{"product_id":"trend-following-with-managed-futures-isbn-9781118890974","title":"Trend Following with Managed Futures","description":"\u003cp\u003e\u003cb\u003eAn all-inclusive guide to trend following\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAs 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, \u003ci\u003eTrend\u003c\/i\u003e \u003ci\u003eFollowing with Managed Futures \u003c\/i\u003eoffers 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:\u003c\/p\u003e \u003cul\u003e \u003cli\u003eTrend following as an alternative asset class\u003c\/li\u003e \u003cli\u003eBenchmarking and factor decomposition\u003c\/li\u003e \u003cli\u003eApplications for trend following in an investment portfolio\u003c\/li\u003e \u003cli\u003eAnd many more\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eBy focusing on the investor perspective,\u003ci\u003e Trend Following with Managed Futures \u003c\/i\u003eis a groundbreaking and invaluable resource for anyone interested in modern systematic trend following.\u003c\/p\u003e \u003cp\u003eForeword xi\u003cbr\u003e\u003ci\u003eAndrew W. Lo\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003ePreface xv\u003c\/p\u003e \u003cp\u003eIntroduction xxi\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart I Historical Perspectives\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 A Multicentennial View of Trend Following 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Tale of Trend Following: A Historical Study 5\u003c\/p\u003e \u003cp\u003eReturn Characteristics over the Centuries 8\u003c\/p\u003e \u003cp\u003eRisk Characteristics over the Centuries 17\u003c\/p\u003e \u003cp\u003ePortfolio Benefits over the Centuries 19\u003c\/p\u003e \u003cp\u003eSummary 21\u003c\/p\u003e \u003cp\u003eAppendix: Included Markets and Relevant Assumptions 21\u003c\/p\u003e \u003cp\u003eFurther Reading and References 23\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart II Trend Following Basics\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Review of Futures Markets and Futures Trading 27\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eForward and Futures Contract Fundamentals 27\u003c\/p\u003e \u003cp\u003eReview of the Managed Futures Industry 34\u003c\/p\u003e \u003cp\u003eFuturization 38\u003c\/p\u003e \u003cp\u003eSummary 43\u003c\/p\u003e \u003cp\u003eFurther Reading and References 43\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Systematic Trend Following Basics 45\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Basic Building Blocks of a Trend Following System 47\u003c\/p\u003e \u003cp\u003eStrategy Classification and Core Differentiators 56\u003c\/p\u003e \u003cp\u003ePartitioning Trend Following Systems 60\u003c\/p\u003e \u003cp\u003eSummary 61\u003c\/p\u003e \u003cp\u003eFurther Reading and References 61\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart III Theoretical Foundations\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Adaptive Markets and Trend Following 65\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eThe Adaptive Market Hypothesis 66\u003c\/p\u003e \u003cp\u003eA Framework for Speculative Risk Taking 75\u003c\/p\u003e \u003cp\u003eA Closer Look at Crisis Alpha 78\u003c\/p\u003e \u003cp\u003eSummary 91\u003c\/p\u003e \u003cp\u003eFurther Readings and References 91\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Divergence and the Tradability of Trend 93\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eRisk versus Uncertainty 93\u003c\/p\u003e \u003cp\u003eConvergence versus Divergence 95\u003c\/p\u003e \u003cp\u003eMeasuring Market Divergence at the Portfolio Level 106\u003c\/p\u003e \u003cp\u003eTesting the Stationarity of Market Divergence 114\u003c\/p\u003e \u003cp\u003eThe Tradability of Trend 117\u003c\/p\u003e \u003cp\u003eThe Importance of Entry versus Exit 121\u003c\/p\u003e \u003cp\u003eSummary 124\u003c\/p\u003e \u003cp\u003eFurther Reading and References 124\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 The Role of Interest Rates and the Roll Yield 127\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCollateral Yield 128\u003c\/p\u003e \u003cp\u003eDecomposition into Roll Yield and Spot 131\u003c\/p\u003e \u003cp\u003eSummary 138\u003c\/p\u003e \u003cp\u003eFurther Reading and References 139\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart IV Trend Following as An Alternative Asset Class\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Properties of Trend Following Returns 143\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eTrend Following as an Alternative Asset Class 143\u003c\/p\u003e \u003cp\u003eCrisis Alpha 145\u003c\/p\u003e \u003cp\u003eCrisis Beta 149\u003c\/p\u003e \u003cp\u003eKey Statistical Properties 155\u003c\/p\u003e \u003cp\u003eSummary 159\u003c\/p\u003e \u003cp\u003eAppendix: A Summary of Common Performance Measures 160\u003c\/p\u003e \u003cp\u003eFurther Reading and References 161\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Characteristics of Drawdowns, Volatility, and Correlation 163\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eUnderstanding the Properties of Drawdowns 163\u003c\/p\u003e \u003cp\u003eVolatility of a Trend Following Portfolio 173\u003c\/p\u003e \u003cp\u003eCorrelation and Diversification at the Portfolio Level 181\u003c\/p\u003e \u003cp\u003eSummary 185\u003c\/p\u003e \u003cp\u003eFurther Reading and References 186\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 The Hidden and Unhidden Risks of Trend Following 187\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDirectional and Nondirectional Strategies: A Review 187\u003c\/p\u003e \u003cp\u003eDefining Hidden and Unhidden Risks 188\u003c\/p\u003e \u003cp\u003eThe Myths and Mystique of the Sharpe Ratio 195\u003c\/p\u003e \u003cp\u003eUnraveling Hidden Risks of Dynamic Leveraging 196\u003c\/p\u003e \u003cp\u003eSummary 207\u003c\/p\u003e \u003cp\u003eFurther Reading and References 207\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Trend Following in Various Macroeconomic Environments 209\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eInterest Rate Environments 210\u003c\/p\u003e \u003cp\u003eRegulatory Forces and Government Intervention 217\u003c\/p\u003e \u003cp\u003ePostcrisis Recovery 221\u003c\/p\u003e \u003cp\u003eSummary 228\u003c\/p\u003e \u003cp\u003eFurther Reading and References 229\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart V Benchmarking and Style Analysis\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 Return Dispersion 233\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eStrategy Classification and Return Dispersion 234\u003c\/p\u003e \u003cp\u003eA Closer Look at Capital Allocation and Position Sizing 239\u003c\/p\u003e \u003cp\u003eReturn Dispersion from an Investor’s Perspective 247\u003c\/p\u003e \u003cp\u003eEmpirical and Theoretical Considerations for Correlated Return Series 256\u003c\/p\u003e \u003cp\u003eSummary 263\u003c\/p\u003e \u003cp\u003eFurther Reading and References 264\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 Index and Style Factor Construction 265\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDivergent Risk Taking Revisited 266\u003c\/p\u003e \u003cp\u003eDefining a Divergent Trend Following Strategy 269\u003c\/p\u003e \u003cp\u003eConstructing Style Factors 277\u003c\/p\u003e \u003cp\u003eCharacteristics of the Style Factors 282\u003c\/p\u003e \u003cp\u003eSummary 286\u003c\/p\u003e \u003cp\u003eFurther Reading and References 287\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13 Benchmarking and Style Analysis 289\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA Framework for Return-Based Style Analysis 290\u003c\/p\u003e \u003cp\u003eStyle Analysis for Individual CTA Managers 294\u003c\/p\u003e \u003cp\u003eSector Level Analysis of the Market Size Factor 299\u003c\/p\u003e \u003cp\u003eStyle Analysis Clarifications 304\u003c\/p\u003e \u003cp\u003eManager Selection and Allocation 310\u003c\/p\u003e \u003cp\u003eSummary 313\u003c\/p\u003e \u003cp\u003eFurther Reading and References 313\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart VI Trend Following in an Investment Portfolio\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 14 Portfolio Perspectives on Trend Following 317\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA Closer Look at Crisis Alpha 317\u003c\/p\u003e \u003cp\u003eThe Impact of Mark-to-Market on Correlation 326\u003c\/p\u003e \u003cp\u003eUnderstanding Volatility Cyclicality 329\u003c\/p\u003e \u003cp\u003eSummary 334\u003c\/p\u003e \u003cp\u003eFurther Reading and References 335\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 15 Practicalities of Size, Liquidity, and Capacity 337\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDoes Size Matter? 337\u003c\/p\u003e \u003cp\u003eThe Impact of Less Liquid Markets 345\u003c\/p\u003e \u003cp\u003eSummary 351\u003c\/p\u003e \u003cp\u003eAppendix: Market Symbols and Names 352\u003c\/p\u003e \u003cp\u003eFurther Reading and References 352\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 16 Diversifying the Diversifier 353\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eFrom Pure Trend Following to Multistrategy 354\u003c\/p\u003e \u003cp\u003ePortfolio Analysis of the Move to Multistrategy 358\u003c\/p\u003e \u003cp\u003eHidden Risk of Leveraging Low-Volatility Strategies 368\u003c\/p\u003e \u003cp\u003eSummary 374\u003c\/p\u003e \u003cp\u003eFurther Reading and References 374\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 17 Dynamic Allocation to Trend Following 375\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA Framework for Dynamic Allocation 375\u003c\/p\u003e \u003cp\u003eMean Reversion in Trend Following Return Series 377\u003c\/p\u003e \u003cp\u003eInvestigating Dynamic Allocation Strategies 384\u003c\/p\u003e \u003cp\u003eSummary 389\u003c\/p\u003e \u003cp\u003eAppendix: A Theoretical Analysis of Mean Reversion in Trend Following 390\u003c\/p\u003e \u003cp\u003eFurther Reading and References 393\u003c\/p\u003e \u003cp\u003eGlossary 395\u003c\/p\u003e \u003cp\u003eAbout the Authors 407\u003c\/p\u003e \u003cp\u003eIndex 409\u003c\/p\u003e \u003cp\u003eThe authors have raised the standard for discussion concerning trend following. The hedge fund industry should take note, and all strategies should be given the same level of attention and detailed review. For investors who are contemplating a trend-following managed futures investment, this book should be the first place to go in getting up to speed.\u003cbr\u003e\u003cbr\u003e– CFA Institute\u003c\/p\u003e  \u003cp\u003e\u003cb\u003eALEX GREYSERMAN, P\u003csmall\u003eH\u003c\/small\u003eD,\u003c\/b\u003e is Chief Scientist at ISAM and serves as Adjunct Professor in the Graduate Program in Mathematical Finance at Columbia University.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eKATHRYN M. KAMINSKI, P\u003csmall\u003eH\u003c\/small\u003eD,\u003c\/b\u003e is the Deputy Managing Director of the Institute for Financial Research (SIFR), external market commentator for the CME Group, and affiliated faculty at the Stockholm School of Economics.\u003c\/p\u003e  \u003cp\u003e\u003cb\u003e\u003csmall\u003ePRAISE FOR\u003c\/small\u003e TREND FOLLOWING \u003csmall\u003eWITH\u003c\/small\u003e MANAGED FUTURES\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e“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.”\u003cbr\u003e \u003cb\u003e—Ed Robertiello,\u003c\/b\u003e CFA, Senior Portfolio Manager, Absolute Return Strategies, CalPERS\u003c\/p\u003e \u003cp\u003e“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.”\u003cbr\u003e \u003cb\u003e—Romule Nohasiarisoa,\u003c\/b\u003e CFA, Senior Hedge Fund Analyst, PGGM Pension Fund, Netherlands\u003c\/p\u003e \u003cp\u003e“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.”\u003cbr\u003e \u003cb\u003e—Adam Duncan,\u003c\/b\u003e Senior Investment Director, Cambridge Associates\u003c\/p\u003e \u003cp\u003e“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!”\u003cbr\u003e \u003cb\u003e—Andrew Lo, PhD,\u003c\/b\u003e Charles E. and Susan T. Harris Professor of Finance, MIT Sloan School of Management\u003c\/p\u003e \u003cp\u003e“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.”\u003cbr\u003e \u003cb\u003e—Lawrence Kissko,\u003c\/b\u003e Head of Macro and Quantitative Strategies, Hermes BPK Partners\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47990412935397,"sku":"NP9781118890974","price":79.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9781118890974.jpg?v=1761787727","url":"https:\/\/k12savings.com\/es\/products\/trend-following-with-managed-futures-isbn-9781118890974","provider":"K12savings","version":"1.0","type":"link"}