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Trend following with managed futures : the search for crisis alpha /
"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 foll...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken, NJ :
John Wiley & Sons,
2014.
|
| Colección: | Wiley trading series.
|
| Temas: | |
| Acceso en línea: | Texto completo (Requiere registro previo con correo institucional) |
Tabla de Contenidos:
- 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.