Trend Following with Managed Futures: The Search for Crisis Alpha (Anglais) Broché – 3 octobre 2014
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Descriptions du produit
Présentation de l'éditeur
An all–inclusive guide to trend following
As more and more savvy investors move into the space, trend following has become one of the most popular investment strategies. Written for investors and investment managers, Trend Following with Managed Futures offers an insightful overview of both the basics and theoretical foundations for trend following. The book also includes in–depth coverage of more advanced technical aspects of systematic trend following. The book examines relevant topics such as:
- Trend following as an alternative asset class
- Benchmarking and factor decomposition
- Applications for trend following in an investment portfolio
- And many more
By focusing on the investor perspective, Trend Following with Managed Futures is a groundbreaking and invaluable resource for anyone interested in modern systematic trend following.
Quatrième de couverture
PRAISE FOR TREND FOLLOWING WITH MANAGED FUTURES
WOW!! Everything you ever wanted to know about trend following over the past 800 years, from the theoretical to the practical, can be found in this book. If you are contemplating an allocation to or redemption from CTAs, you should read this book first.
Ed Robertiello, CFA, Senior Portfolio Manager, Absolute Return Strategies, CalPERS
Alex Greyserman and Kathryn Kaminski have provided a full insight into trend following models in simple language and with examples throughout this book. They have demystified the black box notion associated with managed futures/trend followers.
Romule Nohasiarisoa, CFA, Senior Hedge Fund Analyst, PGGM Pension Fund, Netherlands
Alex and Kathryn are prolific researchers in the world of managed futures and manager selection. This work is a significant contribution to the understanding of CTA performance and is a must read for anyone interested in analyzing CTA returns.
Adam Duncan, Senior Investment Director, Cambridge Associates
This book is a fascinating and timely examination of an investment strategy that, for too long, has dwelt in the shadows of the financial industry. Every serious investor should read this book!
Andrew Lo, PhD, Charles E. and Susan T. Harris Professor of Finance, MIT Sloan School of Management
This is a must have on the bookshelf of any institutional investor. Alex and Kathryn bring academic rigor to CTA investing in an easily digestible and understandable framework.
Lawrence Kissko, Head of Macro and Quantitative Strategies, Hermes BPK Partners
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Détails sur le produit
Commentaires en ligne
Commentaires client les plus utiles sur Amazon.com (beta)
This book will not give you simple answers. It won't give you ready-to-use trading systems or advise on how to get rich fast. This is a book for those who want to learn for real. Those who are looking for easy answers and lack the patience to do proper research will probably not make it through this book. Most readers will be challenged by the book. It will open your eyes to aspects of trend following that you probably hadn't realized before.
If you're a serious market professional in the systematic trading field, or aspiring to become one, this is a book you need to read. There are plenty of books available that gives you easy solutions. Few of them work in reality. This is the book that will take you to a different level. It should spark new research areas and help you elevate your own research.
In writing this book, the authors have shed welcome light on an all too often misunderstood industry. A highly recommended book.
Though the book has a ton of economic formulas, you do not need to deconstruct them to understand the basic idea of what is being shown.
The sections of the book deconstruct methods; risk management types and time frames; high and low interest rate environments etc.
Very interesting is the discussion of divergent versus convergent risk taking, and the research showing that divergent risk taking is stable over time.
If you are interested in actual system building and the other aspects of managing a fund, read "Following the Trend: Diversified Managed Futures Trading" by Andreas Clenow, but for foundation information, exploring variations and academic research proving the method you need to read this book as well.
The authors show convincingly that non-optimized trend following can dramatically improve performance, and they do so over the longest back test I have ever seen covering 800 years of data. To me, that alone was worth the price of the book.
Greyserman and Kaminski looked at 84 markets covering equities, fixed income, foreign exchange, and commodities as they became available from 1223 to 2013. They established long and short positions that were rebalanced monthly based on the trend over the preceding 12 months. They point out that moving averages, in contrast to their approach, may change signs often which can lead to unwanted trading and associated trading costs.
Trend following showed an average annual return of 13% with an annual volatility of 11% and Sharpe ratio of 1.16, versus a return of 4.8%, volatility of 10.3%, and Sharpe ratio of 0.47 for buy-and-hold. Trend following also had positive skewness, while most asset classes without trend following have negative skewness. Positive skewness means less chance of large drawdowns.
The largest drawdowns with trend following were approximately 25% lower than with buy-and-hold, and the duration of those drawdowns was 90% shorter. Trend following also showed positive performance during periods of market turmoil. It also had a low correlation with traditional asset classes, interest rate regimes, and inflation.
I use a similar, long-only trend following method myself with stocks and bonds as described in my book, "Dual Momentum Investing". I was therefore grateful to the authors for providing this impressive validation of trend following based on 800 years of data.