book

Trend Following with Managed Futures

by Alex Greyserman, Kathryn Kaminski

August 2014

Intermediate to advanced

464 pages

12h 49m

English

Wiley

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A Foreword for the Remainder of the Book
The Tale of Trend Following: A Historical StudyReturn Characteristics over the CenturiesRisk Characteristics over the CenturiesPortfolio Benefits over the CenturiesSummaryAppendix: Included Markets and Relevant AssumptionsFurther Readings and References

Forward and Futures Contract FundamentalsReview of the Managed Futures IndustryFuturizationSummaryFurther Readings and References
The Basic Building Blocks of a Trend Following SystemStrategy Classification and Core DifferentiatorsPartitioning Trend Following SystemsSummaryFurther Readings and References
The Adaptive Market HypothesisA Framework for Speculative Risk TakingA Closer Look at Crisis AlphaSummaryFurther Readings and References
Risk versus UncertaintyConvergence versus DivergenceMeasuring Market Divergence at the Portfolio LevelTesting the Stationarity of Market DivergenceThe Tradability of TrendThe Importance of Entry versus ExitSummaryFurther Readings and References
Collateral YieldDecomposition into Roll Yield and SpotSummaryFurther Reading and References
Trend Following as an Alternative Asset ClassCrisis AlphaCrisis BetaKey Statistical PropertiesSummaryAppendix: A Summary of Common Performance MeasuresFurther Readings and References
Understanding the Properties of DrawdownsVolatility of a Trend Following PortfolioCorrelation and Diversification at the Portfolio LevelSummaryFurther Readings and References
Directional and Nondirectional Strategies: A ReviewDefining Hidden and Unhidden RisksThe Myths and Mystique of the Sharpe RatioUnraveling Hidden Risks of Dynamic LeveragingSummaryFurther Readings and References
Interest Rate EnvironmentsRegulatory Forces and Government InterventionPostcrisis RecoverySummaryFurther Readings and References
Strategy Classification and Return DispersionA Closer Look at Capital Allocation and Position SizingReturn Dispersion from an Investor’s PerspectiveEmpirical and Theoretical Considerations for Correlated Return SeriesSummaryFurther Readings and References
Divergent Risk Taking RevisitedDefining a Divergent Trend Following StrategyConstructing Style FactorsCharacteristics of the Style FactorsSummaryFurther Reading and References
A Framework for Return-Based Style AnalysisStyle Analysis for Individual CTA ManagersSector Level Analysis of the Market Size FactorStyle Analysis ClarificationsManager Selection and AllocationSummaryFurther Readings and References
A Closer Look at Crisis AlphaThe Impact of Mark-to-Market on CorrelationUnderstanding Volatility Cyclicality SummaryFurther Readings and References
Does Size Matter?The Impact of Less Liquid MarketsSummaryAppendix: Market Symbols and NamesFurther Readings and References
From Pure Trend Following to MultistrategyPortfolio Analysis of the Move to MultistrategyHidden Risk of Leveraging Low-Volatility StrategiesSummaryFurther Readings and References
A Framework for Dynamic AllocationMean Reversion in Trend Following Return SeriesInvestigating Dynamic Allocation StrategiesSummaryAppendix: A Theoretical Analysis of Mean Reversion in Trend FollowingFurther Readings and References