Book review: trend following with managed futures

A 700-year trend-following data set shows an average return of 13% with a volatility of just 11%, for a sharp ratio of 1.16 while a buy-and-hold strategy would produce an average return of 4.8% with a volatility of 10.3%, for a much more modest Sharpe of 0.47

It’s not often that I set out to purposefully find fault with a body of work, only to find myself agreeing with its methods and conclusions. But that’s precisely what happened when I read Alex Greyserman’s and Kathryn Kaminski’s recently published book subtitled The Search for Crisis Alpha (Wiley, 2014). In preparation for a conference panel entitled “A Fresh Look at CTA Style Analysis” I learned that my co-panelists had just written a book together on this very topic. Both so I could materially