Following the Trend: Diversified Managed Futures Trading

ISBN-13: 9781119908982 / Angielski / Twarda / 2023

Andreas F. Clenow

Spis treści

1. Foreword by Jerry Parker 12. Forewords to the First Edition 23. Preface 41. Cross Asset Trend Following with Futures 1Diversified Trend Following in a Nutshell 3The Traditional Investment Approach 5The Case for Diversified Managed Futures 9Managed Futures as a Business 14Differences between Running a Trading Business and Personal Trading 19Marketability of Your Strategy 19Volatility Profile 20Subscriptions and Redemptions 22Psychological Difference 232. Futures Data 25Futures as an Asset Class 25Futures Exchanges 25Futures and Currency Exposure 25Futures Data 28Dealing with Limited Life Span 28Term Structure 31Basis Gaps 33The Change in how Continuations are used 36Futures Sectors 37Agricultural Commodities 37Non-Agricultural Commodities 40Currencies 44Equities 46Rates 493. Constructing Diversified Futures Trading Strategies 53They are all doing the Same Thing 54Cracking Open the Magic Trend Following Black Box 58Investment Universe 58Position Sizing 61Slippage and Commission 64Strategy Personality 65Anatomy of a Trend Following Strategy 664. Two Basic Trend Following Strategies 69Strategy Performance 72Correlations Between Strategies 80Conclusions from the Basic Strategies 82Combining the Strategies 83Trend Filter 83A Core Trend Following Strategy 85Controlling the Risk Level 87Cash Management and the Effect of Free Government Money 90Loading Fees 965. In-Depth Analysis of Trend Following Performance 98Strategy Behaviour 98Strategy Long Term Performance 100Crisis Alpha 103Trading Direction 105Sector Impact 108Putting Leverage into Context 111As a Complement to an Equity Portfolio 1176. Year by Year Review 121How to read this chapter 1222002 1232003 1322004 1392005 1452006 1512007 1562008 1622009 1692010 1742011 1792012 1852013 1912014 1952015 2002016 2052017 2092018 2152019 2202020 2262021 232Year by Year Conclusions 2397. Counter Trend Trading 244Building a Counter Trend Model 245Counter Trend Performance 2498. Systematic Trading without Time-series 252Tem Structure 253Measuring Term Structure 255Using Term Structure for Trading 258Limitations of Term Structure Models 2609. Tweaks and Improvements 262Trading Synthetic Contracts 263Correlation Matrices, Position Sizing and Risk 265Optimisation and its Discontents 267Style Diversification 269Volatility Based Stop Loss 27210. Practicalities of Futures Trading 275Required Asset Base 275Going Live 277Execution 279Cash Management 281Higher Volatility in Drawdown Mode 284Portfolio Monitoring 285Strategy Follow-Up 28511. Modelling Futures Strategies 287Why you need to do your own research 288A Word about Programming 289Settling on a research environment 289Python and Zipline 291Sourcing your data 293Data Storage 295The Dangers of Backtesting 29512. Does Trend Following work on Stocks? 297Define Trend Following 297What about ETFs? 30013. Trading for a Living 302How much does a good trader make? 302Getting a Trading Job 305Trading your own Money 308Trading OPM 309Reasons not to Trade OPM 31114. Final Words of Caution 313Diminishing Returns of Futures Funds 313Setting the Initial Risk Level 314Going Live 31615. Bibliography 318Author Website 318

O autorze

ANDREAS F. CLENOW 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.He is the author of the global best sellers Following the Trend, Stocks on the Move, Trading Evolved and A Most Private Bank and he can be reached though his website, www.clenow.com.