 1989 . 1990 . , . CRB, .
CRB ,
. CRB . . 2.3 ,

2. 1990 .

43

DJIA

CRB

. 2.1.

, CRB,
1990 . 1990 .

1990 . .
CRB, .


1990 . 10%,
.
.
DJIA 300 (10%)
. 50%
. .

44

CRB

. 2.2.

CRB 1989 .
1990 . , ,
1990 . ,
CRB .
,

. . 2.4 ,
1990 . .


, , , 1990 ., .
.
.
- ( ,
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2. 1990 .

45

CRB

. 2.3.

CRB 1989 .
1990 . 1990 . ,
. (. )

. 2.5 , , 1990 .
. , 1989 ., .
13 . .


2 1990 . ,
1991 . , , .

46

DJIA

. 2.4.

1989 . 1990 .
1990 . .
DJIA .


. . ,
, . ,
. .
.
, , ,
. . . 2.6
, 1990 . , , . .

2. 1990 .

DJIA 75

47

FT-100

Nikkei 225

. 2.5.

, 18- , 1990 .
1990 ., .
1990 .
.


1990 .
. , .
, , , . $60 ( 20%),
. ( , , .)
1990 . ( 1991 .) ,
,

48

. 2.6.

, , 1990 .
, 2 1990 .
(-
) ,

. 2.7 2.8
1990 .
, . ,
. . 2.9 , 1990 .
, .


, .

2. 1990 .

49


DJIA

. 2.7.

DJIA

DJIA 1990 .
1990 . .
,

, . , . ,
, .
1991 ., .
1 1991 .
,
. .
. 2.10
1991 .
. $40
1991 .
.

50

DJIA

. 2.8.

DJIA 1989 . 1990 .


1989 . .
1990 . . 1990 .,
. ,

$400 $350 .
.
, , . , .
, , .
, 15% . , , ,
. . 2.11 ,
.

2. 1990 .

51

. 2.9.

1989 . 1990 .
1990 . ,
. ,
1989 . 1990 .,
.
1990 ., .

.
. 2.11 , (
)
. ,
, .
DJIA , . ( )
500 ( 20%), 5%. , . 1990 .

52



. 2.10. 1991 .

, . (
, .)
. 2.12 DJIA
. 3000 2400
( ).

(
).


1990 .
1990 .
.
,
.
,
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2. 1990 .

53

30-

. 2.11. .

DJIA

. 2.12. DJIA

54

, ,
.
$40, . .
1990 ., : 1990 . <>
, $40. . 2.13
,
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. 2.13. 1990 . 1990 .


,
. , . 1990 .

,
$40

2. 1990 .

55

.
. ,
. .
, , , . . , ,
1990 . , . ,
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, $40, .
30 .
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1991 ., . ,
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.

1990 .
1990 . .
.
.

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56

2003 1991 .
,
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10 , 20022003 .
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2003 . 19901991 .,
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5 $ 390) $ 60, 15%. 4%, ,
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2003 . , 1991 .
, . , , .
, . 1990 .
, .
, .
1990 . .
1991 . , . 2003 . .
20- ,
.
1990 .
, .

2. 1990 .

57


, , 1991 .
, 1989 .
. 2003 . Nikkei 225 ( )
20 . 13 Nikkei 39 000 8000 , 80% . 1929 . , 10 , . Nasdaq 78% 2000 .
19291932 . .
, . , 2000- .
1980- 1990- .

: PRESSI ( HERSON )


1994 .
19901993 .


. 1991 . 1993 . . . , 1991 ., .
1991 . 1992 .
,
. (, , .)
1994 .
, .
, . ,
1994 ., .
, . , ,
. .

CRB
CRB . 1993 1994 . 21

60

. 1995 . 17. - : ,
, , , .
, CRB , ,
. CRB, , .
( , CRB
CRB/Reuters Futures Price Index.)

CRB 1993 .
1993 . , .
1993 . CRB .
1993 ., .
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, . (
, .)
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CRB ( ) ( ) , . . 3.1
CRB
1993 . . .
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. , ,

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3. 1994 .

61

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. 3.1.

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1933 . ( ),
B.

(MetaStock, Equis International, Inc.)

62


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1933 .,
. ( .)
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1993 .
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1993 .
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. 3.3 1993 1994 . . ,
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63

. 3.2.

1993 . .
, ,
. , 1993 .,
(MetaStock, Equis International, Inc.)

,
. .

64

. 3.3.

. 1993 .
(MetaStock, Equis International, Inc.)

JOURNAL OF COMMERCE JOCECRI



Journal of Commerce (JOC) Economic Cycle Research

3. 1994 .

65

Institute (ECRI). JOC 1986 . *


-. 2000 .
JOC-ECRI
.
, . JOC-ECRI ,
, . . , . JOCECRI 18 , : , , ( ) ( ).
, , , , .
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66

JOC

. 3.4.

JOC 1993 .

.
.

. . ,
, . , ,
.


. . 1993 .
, .
.
1994 .
.

3. 1994 .

67

GOLDMAN SACHS
Goldman Sachs (GSCI) . ,
CRB, - .
, . . ,
,
. GSCI
19931994 . 1994 .,
. ,
CRB, JOC, GSCI 1994 . . 3.5 GSCI 1994 . , (
GSCI) . 1995 . .
,
.

, 1994 . GSCI CRB ,
.


. .
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1993 .
1994 . . . 3.6 DJIA 19931994 . ,

68

GSCI

. 3.5.

, ,
1995 .
(MetaStock, Equis International, Inc.)

. , 1994 .
DJIA.

3. 1994 .

69

DJIA

. 3.6.

.
1993 . ( ) ( B)
(MetaStock, Equis International, Inc.)


.
10%

70

. ,
,
. , Russell 2000 Nasdaq, 15%. . 3.7
DJIA / - (NYSE) 1994 . , ,
, .
, .
DJTA 26%, - .
DJUA. 26%
1994 .,
. 34%.


1994 .
,
, .
.
(, ) . ,
, ,
, , .
19931994 . - .
.
. 3.8 DJUA 1993 1994 .

1993 . .
34% .

, . (

3. 1994 .

71

DJIA

/ NYSE

. 3.7.

(a) DJIA 1994 . 10%.


(b) / NYSE DJIA 1994 ., .
1994 .

(MetaStock, Equis International, Inc.)

, .)

72

DJUA

. 3.8.


. 1993 .
1994 .
(MetaStock, Equis International, Inc.)


, ( ), 1994 . ,
. . 3.9 ,

3. 1994 .

73

. 3.9.


, ,

(MetaStock, Equis International, Inc.)

, , 1994 . ,
, . 1994 . , , , . ( 13.)

74


1995 .
:
, , . 1993 . ,
,
. . , 1994- 1995 .,
, . CRB
1994 . ( ). .
. , . , , .
,
.
. 3.10 , 1994 .,
. ,
. . 3.11 ,
1994 ., . ,
1994 .,
1995 . . ,
.

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,
, , , CRB/. CRB
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,
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, , , , .

3. 1994 .

75

. 3.10. 1995 .
(MetaStock, Equis International, Inc.)

,
. . 3.12 , CRB/
1994 . .
CRB/ 1993 .
. , , , .

76

DJIA

. 3.11. 1994 . 10%-


.
1994 .
(MetaStock, Equis International, Inc.)

CRB/ ,
. (
,

3. 1994 .

77

CRB/

. 3.12. ,
(1994 .).
1995 .
(MetaStock, Equis International, Inc.)

.
.) , 1994 .
, .

78

1994 . ,
, , ( ). CRB/
1994 .
, 2000 .

1998 .
1994 . , .
DJIA 4000 12 000 , . . .
Nasdaq, . 700 5000 , 1994 . .
.
85 ( 1995 .) 120 ( 2000 .), 40%.

1999 . ,
1994 .,
1998 . 1998 . , .
. 1998 .
.



1997 .


1997 .
, 1970 . 1970- .
, .
1980- 1990- . ( )
. 1997 .
. 1997 . 1998 . .
1997 1998 . ,
.
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106

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107

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. 8.11. 2001 2002 . .

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164

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(200-)

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9. 2002 .

165




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2002 .
. . , 2002 .
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: PRESSI ( HERSON )

166



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167

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GSCI

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2002 . ,

168





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10-
GSCI

. 9.5.

2001 . 2002 .

9. 2002 .

169


2002 ., . ( 2003 .
.)




, . CRB 1996 .
1998 . (
1997 . 1998 . .) CRB
1999 ., 2000 . 2000 . ,
, . ,
-, , Nasdaq. 2001 .
. 2002 ., (. 9.6). 2002 ., , , . .




2000 . 10- .
, , . ( 1997 . , .)
, , ,
, .

170

CRB

30-


CRB

. 9.6.

1995 . CRB 2002 .

10-
Nikkei Average

. 9.7.

2000 .

9. 2002 .

171

,
2000- 2001 .,
11 2001 . 2002 . 2002 .
( ). 2002 . Nikkei ,
40 (. 9.7).
, ,
,
2002 . .


.
.
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, 2000 .,
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, , . ,
, (. 9.8).

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.
. ,
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, , ? ,
, - . .


,
.

172

S&P 500 Large Cap Index


DAX Composite
Hang Seng

. 9.8.

2000 2002 .,

Nikkei Average
Dow Jones World Stock Average

. 9.9.

9. 2002 .

173

, ( ).
.
(. 9.9).
2000 . . . 2001 .
, . ( 2002 .
2003 .)

:


.
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.
. 1930- .
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12 . . 2003 . 1,5% ( 40 ).

174

S&P 500 Large Cap Index


10-

. 9.10. ,
20002002 .

,
, ,
, . . ,
.
.



, ,
. .
2002 . .
2002 . CRB .
, .
, , .

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. ,
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.



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176

. 9.11. 2002 .

. 9.12

2002 .

9. 2002 .

177

), 1970- . 1980 . , .
, , . , , . ,

.

10

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.
1970- . $700,
.
1980 .
. 20 , . .
. .

180


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2002 .
. .
2003 . .
, , , 15- , 1987 . (. 10.1).
, , . , , .

,

,
. . , , . ,
.
1980 . 20 .
1982 . 20 .
, 20- 20-
. ,
19992001 .
,
, . , 20-
, 20-
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. , . ,

10.

181

. 10.1. 15-

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1999 .
DJIA
2000 .

1982 .
20

. 10.2. 2002 ., DJIA


20-

182

. ()
(). ,
2000 . .

.


20

, 2002 .
, CRB (
17 ) .
2002 .
, . .
, ,
. ,
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CRB DJIA
20 . (
, . , .
, , .) CRB/DJIA 1980 . . 19992001 .
2002 . 20-
, .
CRB/DJIA . 20
. , , . 20- CRB/DJIA (, )
(, ). (

.)

10.

183

CRB/DJIA

CRB
DJIA
,
20

. 10.3. CRB/DJIA .
20

2003 . 1991 .
2003 . -
, . 19901991 .
,
. ,
. 2003 .
.
(. 10.4).
1990 . . ,
, .
, . . 1990 .
.
.

184


1990 .
DJIA

1990 .


. 10.4. 2003 . 1991 .? 2003 .


. 1991 .

1991 .

. 2003 . .
20-
. 20- . ,
, 1990
1991 .
, .


,
. 20- .
S&P 500 , 1982 .
2002 .

10.

185

, 20 (. 10.5).

. 19822002 .
. . 1987, 1990 1994 .
. , ,
.
. 2002 . S&P 500 20- , .
. ( 1970- 1930- .)
. , . . , ,
.

S&P 500 Large Cap Index

. 10.5.
1987, 1990 1994 .

186



16 2003 . Barrons, , *
.
, 16 20 ,
( ). , , .
17
, S&P 500 50,6%,
371 .
,
, 1989 . 48, 34, 56 62%,
50%.




.
, . 2002 .
.
, . ,
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,
. .
. , .
,
. . , , ,

.
*

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10.

187


, . ,
. , . ,
. .
, , , .
2002 ., , $300.
2003 . , $375 (. 10.6).



27% . , , 8%.
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(50-)
(200-)


(50-)
(200-)

. 10.6. 2001 .

188

. , ,
, . 2003 . , ( )
.
, , . ,
.
, .
,
. ,
,
.


, , . .
.
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. 2003 .
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, ,
.


, ,
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,
1997 1998 . ( ), 1999 .

10.

189

2002 . 1999 .
. , .
.
, . 10.7 10.8. , , .

.


, .
, , ,
.
. . .

GSCI

. 10.7.

190

GSCI

. 10.8.

.
, . ,
.
CRB Goldman Sachs Commodity Index.

. ,
. , .

. , .
, .



,
. ,
,

10.

191

. . ,
.
,
.

,

.
. . (
).
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. ,
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, .
( AMEX Gold Bugs Index (HUI)
.)
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.
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2003 .
, .
.
, , . (ETF) ,
.

11




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20 , .
, , , .
, ,
, . , .

.
, ,
. 2000 . , , ,
.

194


.

,
. ,
. , , .
. 11.1
S&P 500 1994 . 1994 . 1999 .
, , , .
. 2000 . / , 1994 .,
.
.

30- / S&P 500

. 11.1. 2000 .

11.

195

, 2000 ., .
,
. , . 11.1, .
.
. 11.2 /
2000 . 2003 . . ,
2002 . , ,
. 2002 . 2003 . /,
2002 ., , . 2003 . ,
2002 ., ,
.
30- / S&P 500

. 11.2. , 2000 .,

196



. . 11.3
CRB /
1990 . 2003 . . -,
2002 .,
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12 .
.
2003 .
.
CRB (. 11.4) . CRB 2002 .,
. , CRB ,
1988 1996 . .
CRB.
.
CRB / 30-

. 11.3. 2002 .

: PRESSI ( HERSON )

11.

197

DJIA/
,
, DJIA . DJIA/ 28 1966 .
1970- . ,
( )
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1980 . 1999 . 44. 20 ( ).
. 11.5 DJIA/
1999 . , , ,
2001 .,
. 2001 . ( ). 20 2003 .
. DJIA/ 1970- .,
DJIA.
CRB

CRB

. 11.4. CRB 2002 . ,


1988 1996 .

198

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. 11.5. DJIA/ 1999 .,

, CRB/DJIA 20-
. .
.




. ,
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.

.
, ,
,

11.

199


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, ,
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Reuters CRB GSCI
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, .
. .
.
, ,
*

Dow Jones AIG Commodity Index.

200

.

.


.
.
, .
, .
, . . (
,
.)



. 11.6 2002 .: S&P 500,
, CRB. . , . CRB
(+24%) (+17%). ,
, 12%. S&P 500 , 22%. (
, ( 10%), ,
CRB .) 2002 .

CRB / . S&P 500 , .

, . (

11.

201

CRB


S&P 500 Large Cap Index

. 11.6. 2002 .
CRB

, .) , CRB
S&P 500. ( .) ,
. ( , . .) ,

, , , .
.

202

. (
.) . 1983 . , . - (/ ) .
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. , , , ,

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.
.

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203

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.
. . , , , . ,
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.)

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. , .)
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,
. , , .




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. ,
, . ,
, . , .
, , .
1990 .

204


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,
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. , ,
.
, . .
. , 10, 20 30%.
. 11.7 CRB
. ( ,
, CRB 90%
, CRB
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. ,
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, , , ,
.
/ . :
,
/,
. . .
,

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11.

205

(19611988 .)
20%
CRB

10%
CRB

30% CRB

( , %)
. 11.7. . . ,
10, 20 30%.
( ),
.
(Commodity Futures as an Asset Class, prepared by Powers Research Associates, L. P.,
published by New York Futures Exchange, January 1990.)


,
.
. 2002 . (
CRB) , .
, , ,
, 10 .
, , , .


27 2003 . The Wall Street Journal UBS . ,
- , .

206

UBS Warburg - , , 12 .
, 70% UBS . , J. P. Morgan Chase Goldman Sachs Group, (
). , Merrill Lynch
. - (, )
. ,
, , .

. ,
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, (
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, .
,
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, , ,
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. 2003 ., ,
. ( ) .
.

11.

207

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.
(
) . ,
. 2003 .
.
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2003 . .
2003 . 24%
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). ,
.


. ,
. ,
, .
1970- ., ,
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1999 .,
. ( ), ,
.
.

208

. 11.8. 1970- . , .

/
. 11.911.11
, .
1999 . ,
. , . . 11.12 ,

11.

209

. 11.9. , 1999 .

. 11.10. ,
1999 .

210

. 11.11. , 1999 .

. 11.12. , , 1999 .

11.

211

1999 . ,
2002 . 2003 . .

,
. 11.13 ( ) 1999 . , . ,
, .
1999 . 2001 ., . ,
.


( CRB),


. 11.13. 2000 .

212

, .
.
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. /
, .
/ ,
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/ .
, CRB,
.

,
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90% )
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, , , , . , . . ,
( ). .
,
.

.

11.

213

, . .

. . , . . -
, , .
1999 ., ,
. 1970- .,
.

12


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, 1930- .,
1970- . ,
2000 ., . , ,
.
, ,
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.
, .
, .
.
, ,
, , . . 1970 1974 .

216

. ,
1978 ., . 1980 1982 . 1980 . ,
1982 . , 1974 .
1982 . ,
1990 . 1990 . ( 10 ), 1960- . ,
,
. 1986
1994 . ,
1987 1994 . .
1948 . . 1990 .,
,
45 , 11 . 2000 .
10 .
.
2000 . , 2001 .



.

, . , , . .
, ,
.
. , .
.
,
.

12.

217

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, - ).
, , .
, .
, , Journal of Commerce Index,
. CRB
.
, .
1930- ., , .

,

. 12.1 ( InterMarket Review
)
. . , .
,

. ,
, . , . (), ()
( ).
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. - ( )
.

218

. 12.1. (), ()
() .
(: InterMarket Review by Martin J. Pring, www.pring.com.)


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.
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12.

219


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2000 .) ,
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2 . . .
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3 . . .
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4 . . .
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220

. 12.2. .
: ,
.
(: InterMarket Review by Martin J. Pring, www.pring.com.)

. ( 1) ,
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.
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12.

221

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2000 .
2000 . ,
. 2001 . 11 .
.
.
. ,
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1930- .
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,
. ( ) 1990- . (Leading Indicators for the 1990s, Dow Jones-Irwin,
1990) ,
. 1948
1990 ., ,
. Dow Jones 20 Bond
Average 27 . , . 1948 1990 .
17 .

222



,
, . , -
( ) 1990- .,
,
. , . 12.1.
1948 1990 .
S&P 500
( , ). ( JOC) ( ,
).
. -, , . . -, ( . 12.1). ( 17 ), (
), ( ). ,
, . , .
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. . ,
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JOC
JOC 3.
Journal of Commerce Economic Cycle Research

12.

223

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


, , , , , .
-
,
-. , - 1990 ., , ,
, 2001 .

2001 .
,
MurphyMorris.com 8 2001 . . ,
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, , - . :
27 . 1998.
,
2001. (. . ) S&P 500
. S&P 500
2000., ,
2000. (. . ) JOC (
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.
.
2000. 2001..
2001 .
, ,
2001 . (
). -
2001 ., , - . ,
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224




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, . -, .
( 1998 .), S&P 500 ( 2000 .), .
. JOC
2000 .
( ), . (
, 1920- .)
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2000 ., S&P 500 (. 12.312.5).

30-

. 12.3. 1998 .,
27

12.

225

CRB

. 12.4. CRB 2000 .



S&P 500 Large Cap Index

. 12.5. S&P 500 2000 .,


226

1920 1930 .
-
2001 ., 2000 . ,
.
. , , 1930- . :
?
1930- ., , .

1920 .
1920- 1930- . , 1920 . , 1920 .,
. , 1920 .,
, . 1920 . 1921 . 1921
1929 . . 1920 . .

1920 .
1920 . . ,
. 1920 .
1928 .
1920- . .

1921 .


. .

12.

227

1920- . 1920 . ( ).
1921 . , ,
1929 . 1920- . .
1928 . ,
. 1928 . .
, .

1928 .
,
. 1928 . . 1929 . . 1920- .
, .
, .
, 1929 ., .
1929 . .
90% .
.

1929 .:
,
1928 1929 . , .
1929 .
, .
.
. 1929 . , ,
( 1920- .) . , .
, . ,

228

19281929 .
? , . , . 1920- .
1990- .

1930 .

,
. 1929 . .
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,
.)

1930 .
1930- . 2002 .
. 9 , 2002 . , , . ,
. 1930- . 1930 . $20. 1933 .
. 1934 . $35 . . ,
. 1930- . (. 12.6).

12.

229

( )

. 12.6. $35 1930- .



1931 .
1931 . 2 6%,
. , , .
1932 . 1934 .
10 1940- .
,
.
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.
1931 . (, )
. 1932 ., , ,
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:
, , .)
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: PRESSI ( HERSON )

230

,

. , 1933 . 1934 . 1940- .


1940 .
19321942 .
. 1937 .,
1940- . 1930- . 1942 ., ,
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1929 ., 25 .) 1940- .,
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. 1951 . , . ( 2003 ., , ,
1940- ., . .
.
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,
.
,
, .
1920- ., ,
. 1930- .
.
, 1940- 1960- . 1970- .
( - ).

12.

231

1980 .,
(
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.


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. ( , 1940- .)
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. 1920 .
1980 . . ( )
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, .


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.
, . 1789 .
, 1920 . 1986 .

232

:
. , 1920- ., ,
1980- .. .
. 12.7 ( Topline Investment Graphics)
1789 .
. 1816, 1864, 1920
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,
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, ).
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1980 .). . (
)
. 1920- ., 19802000 .
, ,
. .
( 1929 1998 .)
1835, 1874, 1929 2000 .
55 ( 1929 2000 .
71 ). ,
.
, 1980 ., 19201945 . ( 2000 .),
.
, ,
, .
,
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,

. 12.7 , -
Canaccord Capital Corp., , , 1998 .

1800

4%

1859

3%
1844
(1803 .)
,
1850
(- 1812 .)

10%

PPI

1865

(1859 .)
,

( )

1908

1900

1896



1875

1864

PPI

1921

1920



1929

Homestake
mining

1950

1949

20
HM
10

2000

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3%

5%
4%

10

2010?

10%

15%

PPI

30

10

30

100

300

S&P

1000



2000

1982

1980

(1966 .)
,

( )


1966

19822000

CRB


(S&P 500)


PPI 1949 .,
CRB

(1908 .)

,
( )

. 12.7. 1789 .

1789

1803

PPI

1817

1835

1816

18161835

18641874

PPI

19211929 19822000

18351844 18751896 19301949 20002010

18641874

18161835

19211929

Long Wave Analyst

10

19491968

18051816 18591864 19081920 19661981

17891802 18451858 18961907

30

10

30

100

300

1798 . 2002 .

S&P

1000

12.
233

234

Long Wave Analyst.


, . ( 15 ).
. 12.7. ( 19491966 .)
,
. ( 19661980 .)
, ,
. (, ,
1980 .) , .
. 2000 . ( ) , , .
( ).
.
,
60 ,
. ,
.
.
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.

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).
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, . ,

, . ,
.

2000 .

7

236

2000 . , 1990- . . . 7.10


.
7 , ( 1999 .) ( 2000 .) . 7 , 10 2000 .
, , .
, 2000 ., , .
.



. 13.1 ( , S&P ). . 13.1 .
, ,
.
.
,
.
. 2000 .
.
2003 .

2003 .

. 13.1 ,

237

13.

. 13.1. 2003 .

. .
2003 .,
. , , , . , ( ) ,
. , ,
.




. 13.2
SPDR ( AMEX)
2003 . S&P 500.
(0,0%) S&P 500.

238

31 2002 . 16 2003 .
SPDR
.

SPDR SPDR

SPDR

SPDR

SPDR

SPDR

SPDR

SPDR
. .

. 13.2. , ,
2003 .

. 2003 .
S&P 500 ( ): , , (
).
, ,
,
.
, 2003 .
(
) . 2000 .
. 2000 . 2003 .
. (
2003 .)

2003 .

13.

239



. 13.3 , Consumer Discretionary Select SPDR
2003 . ( ).
2003 . ,

. ( ) SPDR
S&P 500.
, S&P 500.

, ( ), (
), . ,
,
.
, , ,
, , .
.
.
Consumer Discretionary Select Sector SPDR
(200-)

SPDR / S&P 500


(20-)

. 13.3. 2003 . S&P 500

240


. 13.4 , S&P Retailing Industry Group Index
2003 . ,
2003 . 2001 .
Retailing Industry Group Index S&P 500.
2001 . 2003 . ,
,

.
.


2000 . , , . .

.

S&P 500 Retailing Industry Group Index


(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
37%. Russell 2000
24% ( ).
S&P 500 DJIA , 19% 17% .
Nasdaq, . Nasdaq .

NASDAQ 2003 .
. 13.6 Nasdaq
S&P 500 . 2000 .,
Nasdaq. 2002 . ( , ).
1 2002 . 16 2003 .

S&P 500

DJIA

DJTA

DJUA

NYSE

Nasdaq

Russell 2000

. 13.5. 2002 . 2003 . Nasdaq Russell 2000

242

, Nasdaq S&P 500


.
Nasdaq .
, Nasdaq Composite Index
, Nasdaq 100, Nasdaq (
).
( 2002 . 2003 .) Nasdaq 100
42%, 5% Nasdaq Composite Index, 37%. Nasdaq 100
,
Nasdaq 2002 . 2003 .
.



.
Nasdaq/S&P 500

. 13.6. Nasdaq S&P 500 2002 .

13.

243

, . ( , , ,
, DJIA DJTA
. , . .) , .
, 1999 .
,
. ( ) 1999 .
2000 .
,
. .
. 13.7 , 2003 . DJTA
, 2002 . DJIA . ,
2003 .
, . , , ,
DJTA
(200-)

DJTA/DJIA
(20-)

. 13.7. 2003 . DJTA DJIA

244


2003 . . -, , , , , . .
. -,
.
2000 ., 2003 . .





4 ,
. ,
. , .
, .
, , ,
. .
, ,
, .
2000 .,
. . 13.8 Morgan Stanley Cyclical Index S&P Consumer Staples Index.
.
2000 .
. , , .

13.

245

/ S&P 500 Cons Staples

. 13.8. 2003 .

, .
2003 . .
/
2002 . , , 2000 .
.
,

.
.




( 2002 . 2003 .) , Russell 2000
DJIA S&P 500 (Russell +24%, S&P 500 +19%,

246

DJIA +17%).
2003 . ,
.
, .
. 1960 1991 . .
.
. 13.9
Russell 2000
Russell 1000. 2002 .
.
, . 2003 .
.

Russell 2000/Russell 1000

. 13.9. 2003 . ,

247

13.


. 13.10
.
, . 13.1,
. , . , . ,
. .

. 13.10.



, . 13.10, .

248

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.


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13.

249


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.
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, 2000 . (
1999 .) .
.
, (, , 2001 .). , .
, , . , .
.

250

2003 .

. 13.11 17
2003 . ,
, . . , . (
.) ,
. , (
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. 14.6.

264

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. 14.10. 2002 .

14.

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1998 . 134%. 2001 .
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2003 . Morgan Stanley Capital
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, , . , . , . . , ,
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274

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277

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278

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, , .
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Nasdaq Composite Index
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289

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292

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293

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294

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189, 271

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141
66
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88, 182,
193
- 232
273

273

215
230
231, 232, 234,
261, 262
230, 253, 281

122, 161, 188, 207


18, 19, 27, 115, 277
, 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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