Following the Trend (PDF)

Foreword xi Preface xiii Acknowledgements xvii 1 CROSS-ASSET TREND FOLLOWING WITH FUTURES 1 Diversifi ed Trend Following in a Nutshell 2 The Traditional Investment Approach 4 The Case for Diversifi ed Managed Futures 7 Criticism of Trend-Following Strategies 8 Managed Futures as a Business 10 Differences Between Running a Trading Business and Personal Trading 12 Marketability of your strategy 13 Volatility profi le 13 Subscriptions and redemptions 15 Psychological difference 15 2 FUTURES DATA AND TOOLS 17 Futures as an Asset Class 17 Futures exchanges 21 Futures and currency exposure 22 Futures Data 24 Dealing with limited life span 24 Term structure 26 Basis gaps 28 Futures Sectors 30 Agricultural commodities 31 Non-agricultural commodities 33 Currencies 37 Equities 38 Rates 39 Required Tools 42 A word about programming 42 Development environment 42 Data vendors 44 Data storage 44 3 CONSTRUCTING DIVERSIFIED FUTURES TRADING STRATEGIES 45 They Are All Doing the Same Thing 45 Cracking Open the Magic Trend-Following Black Box 49 Investment universe 52 Position sizing 53 Slippage, commission and other costs 56 Interest on liquidity 56 Strategy personality 56 Anatomy of a trend-following strategy 57 4 TWO BASIC TREND-FOLLOWING STRATEGIES 61 Strategy Performance 63 Correlations between strategies 68 Parameter stability 70 Conclusions from the basic strategies 72 Improving the Strategies 72 Trend fi lter 73 An improved stop loss mechanism 75 Controlling the risk level 80 Parameter stability check 84 A solid foundation for futures trading 86 Core strategy rules 87 5 IN-DEPTH ANALYSIS OF TREND-FOLLOWING PERFORMANCE 89 Strategy Behaviour 89 As a Complement to an Equity Portfolio 91 Trading Direction 94 Sector Impact 97 Cash Management and the Effect of Free Government Money 101 Putting Leverage into Context 104 6 YEAR BY YEAR REVIEW 109 How to Read this Chapter 110 1990 110 1991 117 1992 122 1993 127 1994 132 1995 138 1996 142 1997 148 1998 153 1999 158 2000 163 2001 168 2002

Andreas F. Clenow CMT, is a principal at ACIES Asset Management with headquarters in Zurich, Switzerland, which he joined after having successfully established his own hedge fund. He specialises in developing and trading quantitative strategies across all asset classes. Prior to his role as a hedge fund manager he had a lightning career with Reuters, where he, as Global Head of Equity and Commodity Quant Modelling, was one of the youngest ever in such a role. He was also the Global Head of Institutional Charting and Technical Analysis for Equis International before departing for the hedge fund world.

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