Following the trend : diversified managed futures trading / Andreas F. Clenow.

Format:

Book

Author/Creator:

Clenow, Andreas F., 1975- author.

Series:

Wiley trading.

Wiley trading

Language:

English

Subjects (All):

Futures.

Speculation.

Physical Description:

1 online resource (xx, 316 pages) : illustrations.

Edition:

Second edition.

Place of Publication:

Hoboken, NJ : John Wiley & Sons, Inc., 2023.

Summary:

"The highly successful first edition of Following the Trend: Diversified Managed Futures Trading presented a systematic asset management methodology employed by the CTA industry, explaining their strategies in such a way as to enable the reader to emulate their success. This fully updated new edition: Reviews whether CTA hedge funds continue to show high internal correlation and to exhibit homogeneous behavior, and explores the reasons for potential deviations. Explains why and how the financial markets have changed and how that has impacted everything, including the trading strategy of the CTA industry. Changes include a low and negative interest rate environment, massive inflows, the rise of quant trading firms, etc. Explores additional, related strategies. Combining different type of models can greatly enhance performance, and this is how the industry currently operates; such strategies are explained fully, complete with rulesets and an analysis of the value of combining such models with the core trend approach"-- Provided by publisher.

Contents:

Cover

Title Page

Copyright Page

Contents

Foreword by Jerry Parker

Foreword to the First Edition

Preface

Chapter 1 Cross-Asset Trend Following with Futures

Diversified Trend Following in a Nutshell

The Traditional Investment Approach

The Case for Diversified 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 Profile

Subscriptions and Redemptions

Psychological Difference

Chapter 2 Futures Data

Futures as an Asset Class

Futures Exchanges

Futures and Currency Exposure

Futures Data

Dealing with Limited Life Span

Term Structure

Basis Gaps

The Change in How Continuations Are Used

Futures Sectors

Agricultural Commodities

Non-Agricultural Commodities

Currencies

Equities

Rates

Chapter 3 Constructing Diversified Futures Trading Strategies

They Are All Doing the Same Thing

Cracking Open the Magic Trend-Following Black Box

The Investment Universe

Position Sizing

Slippage and Commission

Strategy Personality

Anatomy of a Trend-Following Strategy

Chapter 4 Two Basic Trend-Following Strategies

Strategy Performance

Correlations Between Strategies

Conclusions from the Basic Strategies

Combining the Strategies

Trend Filter

A Core Trend-Following Strategy

Controlling the Risk Level

Cash Management and the Effect of Free Government Money

Loading Fees

Chapter 5 In-Depth Analysis of Trend-Following Performance

Strategy Behaviour

Strategy Long-Term Performance

Crisis Alpha

Trading Direction

Sector Impact

Putting Leverage into Context

As a Complement to an Equity Portfolio

Chapter 6 A Year-by-Year Review

How to Read This Chapter

2002

2003

2004.

2005

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

2021

Year-by-Year Conclusions

Chapter 7 Counter-Trend Trading

Building a Counter-Trend Model

Counter-Trend Performance

Chapter 8 Systematic Trading Without Time Series

Measuring Term Structure

Using Term Structure for Trading

Limitations of Term Structure Models

Chapter 9 Tweaks and Improvements

Trading Synthetic Contracts

Correlation Matrices, Position Sizing, and Risk

Optimisation and Its Discontents

Style Diversification

Volatility-Based Stop Loss

Chapter 10 Practicalities of Futures Trading

Required Asset Base

Going Live

Execution

Cash Management

Higher Volatility in Drawdown Mode

Portfolio Monitoring

Strategy Follow-Up

Chapter 11 Modelling Futures Strategies

Why You Need to Do Your Own Research

A Word about Programming

Settling on a Research Environment

Python and Zipline

Sourcing Your Data

Data Storage

The Dangers of Backtesting

Chapter 12 Does Trend Following Work on Stocks?

Define Trend Following

What about ETFs?

Chapter 13 Trading for a Living

How Much Does a Good Trader Make?

Getting a Job in Trading

Trading Your Own Money

Trading OPM

Reasons Not to Trade OPM

Chapter 14 Final Words of Caution

Diminishing Returns of Futures Funds

Setting the Initial Risk Level

Bibliography

About the Author

Index

EULA.

Notes:

OCLC-licensed vendor bibliographic record.

Includes bibliographical references (pages 303-306) and index.

ISBN:

9781394320516

1394320515

9781119909002

1119909007

9781119908999

111990899X

OCLC:

1371463683