Following the Trend

1. Foreword by Jerry Parker 1
 
2. Forewords to the First Edition 2
 
3. Preface 4
 
1. Cross Asset Trend Following with Futures 1
 
Diversified Trend Following in a Nutshell 3
 
The Traditional Investment Approach 5
 
The Case for Diversified Managed Futures 9
 
Managed Futures as a Business 14
 
Differences between Running a Trading Business and Personal Trading 19
 
Marketability of Your Strategy 19
 
Volatility Profile 20
 
Subscriptions and Redemptions 22
 
Psychological Difference 23
 
2. Futures Data 25
 
Futures as an Asset Class 25
 
Futures Exchanges 25
 
Futures and Currency Exposure 25
 
Futures Data 28
 
Dealing with Limited Life Span 28
 
Term Structure 31
 
Basis Gaps 33
 
The Change in how Continuations are used 36
 
Futures Sectors 37
 
Agricultural Commodities 37
 
Non-Agricultural Commodities 40
 
Currencies 44
 
Equities 46
 
Rates 49
 
3. Constructing Diversified Futures Trading Strategies 53
 
They are all doing the Same Thing 54
 
Cracking Open the Magic Trend Following Black Box 58
 
Investment Universe 58
 
Position Sizing 61
 
Slippage and Commission 64
 
Strategy Personality 65
 
Anatomy of a Trend Following Strategy 66
 
4. Two Basic Trend Following Strategies 69
 
Strategy Performance 72
 
Correlations Between Strategies 80
 
Conclusions from the Basic Strategies 82
 
Combining the Strategies 83
 
Trend Filter 83
 
A Core Trend Following Strategy 85
 
Controlling the Risk Level 87
 
Cash Management and the Effect of Free Government Money 90
 
Loading Fees 96
 
5. In-Depth Analysis of Trend Following Performance 98
 
Strategy Behaviour 98
 
Strategy Long Term Performance 100
 
Crisis Alpha

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.