Trend Following with Managed Futures: The Search for Crisis Alpha

PRAISE FOR TREND FOLLOWING WITH MANAGED FUTURES

“WOW!! Everything you ever wanted to know about trend following over the past 800 years, from the theoretical to the practical, can be found in this book. If you are contemplating an allocation to or redemption from CTAs, you should read this book first.”
—Ed Robertiello, CFA, Senior Portfolio Manager, Absolute Return Strategies, CalPERS

“Alex Greyserman and Kathryn Kaminski have provided a full insight into trend following models in simple language and with examples throughout this book. They have demystified the black box notion associated with managed futures/trend followers.”
—Romule Nohasiarisoa, CFA, Senior Hedge Fund Analyst, PGGM Pension Fund, Netherlands

“Alex and Kathryn are prolific researchers in the world of managed futures and manager selection. This work is a significant contribution to the understanding of CTA performance and is a must read for anyone interested in analyzing CTA returns.”
—Adam Duncan, Senior Investment Director, Cambridge Associates

“This book is a fascinating and timely examination of an investment strategy that, for too long, has dwelt in the shadows of the financial industry. Every serious investor should read this book!”
—Andrew Lo, PhD, Charles E. and Susan T. Harris Professor of Finance, MIT Sloan School of Management

“This is a must have on the bookshelf of any institutional investor. Alex and Kathryn bring academic rigor to CTA investing in an easily digestible and understandable framework.”
—Lawrence Kissko, Head of Macro and Quantitative Strategies, Hermes BPK Partners