INDEX
A
Adaptation:
defined
factors affecting
testing stationarity
Adaptive markets:
adaptive markets hypothesis
crisis alpha and
factors affecting adaptation
introduction
speculative risk taking framework
summary
Adaptive markets hypothesis:
defined
divergence and
overview
speculative risk taking framework
summary
testing stationarity
Agricultural market examples:
correlation
drawdowns
stationarity tests
subsidies
Allocated dollar risk, described
Alpha decay, defined
Alternative asset class, trend following as:
alternative asset class defined
drawdowns, volatility, and correlation
macroeconomic environments
return properties
risks of trend following
Antifragility concept
Assets under management, growth of
Asymmetric leverage effect
Asymmetry between losses and gains
Average holding period, defined
Average PnL ratio
Average relative trading volume, growth of
Average sector allocations, defined
Average trading range, described
Average winning trade rate
B
Backwardation, described
Ball guessing game example
Barclay CTA Index, Sharpe ratio myths and mystique
Barclay Hedge Index, Sharpe ratio myths and mystique
Baseline strategy, style analysis
Basics of trend following:
futures markets and trading
trend following systems
Behavioral finance:
adaptation and
adaptive markets
convergence vs. divergence
index and style factor construction
uncertainty aversion
Benchmarking and style analysis. See also specific aspects
common benchmarks
index and style factor construction
return dispersion ...
