Following the Trend : Diversified Managed Futures Trading.
Title:
Following the Trend : Diversified Managed Futures Trading.
Author:
Clenow, Andreas F.
ISBN:
9781118410820
Personal Author:
Edition:
1st ed.
Physical Description:
1 online resource (302 pages)
Series:
Wiley Trading
Contents:
Following the Trend -- Contents -- Foreword -- Preface -- Acknowledgements -- 1 CROSS-ASSET TREND FOLLOWING WITH FUTURES -- Diversifi ed Trend Following in a Nutshell -- The Traditional Investment Approach -- The Case for Diversifi ed Managed Futures -- Criticism of Trend-Following Strategies -- Managed Futures as a Business -- Differences Between Running a Trading Business and Personal Trading -- Marketability of your strategy -- Volatility profi le -- Subscriptions and redemptions -- Psychological difference -- 2 FUTURES DATA AND TOOLS -- Futures as an Asset Class -- Futures exchanges -- Futures and currency exposure -- Futures Data -- Dealing with limited life span -- Term structure -- Basis gaps -- Futures Sectors -- Agricultural commodities -- Non-agricultural commodities -- Currencies -- Equities -- Rates -- Required Tools -- A word about programming -- Development environment -- Data vendors -- Data storage -- 3 CONSTRUCTING DIVERSIFIED FUTURES TRADING STRATEGIES -- They Are All Doing the Same Thing -- Cracking Open the Magic Trend-Following Black Box -- Investment universe -- Position sizing -- Slippage, commission and other costs -- Interest on liquidity -- Strategy personality -- Anatomy of a trend-following strategy -- 4 TWO BASIC TREND-FOLLOWING STRATEGIES -- Strategy Performance -- Correlations between strategies -- Parameter stability -- Conclusions from the basic strategies -- Improving the Strategies -- Trend fi lter -- An improved stop loss mechanism -- Controlling the risk level -- Parameter stability check -- A solid foundation for futures trading -- Core strategy rules -- 5 IN-DEPTH ANALYSIS OF TREND-FOLLOWING PERFORMANCE -- Strategy Behaviour -- As a Complement to an Equity Portfolio -- Trading Direction -- Sector Impact -- Cash Management and the Effect of Free Government Money -- Putting Leverage into Context.
6 YEAR BY YEAR REVIEW -- How to Read this Chapter -- 1990 -- 1991 -- 1992 -- 1993 -- 1994 -- 1995 -- 1996 -- 1997 -- 1998 -- 1999 -- 2000 -- 2001 -- 2002 -- 2003 -- 2004 -- 2005 -- 2006 -- 2007 -- 2008 -- 2009 -- 2010 -- 2011 -- Conclusions of Year by Year Review -- 7 REVERSE ENGINEERING THE COMPETITION -- Investment Universes -- Comparing the Investment Universes -- Replicating Existing Funds -- Campbell Composite -- Sunrise Capital Diversifi ed -- Palm Trend Fund -- Transtrend Standard Risk Program -- Mulvaney Capital Management Global Markets Fund -- More funds -- Conclusions -- 8 TWEAKS AND IMPROVEMENTS -- Trading Multiple Time Frames -- Trading Synthetic Contracts -- Adding A Counter-Trend Component -- Intraday Stops -- Correlation Matrices, Position Sizing and Risk -- The Rollover Effect -- Optimisation and its Discontents -- 9 PRACTICALITIES OF FUTURES TRADING -- Required Asset Base -- Going Live -- Execution -- Cash Management -- Higher Volatility in Drawdown Mode -- Portfolio Monitoring -- Strategy Follow-Up -- 10 FINAL WORDS OF CAUTION -- Diminishing Returns of Futures Funds -- Ending Up in the Soup Bowl -- Setting the Initial Risk Level -- BIBLIOGRAPHY -- Offi cial Book Website -- Research Papers, Articles and Websites -- Books -- INDEX.
Abstract:
During bull and bear markets, there is a group of hedge funds and professional traders which have been consistently outperforming traditional investment strategies for the past 30 odd years. They have shown remarkable uncorrelated performance and in the great bear market of 2008 they had record gains. These traders are highly secretive about their proprietary trading algorithms and often employ top PhDs in their research teams. Yet, it is possible to replicate their trading performance with relatively simplistic models. These traders are trend following cross asset futures managers, also known as CTAs. Many books are written about them but none explain their strategies in such detail as to enable the reader to emulate their success and create their own trend following trading business, until now. Following the Trend explains why most hopefuls fail by focusing on the wrong things, such as buy and sell rules, and teaches the truly important parts of trend following. Trading everything from the Nasdaq index and T-bills to currency crosses, platinum and live hogs, there are large gains to be made regardless of the state of the economy or stock markets. By analysing year by year trend following performance and attribution the reader will be able to build a deep understanding of what it is like to trade futures in large scale and where the real problems and opportunities lay. Written by experienced hedge fund manager Andreas Clenow, this book provides a comprehensive insight into the strategies behind the booming trend following futures industry from the perspective of a market participant. The strategies behind the success of this industry are explained in great detail, including complete trading rules and instructions for how to replicate the performance of successful hedge funds. You are in for a potentially highly profitable roller coaster ride
with this hard and honest look at the positive as well as the negative sides of trend following.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
Genre:
Electronic Access:
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