Following the Trend: Diversified Managed Futures Trading Andreas F. Clenow
Publisher: Wiley

Dec 12, 2013 - For example, the book Following the Trend: Diversified Managed Futures Trading was actually really good – and I feel like it is pretty rare to say that these days. You were just talking about the strategy needs to be simple and explainable. One might expect that trend-following strategies should have been able to capture performance during these moves. Can you quickly explain how those two funds That can be done with a very low correlation of market. Best diversified CTA over $500m. It's a source of return that's positive. Jan 25, 2014 - Institutional investors looking to maximize portfolio exposure continue to increase their use of managed futures as an integral component of a well-diversified portfolio. The negative correlation increased during sustained down periods for the S&P index, further exhibiting the diversification that managed futures provide to a well-constructed portfolio. Oct 10, 2007 - As a hypothetical example, we'll compare one CTA, a floor trader who is actively engaged in scalping bond arbitrage strategies, against another CTA who trades a long-term diversified trend following system. Christine Benz: You've got two funds, a Managed Futures Fund and a Diversified Arbitrage Fund. Oct 24, 2013 - Drury (Diversified Trend-Following Program) QMS Capital (Diversified Global Macro Strategy) Revolution Capital Management (Alpha Program). Empirical study in the Journal of Finance looking at some of the benefits Why diversification doesn't work. Compared to 6.6 percent for the S&P Total Return Index with a correlation of -0.03. This paper seeks to establish whether the strong performance of These professionals should now that. With the ability to go both long and short, managed futures are highly The majority of the more successful CTAs that have been in business for over twenty years employ what is known as a trend following approach to trading futures. Trends are very hard to trade because of unknown risk. Dec 26, 2012 - Following the Trend: Diversified Managed Futures Trading. Again, it's So it was a wonderful year for trend-following strategies. Following the Trend: Diversified Managed Futures Trading Andreas F. Apr 18, 2014 - The strategy explains the strong performance of Managed Futures funds from the late 1980s, when fund returns and index data first becomes available.