Cover image for Trend Following with Managed Futures

Trend Following with Managed Futures

Author Kathryn Kaminski , Alex Greyserman
Release Date: 2014/08/01
ISBN: 9781118890974
Topic:
0%
36
Chapters
0-1
Hours read
0k
Total Words
    Start Reading Now    
       Add to Wishlist       
View table of contents

Book Description

An all-inclusive guide to trend following

As more and more savvy investors move into the space, trend following has become one of the most popular investment strategies. Written for investors and investment managers, Trend Following with Managed Futures offers an insightful overview of both the basics and theoretical foundations for trend following. The book also includes in-depth coverage of more advanced technical aspects of systematic trend following. The book examines relevant topics such as:

  • Trend following as an alternative asset class
  • Benchmarking and factor decomposition
  • Applications for trend following in an investment portfolio
  • And many more

By focusing on the investor perspective, Trend Following with Managed Futures is a groundbreaking and invaluable resource for anyone interested in modern systematic trend following.

Table of Contents

  1. Cover
  2. Half Title Page
  3. Title Page
  4. Copyright
  5. Foreword
  6. Preface
  7. Introduction
    1. A Foreword for the Remainder of the Book
  8. Part I: Historical Perspectives
    1. Chapter 1: A Multicentennial View of Trend Following
      1. The Tale of Trend Following: A Historical Study
      2. Return Characteristics over the Centuries
      3. Risk Characteristics over the Centuries
      4. Portfolio Benefits over the Centuries
      5. Summary
      6. Appendix: Included Markets and Relevant Assumptions
      7. Further Readings and References
  9. Part II: Trend Following Basics
    1. Chapter 2: Review of Futures Markets and Futures Trading
      1. Forward and Futures Contract Fundamentals
      2. Review of the Managed Futures Industry
      3. Futurization
      4. Summary
      5. Further Readings and References
    2. Chapter 3: Systematic Trend Following Basics
      1. The Basic Building Blocks of a Trend Following System
      2. Strategy Classification and Core Differentiators
      3. Partitioning Trend Following Systems
      4. Summary
      5. Further Readings and References
  10. Part III: Theoretical Foundations
    1. Chapter 4: Adaptive Markets and Trend Following
      1. The Adaptive Market Hypothesis
      2. A Framework for Speculative Risk Taking
      3. A Closer Look at Crisis Alpha
      4. Summary
      5. Further Readings and References
    2. Chapter 5: Divergence and the Tradability of Trend
      1. Risk versus Uncertainty
      2. Convergence versus Divergence
      3. Measuring Market Divergence at the Portfolio Level
      4. Testing the Stationarity of Market Divergence
      5. The Tradability of Trend
      6. The Importance of Entry versus Exit
      7. Summary
      8. Further Readings and References
    3. Chapter 6: The Role of Interest Rates and the Roll Yield
      1. Collateral Yield
      2. Decomposition into Roll Yield and Spot
      3. Summary
      4. Further Reading and References
  11. Part IV: Trend Following as an Alternative Asset Class
    1. Chapter 7: Properties of Trend Following Returns
      1. Trend Following as an Alternative Asset Class
      2. Crisis Alpha
      3. Crisis Beta
      4. Key Statistical Properties
      5. Summary
      6. Appendix: A Summary of Common Performance Measures
      7. Further Readings and References
    2. Chapter 8: Characteristics of Drawdowns, Volatility, and Correlation
      1. Understanding the Properties of Drawdowns
      2. Volatility of a Trend Following Portfolio
      3. Correlation and Diversification at the Portfolio Level
      4. Summary
      5. Further Readings and References
    3. Chapter 9: The Hidden and Unhidden Risks of Trend Following
      1. Directional and Nondirectional Strategies: A Review
      2. Defining Hidden and Unhidden Risks
      3. The Myths and Mystique of the Sharpe Ratio
      4. Unraveling Hidden Risks of Dynamic Leveraging
      5. Summary
      6. Further Readings and References
    4. Chapter 10: Trend Following in Various Macroeconomic Environments
      1. Interest Rate Environments
      2. Regulatory Forces and Government Intervention
      3. Postcrisis Recovery
      4. Summary
      5. Further Readings and References
  12. Part V: Benchmarking and Style Analysis
    1. Chapter 11: Return Dispersion
      1. Strategy Classification and Return Dispersion
      2. A Closer Look at Capital Allocation and Position Sizing
      3. Return Dispersion from an Investor’s Perspective
      4. Empirical and Theoretical Considerations for Correlated Return Series
      5. Summary
      6. Further Readings and References
    2. Chapter 12: Index and Style Factor Construction
      1. Divergent Risk Taking Revisited
      2. Defining a Divergent Trend Following Strategy
      3. Constructing Style Factors
      4. Characteristics of the Style Factors
      5. Summary
      6. Further Reading and References
    3. Chapter 13: Benchmarking and Style Analysis
      1. A Framework for Return-Based Style Analysis
      2. Style Analysis for Individual CTA Managers
      3. Sector Level Analysis of the Market Size Factor
      4. Style Analysis Clarifications
      5. Manager Selection and Allocation
      6. Summary
      7. Further Readings and References
  13. Part VI: Trend Following in an Investment Portfolio
    1. Chapter 14: Portfolio Perspectives on Trend Following
      1. A Closer Look at Crisis Alpha
      2. The Impact of Mark-to-Market on Correlation
      3. Understanding Volatility Cyclicality
      4. Summary
      5. Further Readings and References
    2. Chapter 15: Practicalities of Size, Liquidity, and Capacity
      1. Does Size Matter?
      2. The Impact of Less Liquid Markets
      3. Summary
      4. Appendix: Market Symbols and Names
      5. Further Readings and References
    3. Chapter 16: Diversifying the Diversifier
      1. From Pure Trend Following to Multistrategy
      2. Portfolio Analysis of the Move to Multistrategy
      3. Hidden Risk of Leveraging Low-Volatility Strategies
      4. Summary
      5. Further Readings and References
    4. Chapter 17: Dynamic Allocation to Trend Following
      1. A Framework for Dynamic Allocation
      2. Mean Reversion in Trend Following Return Series
      3. Investigating Dynamic Allocation Strategies
      4. Summary
      5. Appendix: A Theoretical Analysis of Mean Reversion in Trend Following
      6. Further Readings and References
  14. Glossary
  15. About the Authors
  16. Index
  17. Wiley End User License Agreement
18.221.129.19