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Trend following with managed futures : the search for crisis alpha

Author: Alex Greyserman; Kathryn Kaminski
Publisher: Hoboken, NJ : John Wiley & Sons, 2014.
Series: Wiley trading series.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
"The investment manager's all-inclusive guide to trend followingCovering a range of areas vital to investors, Trend Following with Managed Futures brings readers up to speed on the basics and theoretical foundations of trend following, then moves on to more advanced topics, like trend following as an alternative asset class, benchmarking and factor decomposition, trend following in an investment portfolio, and much
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Greyserman, Alex.
Trend following with managed futures.
Hoboken : Wiley, 2014
(DLC) 2014013498
(OCoLC)869770348
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Alex Greyserman; Kathryn Kaminski
ISBN: 9781118891025 1118891023 9781118891049 111889104X 9781118891018 1118891015 1118890973 9781118890974
OCLC Number: 880122596
Notes: Includes index.
Machine generated contents note: Foreword Andrew W. Lo Preface Introduction Part I: Introduction Chapter 1: A Multi-Centennial View of Trend Following The Tale of Trend Following: A Historical Study Return Characteristics over the Centuries Risk Characteristics over the Centuries Portfolio Benefits over the Centuries Summary Further Reading and References Appendix: Included Markets and Relevant Assumptions Part II: Trend Following Basics Chapter 2: Review of Futures Markets and Futures Trading Forward and Futures Contract Fundamentals Review of the Managed Futures Industry Futurization Summary Futures Reading and References Chapter 3: Systematic Trend Following Basics The Basic Building Blocks of a Trend Following System Strategy Classification and Core Differentiators Partitioning Trend Following Systems Summary Further Readings and References Part III: Theoretical Foundations Chapter 4: Adaptive Markets and Trend Following The Adaptive Market Hypothesis A Framework for Speculative Risk Taking A Closer look at Crisis Alpha Summary Further Reading and References Chapter 5: Divergence and the Tradability of Trend Risk vs. Uncertainty Convergence vs. Divergence Measuring Market Divergence at the Portfolio Level Testing the Stationarity of Market Divergence The Tradability of Trend The Importance of Entry vs. Exit Summary Further Reading and References Chapter 6: The Role of Interest Rates and the Roll Yield Collateral Yield Decomposition into Roll Yield and Spot Interest Rates and the Roll Yield for Bond Futures Market Divergence and the Roll Yield Commodity Markets and the Roll Yield Summary Further References and Readings Part IV: Trend Following as an Alternative Asset Class Chapter 7: Properties of Trend Following Returns Trend Following as an Alternative Asset Class Crisis Alpha Crisis Beta Key Statistical Properties Summary Featured Readings and References Appendix: A Summary of Common Performance Measures Chapter 8: Characteristics of Drawdowns, Volatility, and Correlation Understanding the Properties of Drawdowns Correlation and Diversification at the Portfolio Level Summary Further Reading and References Chapter 9: The Hidden and Unhidden Risks of Trend Following Directional and Non-Directional Strategies: A Review Defining Hidden and Unhidden Risks The Myths and Mystique of the Sharpe Ratio Unraveling Hidden Risks of Dynamic Leveraging Summary Further Reading and References Chapter 10: Trend Following in Various Macroeconomic Environments Interest Rate Environments Regulatory Forces and Government Intervention Summary Further Reading and References Part V: Benchmarking and Style Analysis Chapter 11: Return Dispersion Strategy Classification and Return Dispersion A Closer Look at Capital Allocation and Position Sizing Return Dispersion from an Investor's Perspective Empirical and Theoretical Considerations for Correlated Return Series Summary Further Readings and References Chapter 12: Index and Style Factor Construction Divergent Risk Taking Revisited Defining a Divergent Trend Following Strategy Constructing Style Factors Characteristics of the Style Factors Summary Further Readings and References Chapter 13: Benchmarking and Style Analysis A Framework for Return based Style Analysis Style Analysis for Individual CTA Managers Sector Level Analysis of the Market Size Factor Manager Selection and Allocation Summary Further Readings and References Part VI: Trend Following in an Investment Portfolio Chapter 14: Portfolio Perspectives on Trend Following A Closer Look at Crisis Alpha The Impact of Mark-to-Market on Correlation Understanding Cyclicality in Managed Futures Summary Further Reading and References Chapter 15: Practicalities of Size, Liquidity, and Capacity Does Size Matter? The Impact of Less Liquid Markets Summary Further Readings and References Appendix: Market Symbols and Names Chapter 16: Diversifying the Diversifier From Pure Trend Following to Multi-Strategy Portfolio Analysis of the Move to Multi-Strategy Hidden Risk of Leveraging Low Volatility Strategies Summary Further Reading and References Chapter 17: Dynamic Allocation to Trend Following A Framework for Dynamic Allocation Mean Reversion in Trend Following Return Series Investigating Dynamic Allocation Strategies Summary Further Reading and References Appendix: A Theoretical Analysis of Mean Reversion in Trend Following Glossary of Key Terms About the Authors Index.
Description: 1 online resource (xxvi, 423 pages) : illustrations.
Contents: Foreword Andrew W. Lo xi Preface xv Introduction xxi PART I HISTORICAL PERSPECTIVES CHAPTER 1 A Multicentennial View of Trend Following 3 The Tale of Trend Following: A Historical Study 5 Return Characteristics over the Centuries 8 Risk Characteristics over the Centuries 17 Portfolio Benefi ts over the Centuries 19 Summary 21 Appendix: Included Markets and Relevant Assumptions 21 Further Reading and References 23 PART II TREND FOLLOWING BASICS CHAPTER 2 Review of Futures Markets and Futures Trading 27 Forward and Futures Contract Fundamentals 27 Review of the Managed Futures Industry 34 Futurization 38 Summary 43 Further Reading and References 43 CHAPTER 3 Systematic Trend Following Basics 45 The Basic Building Blocks of a Trend Following System 47 Strategy Classifi cation and Core Diff erentiators 56 Partitioning Trend Following Systems 60 Summary 61 Further Reading and References 61 PART III THEORETICAL FOUNDATIONS CHAPTER 4 Adaptive Markets and Trend Following 65 The Adaptive Market Hypothesis 66 A Framework for Speculative Risk Taking 75 A Closer Look at Crisis Alpha 78 Summary 91 Further Readings and References 91 CHAPTER 5 Divergence and the Tradability of Trend 93 Risk versus Uncertainty 93 Convergence versus Divergence 95 Measuring Market Divergence at the Portfolio Level 106 Testing the Stationarity of Market Divergence 114 The Tradability of Trend 117 The Importance of Entry versus Exit 121 Summary 124 Further Reading and References 124 CHAPTER 6 The Role of Interest Rates and the Roll Yield 127 Collateral Yield 128 Decomposition into Roll Yield and Spot 131 Summary 138 Further Reading and References 139 PART IV TREND FOLLOWING AS AN ALTERNATIVE ASSET CLASS CHAPTER 7 Properties of Trend Following Returns 143 Trend Following as an Alternative Asset Class 143 Crisis Alpha 145 Crisis Beta 149 Key Statistical Properties 155 Summary 159 Appendix: A Summary of Common Performance Measures 160 Further Reading and References 161 CHAPTER 8 Characteristics of Drawdowns, Volatility, and Correlation 163 Understanding the Properties of Drawdowns 163 Volatility of a Trend Following Portfolio 173 Correlation and Diversification at the Portfolio Level 181 Summary 185 Further Reading and References 186 CHAPTER 9 The Hidden and Unhidden Risks of Trend Following 187 Directional and Nondirectional Strategies: A Review 187 Defining Hidden and Unhidden Risks 188 The Myths and Mystique of the Sharpe Ratio 195 Unraveling Hidden Risks of Dynamic Leveraging 196 Summary 207 Further Reading and References 207 CHAPTER 10 Trend Following in Various Macroeconomic Environments 209 Interest Rate Environments 210 Regulatory Forces and Government Intervention 217 Postcrisis Recovery 221 Summary 228 Further Reading and References 229 PART V BENCHMARKING AND STYLE ANALYSIS CHAPTER 11 Return Dispersion 233 Strategy Classification and Return Dispersion 234 A Closer Look at Capital Allocation and Position Sizing 239 Return Dispersion from an Investor s Perspective 247 Empirical and Theoretical Considerations for Correlated Return Series 256 Summary 263 Further Reading and References 264 CHAPTER 12 Index and Style Factor Construction 265 Divergent Risk Taking Revisited 266 Defining a Divergent Trend Following Strategy 269 Constructing Style Factors 277 Characteristics of the Style Factors 282 Summary 286 Further Reading and References 287 CHAPTER 13 Benchmarking and Style Analysis 289 A Framework for Return-Based Style Analysis 290 Style Analysis for Individual CTA Managers 294 Sector Level Analysis of the Market Size Factor 299 Style Analysis Clarifications 304 Manager Selection and Allocation 310 Summary 313 Further Reading and References 313 PART VI TREND FOLLOWING IN AN INVESTMENT PORTFOLIO CHAPTER 14 Portfolio Perspectives on Trend Following 317 A Closer Look at Crisis Alpha 317 The Impact of Mark-to-Market on Correlation 326 Understanding Volatility Cyclicality 329 Summary 334 Further Reading and References 335 CHAPTER 15 Practicalities of Size, Liquidity, and Capacity 337 Does Size Matter? 337 The Impact of Less Liquid Markets 345 Summary 351 Appendix: Market Symbols and Names 352 Further Reading and References 352 CHAPTER 16 Diversifying the Diversifier 353 From Pure Trend Following to Multistrategy 354 Portfolio Analysis of the Move to Multistrategy 358 Hidden Risk of Leveraging Low-Volatility Strategies 368 Summary 374 Further Reading and References 374 CHAPTER 17 Dynamic Allocation to Trend Following 375 A Framework for Dynamic Allocation 375 Mean Reversion in Trend Following Return Series 377 Investigating Dynamic Allocation Strategies 384 Summary 389 Appendix: A Theoretical Analysis of Mean Reversion in Trend Following 390 Further Reading and References 393 Glossary 395 About the Authors 407 Index 409
Series Title: Wiley trading series.
Responsibility: Alex Greyserman, Kathryn Kaminski.
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Abstract:

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.  Read more...

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