Trend following with managed futures : the search for crisis alpha / Alex Greyserman, Kathryn Kaminski.
2014
HG4529.5
Formats
| Format | |
|---|---|
| BibTeX | |
| MARCXML | |
| TextMARC | |
| MARC | |
| DublinCore | |
| EndNote | |
| NLM | |
| RefWorks | |
| RIS |
Linked e-resources
Details
Title
Trend following with managed futures : the search for crisis alpha / Alex Greyserman, Kathryn Kaminski.
Author
ISBN
9781118891025 (epub)
1118891023 (epub)
9781118891049 (pdf)
111889104X (pdf)
9781118891018
1118891015
1118890973
9781118890974
9781118890974 (paperback)
1118891023 (epub)
9781118891049 (pdf)
111889104X (pdf)
9781118891018
1118891015
1118890973
9781118890974
9781118890974 (paperback)
Published
Hoboken, NJ : John Wiley & Sons, 2014.
Language
English
Description
1 online resource (xxvi, 423 pages) : illustrations
Call Number
HG4529.5
System Control No.
(OCoLC)880122596
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 more. Trend following is one of the most popular investment strategies today, and as more investors begin to use it there is an ever-growing need for information on the topic. While there are many books on trend following written "by traders, for traders," very few focus on the investors who allocate capital to them. Now, Trend Following with Managed Futures is the first rigorous and academically-motivated book of its kind to approach trend following from the investor's unique perspective. Provides investors with information they need to use and allocate trend following Offers sound advice for all finance practitioners Caters to a large audience looking for authoritative material on the topic Features an online component Trend Following with Managed Futures is an invaluable resource for anyone who invests via trend following or offers financial advice related to trend following"-- Provided by publisher.
"Source guide for finance practitioners who invest in or give financial advice related to trend following strategy. Discusses trend following basics, theoretical foundations of trend following, trend following as an alternative asset class, benchmarking and factor decomposition, trend following in an investment portfolio, and advanced topics"-- Provided by publisher.
"Source guide for finance practitioners who invest in or give financial advice related to trend following strategy. Discusses trend following basics, theoretical foundations of trend following, trend following as an alternative asset class, benchmarking and factor decomposition, trend following in an investment portfolio, and advanced topics"-- Provided by publisher.
Note
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.
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.
Bibliography, etc. Note
Includes bibliographical references and index.
Formatted Contents Note
Trend Following with Managed Futures
Contents
Foreword
Preface
Introduction
A Foreword for the Remainder of the Book
Part I Historical Perspectives
Chapter 1 A Multicentennial View of Trend Following
The Tale of Trend Following: A Historical Study
Return Characteristics over the Centuries
Interest Rate Regime Dependence
Inflationary Environments
Financial Bubbles and Crisis
Market Divergence
Risk Characteristics over the Centuries
Portfolio Benefits over the Centuries
Summary
Appendix: Included Markets and Relevant Assumptions
Assumptions and Approximations
Further Reading and References
Part II Trend Following Basics
Chapter 2 Review of Futures Markets and Futures Trading
Forward and Futures Contract Fundamentals
A Review of Futures Markets
Core Attributes of Futures Contracts
Hedging and Speculation
Trading Specifics of Futures Contracts
Review of the Managed Futures Industry
Managed Futures Strategies
Growth in the Managed Futures Industry
Futurization
Drivers of Futurization
Swap Futures
The Pros and the Cons of Futurization
Summary
Further Reading and References
Chapter 3 Systematic Trend Following Basics
The Basic Building Blocks of a Trend Following System
Data Processing
Position Sizing
Signal Generation and Aggregation
Signal Aggregation and Links to Position Sizing
Market Allocation
Sector Allocation and Allocation Constraints
Trading Execution
Strategy Classification and Core Differentiators
Target Risk and Leverage
Capital Allocation
Holding Period
Directional Bias
Partitioning Trend Following Systems
Summary
Further Reading and References
Part III Theoretical Foundations
Chapter 4 Adaptive Markets and Trend Following
The Adaptive Market Hypothesis.
Factors That Affect Adaptation
Crisis Alpha Opportunities
Equity Market Crisis and Crisis Alpha
A Framework for Speculative Risk Taking
The Origin of Behavior
Speculative Risk Taking
A Closer Look at Crisis Alpha
Empirical Decomposition of Trend Following Returns
A Multicentennial View of Crisis Alpha
Summary
Further Readings and References
Chapter 5 Divergence and the Tradability of Trend
Risk versus Uncertainty
Convergence versus Divergence
Examples of Convergent and Divergent Risk Taking
Reflection on Convergent, Divergent
Connections to the Adaptive Markets Hypothesis
Measuring Convergence and Divergence
Linking Uncertainty to Liquidity and Credit Risks
How Does Trend Following Fit In?
Momentum and Market Divergence
Empirical Evidence of Divergent Risk Taking in Trend Following
Measuring Market Divergence at the Portfolio Level
Market Divergence and Trend Following Performance
Reconnecting to Crisis Alpha and Divergent Risk Taking
The Velocity of the Market Divergence
Testing the Stationarity of Market Divergence
A Test for the Stationarity of Market Divergence
Stationarity of the Velocity of Market Divergence
The Tradability of Trend
Trend Leakage: A Focus on the Entry
Stationarity of Trend Leakage
A Focus on the Exit: The Random Entry System
The Importance of Entry versus 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 Reading and References
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 Alpha Across Asset Classes
Crisis Beta
Key Statistical Properties
Long-Term Returns
Skewness
Crisis Performance
Correlation with Equity Markets
Summary
Appendix: A Summary of Common Performance Measures
Sharpe Ratio
Omega Ratio
Information Ratio
Downside Risk
Summary
Further Reading and References
Chapter 8 Characteristics of Drawdowns, Volatility, and Correlation
Understanding the Properties of Drawdowns
Expected Maximum Drawdown
Expected Drawdown Length and Recovery
Winning/Losing Trade Ratios and Drawdowns
Volatility of a Trend Following Portfolio
Correlation and Volatility at the Portfolio Level
Changes in Market Volatility
Trend Strength
Good Volatility
Correlation and Diversification at the Portfolio Level
Correlation and Drawdown
Summary
Further Reading and References
Chapter 9 The Hidden and Unhidden Risks of Trend Following
Directional and Nondirectional Strategies: A Review
Defining Hidden and Unhidden Risks
Price Risk
Credit Risk
Liquidity Risk
Leverage Risk
The Myths and Mystique of the Sharpe Ratio
Low Sharpe Ratios for Trend Following Are Prudent Performance Measures
Unraveling Hidden Risks of Dynamic Leveraging
Defining Dynamic Leveraging
Option Selling Strategies and Dynamic Leveraging
Martingale Betting and Dynamic Leveraging
A Closer Look at Margin to Equity
Summary
Further Reading and References
Chapter 10 Trend Following in Various Macroeconomic Environments
Interest Rate Environments
An Analysis of Two Interest Rate Regimes
Short-Term Interest Rate Interventions
Regulatory Forces and Government Intervention
Government Intervention
Regulatory Forces
Postcrisis Recovery
Fast, Medium, or Slow?
The Need for Speed ... Diversification
Summary
Further Reading and References
Part V Benchmarking and Style Analysis
Chapter 11 Return Dispersion
Strategy Classification and Return Dispersion
Short-Term Performance Snapshots
Position Sizing
A Closer Look at Capital Allocation and Position Sizing
Position Sizing and Lookback Window Size
Sector Specifics and Capital Allocation
Return Dispersion and Market Volatility
Return Dispersion from an Investor's Perspective
Diminishing Return Dispersion with Time
The Perils of Dynamic Parameter Selection
Diversification Across Trend Following Programs
Empirical and Theoretical Considerations for Correlated Return Series
Theoretical Considerations for Correlation and Return Dispersion
Simulation and Theoretical Return Dispersion
Empirical Analysis of Correlation in Trend Following
Combining Correlated Return Series
Summary
Further Reading and References
Chapter 12 Index and Style Factor Construction
Divergent Risk Taking Revisited
The Entry Decision
The Exit Decision
Position Selectivity and Risk Allocation
Defining a Divergent Trend Following Strategy
Risk Allocation
Entry and Exit Decisions
Entry Mechanisms
Defining "The Market" for Trend Following
Constructing Style Factors
Market Size Factor
Equity Bias Factor
Trading Speed Factor
Characteristics of the Style Factors
Comparing with Common Industry Indices
Comparing with Traditional Asset Classes
Summary
Further Reading and References
Chapter 13 Benchmarking and Style Analysis
A Framework for Return-Based Style Analysis
Analyzing Common Industry Benchmarks
Style Analysis for Individual CTA Managers
Appropriate Benchmarking and Performance Attribution
Smaller and Nontrend Managers
Carry Trading.
Monitoring Style Drift
Sector Level Analysis of the Market Size Factor
Style Analysis Clarifications
Style Coefficients: Handle with Care
Baseline Strategy and Model Design
Manager Selection and Allocation
Summary
Further Reading and References
Part VI Trend Following in an Investment Portfolio
Chapter 14 Portfolio Perspectives on Trend Following
A Closer Look at Crisis Alpha
Equity Dependence
Long- or Short-Equity Trends
Crisis Alpha
Portfolio Effects of Long Equity Bias
The Impact of Mark-to-Market on Correlation
Mark-to-Market and Illiquid Markets
Liquidity and Correlation
Mark-to-Market and Trend Following
Understanding Volatility Cyclicality
Extracting Dynamic Leveraging from Manager Performance
Summary
Further Reading and References
Chapter 15 Practicalities of Size, Liquidity, and Capacity
Does Size Matter?
Correlation, Diversification, and the Inclusion of Smaller Markets
Trading Speed
Empirical Analysis of Size on Diversification
Portfolio Diversification Benefits and Size
The Impact of Less Liquid Markets
Measuring Diversification Benefits
Diversification across Time
Commodities versus Financials
Summary
Appendix: Market Symbols and Names
Further Reading and References
Chapter 16 Diversifying the Diversifier
From Pure Trend Following to Multistrategy
Sharpe Ratios
Negative Skewness
Crisis Alpha
Portfolio Analysis of the Move to Multistrategy
The 60/40 Investor
The Fund-of-Funds Investor
The Disparity of Portfolio Benefits and System Design
The Robustness of Portfolio Benefits
Hidden Risk of Leveraging Low-Volatility Strategies
The Impact of Variant Correlation
Summary
Further Reading and References
Chapter 17 Dynamic Allocation to Trend Following
A Framework for Dynamic Allocation.
Contents
Foreword
Preface
Introduction
A Foreword for the Remainder of the Book
Part I Historical Perspectives
Chapter 1 A Multicentennial View of Trend Following
The Tale of Trend Following: A Historical Study
Return Characteristics over the Centuries
Interest Rate Regime Dependence
Inflationary Environments
Financial Bubbles and Crisis
Market Divergence
Risk Characteristics over the Centuries
Portfolio Benefits over the Centuries
Summary
Appendix: Included Markets and Relevant Assumptions
Assumptions and Approximations
Further Reading and References
Part II Trend Following Basics
Chapter 2 Review of Futures Markets and Futures Trading
Forward and Futures Contract Fundamentals
A Review of Futures Markets
Core Attributes of Futures Contracts
Hedging and Speculation
Trading Specifics of Futures Contracts
Review of the Managed Futures Industry
Managed Futures Strategies
Growth in the Managed Futures Industry
Futurization
Drivers of Futurization
Swap Futures
The Pros and the Cons of Futurization
Summary
Further Reading and References
Chapter 3 Systematic Trend Following Basics
The Basic Building Blocks of a Trend Following System
Data Processing
Position Sizing
Signal Generation and Aggregation
Signal Aggregation and Links to Position Sizing
Market Allocation
Sector Allocation and Allocation Constraints
Trading Execution
Strategy Classification and Core Differentiators
Target Risk and Leverage
Capital Allocation
Holding Period
Directional Bias
Partitioning Trend Following Systems
Summary
Further Reading and References
Part III Theoretical Foundations
Chapter 4 Adaptive Markets and Trend Following
The Adaptive Market Hypothesis.
Factors That Affect Adaptation
Crisis Alpha Opportunities
Equity Market Crisis and Crisis Alpha
A Framework for Speculative Risk Taking
The Origin of Behavior
Speculative Risk Taking
A Closer Look at Crisis Alpha
Empirical Decomposition of Trend Following Returns
A Multicentennial View of Crisis Alpha
Summary
Further Readings and References
Chapter 5 Divergence and the Tradability of Trend
Risk versus Uncertainty
Convergence versus Divergence
Examples of Convergent and Divergent Risk Taking
Reflection on Convergent, Divergent
Connections to the Adaptive Markets Hypothesis
Measuring Convergence and Divergence
Linking Uncertainty to Liquidity and Credit Risks
How Does Trend Following Fit In?
Momentum and Market Divergence
Empirical Evidence of Divergent Risk Taking in Trend Following
Measuring Market Divergence at the Portfolio Level
Market Divergence and Trend Following Performance
Reconnecting to Crisis Alpha and Divergent Risk Taking
The Velocity of the Market Divergence
Testing the Stationarity of Market Divergence
A Test for the Stationarity of Market Divergence
Stationarity of the Velocity of Market Divergence
The Tradability of Trend
Trend Leakage: A Focus on the Entry
Stationarity of Trend Leakage
A Focus on the Exit: The Random Entry System
The Importance of Entry versus 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 Reading and References
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 Alpha Across Asset Classes
Crisis Beta
Key Statistical Properties
Long-Term Returns
Skewness
Crisis Performance
Correlation with Equity Markets
Summary
Appendix: A Summary of Common Performance Measures
Sharpe Ratio
Omega Ratio
Information Ratio
Downside Risk
Summary
Further Reading and References
Chapter 8 Characteristics of Drawdowns, Volatility, and Correlation
Understanding the Properties of Drawdowns
Expected Maximum Drawdown
Expected Drawdown Length and Recovery
Winning/Losing Trade Ratios and Drawdowns
Volatility of a Trend Following Portfolio
Correlation and Volatility at the Portfolio Level
Changes in Market Volatility
Trend Strength
Good Volatility
Correlation and Diversification at the Portfolio Level
Correlation and Drawdown
Summary
Further Reading and References
Chapter 9 The Hidden and Unhidden Risks of Trend Following
Directional and Nondirectional Strategies: A Review
Defining Hidden and Unhidden Risks
Price Risk
Credit Risk
Liquidity Risk
Leverage Risk
The Myths and Mystique of the Sharpe Ratio
Low Sharpe Ratios for Trend Following Are Prudent Performance Measures
Unraveling Hidden Risks of Dynamic Leveraging
Defining Dynamic Leveraging
Option Selling Strategies and Dynamic Leveraging
Martingale Betting and Dynamic Leveraging
A Closer Look at Margin to Equity
Summary
Further Reading and References
Chapter 10 Trend Following in Various Macroeconomic Environments
Interest Rate Environments
An Analysis of Two Interest Rate Regimes
Short-Term Interest Rate Interventions
Regulatory Forces and Government Intervention
Government Intervention
Regulatory Forces
Postcrisis Recovery
Fast, Medium, or Slow?
The Need for Speed ... Diversification
Summary
Further Reading and References
Part V Benchmarking and Style Analysis
Chapter 11 Return Dispersion
Strategy Classification and Return Dispersion
Short-Term Performance Snapshots
Position Sizing
A Closer Look at Capital Allocation and Position Sizing
Position Sizing and Lookback Window Size
Sector Specifics and Capital Allocation
Return Dispersion and Market Volatility
Return Dispersion from an Investor's Perspective
Diminishing Return Dispersion with Time
The Perils of Dynamic Parameter Selection
Diversification Across Trend Following Programs
Empirical and Theoretical Considerations for Correlated Return Series
Theoretical Considerations for Correlation and Return Dispersion
Simulation and Theoretical Return Dispersion
Empirical Analysis of Correlation in Trend Following
Combining Correlated Return Series
Summary
Further Reading and References
Chapter 12 Index and Style Factor Construction
Divergent Risk Taking Revisited
The Entry Decision
The Exit Decision
Position Selectivity and Risk Allocation
Defining a Divergent Trend Following Strategy
Risk Allocation
Entry and Exit Decisions
Entry Mechanisms
Defining "The Market" for Trend Following
Constructing Style Factors
Market Size Factor
Equity Bias Factor
Trading Speed Factor
Characteristics of the Style Factors
Comparing with Common Industry Indices
Comparing with Traditional Asset Classes
Summary
Further Reading and References
Chapter 13 Benchmarking and Style Analysis
A Framework for Return-Based Style Analysis
Analyzing Common Industry Benchmarks
Style Analysis for Individual CTA Managers
Appropriate Benchmarking and Performance Attribution
Smaller and Nontrend Managers
Carry Trading.
Monitoring Style Drift
Sector Level Analysis of the Market Size Factor
Style Analysis Clarifications
Style Coefficients: Handle with Care
Baseline Strategy and Model Design
Manager Selection and Allocation
Summary
Further Reading and References
Part VI Trend Following in an Investment Portfolio
Chapter 14 Portfolio Perspectives on Trend Following
A Closer Look at Crisis Alpha
Equity Dependence
Long- or Short-Equity Trends
Crisis Alpha
Portfolio Effects of Long Equity Bias
The Impact of Mark-to-Market on Correlation
Mark-to-Market and Illiquid Markets
Liquidity and Correlation
Mark-to-Market and Trend Following
Understanding Volatility Cyclicality
Extracting Dynamic Leveraging from Manager Performance
Summary
Further Reading and References
Chapter 15 Practicalities of Size, Liquidity, and Capacity
Does Size Matter?
Correlation, Diversification, and the Inclusion of Smaller Markets
Trading Speed
Empirical Analysis of Size on Diversification
Portfolio Diversification Benefits and Size
The Impact of Less Liquid Markets
Measuring Diversification Benefits
Diversification across Time
Commodities versus Financials
Summary
Appendix: Market Symbols and Names
Further Reading and References
Chapter 16 Diversifying the Diversifier
From Pure Trend Following to Multistrategy
Sharpe Ratios
Negative Skewness
Crisis Alpha
Portfolio Analysis of the Move to Multistrategy
The 60/40 Investor
The Fund-of-Funds Investor
The Disparity of Portfolio Benefits and System Design
The Robustness of Portfolio Benefits
Hidden Risk of Leveraging Low-Volatility Strategies
The Impact of Variant Correlation
Summary
Further Reading and References
Chapter 17 Dynamic Allocation to Trend Following
A Framework for Dynamic Allocation.
Digital File Characteristics
text file
Source of Description
Print version record and CIP data provided by publisher.
Added Author
Series
Wiley trading series.
Available in Other Form
Print version: Greyserman, Alex. Trend following with managed futures. 1. Hoboken : Wiley, 2014
Linked Resources
Record Appears in