August 2014
Intermediate to advanced
464 pages
12h 49m
English
Content preview from Trend Following with Managed Futures
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.
CHAPTER 14
Portfolio Perspectives on Trend Following
Up until this point, trend following has been examined somewhat in isolation. The remainder of this book turns to trend following from a more global perspective. This chapter reviews three core issues that represent advanced topics: the role of equity markets and crisis alpha, understanding cyclicality in trend following volatility, and the role of mark-to-market for manager-to-manager correlations. This chapter opens the discussion of trend following from an investor perspective. Chapter 15 discusses the role of size, liquidity, and capacity. Chapter 16 examines the act of diversifying away from pure trend following. Chapter 17 discusses dynamic allocation to trend following across time.
■ A Closer Look at Crisis Alpha
Chapter 4 introduced the concept of crisis alpha in the context of adaptive markets. Throughout the following chapters the importance of crisis alpha is discussed using an array of measures and across construction styles for trend following. For an institutional investor, crisis alpha is a key characteristic for understanding how trend following strategies can perform during difficult periods for traditional portfolios. Chapter 7 discussed how crisis alpha can be applied for different asset classes. This section focuses on diving deeper into how equity markets relate to crisis alpha.
Equity Dependence
A typical trend following portfolio consists of seven sectors: equity indices, bonds, short-term interest ...
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Read now
Unlock full access
More than 5,000 organizations count on O’Reilly
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.