Free PDF Following the Trend: Diversified Managed Futures Trading, by Andreas Clenow
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Following the Trend: Diversified Managed Futures Trading, by Andreas Clenow
Free PDF Following the Trend: Diversified Managed Futures Trading, by Andreas Clenow
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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.
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Product details
Hardcover: 300 pages
Publisher: Wiley; 1 edition (January 14, 2013)
Language: English
ISBN-10: 1118410858
ISBN-13: 978-1118410851
Product Dimensions:
6.2 x 0.8 x 9.2 inches
Shipping Weight: 1.3 pounds (View shipping rates and policies)
Average Customer Review:
4.6 out of 5 stars
88 customer reviews
Amazon Best Sellers Rank:
#103,582 in Books (See Top 100 in Books)
I really liked the ideas in this book and I enjoyed the writing style of the author. Unfortunately the book was targeted to investment professionals who are managing other people's money as a CTA fund manager, so the concepts suggested in the book require a larger investment portfolio than most individual investors would have in order to gain the proper diversification. Even the author says implementing his ideas requires a total portfolio of at least $1 million. That is a fairly significant portfolio for one asset class and is, unfortunately, out of my league.Despite those comments, I thought Mr. Clenow wrote an investment classic and both individual investors and professionals can gain important insights from reading this book. I am investigating if there is some way I could implement his ideas using avenues other than the exact ones he presented in his book and given a much smaller portfolio that I can dedicate to commodities/futures.
This book is a must-read if you trade futures, forex or equities using systematic trend following methods.My two main take-aways from this book after reading it a couple years ago:1. Trend-following will be unprofitable for YEARS at a time in specific sectors (equities, metals, currencies, softs, etc.), therefore you need to trade EVERYTHING to make up for this. Example: Using a trend-following strategy on equities was not profitable from 2004-2006, therefore you had to also be trading instruments that were "trendy" during that same time period (metals or softs or whatever it actually was). This means that it's very difficult to be consistently profitable as a trend follower with a small account (less than $250k). Why? You need enough money to trade every asset from Day 1: Equities, financials, energy, metals, softs, currencies. You might be able to do it with $150k minimum but that would be a very high level of risk (think 50+% drawdowns). The reality is this: you can't just deposit $25k with a broker, trade one instrument and expect a profit your first year or any year. You have to trade everything with a big account.2. CTAs use simple, well-known strategies to identify the current trend, either a moving average crossover (10 day vs 100 day) or a breakout method (buying the 50 day high and then selling on the 25 day low and vice versa). The breakout strategy can then be modified by adding a trend filter (MA crossover) and stop (3 ATR) to form a complete CTA-style strategy. No secret indicators or anything like that, just moving averages and a vol indicator (ATR) for your stop. Beyond that, it's up to you to control position size (number of futures contracts) to achieve your desired level of risk. Most amateur traders lose all their money because their position size is too big.Apologies to Clenow if I've over simplified or misremembered anything. It's a great book to see how professional systematic traders actually do things. The strategies are simple and well-known, but you need enough money to trade all the sectors. The harsh reality is that many individuals probably don't have enough cash to start their own proper trend-following strategy.
When I first started studying trend following, I got the "buy high, sell higher"...... "manage your risk"....."Drawdowns are part of the game"....."use volatility to size your positions"......."once you have the rules in place, it becomes 100% psychological". All of these points are 100% true and very, very important. What Andreas does is take these truths much further. I have read several books on trend following, and all were very good, but something was lacking. Most will talk about the importance of portfolio selection, but never really dive into it. Andreas does.....and does in a big way; showing what a difference it can make. As a newer CTA, I appreciate his willingness to divulge this information, dispelling the myth that some of the most legendary and successful trend following programs have some sort of "secret sauce". Sure, some do employ legions of quants, trying to squeek out every ounce of return while reducing drawdown, but Andreas does a masterful job showing how one can replicate these strategies with a simple trend following strategy.Since he does manage assets for clients, I don't understand why he wrote this book.....letting the reader in on the "big secret", but I'm sure glad he did. This is one of the best, if not THE BEST, book you could read on the subject. Whether you want to trade for yourself, or manage assets for others, this book is ESSENTIAL!
A great book for futures traders BUT just as great for stock traders. I've focused more on the individual equities so my system isn't completely in conjunction with Clenow's but his advice and thoughts are just as valuable. Before you ever start trading futures, please read this book and it will save you a ton of money. He presents a couple of easy and logical systems and his advice is invaluable.
Many thanks to the author who not only generously gives his insights on trending following ore strategy, and the most important part of how to use 5 different sectors to create diversified portfolio - one key step to enable trend following, plus the most critical part of risk management via risk adjusted position sizing, he also devoted one chapter to give details of 20 years by year trading history of the fund. This details paint the most valuable and realistic picture of what one will experience even if in theory, a winning trading strategy. I am quite sure many of us (including myself) would have either given up or tweak the strategy during such turbulent trading period.
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