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Trend Following with Managed Futures: The Search for Crisis Alpha (Wiley Trading) Paperback – 3 Oct 2014

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From the Back Cover


WOW!! Everything you ever wanted to know about trend following over the past 800 years, from the theoretical to the practical, can be found in this book. If you are contemplating an allocation to or redemption from CTAs, you should read this book first.
Ed Robertiello, CFA, Senior Portfolio Manager, Absolute Return Strategies, CalPERS

Alex Greyserman and Kathryn Kaminski have provided a full insight into trend following models in simple language and with examples throughout this book. They have demystified the black box notion associated with managed futures/trend followers.
Romule Nohasiarisoa, CFA, Senior Hedge Fund Analyst, PGGM Pension Fund, Netherlands

Alex and Kathryn are prolific researchers in the world of managed futures and manager selection. This work is a significant contribution to the understanding of CTA performance and is a must read for anyone interested in analyzing CTA returns.
Adam Duncan, Senior Investment Director, Cambridge Associates

This book is a fascinating and timely examination of an investment strategy that, for too long, has dwelt in the shadows of the financial industry. Every serious investor should read this book!
Andrew Lo, PhD, Charles E. and Susan T. Harris Professor of Finance, MIT Sloan School of Management

This is a must have on the bookshelf of any institutional investor. Alex and Kathryn bring academic rigor to CTA investing in an easily digestible and understandable framework.
Lawrence Kissko, Head of Macro and Quantitative Strategies, Hermes BPK Partners

About the Author

ALEX GREYSERMAN, PHD, is Chief Scientist at ISAM and serves as Adjunct Professor in the Graduate Program in Mathematical Finance at Columbia University.

KATHRYN M. KAMINSKI, PHD, is the Deputy Managing Director of the Institute for Financial Research (SIFR), external market commentator for the CME Group, and affiliated faculty at the Stockholm School of Economics.

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Most Helpful Customer Reviews on (beta) 6 reviews
30 of 31 people found the following review helpful
Not a trading book. (In a good way) 18 Sept. 2014
By Andreas Clenow - Published on
Format: Paperback
This is probably the most in-depth book written on the subject of trend following futures strategies. Don't mistake this work for a trading book. It's really not. It's a serious finance book. Also don't mistake that statement for criticism.

This book will not give you simple answers. It won't give you ready-to-use trading systems or advise on how to get rich fast. This is a book for those who want to learn for real. Those who are looking for easy answers and lack the patience to do proper research will probably not make it through this book. Most readers will be challenged by the book. It will open your eyes to aspects of trend following that you probably hadn't realized before.

If you're a serious market professional in the systematic trading field, or aspiring to become one, this is a book you need to read. There are plenty of books available that gives you easy solutions. Few of them work in reality. This is the book that will take you to a different level. It should spark new research areas and help you elevate your own research.

In writing this book, the authors have shed welcome light on an all too often misunderstood industry. A highly recommended book.
7 of 7 people found the following review helpful
Excellent academic proof of Trend Following 13 Nov. 2014
By John Grover - Published on
Format: Kindle Edition Verified Purchase
This is an excellent and compelling academic "proof" of Trend Following. The authors dig into the record of trend following for the last 800 years using a non optimized systematic approach and find that the returns are persistent. Good thing, since billions are traded in the trend following space.
Though the book has a ton of economic formulas, you do not need to deconstruct them to understand the basic idea of what is being shown.
The sections of the book deconstruct methods; risk management types and time frames; high and low interest rate environments etc.
Very interesting is the discussion of divergent versus convergent risk taking, and the research showing that divergent risk taking is stable over time.
If you are interested in actual system building and the other aspects of managing a fund, read "Following the Trend: Diversified Managed Futures Trading" by Andreas Clenow, but for foundation information, exploring variations and academic research proving the method you need to read this book as well.
1 of 1 people found the following review helpful
A very good guide of a modern trend system. 15 Dec. 2014
By Josh Wong - Published on
Format: Paperback Verified Purchase
A very good overview and in-depth guide to a modern trend system. Highly recommended for practitioners.
12 of 19 people found the following review helpful
By MarketCycle Wealth Management - Published on
Format: Paperback Verified Purchase
I'm CEO of a trend following investment advisory, MarketCycle Wealth Management, so I have to read every book that comes down the pike, particularly when it covers trend following. This book represents a sincere effort to present technical information on trend following. The gist is that trend following dramatically increases performance when added 50/50 to normal buy & hold portfolios. I think. The book reads like a college level statistics textbook and even the summaries at the end of each chapter are not simplified. This book will be a waste of time for anyone who is not into supplying the time required to read a fairly technical math-based textbook. It would be very good required reading for those completing a CFA program, etc. or for a researcher in the "back room" of a hedge fund. I applaud their effort and would love to see a more simplified and usable book from the authors in the future. Michael Covel's books might be more accessible for the average person. Trend following IS the Holy Grail of investing.
3 of 5 people found the following review helpful
Greyserman and Kaminski dig deep to answer why CTAs of ... 2 Nov. 2014
By Markham Gross - Published on
Format: Paperback Verified Purchase
Greyserman and Kaminski dig deep to answer why CTAs of the systematic trend following variety do what they do, why it works, and how it can improve diversification, risk control, and returns for a larger portfolio. As other have said, this is a book for those who really want to learn.
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