{"product_id":"following-the-trend-isbn-9781119908982","title":"Following the Trend","description":"\u003cp\u003e\u003cb\u003eAn up-to-date and practical roadmap for diversified futures trading using CTA fund strategies\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003eIn the newly revised second edition of \u003ci\u003eFollowing the Trend: Diversified Managed Futures Trading\u003c\/i\u003e, 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. \u003c\/p\u003e\u003cp\u003eThe author also offers: \u003c\/p\u003e\u003cul\u003e \u003cli\u003eDetailed discussions of whether CTA hedge funds continue to show high internal correlation and exhibit homogeneous behaviour\u003c\/li\u003e \u003cli\u003eThe impact of low and negative interest rate environments, massive inflows into equity markets, and the rise of quant trading firms\u003c\/li\u003e \u003cli\u003eExplorations of the combination of different types of trading models to enhance performance, complete with rulesets and fulsome analyses\u003c\/li\u003e\n\u003c\/ul\u003e\u003cp\u003eA ground-breaking and thoroughly incisive examination of the commodity trading advisor industry, \u003ci\u003eFollowing the Trend: Diversified Managed Futures Trading\u003c\/i\u003e is an essential volume for sophisticated retail traders, day traders, private investors, investment managers, portfolio managers, and institutional investors. \u003c\/p\u003e\u003cp\u003e1.  Foreword by Jerry Parker 1\u003c\/p\u003e \u003cp\u003e2. Forewords to the First Edition 2\u003c\/p\u003e \u003cp\u003e3. Preface 4\u003c\/p\u003e \u003cp\u003e1. Cross Asset Trend Following with Futures 1\u003c\/p\u003e \u003cp\u003eDiversified Trend Following in a Nutshell 3\u003c\/p\u003e \u003cp\u003eThe Traditional Investment Approach 5\u003c\/p\u003e \u003cp\u003eThe Case for Diversified Managed Futures 9\u003c\/p\u003e \u003cp\u003eManaged Futures as a Business 14\u003c\/p\u003e \u003cp\u003eDifferences between Running a Trading Business and Personal Trading 19\u003c\/p\u003e \u003cp\u003eMarketability of Your Strategy 19\u003c\/p\u003e \u003cp\u003eVolatility Profile 20\u003c\/p\u003e \u003cp\u003eSubscriptions and Redemptions 22\u003c\/p\u003e \u003cp\u003ePsychological Difference 23\u003c\/p\u003e \u003cp\u003e2. Futures Data 25\u003c\/p\u003e \u003cp\u003eFutures as an Asset Class 25\u003c\/p\u003e \u003cp\u003eFutures Exchanges 25\u003c\/p\u003e \u003cp\u003eFutures and Currency Exposure 25\u003c\/p\u003e \u003cp\u003eFutures Data 28\u003c\/p\u003e \u003cp\u003eDealing with Limited Life Span 28\u003c\/p\u003e \u003cp\u003eTerm Structure 31\u003c\/p\u003e \u003cp\u003eBasis Gaps 33\u003c\/p\u003e \u003cp\u003eThe Change in how Continuations are used 36\u003c\/p\u003e \u003cp\u003eFutures Sectors 37\u003c\/p\u003e \u003cp\u003eAgricultural Commodities 37\u003c\/p\u003e \u003cp\u003eNon-Agricultural Commodities 40\u003c\/p\u003e \u003cp\u003eCurrencies 44\u003c\/p\u003e \u003cp\u003eEquities 46\u003c\/p\u003e \u003cp\u003eRates 49\u003c\/p\u003e \u003cp\u003e3. Constructing Diversified Futures Trading Strategies 53\u003c\/p\u003e \u003cp\u003eThey are all doing the Same Thing 54\u003c\/p\u003e \u003cp\u003eCracking Open the Magic Trend Following Black Box 58\u003c\/p\u003e \u003cp\u003eInvestment Universe 58\u003c\/p\u003e \u003cp\u003ePosition Sizing 61\u003c\/p\u003e \u003cp\u003eSlippage and Commission 64\u003c\/p\u003e \u003cp\u003eStrategy Personality 65\u003c\/p\u003e \u003cp\u003eAnatomy of a Trend Following Strategy 66\u003c\/p\u003e \u003cp\u003e4. Two Basic Trend Following Strategies 69\u003c\/p\u003e \u003cp\u003eStrategy Performance 72\u003c\/p\u003e \u003cp\u003eCorrelations Between Strategies 80\u003c\/p\u003e \u003cp\u003eConclusions from the Basic Strategies 82\u003c\/p\u003e \u003cp\u003eCombining the Strategies 83\u003c\/p\u003e \u003cp\u003eTrend Filter 83\u003c\/p\u003e \u003cp\u003eA Core Trend Following Strategy 85\u003c\/p\u003e \u003cp\u003eControlling the Risk Level 87\u003c\/p\u003e \u003cp\u003eCash Management and the Effect of Free Government Money 90\u003c\/p\u003e \u003cp\u003eLoading Fees 96\u003c\/p\u003e \u003cp\u003e5. In-Depth Analysis of Trend Following Performance 98\u003c\/p\u003e \u003cp\u003eStrategy Behaviour 98\u003c\/p\u003e \u003cp\u003eStrategy Long Term Performance 100\u003c\/p\u003e \u003cp\u003eCrisis Alpha 103\u003c\/p\u003e \u003cp\u003eTrading Direction 105\u003c\/p\u003e \u003cp\u003eSector Impact 108\u003c\/p\u003e \u003cp\u003ePutting Leverage into Context 111\u003c\/p\u003e \u003cp\u003eAs a Complement to an Equity Portfolio 117\u003c\/p\u003e \u003cp\u003e6. Year by Year Review 121\u003c\/p\u003e \u003cp\u003eHow to read this chapter 122\u003c\/p\u003e \u003cp\u003e2002 123\u003c\/p\u003e \u003cp\u003e2003 132\u003c\/p\u003e \u003cp\u003e2004 139\u003c\/p\u003e \u003cp\u003e2005 145\u003c\/p\u003e \u003cp\u003e2006 151\u003c\/p\u003e \u003cp\u003e2007 156\u003c\/p\u003e \u003cp\u003e2008 162\u003c\/p\u003e \u003cp\u003e2009 169\u003c\/p\u003e \u003cp\u003e2010 174\u003c\/p\u003e \u003cp\u003e2011 179\u003c\/p\u003e \u003cp\u003e2012 185\u003c\/p\u003e \u003cp\u003e2013 191\u003c\/p\u003e \u003cp\u003e2014 195\u003c\/p\u003e \u003cp\u003e2015 200\u003c\/p\u003e \u003cp\u003e2016 205\u003c\/p\u003e \u003cp\u003e2017 209\u003c\/p\u003e \u003cp\u003e2018 215\u003c\/p\u003e \u003cp\u003e2019 220\u003c\/p\u003e \u003cp\u003e2020 226\u003c\/p\u003e \u003cp\u003e2021 232\u003c\/p\u003e \u003cp\u003eYear by Year Conclusions 239\u003c\/p\u003e \u003cp\u003e7. Counter Trend Trading 244\u003c\/p\u003e \u003cp\u003eBuilding a Counter Trend Model 245\u003c\/p\u003e \u003cp\u003eCounter Trend Performance 249\u003c\/p\u003e \u003cp\u003e8. Systematic Trading without Time-series 252\u003c\/p\u003e \u003cp\u003eTem Structure 253\u003c\/p\u003e \u003cp\u003eMeasuring Term Structure 255\u003c\/p\u003e \u003cp\u003eUsing Term Structure for Trading 258\u003c\/p\u003e \u003cp\u003eLimitations of Term Structure Models 260\u003c\/p\u003e \u003cp\u003e9. Tweaks and Improvements 262\u003c\/p\u003e \u003cp\u003eTrading Synthetic Contracts 263\u003c\/p\u003e \u003cp\u003eCorrelation Matrices, Position Sizing and Risk 265\u003c\/p\u003e \u003cp\u003eOptimisation and its Discontents 267\u003c\/p\u003e \u003cp\u003eStyle Diversification 269\u003c\/p\u003e \u003cp\u003eVolatility Based Stop Loss 272\u003c\/p\u003e \u003cp\u003e10. Practicalities of Futures Trading 275\u003c\/p\u003e \u003cp\u003eRequired Asset Base 275\u003c\/p\u003e \u003cp\u003eGoing Live 277\u003c\/p\u003e \u003cp\u003eExecution 279\u003c\/p\u003e \u003cp\u003eCash Management 281\u003c\/p\u003e \u003cp\u003eHigher Volatility in Drawdown Mode 284\u003c\/p\u003e \u003cp\u003ePortfolio Monitoring 285\u003c\/p\u003e \u003cp\u003eStrategy Follow-Up 285\u003c\/p\u003e \u003cp\u003e11. Modelling Futures Strategies 287\u003c\/p\u003e \u003cp\u003eWhy you need to do your own research 288\u003c\/p\u003e \u003cp\u003eA Word about Programming 289\u003c\/p\u003e \u003cp\u003eSettling on a research environment 289\u003c\/p\u003e \u003cp\u003ePython and Zipline 291\u003c\/p\u003e \u003cp\u003eSourcing your data 293\u003c\/p\u003e \u003cp\u003eData Storage 295\u003c\/p\u003e \u003cp\u003eThe Dangers of Backtesting 295\u003c\/p\u003e \u003cp\u003e12. Does Trend Following work on Stocks? 297\u003c\/p\u003e \u003cp\u003eDefine Trend Following 297\u003c\/p\u003e \u003cp\u003eWhat about ETFs? 300\u003c\/p\u003e \u003cp\u003e13. Trading for a Living 302\u003c\/p\u003e \u003cp\u003eHow much does a good trader make? 302\u003c\/p\u003e \u003cp\u003eGetting a Trading Job 305\u003c\/p\u003e \u003cp\u003eTrading your own Money 308\u003c\/p\u003e \u003cp\u003eTrading OPM 309\u003c\/p\u003e \u003cp\u003eReasons not to Trade OPM 311\u003c\/p\u003e \u003cp\u003e14. Final Words of Caution 313\u003c\/p\u003e \u003cp\u003eDiminishing Returns of Futures Funds 313\u003c\/p\u003e \u003cp\u003eSetting the Initial Risk Level 314\u003c\/p\u003e \u003cp\u003eGoing Live 316\u003c\/p\u003e \u003cp\u003e15. Bibliography 318\u003c\/p\u003e \u003cp\u003eAuthor Website 318\u003c\/p\u003e \u003cp\u003e\u003cb\u003eANDREAS F. CLENOW\u003c\/b\u003e is a Swedish Swiss author, financier, and entrepreneur based in Zurich, where he is the Chief Investment Officer of a family office. He has been a tech entrepreneur, a financial consultant, hedge fund manager, financial engineer, quantitative trader, financial advisor, board member, and a middle management corporate bureaucrat during his illustrious career.\u003cbr\u003eHe is the author of the global best sellers \u003ci\u003eFollowing the Trend, Stocks on the Move, Trading Evolved\u003c\/i\u003e and \u003ci\u003eA Most Private Bank\u003c\/i\u003e and he can be reached though his website, \u003cb\u003ewww.clenow.com\u003c\/b\u003e\u003c\/p\u003e  \u003cp\u003eFor the past 40 or so years, during bull and bear markets, there has been a group of hedge funds and professional traders which have consistently outperformed traditional investment strategies. They have shown remarkable uncorrelated performance and in the great bear market of 2008 they had record gains. These traders are highly secretive about their proprietary trading algorithms and often employ top PhDs in their research teams. Yet, it is possible to replicate their trading performance with relatively simple models. These traders are trend-following cross-asset futures managers, also known simply as CTAs. Many books are written about them. No other explains their strategies in such detail as to enable the reader to emulate their success and create their own trend-following trading business.  \u003c\/p\u003e\u003cp\u003e\u003ci\u003eFollowing the Trend\u003c\/i\u003e explains why most fail by focusing on the wrong things, such as buy and sell rules, and teaches the truly important parts of trend following. Trading everything from the Nasdaq index and T-bills to currency crosses, platinum and lean hogs, there are large gains to be made regardless of the state of the economy or stock markets. By analysing year-by-year trend-following performance and attribution the reader will be able to build a deep understanding of what it is like to trade futures at a large scale and where the real problems and opportunities lie.  \u003c\/p\u003e\u003cp\u003eThis second edition of the global best seller tells the story of what happened to the strategy and industry in the ten years since the first publication with an updated year-by-year review explaining how trend following coped with changing market environments. Further adding to the trader’s toolbox, you will be introduced to valuable and complementary futures trading styles, showing how the industry has adapted and combined trading styles to achieve higher risk-adjusted results in the long run. These advanced trading techniques are outlined in detail with complete rule sets and in-depth analysis.   \u003c\/p\u003e\u003cp\u003e“\u003ci\u003eFollowing the Trend\u003c\/i\u003e is an absolute must read for anyone with an interest in systematic trend following whether as an investor, trader, or aspiring manager. The book is at the same time comprehensive and easy to read. As someone who has designed these types of systems, it is absolutely clear to me that Clenow writes as a knowledgeable practitioner, not an armchair theoretician. I admired Clenow’s repeatedly pointing out real life difficulties and drawbacks and his refusal to use optimization or well-chosen examples as virtually all other books of this type tend to do. In short, this is a real life presentation of the subject matter. In one particularly innovative chapter, Clenow creates close replications of some of the best and largest trend-following funds by combining his set of simple, non-optimized rules with variations in portfolio composition and volatility level.” \u003c\/p\u003e\u003cp\u003e\u003cb\u003e— Jack Schwager,\u003c\/b\u003e Author of the \u003ci\u003eMarket Wizards\u003c\/i\u003e and \u003ci\u003eSchwager on Futures\u003c\/i\u003e series, and \u003ci\u003eMarket Sense and Nonsense\u003c\/i\u003e  \u003c\/p\u003e\u003cp\u003e\u003cb\u003ePraise for the first edition\u003c\/b\u003e \u003c\/p\u003e\u003cp\u003e“Andreas F. Clenow has written a very unique book that provides a rare insight into how an actual CTA hedge fund manager trades. Backing up all his claims with hard research, he cuts right to the point and educates the reader about how the real value of trend-following futures trading is achieved and how to replicate the success of the major hedge funds. A must read and an essential part of any serious trader’s library!” \u003c\/p\u003e\u003cp\u003e\u003cb\u003e—Carl Gyllenram,\u003c\/b\u003e CEO, Ability Asset Management and Author of the \u003ci\u003eTrading with Crowd Psychology\u003c\/i\u003e \u003c\/p\u003e\u003cp\u003e“\u003ci\u003eFollowing the Trend\u003c\/i\u003e truly captures what it is to be a systematic manager day in and day out. It is a must read for someone with ambitions to create his own systematic fund; highly recommended for everyone who is planning to invest in or understand the intricacies of systematic strategies.” \u003c\/p\u003e\u003cp\u003e\u003cb\u003e—Sanjiv Kumar,\u003c\/b\u003e Principal, Fort LP. \u003c\/p\u003e\u003cp\u003e“In this excellent work, Andreas has shed light on some very important and previously undocumented aspects of trend following. This book should be of great interest to Managed Futures managers and investors alike.” \u003c\/p\u003e\u003cp\u003e\u003cb\u003e—Nigol Koulajian, \u003c\/b\u003eFounder, Quest Partners, LLC \u003c\/p\u003e\u003cp\u003e“This is a must-read for anyone involved in trading markets. The thoughtful analysis of how models work and fail will help anyone interested in trading futures. This book adds to the short list of intelligent analysis available for investors to beat the market.” \u003c\/p\u003e\u003cp\u003e\u003cb\u003e—Robert Savage,\u003c\/b\u003e CEO, Track.com \u003c\/p\u003e\u003cp\u003e“If you want to trade professionally by managing other people’s money, then this is one of the first books I recommend that you read.” \u003c\/p\u003e\u003cp\u003e\u003cb\u003e— Van K. Tharp, Ph.D.,\u003c\/b\u003e Author of the \u003ci\u003eTrade Your Way to Financial Freedom, Super Trader\u003c\/i\u003e, and \u003ci\u003eThe Definitive Guide to Position Sizing Strategies\u003c\/i\u003e. \u003c\/p\u003e\u003cp\u003e“Trend following is the largest sub-category of managed futures, driven by the market environment of price persistence. Andreas has taken a complicated topic and provided an insightful viewpoint.” \u003c\/p\u003e\u003cp\u003e\u003cb\u003e— Mark H. Melin,\u003c\/b\u003e Author of the \u003ci\u003eHigh-Performance Managed Futures\u003c\/i\u003e and Editor of \u003ci\u003eOpalesque Futures Intelligence\u003c\/i\u003e \u003c\/p\u003e\u003cp\u003e“A no- nonsense view into the real world of trend following and how it can be done.” \u003c\/p\u003e\u003cp\u003e\u003cb\u003e—Kathryn M. Kaminski, PhD,\u003c\/b\u003e CIO and Founder, Alpha K Capital\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989225455845,"sku":"NP9781119908982","price":75.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9781119908982.jpg?v=1761783279","url":"https:\/\/k12savings.com\/es\/products\/following-the-trend-isbn-9781119908982","provider":"K12savings","version":"1.0","type":"link"}