LEADER 07747nam 2200577 450 001 9910132159503321 005 20170821200047.0 010 $a1-118-89102-3 010 $a1-118-89101-5 010 $a1-118-89104-X 035 $a(CKB)3710000000218270 035 $a(EBL)1765095 035 $a(MiAaPQ)EBC1765095 035 $a(DLC) 2014019702 035 $a(CaSebORM)9781118890974 035 $a(EXLCZ)993710000000218270 100 $a20140822h20142014 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $2rdacontent 182 $2rdamedia 183 $2rdacarrier 200 10$aTrend following with managed futures $ethe search for crisis alpha /$fAlex Greyserman, Kathryn Kaminski 205 $a1st edition 210 1$aHoboken, New Jersey :$cWiley,$d2014. 210 4$dİ2014 215 $a1 online resource (454 p.) 225 1 $aWiley Trading Series 300 $aIncludes index. 311 $a1-118-89097-3 320 $aIncludes bibliographical references and index at the end of each chapters. 327 $aMachine generated contents note: Foreword Andrew W. Lo Preface Introduction Part I: Introduction Chapter 1: A Multi-Centennial View of Trend Following The Tale of Trend Following: A Historical Study Return Characteristics over the Centuries Risk Characteristics over the Centuries Portfolio Benefits over the Centuries Summary Further Reading and References Appendix: Included Markets and Relevant Assumptions Part II: Trend Following Basics Chapter 2: Review of Futures Markets and Futures Trading Forward and Futures Contract Fundamentals Review of the Managed Futures Industry Futurization Summary Futures Reading and References Chapter 3: Systematic Trend Following Basics The Basic Building Blocks of a Trend Following System Strategy Classification and Core Differentiators Partitioning Trend Following Systems Summary Further Readings and References Part III: Theoretical Foundations Chapter 4: Adaptive Markets and Trend Following The Adaptive Market Hypothesis A Framework for Speculative Risk Taking A Closer look at Crisis Alpha Summary Further Reading and References Chapter 5: Divergence and the Tradability of Trend Risk vs. Uncertainty Convergence vs. Divergence Measuring Market Divergence at the Portfolio Level Testing the Stationarity of Market Divergence The Tradability of Trend The Importance of Entry vs. Exit Summary Further Reading and References Chapter 6: The Role of Interest Rates and the Roll Yield Collateral Yield Decomposition into Roll Yield and Spot Interest Rates and the Roll Yield for Bond Futures Market Divergence and the Roll Yield Commodity Markets and the Roll Yield Summary Further References and Readings Part IV: Trend Following as an Alternative Asset Class Chapter 7: Properties of Trend Following Returns Trend Following as an Alternative Asset Class Crisis Alpha Crisis Beta Key Statistical Properties Summary Featured Readings and References Appendix: A Summary of Common Performance Measures Chapter 8: Characteristics of Drawdowns, Volatility, and Correlation Understanding the Properties of Drawdowns Correlation and Diversification at the Portfolio Level Summary Further Reading and References Chapter 9: The Hidden and Unhidden Risks of Trend Following Directional and Non-Directional Strategies: A Review Defining Hidden and Unhidden Risks The Myths and Mystique of the Sharpe Ratio Unraveling Hidden Risks of Dynamic Leveraging Summary Further Reading and References Chapter 10: Trend Following in Various Macroeconomic Environments Interest Rate Environments Regulatory Forces and Government Intervention Summary Further Reading and References Part V: Benchmarking and Style Analysis Chapter 11: Return Dispersion Strategy Classification and Return Dispersion A Closer Look at Capital Allocation and Position Sizing Return Dispersion from an Investor's Perspective Empirical and Theoretical Considerations for Correlated Return Series Summary Further Readings and References Chapter 12: Index and Style Factor Construction Divergent Risk Taking Revisited Defining a Divergent Trend Following Strategy Constructing Style Factors Characteristics of the Style Factors Summary Further Readings and References Chapter 13: Benchmarking and Style Analysis A Framework for Return based Style Analysis Style Analysis for Individual CTA Managers Sector Level Analysis of the Market Size Factor Manager Selection and Allocation Summary Further Readings and References Part VI: Trend Following in an Investment Portfolio Chapter 14: Portfolio Perspectives on Trend Following A Closer Look at Crisis Alpha The Impact of Mark-to-Market on Correlation Understanding Cyclicality in Managed Futures Summary Further Reading and References Chapter 15: Practicalities of Size, Liquidity, and Capacity Does Size Matter? The Impact of Less Liquid Markets Summary Further Readings and References Appendix: Market Symbols and Names Chapter 16: Diversifying the Diversifier From Pure Trend Following to Multi-Strategy Portfolio Analysis of the Move to Multi-Strategy Hidden Risk of Leveraging Low Volatility Strategies Summary Further Reading and References Chapter 17: Dynamic Allocation to Trend Following A Framework for Dynamic Allocation Mean Reversion in Trend Following Return Series Investigating Dynamic Allocation Strategies Summary Further Reading and References Appendix: A Theoretical Analysis of Mean Reversion in Trend Following Glossary of Key Terms About the Authors Index . 330 $a"The investment manager's all-inclusive guide to trend followingCovering a range of areas vital to investors, Trend Following with Managed Futures brings readers up to speed on the basics and theoretical foundations of trend following, then moves on to more advanced topics, like trend following as an alternative asset class, benchmarking and factor decomposition, trend following in an investment portfolio, and much more.Trend following is one of the most popular investment strategies today, and as more investors begin to use it there is an ever-growing need for information on the topic. While there are many books on trend following written "by traders, for traders," very few focus on the investors who allocate capital to them. Now, Trend Following with Managed Futures is the first rigorous and academically-motivated book of its kind to approach trend following from the investor's unique perspective. Provides investors with information they need to use and allocate trend following Offers sound advice for all finance practitioners Caters to a large audience looking for authoritative material on the topic Features an online component Trend Following with Managed Futures is an invaluable resource for anyone who invests via trend following or offers financial advice related to trend following"--$cProvided by publisher. 330 $a"Source guide for finance practitioners who invest in or give financial advice related to trend following strategy. Discusses trend following basics, theoretical foundations of trend following, trend following as an alternative asset class, benchmarking and factor decomposition, trend following in an investment portfolio, and advanced topics"--$cProvided by publisher. 410 0$aWiley trading series. 606 $aInvestments 606 $aSecurities 608 $aElectronic books. 615 0$aInvestments. 615 0$aSecurities. 676 $a332.64/52 686 $aBUS036000$2bisacsh 700 $aGreyserman$b Alex$0962249 702 $aKaminski$b Kathryn 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910132159503321 996 $aTrend following with managed futures$92181868 997 $aUNINA LEADER 04289oam 2200697I 450 001 996199882903316 005 20240402112842.0 010 $a1-134-46700-1 010 $a0-429-23235-7 010 $a1-134-46701-X 010 $a1-282-77857-9 010 $a9786612778575 010 $a0-203-45878-8 024 7 $a10.4324/9780203458785 035 $a(CKB)1000000000249510 035 $a(EBL)166313 035 $a(OCoLC)647434163 035 $a(SSID)ssj0000079418 035 $a(PQKBManifestationID)11126643 035 $a(PQKBTitleCode)TC0000079418 035 $a(PQKBWorkID)10067868 035 $a(PQKB)10313901 035 $a(MiAaPQ)EBC166313 035 $a(Au-PeEL)EBL166313 035 $a(CaPaEBR)ebr10099305 035 $a(CaONFJC)MIL277857 035 $a(EXLCZ)991000000000249510 100 $a20180331d2002 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aEighteenth century economics $eTurgot, Beccaria and Smith and their contemporaries /$fPeter Groenewegen 205 $a1st ed. 210 1$aLondon ;$aNew York :$cRoutledge,$d2002. 215 $a1 online resource (446 p.) 225 1 $aRoutledge studies in the history of economics ;$v55 300 $aDescription based upon print version of record. 311 $a0-415-75381-3 311 $a0-415-27940-2 320 $aIncludes bibliographical references and index. 327 $aBook Cover; Title; Contents; List of illustrations; Preface; Acknowledgements; Prelude; Chronological table of contents; Turgot, Beccaria and Smith; Thoughts on the emergence of economics as a science; New light on the origins of modern economics; Labour and the classical economists; Boisguilbert and eighteenth-century economics; The French connection: some case studies of French influences on British economics in the eighteenth century; Employment and machinery: two classical debates on the effects of automation 327 $aThe notion of the subsistence wage in pre-Smithian classical political economy: some reflections inspired by the surplus approach WITHSir James Steuart and Richard Cantillon; Editing the classics in the Antipodes: with special reference to the problem of identifying anonymous authors; Laissez-faire: reflections on the French foundations; The physiocrats: the origins of scientific political economy and the single tax; Quesnay's first publication in economics: the article 'Fermiers' for the Encyclopedie an introduction; Du Pont de Nemours on the origins and progress of a new science 327 $aReflections on Pietro Verri's political economyA re-appraisal of Turgot's theory of value, exchange and price determination; A re-interpretation of Turgot's theory of capital and interest; Turgot: forerunner of neo-classical economics?; Turgot's place in the history of economic thought: a bicentenary estimate; Turgot and Adam Smith; A new catalogue of Adam Smith's library; Adam Smith and the division of labour: a bicentenaryestimate; Productivity of labour, thrift and economic progress: Adam Smith's optimistic view of economic development; Index 330 $aPeter Groenewegen is one of the world's foremost scholars of eighteenth century economics - the era that saw the effective 'mainstreaming' of the discipline in the work of Smith, Turgot and Quesnay. This collection of essays amounts to the definitive guide to eighteenth century economics and is a must for any economist's bookshelves.Eighteenth Century Economics represents four decades of Peter Groenewegen's research of that period. Presented in chronological order, the essays read not only as an authoritative summary of that period, but also as a guide to the evolution of Gr 410 0$aRoutledge studies in the history of economics ;$v55. 606 $aEconomics$xHistory$y18th century 606 $aFree trade$xHistory$y18th century 606 $aPhysiocrats 615 0$aEconomics$xHistory 615 0$aFree trade$xHistory 615 0$aPhysiocrats. 676 $a330/.09/033 700 $aGroenewegen$b Peter D.$0118662 801 0$bFlBoTFG 801 1$bFlBoTFG 906 $aBOOK 912 $a996199882903316 996 $aEighteenth century economics$91930379 997 $aUNISA