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Index
Cover
Title Page
Copyright
Dedication
Foreword
Preface
WHY WRITE A BOOK?
Acknowledgements
Chapter 1: Cross-Asset Trend Following with Futures
DIVERSIFIED TREND FOLLOWING IN A NUTSHELL
THE TRADITIONAL INVESTMENT APPROACH
THE CASE FOR DIVERSIFIED MANAGED FUTURES
CRITICISM OF TREND-FOLLOWING STRATEGIES
MANAGED FUTURES AS A BUSINESS
DIFFERENCES BETWEEN RUNNING A TRADING BUSINESS AND PERSONAL TRADING
Chapter 2: Futures Data and Tools
FUTURES AS AN ASSET CLASS
FUTURES DATA
FUTURES SECTORS
REQUIRED TOOLS
Chapter 3: Constructing Diversified Futures Trading Strategies
THEY ARE ALL DOING THE SAME THING
CRACKING OPEN THE MAGIC TREND-FOLLOWING BLACK BOX
Chapter 4: Two Basic Trend-Following Strategies
STRATEGY PERFORMANCE
IMPROVING THE STRATEGIES
Chapter 5: In-Depth Analysis of Trend-Following Performance
STRATEGY BEHAVIOUR
AS A COMPLEMENT TO AN EQUITY PORTFOLIO
TRADING DIRECTION
SECTOR IMPACT
CASH MANAGEMENT AND THE EFFECT OF FREE GOVERNMENT MONEY
PUTTING LEVERAGE INTO CONTEXT
Chapter 6: Year by Year Review
HOW TO READ THIS CHAPTER
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
CONCLUSIONS OF YEAR BY YEAR REVIEW
Chapter 7: Reverse Engineering the Competition
INVESTMENT UNIVERSES
COMPARING THE INVESTMENT UNIVERSES
REPLICATING EXISTING FUNDS
CONCLUSIONS
Chapter 8: Tweaks and Improvements
TRADING MULTIPLE TIME FRAMES
TRADING SYNTHETIC CONTRACTS
ADDING A COUNTER-TREND COMPONENT
INTRADAY STOPS
CORRELATION MATRICES, POSITION SIZING AND RISK
THE ROLLOVER EFFECT
OPTIMISATION AND ITS DISCONTENTS
Chapter 9: Practicalities of Futures Trading
REQUIRED ASSET BASE
GOING LIVE
EXECUTION
CASH MANAGEMENT
HIGHER VOLATILITY IN DRAWDOWN MODE
PORTFOLIO MONITORING
STRATEGY FOLLOW-UP
Chapter 10: Final Words of Caution
DIMINISHING RETURNS OF FUTURES FUNDS
ENDING UP IN THE SOUP BOWL
SETTING THE INITIAL RISK LEVEL
Bibliography
OFFICIAL BOOK WEBSITE
RESEARCH PAPERS, ARTICLES AND WEBSITES
BOOKS
Index
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