Following the Trend

Andreas F. Clenow 지음

Wiley 2023년 01월 23일 출간

작품소개

책소개

An up-to-date and practical roadmap for diversified futures trading using CTA fund strategies In the newly revised second edition of Following the Trend: Diversified Managed Futures Trading, renowned hedge fund founder and asset manager Andreas F. Clenow presents a systematic asset management methodology in a way that allows readers to emulate the success of CTA industry professionals. In the book, you’ll find performance and attribution details for every year between 2002 and 2021 and detailed explanations of how the markets, industry, and strategy have evolved between the publication of the first edition and today. The author also offers: Detailed discussions of whether CTA hedge funds continue to show high internal correlation and exhibit homogeneous behaviour The impact of low and negative interest rate environments, massive inflows into equity markets, and the rise of quant trading firms Explorations of the combination of different types of trading models to enhance performance, complete with rulesets and fulsome analysesA ground-breaking and thoroughly incisive examination of the commodity trading advisor industry, Following the Trend: Diversified Managed Futures Trading is an essential volume for sophisticated retail traders, day traders, private investors, investment managers, portfolio managers, and institutional investors.

목차

1. Foreword by Jerry Parker 1 2. Forewords to the First Edition 2 3. Preface 4 1. Cross Asset Trend Following with Futures 1 Diversified Trend Following in a Nutshell 3 The Traditional Investment Approach 5 The Case for Diversified Managed Futures 9 Managed Futures as a Business 14 Differences between Running a Trading Business and Personal Trading 19 Marketability of Your Strategy 19 Volatility Profile 20 Subscriptions and Redemptions 22 Psychological Difference 23 2. Futures Data 25 Futures as an Asset Class 25 Futures Exchanges 25 Futures and Currency Exposure 25 Futures Data 28 Dealing with Limited Life Span 28 Term Structure 31 Basis Gaps 33 The Change in how Continuations are used 36 Futures Sectors 37 Agricultural Commodities 37 Non-Agricultural Commodities 40 Currencies 44 Equities 46 Rates 49 3. Constructing Diversified Futures Trading Strategies 53 They are all doing the Same Thing 54 Cracking Open the Magic Trend Following Black Box 58 Investment Universe 58 Position Sizing 61 Slippage and Commission 64 Strategy Personality 65 Anatomy of a Trend Following Strategy 66 4. Two Basic Trend Following Strategies 69 Strategy Performance 72 Correlations Between Strategies 80 Conclusions from the Basic Strategies 82 Combining the Strategies 83 Trend Filter 83 A Core Trend Following Strategy 85 Controlling the Risk Level 87 Cash Management and the Effect of Free Government Money 90 Loading Fees 96 5. In-Depth Analysis of Trend Following Performance 98 Strategy Behaviour 98 Strategy Long Term Performance 100 Crisis Alpha 103 Trading Direction 105 Sector Impact 108 Putting Leverage into Context 111

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작가정보

저자(글) Andreas F. Clenow