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.
