Download 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
Download PDF Following the Trend: Diversified Managed Futures Trading, by Andreas Clenow
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Review
“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
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From the Inside Flap
“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
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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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