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