By Alex Greyserman

"The funding manager's all-inclusive consultant to pattern followingCovering various components very important to traders, development Following with controlled Futures brings readers on top of things at the fundamentals and theoretical foundations of development following, then strikes directly to extra complex subject matters, like development following as a substitute asset classification, benchmarking and issue decomposition, development following in an funding portfolio, and much

"Source consultant for finance practitioners who put money into or supply monetary recommendation concerning pattern following process. Discusses pattern following fundamentals, theoretical foundations of pattern following, development following in its place asset type, benchmarking and issue decomposition, development following in an funding portfolio, and complicated topics"-- Read more...


An all-inclusive advisor to development following As increasingly more savvy traders flow into the gap, development following has turn into probably the most well known funding strategies. Read more...

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Additional resources for Trend following with managed futures : the search for crisis alpha

Sample text

A speculator is someone who speculates taking a view on the direction of future prices. Historically, the relationship between speculators and hedgers has been widely discussed. Hedgers need speculators to take the other side of trades and to offset an imbalance between hedging demand on either the long or short side. Using oil as an example again, oil producers also need to hedge against the future selling price of oil. Companies, which are the consumers of oil, use futures to control their risk in their operating costs, while oil producers use futures contracts to control their revenue streams.

9 shows a less consistent pattern with reference to the bond index. The mean return for trend following is positive for months when bond returns are negative. 13 In addition to capturing trends outside equity markets, a portion of trend following performance during down periods can also come from the ability to short sell. For example, if short sales are restricted in equities, trend following will have a long bias in equities, the performance (with and without the long bias) during down months in equities can be discussed for the past 300 years of the dataset.

During the past 700 years, when compared to the buy‐and‐hold portfolio, the duration of the longest drawdown and the average duration of the longest five drawdowns are 90 percent and 80 percent shorter, respectively. 19 Issues related to drawdown in trend following portfolios will be discussed further in Chapter 8, and again from a portfolio perspective in Part VI of the book. 19 For a more detailed theoretical analysis of drawdown, see Bailey and Prado (2013). 14 The relative size of the longest duration and average duration of the longest five drawdowns for trend following relative to the buy‐and‐hold portfolio.

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