Following the Trend

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The highly successful first edition of Following the Trend: Diversified Managed Futures Trading presented a systematic asset management methodology employed by the CTA industry, explaining their strategies in such a way as to enable the reader to emulate their success. This fully updated new edition: * Reviews whether CTA hedge funds continue to show high internal correlation and to exhibit homogeneous behavior, and explores the reasons for potential deviations. * Explains why and how the financial markets have changed and how that has impacted everything, including the trading strategy of the CTA industry. Changes include a low and negative interest rate environment, massive inflows, the rise of quant trading firms, etc. * Explores additional, related strategies. Combining different type of models can greatly enhance performance, and this is how the industry currently operates, such strategies are explained fully, complete with rulesets and an analysis of the value of combining such models with the core trend approach. A popular element of the original edition details performance and attribution year by year, from 1990 to 2011. This will be retained and brought fully up-to-date, adding the years since and explaining how the markets, industry and strategy have evolved further. Following the Trend: Diversified Managed Futures Trading, Second Edition is essential reading for anyone interested in the current state of the CTA industry.