Following the Trend - Diversified Managed Futures Trading

By Andreas Clenow

Business, Money & Investing

Professional & Technical

Language: English Not Rated (NR)

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0 ratings

No. of pages

150

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Overview Ratings & Reviews

During bull and bear markets, there is a group of hedge funds and professional traders which have been consistently outperforming traditional investment strategies for the past 30 odd years. They have shown remarkable uncorrelated performance and in the great bear market of 2008 they had record gains. These traders are highly secretive about their proprietary trading algorithms and often employ top PhDs in their research teams. Yet, it is possible to replicate their trading performance with relatively simplistic models. These traders are trend following cross asset futures managers, also known as CTAs. Many books are written about them but none explain their strategies in such detail as to enable the reader to emulate their success and create their own trend following trading business, until now.

Following the Trend explains why most hopefuls fail by focusing on the wrong things, such as buy and sell rules, and teaches the truly important parts of trend following. Trading everything from the Nasdaq index and T-bills to currency crosses, platinum and lean hogs, there are large gains to be made regardless of the state of the economy or stock markets. By analysing year by year trend following performance and attribution the reader will be able to build a deep understanding of what it is like to trade futures in large scale and where the real problems and opportunities lay.

Written by experienced hedge fund manager Andreas Clenow, this book provides a comprehensive insight into the strategies behind the booming trend following futures industry from the perspective of a market participant. The strategies behind the success of this industry are explained in great detail, including complete trading rules and instructions for how to replicate the performance of successful hedge funds. You are in for a potentially highly profitable roller coaster ride with this hard and honest look at the positive as well as the negative sides of trend following.

The Story Behind This Book

Having been part of the hedge fund world and the rapid expansion in the managed futures space, I've had an amazing ride. I've been fortunate enough to participate in in a very exciting industry. Over the years I have founded several hedge funds and asset management companies, developed quantitative trading strategies, traded large scale futures models and worked with some very interesting people. What always amazed me the most was just how misunderstood the business of managed futures really is. There is so much myth about our strategies and trading systems. So much odd beliefs about what we really do and how we create our returns. I wanted to set the record straight by telling the real story. From an insider's perspective. Following the Trend is the result of two years writing based on many years research and practical experience in the business. I tell the whole story and hold nothing back. I explain why buy and sell rules are almost irrelevant, despite popular belief. I demonstrate why diversification rules and risk management is the key factors. Most importantly, I show how very simple trading rules are good enough to approximate the returns of the big hedge funds. I even go as far as to reverse engineer some of the best funds in the business. I show you how they trade. My methods and rules are all in the book. My intention is to allow the reader to replicate and verify all my claims. I trade for a living. I don't sell trading rules.

Praise and Reviews

“Following the Trend is an absolute must read for anyone with an interest in systematic trend following whether as an investor, trader, or aspiring manager. The book is at the same time comprehensive and easy to read. As someone who has designed these types of systems, it is absolutely clear to me that Clenow writes as a knowledgeable practitioner, not an armchair theoretician. I admired Clenow’s repeatedly pointing out real life difficulties and drawbacks and his refusal to use optimization or well-chosen examples as virtually all other books of this type tend to do. In short, this is a real life presentation of the subject matter. In one particularly innovative chapter, Clenow creates close replications of some of the best and largest trendfollowing funds by combining his set of simple, non-optimized rules with variations in portfolio composition and volatility level.”—Jack Schwager, Author of Market Wizard and Schwager on Futures series and Market Sense and Nonsense

“Andreas Clenow has written a very unique book that provides a rare insight into how an actual CTA hedge fund manager trades. Backing up all his claims with hard research, he cuts right to the point and educates the reader about how the real value of trend-following futures trading is achieved and how to replicate the success of the major hedge funds. A must read and an essential part of any serious trader's library!”—Carl Gyllenram, CEO, Ability Asset Management / Author of Trading with Crowd Psychology

“Following the Trend truly captures what it is to be a systematic manager day in and day out. It is a must read for someone with ambitions to create his own systematic fund; highly recommended for everyone who is planning to invest in or understand the intricacies of systematic strategies.”—Sanjiv Kumar, Principal, Fort LP.

“In this excellent work, Andreas has shed light on some very important and previously undocumented aspects of trend following. This book should be of great interest to Managed Futures managers and investors alike.”—Nigol Koulajian, Founder, Quest Partners, LLC

“This is must read for anyone involved in trading markets. The thoughtful analysis of how models work and fail will help anyone interested in trading futures. This book adds to the short list of intelligent analysis available for investors to beat the market.”—Robert Savage, CEO, Track.com

“If you want to trade professionally by managing other people’s money, then this is one of the first books I recommend that you read.”—Van K. Tharp, Ph.D., Author, Trade Your Way to Financial Freedom, Supertrader and The Definitive Guide to Position Sizing Strategies

“Trend following is the largest sub-category of managed futures, driven by the market environment of price persistence. Andreas has taken a complicated topic and provided an insightful viewpoint.”—Mark H. Melin, Author, High-Performance Managed Futures / Editor, Opalesque Futures Intelligence

“A no- nonsense view into the real world of trend following and how it can be done.”—Kathryn M. Kaminski, PhD, CIO and Founder, Alpha K Capital