A few new books in the mail for you to flip through while watching the Broncos game… :
This is a really interesting book for all those interested in CTAs. I skimmed it but will have to go back and re-read as the Schwager review is pretty spot on. It reminds me a bit of that Bridgewater piece on replicating basic hedge fund strategies with rules based investing :
Following the Trend: Diversified Managed Futures Trading
“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
I haven’t yet read this next book, but did see that Abraham profiles about 10-15 CTAs….
The Trend Following Bible: How Professional Traders Compound Wealth and Manage Risk
and I know I’ve mentioned the Quant Value book, as I read the reviewer electronic copy, but looking forward to taking a look again at the print publication…
and lastly, a nice read from Dave Rosenberg at Gluskin Sheff, as well as a roundup of the academic alpha lit from Deutsche Bank coming up over on The Idea Farm…
