Index

Abbey National Bank, 142 AQR Capital Management, 367–370, 378 Abelson, Alan, 235 Ariely, Dan, 190, 281 Abraham, Malouf, 75 Aristotle, 206, 243 Abraham, Mark, 13 Art, Christopher, 505 Abraham, Salem, 17, 75–77, 130, 255 The Art of Investing, 6 Abraham Trading Company, 75–77, 130, 131 Asacker, Tom, 213 Absolute returns, 92–93 Asian Contagion (1997), 157–161 Absolute Returns (Ineichen), 273 Asness, C. S., 407, 536 Accuracy of Forecasting (Makridakis), 227 Asness, Cliff, xxiii, 17, 33, 368–370, 372–373, 375 Ackman, Bill, 235, 243 Aspect Capital, 295, 300–301, 304–305, 307–308, Adam, Harding, and Lueck (AHL), 33, 253–254, 295, 321, 425–434 298–301, 321, 359, 360, 435n. Assange, Julian, 370 Adam, Michael, 33, 295–301 Asset classes, 541–545, 567 AIG, 249 Auburn Auto, 83 Ainslie, Lee, 369, 371 Aumann, Robert, 281 Aliferis, P., 405n. Axelrod, Bobby (Billions), 8, 271 Alliance Capital Management Holding LP, 231 Almost-certain-death strategies, 480, 481 Bachelier, Louis, xx Altegris, 571 Bacon, Louis, 24, 65, 561 Altucher, James, 281 Bagehot, Walter, 52 Amaranth, 119 Baha, Christian, ii, 256 American Express, 231 Bailey, D. J., 445 Amin, Gaurav, 508 COPYRIGHTEDBaldwin, MATERIAL William, 83 Anchorman (fi lm), 245 Baltimore, David, 381–382 Anderson, Philip, 156 Baltimore Orioles, 179 Anderson, Sparky, 182 Bankers Trust, 146 Andreessen, Marc, 29, 249 Bank of America, 21 Andrews, Will, 71, 73 Bank of Italy, 149 Aponte, Mike (MIT Blackjack Team), 29 Bank of Japan, 220–221 Apple, xxii, 22, 259 Bank One, 552

641

bindex 641 25 October 2018 9:25 PM 642 Index

Baratz, Morton S., 20 fi xed-fraction, 474, 475 Barberis, N., 422 optimal, 473 Barclays, 505, 507 Bet-it-all strategies, 480, 481 Barclays BTOP 50 Managed Futures Index (BTOP50), Bhaduri, Ranjan, 505 452–469 Bhansali, Vineer, 533–547 Barclays Systematic Traders Index, 510 BHY test, 442 Barclays U.S. Aggregate Bond Index, 509 Billions (television program), 8 Barings Bank, 50, 118, 119, 161–164, 273 Bird, Larry, 58, 184, 260 Barroso, P., 407, 422 Birdman (fi lm), 260 Barry, Dave, 138, 244 Black, Fischer, 145, 406 Bartas, A. N., 406, 408 Black Monday (1929), 392–393 Bartiromo, Maria, 233 Black Monday (1987), 167–170 Baruch, Bernard, 261 Black–Scholes model, 312, 316 Basso, Tom, i, 11, 103, 226, 258, 262, 267 Blame, in trend following, 276–277 Bayes, Thomas, xxiii Blind risk, 250 Bayesian statistics, xxiii Bliss, Robert R., 534–535 Beane, Billy, 180–181, 185 Blue Trend, 321 Bear Stearns, 119, 146, 249, 356 Blum, Jason, 29, 290 A Beautiful Mind (fi lm), 251 Bogle, John, 211, 556, 559, 561 Behavioral biases, 192–193 Bok, Derek, 9 and baseball statistics, 181 Bonds: of clients, 331 carry in, 537, 538, 542–545 and discretionary trading, 15–16 in managed futures analysis, 509, 511–517 Ed Seykota on, 67 risk premiums of, 534–535 and systematic trading, 304 Bonds, Barry, 179 Behavioral economists, 306–307 Bonferroni test, 440–442 Behavioral fi nance, xxii, 189–203 Bonner, Bill, 223 and commitment, 201–203 Borish, Peter, 22 and curiosity, 199–201 Borne, Ludwig, 85 and emotional intelligence, 195–197 Boston Globe, 61 Neuro-Linguistic Programming, 197 Boston Red Sox, 49, 50, 61, 178, 181, 183, 185, 264 prospect theory, 190–195 Boswell, Thomas, 183 and “trading tribe,” 197–199 Bouchaud, Jean-Philippe, xx, 33, 244, 277, 311–318, Belichick, Bill, 186 405–424 Benchmarks, 92, 219 Bourdain, Anthony, xx Benjamini, Y., 442 Boyd, Jack, 576 Bercot, N., 405n. Brady, David, 142–143 Berd, A., 405n. Braga, Leda, 33, 57, 64, 277 Bergin, Marty, 44–45, 48 Brant, David, 143 Bergström, Svante, 33 British Petroleum (BP), 142 Berkshire Hathaway, 22, 111–115, 230, 373, 375 Brody, Harvey, 51 Berle, Milton, 5, 365 Browne, Harry, 7 Bernanke, Ben, 319 BTOP50 (Barclays BTOP 50 Managed Futures Index), Berra, Yogi, 570 452–469 Bets: Buchanan, Mark, 313 fi xed, 473–476 Buchmann, Marco, 435n.

bindex 642 25 October 2018 9:25 PM Index 643

Buddha, 217 Channel Breakout, 452–453 Buffett, Warren, xxii, 37, 67, 103, 101, 114, 227, Chanos, James, 369, 371, 376 229–231, 256, 354, 355, 373–375, 553 Chaos theory, 217–222 Burke, Gibbons, 248, 256 Chase Manhattan, 146 Burns, Steve, i, 578 Chenier, Jean-Jacques, 220–221 Bush, George W. (President), 12 Chesapeake Capital Management, BusinessWeek, 96 74–76 Buy-and-hold strategies, 74, 228–229, 274, 389 Chesterton, G. K., 155 Chicago Cubs, 185 Calculated risk, 250 Chigurh, Anton (No Country for Old Men), 44 Calculus, 477–478 China Asset Management, 639 California, State of, 138–141 Chopra, Deepak, 8 California Public Employees Retirement System Christensen, Clayton M., 210–211 (CalPERS), 236, 342 Christian, Brian, 377, 378, 380 Camerer, Colin, 190 Chuang-Tzu, 281 Campbell, John, 535 Cialdini, Robert, xxvii, 190, 281, 332 Campbell, Keith, 10, 20, 69–73, 149, 274, 277 Cisco, 22 Campbell & Company, 16, 28, 69–73, 103, 143, 145, City of Fort Worth, 143 149, 260 Clare, A., 407, 408 Canary Capital Partners, 552 Clark, Tony, 184 Candidate strategy, 437–440 Clarke, Michael J., 261 Candidate testing strategy, 436 Clarke Capital Management, 121 Cantab Capital Partners, 319, 320, 327 Cleveland Indians, 185 Capital Fund Management (CFM), 311, 405–424 Clews, Henry, 17 Capital in the Twenty-First Century (Piketty), 317 CNBC, 238–240, 242 Capone, Al, 225, 226 Coca-Cola, 231 Caray, Harry, 51 Cochrane, John H., 533, 535 Carlin, George, 212 Code, for GRAB trading system, 500–502 Carpenter, Sam, 203 Cognitive dissonance, 13, 194 Carroll, Lewis, 167, 205 Cognitrend, 32 Carry, 533–547 Cohen, Steven, 552 across asset classes, 541–545 Coin toss example, 471–472 across rate regimes, 545–546 Collaboration, 382 defi ned, 533–534 Collins, James, xxiv–xxv in interest rate futures, 539–541 Collins, Terry, 186 overview of, 533–536 Commitment, 31, 201–203 research on, 536–539 Commodities, 414–415, 537, 538, 541–544 Cash, Johnny, 309 Commodities Corporation, 64, 65, 107, 202, 203, CB50 (50 Day Channel Breakout), 453 261–262, 268 CCTV, 640 Commodity trading advisors, see CTAs Central bank interventions, 275 Compounding, 45, 222–223 A Century of Evidence on Trend-Following Investing, Conrad, Chet, 70–71 378–379 Cont, R., 407, 422, 423 CFM (Capital Fund Management), 311, 405–424 Cook, Earnshaw, 179, 181 Chabris, Christopher, 190 Cool Hand Luke (fi lm), 91 Challet, D., 405n. Cooperman, Leon, 248

bindex 643 25 October 2018 9:25 PM 644 Index

Correlation: Cutten, Arthur, 17 of Campbell & Company, 72–73 Czkwianianc, Paul, 451–469, 508 of CTA strategies, 457–458 in historical data, 398 Dalio, Ray, 11, 273 of long vs. short trades, 462 Dao, L., 405n. in managed futures analysis, 510 Darvas, Nicolas, 17, 79, 262, 356 as performance data, 104–106 Darwin, Charles, 15 Corzine, Jon, 157 Data processing, 430 Costs: Davis, Josh, 533–547 of mutual funds, 562–564 Davis, Miles, 90 transaction, 554–555 Davis, Ned, 3 Covel, Michael, xvi, xvii, xxi, 112, 137, 237, 281, 286, Dawkins, Richard, 340, 363 406, 571, 575, 577, 578, 637, 639, 640 Day trading limits, 269–270 Cowles, Alfred, 128 Dean Witter, 146, 163 Crabel, Toby, 168, 269 Dean Wormer (Animal House), 194 Cramer, James, 12, 230, 242 Deaton, Angus, 281 Crapple, George, 114–115, 277 De Bondt, W., 406 Credit Suisse, 149 Decision making, 205–213 Crichton, Michael, 199 fast and frugal, 207–210 Critical thinking, 216–217, 238 and The Innovator’s Dilemma, 210–211 Crosby, Daniel, 247 Occam’s razor, 206–207 Cross-sectional momentum, 339–340, 370 process vs. outcome vs. gut in, 211–213 Cross-validation, 377 Dellutri, Dale, 78–79 Cruden, Christopher, 25 DeLong, J., 407, 422 Crude oil futures, 164–166 Dennett, Daniel, 306, 572 Crump, Arthur, 4–5 Dennis, Richard, 23, 29, 62, 74, 77–83, 104, 106, 197, Crury, Bern, 114 218, 259, 277, 297 CTAs (commodity trading advisors): Department of Physics, UC Santa Barbara, 253 as diversifi ers or hedges, 466–468 Deremble, Cyril, 405–424 ratings of, 93 Deresiewicz, William, 279 tactical macro investing, 506–507 Derman, Emanuel, 174 technical models used by, 265 Desai, Dinesh, 88, 97–98 CTA smile, 395–397 Deutsche Bank, 119 CTA strategies, 451–469 DFA (Dimensional Fund Advisors LP), xix CTAs as diversifi ers or hedges, 466–468 Dichev, Ilia D., 562 defi ned, 452–455 DiMaria, Jim, 180 performance of long vs. short trades, 461–462 Dimensional Fund Advisors LP (DFA), xix performance results and graphs, 456–458 Discipline, 53, 57, 278 sector performance, 458–460 Discretionary trading strategies, 15–16, 324–325 stability of parameters in, 463–465 Distributions, unbalanced, 479, 480 Culp, Christopher, 118, 169 Ditka, Mike, 346 Curie, Marie, 24 Diversifi cation: Curiosity, 199–201, 291–292, 335 CTAs as, 466–468 Currencies, 412, 537, 538, 542–544 by John W. Henry, 53 Curry, Stephen, 185 importance of, in trend following, 303–304 Curve fi tting, 269 in managed futures, 504–505

bindex 644 25 October 2018 9:25 PM Index 645

and performance data, 114 Dutch Tulip Bubble (1636-1637), 384–385 and risk management, 482 Dweck, Carol, 27 Swenson mode of, 306 in trading approach, 33 Eastwood, Clint, 232 in trading systems, 254–255 Eckhardt, William, 23, 77–78, 198–200, 264, 571 between trend following models, 427–429 Eclipse Capital, 101 in typical funds, 341–343 École Polytechnique, 311 Dixon, Barbara, 83, 86, 266–267 Economics as Religion (Nelson), xx Dockray, Geoff, 76 The Economist, 168, 174–175, 225 Dolby, Ray, 209 Edelman, Julian, 265 Dollar-cost averaging, 231–236 Edmundson, Steve, xix Donahue, Manus J., III, 217–218 Edwards, Robin, 298 Donchian, Richard, 17, 33, 63, 64, 83–87, 197, 265, Effi ciently Ineffi cient (Pedersen), 367 267, 287–289, 291 Effi cient market theory (EMT), xx–xxi, 36, 145–148, Dorsten, Matt, 533–547 368, 406–407 Dot-com bubble (2000-2002), xxii, 17, 37, 74, 99, 80/20 rule, 257 119, 132–145, 170, 174, 191, 226, 233, 236, 264, Einstein, Albert, 148, 186, 211, 219, 240, 549 530 Eisenhardt, Kathleen, 282 Douglas, Mark, 216, 237, 255 Eisenhower, Dwight D., 119 Dow, Charles, 17 Elam, Brett, 84 Dow 36,000 (Glassman), 225, 226 Elder, Alexander, 191 Doyle, Sir Arthur Conan, 91, 168 Election forecasts, 226–228 Drawdowns: E-mini S&P 500, 490–492 at Berkshire Hathaway, 101 Emotions, 283–285 at Campbell & Company, 72 Emotional intelligence (EQ), 195–197, 199–200 at Dunn Capital, 47 Emotional Intelligence (Goleman), 196 in historical data, 399 EMT, see Effi cient market theory as performance data, 99–103 The Enduring Effect of Time-Series Momentum of as reality of trading, 373 Stock Returns over Nearly 100 Years, 210 Dresdner, 149 Enron, 132, 138–144, 231, 232 Driehaus, Richard, 179 Epstein, Theo, 185 Dries, Bill, 111 EQ (emotional intelligence), 195–197, 199–200 Drury, Bernard, 111, 112, 121 Equities, see Stocks Drury Capital, 111–114 Ericsson, Anders, 35, 190, 312, 382 Druyan, Ann, 215 Estlander, Martin, 14, 33 Druz, David, ii, 63, 66, 68, 102, 111, 250, 266 Euripides, 357 Duke, J., 421 Events, 118–176 Duke University, 435n. Asian Contagion (1997), 157–161 Dunn, William (Bill), 37–49, 74, 78, 96, 102, 137, 148, Barings Bank collapse, 161–164 149, 155–156, 159, 169, 179, 261, 265, 277 Black Monday (1987), 167–170 Dunn, Dennis D., 83 Dot-com bubble (2000-2002), 132–145 Dunn Capital Management, Inc., 37–50, 93, 99–100, Great Recession (2008), 119–132 103, 117, 137, 141, 148, 149, 155, 157, 248, 258, Long-Term Capital Management collapse, 145–157 277 Metallgellschaft losses, 164–167 Dunnigan, William, 17, 130, 572 and Prospect theory, 190–191 Durin, B., 405n. timeline of, 170–174

bindex 645 25 October 2018 9:25 PM 646 Index

Expected value, in fi xed bet simulation, 475, 476 Francona, Terry, 185 Expenses, for mutual funds, 553–556 Franiak, Frank J., 159 Extraordinary Popular Delusions and the Madness French, Kenneth, 535, 550 of Crowds (Mackay), 292 Freud, Sigmund, 201, 215, 228, 247 Fried, Jason, 282 Faber, Marc, ii, 282, 314 Friedman, Thomas, 137, 266 Faber, Mebane, 14 Friedman, Tom, 32, 256 Faith, Curtis, 78 Fuld, Richard, 356 Faith, in investing, 22–23 Fundamental analysis, 11–15 False discoveries, 442–444 Fung, William, 535 False Discovery Rate, 440–442 Futures trading, 72, 408–411 Fama, Eugene F., xx, xxi, xxv, 145–146, 148, 314, FWER (Family-wise Error Rate), 440–442 367, 372, 406, 534–535, 550 Family-wise Error Rate (FWER), 440–442 Galilei, Galileo, 29, 69, 317 Fantana, Brian (Anchorman), 245 Gallaher, Kevin, 178 Far-box resistance and support, 496–500 Galton, Sir Francis, 37 Fast and frugal decision making, 207–210 Gandhi, Mohandas, 91 Faulkner, Charles, xxvi, 4, 19, 25, 32, 37, 193, 197, Gardner, David, 13 198, 200, 201, 210, 217, 253 Gardner, Tom, 13 Fawcett, George, 270 Gartman, Dennis, 108 Federal Reserve (the Fed), 59–60, 148, 149 Gaslighting, 8 Federer, Roger, 108 Gaussian statistics, 312 Feedback loops, 65 GE, 22 Fees, for mutual funds, 553–556, 559 Gecko, Gordon (Wall Street: Money Never Sleeps), 8 Feinstein, Diane, 139–140 Geezy, C., 407, 422, 535 Fenway Park, 61 Generalism, 32 Fernández, Jose, 248 George Taylor, 371 Ferriss, Tim, xxvii, 282 Gerlach, Jason, 169, 503–531 Feynman, Richard, 21, 216, 299, 326, 347, 350 Giardina, I., 422 FIA Research Division Dinner, 56 GIC (Singapore), 639 Fidelity, 102, 552, 553, 567 Giesecke, Kay, 535 50 Day Channel Breakout (CB50), 453 Gigerenzer, Gerd, 190, 195, 205, 207–208, 218, 282, Fight Club (Palahniuk), 322 422 Financial bubbles/crises, xxi–xxii, 392–395 Gillette, 231 Financial products, 447–448 Gladwell, Malcolm, 150, 161, 212 Fisher, Paul, 187 Glassman, James, 225, 231–232 FiveThirtyEight.com, 178, 226–228 Godin, Seth, xxviii, 7, 272 Fixed bets, 473–476 Gold Bricks of Speculation (Hill, Jr.), 6 Fixed-fraction bets, 474, 475 Golden State Warriors, 185 Fixed mindset, 27 Goldman Sachs, 146, 156–157, 230, 231, 300, Florida, State of, 236 319–321 Florida Marlins, 183 Goldstein, D., 422 Forrester, Jay, 65, 635 Goleman, Daniel, 192, 196 Fort Worth, City of, 143 Gomez, Jimmy, 13 Fouts, Roger, 203 Goodman, Marc, 99 Fox Mulder, 192 Good to Great (Collins), xxiv–xxv

bindex 646 25 October 2018 9:25 PM Index 647

Google, 22 Hawes, Josh, 272, 278, 549–568 Gordon, George, Lord Byron, 305 Hawking, Stephen, 207 Gorton, Gary B., 534 Hawking Alpha LLC, 549–568 Gould, Stephen Jay, 184–185, 337 Heat, of portfolio, 257 Government rates, 412–414 Hedges, CTAs as, 466–468 Govopoly (Seykota), 287 Hedge Fund Market Wizards (Schwager), 17, 35 GRAB trading system, 489–502 Hedge funds: code for, 500–502 asset classes vs., 567 computer model of, 492–493 in managed futures analysis, 509, 511–517 limitations of, 494–496 purpose of, 552 losses with, 493–494 and retirement plans, 568 parameter values in, 498–500 role of, in economy, 376–377 support and resistance in, 496–498 trend following for successful, 24 and trend following, 490–491 Heebner, Ken, 103 Graham, Benjamin, 114 Hemphill, Noyes & Co., 83 Graham Capital Management, 25, 97 Henderson, Rickey, 182 Great Recession (2008), 119–132 Henry, John W., 11, 12, 15, 16, 20, 29, 49–61, 78, 82, Greenberg, Ace, 200 92, 97, 132, 137, 139, 147, 149, 163–164, 167, Greenberg, Alan, 356 178–179, 181–183, 185, 264, 267, 297 Greene, Graham, viii, 577 Heraclitus, 57 Greenspan, Alan, xxv Hermaszewski, Zbigniew, 33 Greenwood, R., 407, 422, 423 HFRI Fund Weighted Composite Index, 509 Greyserman, Alex, 335–351, 383–403 HIFO (highest in, fi rst out) accounting, 563 Griffeth, Bill, 22 Higgs, Peter, 436 Griffi n, Ken, 103 Higgs Boson particles, 436–437 Growth mindset, 27 High payoffs, 479, 480 Gruden, Jon, 321 Hilbert, David, 318 Guenther, Louis, 7–8 Hill, Jr., John, 6 Gunther, Max, 278 Hirshleifer, D., 407 Gurley, Bill, xxvii, 90 Historical data, 405–424 Gut, process vs. outcome vs., 211–213 on big events, 170–174 extending time series, 412–417 Haircutting Sharpe Ratios, 444–445 on futures since 1960, 408–411 Hamer, Jim, 69 over 2 centuries, 417–423 Hansen, Lars Peter, 314 studied by John W. Henry, 53 Hansson, David Heinemeier, 570 study of, 55–56 Harding, David, xxi–xxiii, xxvi, xxvii, 22, 32–36, for tactical macro investing, 520–529 98–99, 102, 168, 179, 195, 223, 236–242, 265, on trend following, 385–387 277, 285, 295–298, 321, 348, 353, 354, 368, 377, Hitchens, Christopher, 342 561, 571, 572 Hite, Larry, i, xxvi, 26, 28, 168, 212, 263, 265, 266, Harris, Larry, xxvii, 97, 106–107, 274 277–279, 295, 297, 335–338, 339, 344, 347, 570, Harris, Mike, 71–73 575–578 Harrison, Alfred, 231 Ho, Thomas, 119 Harvey, C. R., 435, 444, 445, 447, 448 Hochberg, Y., 442 Harvey, Campbell, 353–365 Hochenberger, Fred, 119 Harvey, Campbell R., 435–449 Hodges, Gil, 182

bindex 647 25 October 2018 9:25 PM 648 Index

Hoenig, Jonathan, 229, 233 with Jean-Philippe Bouchard, 311–318 Hoffer, Eric, xxiv, 639 with Alex Greyserman, 335–351 Hogshead, Sally, 282 with Campbell Harvey, 353–365 Holiday, Ryan, 202, 282 with Ewan Kirk, 319–333 Holm test, 441–442 with Martin Lueck, 295–309 Holy Grails, 225–245 with Lasse Heje Pedersen, 367–380 and Warren Buffett, 229–231 with Ed Seykota, 283–293 buy-and-hold strategy, 228–229 An Introduction to Chaos Theory and Fractal dollar-cost averaging, 231–236 Geometry (Donahue), 217–218 and David Harding, 236–244 Intuition, 207–208, 212–213 John W. Henry on, 50 Investment Biker (Rogers), 222 Hommes, C. H., 407, 422 Investment company policies, 556–559 Honesty, 21, 49 Investments and Speculation (Guenther), 7–8 Hong, H., 407, 422 Investors, 10–11, 565–567 Horne, Timothy P., 160 The Investor’s Paradox (Portnoy), 567 Horner, Jack, xxvii, 282 Ioannidis, J. P., 447 Horvai, P., 405n. Irrational behavior, of people, 194 Hostetter, Amos, 17, 63–65, 202, 203, 287 ISAM, 335, 342, 344 Housel, Morgan, 175 IS (in-sample) periods, 446–447 Houthakker, Hendrik, 29 Hovey, Gail, 235 Jacobi, Carl Gustav Jacob, 318 How to Trade in Stocks (Livermore), 88–89 Jaffe, Charles A., 266 How to Win and How to Lose (Williams), 6 Jagr, Jaromir, 264 HSBC, 14 James, Bill, 181–183, 186 Hull, Blair, 359 Jensen, Michael C., 560–561 Hunches, in risk management, 473–474 Jobs, Steve, 284 Hunt silver losses, 270–271 John Hancock Financial Services, 142 Hurlbut, Todd, 16 Johnson, John, 267 Hurst, B., 407 Johnson, Magic, 260 Johnson, Paul, 367 Icahn, Carl, 103 John W. Henry and Company, Inc., 51–52, 60–61, Indexes, historical data on, 414–415 120, 137, 138, 162, 163, 208, 265 Index funds, 274 Jones, A. W., 551 IndyMac, 249 Jones, Paul Tudor, 22, 25, 65, 231, 248, 272, 562, Ineichen, Alexander, 92, 273 566–567 Infl ationary environments, 391–392 Jong, Erica, 247 Informationless Investing and Hedge Fund Jorgensen, Robert B., 557 Performance Bias (Weisman), 553 J.P. Morgan, 146 In Nature (Bouchard), 316 Judgment Under Uncertainty (Tversky), 81 The Innovator’s Dilemma (Christensen), 210–211 Julius, 297 In-sample (IS) periods, 446–447 Intelligence, 75 Kahneman, Daniel, xxvii, 190–192, 275, 281, 306, Interest rate futures, 539–541 315, 374, 637, 640 Interest rates, 389–390 Kaminsky, Kathryn, 383–403 International Coffee Organization, 54 Kandel, Myron, 232 Interview(s), 281–380 Kansas Public Employees Retirement System, 143

bindex 648 25 October 2018 9:25 PM Index 649

Kat, Harry M., 503–504, 508, 511, 517, 519, 524–528 Le Bon, Gustave, 197 Katir, Easan, 67 Lecter, Hannibal (Silence of the Lambs), 215 Keaton, Michael, 260 Lee, Bruce, 361 Kelly, John Larry, Jr., 66, 478 Lee, Sang, 119 Kelly Formula (Criterion), 478 Leeson, Nick, 118, 119, 161, 164 Kenney, Richard, xxix Lefevre, Edwin, 87 Kent, D., 407, 422 Leggett, Robert, 236 Kerkorian, Kirk, 103 Legg Mason, xxviii Kernen, Joe, 236–239 Lehman Brothers, 119, 146, 249, 356, 384 Keynes, John M., 534 Leibowitz, M., 533 Keynes, John Maynard, 322 Lemmy from Motörhead, 327 Killian, Mike, 119 Lemon, Don, 229 King, Paul, 272, 549–568 Lempérière, Y., 405–424, 535 Kingman, Dave, 137, 179–180 Leroy, S. F., 406 Kins, Aleks, 505–506 Leverage, 276–278 Kirk, Ewan, 16, 33, 114, 272, 277, 319–333, 571 Levine, Karen, 198 Kirman, A., 407 Levitt, Arthur, 557, 558 Klein, Gary, 212 Lewis, Michael, 178, 180, 184 Klopenstein, Ralph, 44 Lincoln, Abraham, 636 Koijen, Ralph S. J., 534 Lintner, John, 83, 112 Koppel, Ted, 108–109 Lippmann, Walter, 333 Koppett, Leonard, 186–187 Little, Grady, 183–185 Kosowski, R., 406, 408 Little, Jim, 252 Kotler, Steven, 282 The Little Book of Trading (Covel), 68 Koulajian, Nigol, 451–469, 508 Litvinenko, Alexander, 195 Kovner, Bruce, 65, 263–265, 343, 561 Liu, Yan, 435–449 Krakower, Susan, 242 Livermore, Jesse, 17, 26, 53, 67, 87–90, 125, 189, Kurtosis, 221, 222, 507–509, 530–531 225, 283, 287–288 Kushner, Jared, 579 Liverpool Football Club, 49, 61 Lo, Andrew, 269, 303, 329 Lacob, Joe, 185 Lombardi, Vince, 67, 168 Lake ratio, 484 Long options, 25 Laloux, L., 405n. Longstaff, Francis A., 535 Lambert, Jack, 186 Long-Term Capital Management (LTCM), 28, 110, Landier, A., 405n. 119, 145–157, 237, 239, 269, 273, 552 Lange, Harry, 103 Long-term trading: Law of small numbers, 191 at Dunn Capital, 44 Law of vital few, 257 by John W. Henry, 53, 54 Laws of Wealth (Crosby), 247 in mutual funds, 561 Learning: Long trades, short vs., 461–462 about fi nancial markets, 275 López de Prado, M., 445, 446 continuous, 199–200, 305–306 Losses: and control, 203 acceptance of, 26 from others, 292–293 expectation for, 323 reluctance to, 31–32 with GRAB trading system, 493–494 Learning to Love Non-Correlation (Staniewicz), 104 Ed Seykota on, 66

bindex 649 25 October 2018 9:25 PM 650 Index

Lowenstein, Roger, 258 Mastauskas, Balys, 225, 226 LTCM, see Long-Term Capital Management Matacz, A., 405n. Luck, and skill, 354–357 Mauboussin, Michael, xxviii, 118, 177, 211–212, 282 Lueck, Martin, 33, 277, 295–309, 425–434 Mauldin, John, ii Lustig, Hanno, 534 Max, Tucker, 282 Lux, T., 422, 423 McCarver, Tim, 208 Lynch, Peter, 102 McLean, R. D., 448 McNamara, Robert, 87 MA10x100 (10x100 Simple Moving Average Meaden, Nicola, 96, 97 Crossover), 453 Melamed, Leo, 117, 270–271 Machiavelli, Niccolo, 172, 238 Melissinos, Michael, 90 Mackay, Charles, 292, 316 Memos from the Chairman (Greenberg), 200 MacKenzie, Donald, 190 Mencken, H. L., 53 Macro trading, 324–325 Menkhoff, L., 422, 534 Mad Money (television program), 12 Meriwether, John, 145, 146, 148 Madoff, Bernard, 26, 119, 322, 333, 552 Merrill Lynch, 60, 110, 146 Makridakis, Spyros, 190, 227, 291 Merton, Robert C., 145, 146 Man, 359 Metallgesellschaft (MG), 119, 164–167 Managed futures: Metternich, Prince Klemens von, 268 in managed futures analysis, 510, 511–517 Michigan, State of, 236 tactical macro investing, 504–507 Milken, Michael, 349 Managed Futures and Hedge Funds (Kat), 503, 517 Millburn Corporation, 103 Mandelbrot, Benoit, xx, 29, 87, 89, 221, 316–317 Miller, Bill, xxviii, 103, 354 Man Group (and AHL), 19, 33, 149, 253, 295, 299, Miller, Merton, 145–147 361 435n. Millman, Gregory J., 111 Marchesi, M., 422, 423 Mindset, for trading, 9–10, 26–28, 338–339 Marcus, Michael, 23, 63, 65, 265 Mint Investment Management Co., 335, 339, 347, 578 Marcus Aurelius, 213 Mises, Ludwig von, xxii, 3–4, 93, 198, 262 Marino, Dan, 260 Missed discoveries, 442–444 Market behavior, 386 Modern Portfolio Theory (MPT), 507 Market changes, 16–21 Momentum, xxiv, 370 Market divergence, 395–397 Moneyball (Lewis), 177, 181 Market entry, 258–260 Money management, 274–275 Market equilibrium, 345–346 Montana, Joe, 260 Market exit, 260–263 Montier, James, 208 Market Technicians Association, 639 Moore, Alan, 307, 577 Market timing, 343–344, 351 Morgan Stanley, 146 Market Wizards (Schwager), 62, 283 Morningstar, 550 Markowitz, Harry, 83, 97, 114, 281, 315, 357–359, Moskowitz, T., 386, 407, 422, 535, 536 640 Motley Fool, 13 Marks, Howard, 113, 141, 381, 582 Moynihan, Daniel Patrick, 218 MAR ratio, 555 MPT (Modern Portfolio Theory), 507 Mars One foundation, 440 Multicentennial view, 383–403 Martinez, Pedro, 183–185 historical study of trend following, 385–387 Martingale system, 474, 475 of return characteristics, 388–397 Mast, Frank, 225, 226 of risk characteristics, 398–399

bindex 650 25 October 2018 9:25 PM Index 651

Multiple testing, 440–442 Norris, Mike, 182 Mulvaney, Paul, 20–21, 121, 130, 131, 173, 255, 258 Nutbrown, Kieron, 170 Münchau, Wolfgang, 176 Mundt, M., 406 Oakland Athletics, 181, 183 Munger, Charlie, 112, 121, 230 Occam, William of, 207 Mutual funds, 274, 549–568 Occam’s razor, 206–207 asset classes vs., 567 Odean, Terrance, 190, 205–206 costs of, 562–564 Odo, M., 503n., 530n. expenses and fees for, 553–556 Ooi, T., 386 history of, 550–551 OOS (out-of-sample) periods, 446–447 and investment company policies, 556–559 Optimal bets, 473 recent performance of, 551–553 Optimization, 475–481 transparency in, 565–567 Orange County, 155 underperformance of, 559–562 Organisation for Economic Co-operation and Myhrvold, Nathan, 328 Development, 146–147 Ortiz, David, 178, 183 Narasimhan, J., 407, 422, 423 Osbourne, Ozzy, 341 NASDAQ market crash (1973-1974), 228–229 O’Shaughnessy, James, 117 Nash, John, 251 Ostgaard, Stig, 120, 121 Nash Equilibrium, 251 Outcome, process vs. gut vs., 211–213 National Bureau of Economic Research, 435n. Out-of-sample (OOS) periods, 446–447 National Institute of Standards and Technology, 219, The Oxford Guide to Financial Modeling (Ho and 221, 222 Lee), 119 Natural gas, 138–141 Nature, 437 Paine Webber, 87 Near-box resistance and support, 496–500 Palahniuk, Chuck, 322 Nelson, Robert, xx Palmer, Pete, 183 Netscape, 570 Pareto principle, 257 Neuro-Linguistic Programming (NLP), 193, 197 Parker, Jerry, 13, 74–78, 92, 96, 106, 147, 149, 155, Nevada Public Employees’ Retirement System, xix 189, 220, 221, 227, 228, 245, 265, 275, 277, 355, A New Interpretation of Information Rate (Kelly), 478 561 News: Parkhill, Ted, 16 covering fi nancial markets, 557–558 Parks, Lawrence, 109–110 and fundamental analysis, 12–13 Passion, 27–28, 308–309 and prices, 22 Patience, 278 Newton, Sir Isaac, 233 Patton (fi lm), 25 Newton’s First Law of Motion, 3 Patton, George S., Jr., 276, 573, 575 The New York Times, 328 Pauley, Craig, 253 New York Yankees, 183, 185 Paulson, John, 368–369, 372, 379–380, 561 Neyer, Rob, 183 Payoffs, high, 479, 480 Niederhoffer, Victor, 93–94, 157–161, 188, 269 Pedersen, Lasse Heje, 367–380, 386, 536 Nightline (television program), 108–109 Performance data, 91–115 Nin, Anaïs, 144, 271 absolute returns, 92–93 NLP (Neuro-Linguistic Programming), 193, 197 analysis of recent, 420–421 Nomura, 297 at Berkshire Hathaway, 111–114 Nonbalanced distributions, 479, 480 for Campbell & Company, 69

bindex 651 25 October 2018 9:25 PM 652 Index

Performance data (Continued) Probability, defi ned, 471–472 correlation, 104–106 Probability theory, 217 for CTAs, 456–458 Process, outcome vs. gut vs., 211–213 drawdowns, 99–103 Procter and Gamble, 155 of Dunn Capital, 49 Profi ts, 25–26 in managed futures analysis, 518–529 Profi ts targets, 46, 82, 262–263 by sectors, 458–460 Prospect theory, 190–195 of Ed Seykota, 63 Proxies, validation of, 415–417 for short vs. long trades, 461–462 Psychology, and risk management, 486–487 George Soros’s use of, 108–111 Psychology of the Stock Market (Selden), 8 volatility vs. risk, 93–99 Puddicombe, Andy, 198 zero-sum trading, 106–108 Purcell, Ed, 185 Pershing Square Capital Management, 235, 243 Pyle, Gomer (Andy Griffi th), 117 Personal growth, 286–287 Pynchon, Thomas, 106 Personal trading systems, 263 Pyramiding, 63, 474 Piazzesi, Monika, 535 Pickens, T. Boone, xxvii, 103 Quest Partners LLC, 451–469 Pierre-Simon, Marquis de Laplace, 216 The Quiet American, viii, 577 Piketty, Thomas, 317 Quintilian, Marcus Fabius, 360 Pinker, Steven, xxvii, 187, 190, 282 Plank, Kevin, 351 Rabar, Paul, 82 Platt, Michael, 35, 276 Ramsey, Neil, 505–506 Podcast, 579-582 Rand, Ayn, 76, 109, 194, 196, 197 Poliquin, Charles, 190 Ranking systems, 93–94 Pollack, Milton, 110–111 Rate regimes, 545–546 Pontiff, J., 448 Rationality, and markets, xxi–xxii Porter, R. D., 406 RCA, 348 Portfolio: Reaction, technical analysis as, 14–15 heat of, 257 Reagan, Ronald, 553 measuring volatility of, 483–484 Reason Magazine, 38 multicentennial view of, 400–401 Red Sox Baseball, 61 Portfolio selection: Redstone, Sumner, 269–270 and risk management, 485 Reeve-Gray, Natasha, 33 and tactical macro investing, 511–517 Reinhart, C. M., 412 Portnoy, Brian, 560, 561, 564, 567 Reinvesting, of fund profi ts, 45 Position mapping, 430 Reminiscences of a Stock Operator (Lefevre), 87–88 Position sizing, 256–258, 485–486 Rennison, Graham, 533–547 The Potential Role of Managed Commodity-Financial Rensink, Ronald A., 375 Futures Accounts (and/or Funds) in Portfolios of Representative trend following system, 388 Stocks and Bonds (Linter), 112 Resistance, in GRAB trading system, 496–498 Potters, Marc, 405–424 Retirement savings/plans, 233, 235–236, 550–551, 568 Prices: Returns: in fast and frugal decisions, 208–209 characteristics of, 388–397 infl uences on, 231 of CTA strategies, 457 as market indicators, 258 of long vs. short trades, 462 and speculation, 3–4 as mutual fund priority, 559 and trend following, 22–26, 571–572 in trend following, 277–278

bindex 652 25 October 2018 9:25 PM Index 653

Return to maximum peak-to-trough drawdown, 457 Robertson, Julian, 24, 149, 169, 232, 233, 371 Reward, in trading systems, 248–252 Robusta Coffee, 128–129 Ribbonfarm.com, 578 Robust trading systems, 266–269 Ricardo, David, 6, 17, 90, 364, 383–385 Rogers, Jim, 31, 222, 282 Rickover, Hyman G., xxviii Rogoff, K. S., 412 Risk(s): Roh, Chris, 228 blind vs. calculated, 250 The Rolling Stones, viii of buy-and-hold strategies, 74 Romaine, Rob, 271 and career advancement, 355 Rooney, Andy, 301 characteristics of, 398–399 Rotella, Robert, 255 defi ned, 471 Rothbard, Murray N., 213 in futures trading, 72 Rother, John, 235 John W. Henry on, 52 Rubin, Robert, 205 limitations on, 258 Rubinstein, Julian, 230 and position size, 256–258 Rumsfeld, Donald, 223 standard deviation as measurement of, 220 Russell, Bertrand, 27, 242, 278 teaching/learning about, 363–364 Russell, Jason, 67–68, 98, 118, 189, 278 in trading systems, 248–252 Russell, Richard, 17 in trend following, 278–279 Russo, Edward, 212 volatility vs., 93–99 Ruth, Babe, 177, 179, 180, 244 Risk-Basis position sizing, 486 Rzepczynski, Mark S., 55, 96, 115, 137, 249, 571 Risk-budgeting scheme, of Dunn Capital, 37–38 Risk management, 471–487 Saban, Nick, 379 and bet-it-all strategies, 480, 481 Sabermetrics, 177–187 and diversifi cation, 482 baseball changed by, 178–180 at Dunn Capital, 49 Billy Beane’s use of, 180–181 of John W. Henry, 53 Bill James’s use of, 181–183 hunches and systems in, 473–474 statistics for, 183–186 Martingale system for, 474, 475 Sabre Fund Management, 33 measuring portfolio volatility in, 483–484 SAC Capital, 552 nonbalanced distributions and high payoffs, 479, Sagan, Carl, 215, 311, 338, 362 480 Salomon Brothers, 74, 145, 300 and optimal betting, 473 Samonov, M., 407, 422 optimization with, 475–481 Samuelson, Paul, 15, 107–108, 202, 203, 289 and portfolio selection, 485 Sanders, Bernie, 8 and position sizing, 485–486 Sandy Weill, 149 psychological considerations for, 486–487 Sanford, Charles, 248 pyramiding for, 474 Santa-Clara, P., 407, 422 Ed Seykota on, 66 Santos, Laurie, 190 simulations for, 474, 475 Sapolsky, Robert M., 193, 313 strategy of Bill Dunn, 38 Schatt, Dan, 228 stress testing in, 484–485 Schauben, M., 503n. technical analysis for, 55 Schefer, Stephen, 535 in trading system development, 301–302 Schelling, Thomas, 302 and the uncle point, 482–483 Schoemaker, Paul, 212 Ritholtz, Barry, xv–xviii, 14, 264, 282 Scholes, Myron, 145, 146, 148, 156, 368 Robbins, Anthony, 31, 320 Schwager, Jack, 17, 35, 62, 282, 283, 337

bindex 653 25 October 2018 9:25 PM 654 Index

Schwed, Fred, 295 with historical data, 417–418 Schwert, G. W., 406, 448 optimization using, 475–477 Science of trading, 216 as research, 313 Scientifi c method, 215–223 for risk management, 474, 475 applied to fi nancial fi eld, 435–437 Sinclair, Upton, 576 and chaos theory, 217–222 Skewness, 358 compounding, 222–223 of CTA strategies, 457 critical thinking, 216–217 in historical data, 398 growing business with, 321–322 of long vs. short trades, 462 used to shape trading strategies, 326–327 and statistical thinking, 221 Seager, Philip, 405–424 in tactical macro investing, 507–509, 530–531 Seawright, Bob, 381–382 Skill, and luck, 354–357 Sector performance, 458–460 Skilling, Jeff, 138 Securities and Exchange Commission, 550, 564 Slaughter, Rick, 503–531 Selden, G. C., 8 Sleeman, Mark, 489–502 Self-awareness, 32, 194, 196, 253 Sloan, Alan, 23 Seneca, 60 Slovic, Paul, 190 September 11, 2001, 144–145 Smith, Greg, 76 Seykota, Edward Arthur, i, xxvii, 9, 13, 16, 23–24, Smith, Vernon Lomax, 190, 281, 306, 407, 422, 579 26–27, 29, 61–69, 78, 83, 98, 144, 179, 197–199, Snyder, Gary, 212 206, 213, 215, 236, 247, 251, 253, 257, 259, 261, Sornette, Didier, 190 264, 265, 273, 283–293, 295, 471–487, 489, 572, Soros, George, 67, 108–111, 148, 160, 161, 257, 323, 573, 635 368, 369, 371, 372, 379, 380, 561 Shannon, Claude, 264 Soros Fund Management, 110 Sharpe, William, 83, 436, 483, 560–561 S&P 500 Index, 452–469, 509, 538 Sharpe ratio, 362–363, 409, 411, 418, 444–445, 457, S&P Capital IQ, 445–446 483 Spear, Bob, i Shearson American Express, 84 Speculation: Shearson Hamill & Company, 83 and Barings Bank Collapse, 161 Shefrin, Hersh, 190 Jesse Livermore on, 53 Shekerjian, Denise, 45, 196, 639 trend following, 3–9 Shiller, Robert, xxi, xxiv, 314, 324, 367, 406, 422 Dickson Watts on, 89 Shliefer, A., 407, 422, 423 Spitzer, Eliot, 552 Short-term trading, 561 Spitznagel, Mark, 21 Short trades, long vs., 461–462 Standard and Poor’s Capital IQ, 445–446 Signal, for trend following, 418–419 Standard deviation, 219–220, 510 Silver, Nate, 178, 226–228 Staniewicz, Julius A., 104 Simms, Jim, 143 Stanton, Chris, 503–531 Simons, Daniel, 190 The Stark Report, 159 Simons, James, 163, 220, 266, 269, 354, 355 Starting capital, 264–265 Simple Heuristics That Make Us Smart (Gigerenzer), State of California, 138–140 207 State of Florida, 236 Simple Moving Average Crossovers, 452–453 State of Michigan, 236 Simplicity, 67–68 Statistical thinking, 218–219, 311–312 Simulation(s): Statistics: of different trend following models, 426–429, Bayesian, xxiii 431–433 for mutual funds, 551

bindex 654 25 October 2018 9:25 PM Index 655

for sabermetrics, 183–186 System dynamics, 65–66 for tactical macro investing, 510 Szakmary, A. C., 407, 408 Statman, Meir, 190 Steadman, Ralph, xx Tactical macro investing, 503–531 Steenbarger, Brett, 27, 190 basic statistics for, 510 Stein, Ben, 255, 305 CTAs and managed futures, 506–507 Stein, J., 407, 422 data for, 509–510 Steinberg, Leigh, 180–181 historical data for, 520–529 Steinhardt, Michael, 230 managed futures, 504–507 Stocks: and portfolio selection, 511–517 carry in, 537, 538, 541–544 results of, over time, 517–519 John W. Henry on, 54 skewness and kurtosis in, 507–509, 530–531 in managed futures analysis, 509, 511–517 Taleb, Nassim, 117, 175, 228, 241, 344, 360, 369 trend following for, 265 Taxes, and mutual funds, 562–564 Stone, Oliver, 8 Taylor, Hunt, 175 Strebulaev, Ilya A., 535 Tchir, Peter, 175 Stress testing, 484–485 Teacher Retirement System of Texas, 143 Strong Capital Management, 552 Tebow, Tim, 183 Students: Technical analysis: of Richard Dennis, 77–82 fundamental vs., 11–15 of Richard Donchian, 86–87 and market expertise, 74 of Ed Seykota, 67–69 for risk management, 55 Summers, L., 406 used by John W. Henry, 53 Sunderam, Adi, 535 Technical indicators, 260, 452–453 Sundt, Jon C., ii, 231, 571 Tedstrom, Peter F., 566 Sunk costs, 191–192 Templeton, Sir John, 19 Sunrise Capital Partners, 145, 169, 503–531 10x100 Simple Moving Average Crossover Support, in GRAB trading system, 496–498 (MA10x100), 453 Survivorship bias, 355 Tepper, David, 561 Swedroe, Larry, 144 Terence (Publius Terentius Afer), 176 Swenson mode of diversifi cation, 306 Terry, Bruce, 265 Swiss Bank Corporation, 146 Tesla, xxii, 22 Syrus, Publilius, 298 Testing: Systems: BHY test, 442 GRAB trading system, 489–502 Bonferroni test, 440–442 Martingale system, 474, 475 candidate testing strategy, 436 personal trading, 263 Holm test, 441–442 ranking, 93–94 multiple, 440–442 representative trend following, 388 stress, 484–485 in risk management, 473–474 Tetlock, Philip, 190, 282 trading, see Trading systems Texas A&M University, 435n. Systematic trading strategies: Thaler, R. H., 406 adding discretionary trading into, 325–326 Tharp, Van, i, 46 at Aspect, 300–301 The Theory of Stock Exchange Theory (Crump), developing strategies for, 360–361 4–5 discretionary vs., 15–16 Thesmar, D., 405n. at Winton Capital, 241–242 Thiel, Peter, 203, 239

bindex 655 25 October 2018 9:25 PM 656 Index

Thinking: of Richard Donchian, 84–86 critical, 216–217, 238 of Dunn Capital, 47, 48 statistical, 218–219, 311–312 and fi nancial products, 447–448 A Thinking Man’s Guide to Baseball (Koppett), fundamental vs. technical analysis, 11–15 186–187 John W. Henry on, 53, 57 Thompson, Hunter S., 12, 175 importance of basic, 18–19 Thorpe, Ed, 17 of John W. Henry and Company, Inc., 51–52 Tiger, 232–233 and patience, 11 Tiger Cub, 369, 371 for selling, 260–261 Timeline, of events, 170–174 using long and short trades, 274 Time series, historical data on, 412–417 Trading strategy evaluation, 435–449 Time-series momentum, 340, 370 for candidate strategy, 437–440 Titman, S., 407, 422, 423 false and missed discoveries in, 442–444 Tocqueville, Alexis de, 195 and fi nancial products, 447–448 Todd, Anthony, 14, 33, 296, 425–434 haircutting Sharpe Ratios in, 444–445 Toffl er, Alvin, 18, 48, 199, 259, 276 of in-sample and out-of-sample periods, 446–447 Tolle, Eckhart, 80 and scientifi c fi elds, 435–437 Tolstoy, Leo, 272 with S&P Capital IQ, 445–446 Torvalds, Linus, 254 views of multiple testing in, 440–442 Townsend, Frederic, 175 Trading systems, 247–272 Traders: computers and curve fi tting in, 269 career risks of, in trend following, 275 day trading limits in, 269–270 clients matched with, 48 development of personal, 287–290 communicating with investors, 565–567 fi ve questions for, 252–263 investors vs., 10–11 personal, 263 Trader profi les, 31–90 risk and reward in, 248–252 Salem Abraham, 75–77 robustness of, 266–269 Keith Campbell, 69–73 starting capital for, 264–265 Richard Dennis, 77–83 trend following for stocks with, 265 Richard Donchian, 83–87 and views of trading, 270–271 Bill Dunn, 37–49 Trading Tribe, 197–199, 284–286, 292 David Harding, 33–36 Trading Tribe Process (TTP), 198–199 John W. Henry, 49–61 Transaction costs, 554–555 Jesse Livermore, 87–90 Transtrend, 121, 274 Jerry Parker, 74–75 Treatise on Money (Keynes), 534 Ed Seykota, 62–69 Trends: Dickson Watts, 89–90 defi ning, 539 Trading: measurement of, 408–409, 430 futures, 72, 408–411 synonyms for, xxix long-term, see Long-term trading Trend following, xxiii–xxix, 3–29, 273–279 macro, 324–325 acceptance of, 274–276 science of, 216 blame in, 276–277 short-term, 561 and changes in markets, 16–21 views of, 270–271 discretionary vs. systematic strategies in, 15–16 zero-sum, 106–108 fundamental vs. technical analysis in, 11–15 Trading strategies: as game, 273–274 consistency in, 58 and GRAB trading system, 490–491

bindex 656 25 October 2018 9:25 PM Index 657

historical study of, 385–387 Underperformance, of mutual funds, 559–562 investor vs. trader in, 10–11 Union Bank of Switzerland, 146 leverage and returns in, 277–278 U.S. Army War College, 115 mindset for, 26–28 U.S. National Agricultural Library, 56 Victor Niederhoffer on, 160–161 U.S. 10-year Treasury note futures, 539–541 and prices, 22–26 Utility function, of clients, 330–331 risk in, 278–279 speculation, 3–9 Valeant, 119, 235, 243 for stocks, 265 Value-at-risk (VaR), 483–484 success of, during big events, 117–119 Value-Basis position sizing, 485–486 winning vs. losing in, 9–10 Van Gogh, Vincent, 223 Trend Following (podcast), xxvii, 281–282, 579-582 Vanguard, 552, 553, 563, 567 Trend following models, 425–434 Vanguard Financial, 559 Aspect’s approach to trend following, 429–431 Van Stolk, Mark, 261 Aspect’s model, 431–433 Van Vliet, Gerard, 33 diversifi cation between, 427–429 VaR (value-at-risk), 483–484 introduction to, 425–427 Varanedoe, J. Kirk T., 207 Treynor, Jack L., 560–561 Venetian Bonds, 350 Trillion Dollar Bet (television program), 145 V for Vendetta (Moore), 307 Tropin, Ken, 265, 268–269, 271, 277 Viacom, 269–270 The Truman Show (fi lm), 242 Viceira, Luis M., 535 Trump, Donald, 227, 579 Vician, Thomas, Jr., 68 TTP (Trading Tribe Process), 198–199 Volatility, 358 Tu, T., 405n. Bill Dunn on, 41–42 Turing, Alan, 250, 270 John W. Henry on, 54 Turtle Program, 75 measuring portfolio, 483–484 TurtleTrader.com, xxvi–xxvii, 62, 107, 137 as opportunity, 88 TurtleTraders, xxviii, 62, 74, 75, 77–82, 104, 106, risk vs., 93–99 199, 220, 274, 277, 321, 384 Ed Seykota on, 66 Tversky, Amos, 81, 171, 184, 191, 275, 308 and standard deviation, 220 Twain, Mark, 245, 358 teaching/learning about, 363–364 Two Centuries of Trend Following (Bouchard), Voltaire, xxi 313–315 VUCA, 115 Type I and II errors, 442–444 Tyson, Neil deGrasse, 259, 335, 336 Wachtel, Larry, 231 Waksman, Sol, 252 UBS, 146, 149 Wall Street: Money Never Sleeps (fi lm), 8 Ueland, Brenda, 27–28 Wall Street Crash 1929, 392–393 Uncertainty: The Wall Street Journal, xix approach to, 327–328 The Washington Post, 183 becoming comfortable with, 35 Watchmen (fi lm), 577 dealing with, 570–571 Watts, Alan, 275, 285, 569 and perceived stableness of markets, 317–318 Watts, Dickson, 89–90 Ed Seykota on, 66 Weaver, Earl, 179 in trading systems, 248–252 Weekly rules, 83 trend following to manage, 277 Weintraub, Neal T., 229 Uncle point, 482–483 Weisman, Andrew, 553

bindex 657 25 October 2018 9:25 PM 658 Index

Wells, Herbert George, 218 Woodlock, Thomas F., 175 Wells Fargo, 231 WorldCom, 236 Welton, Patrick, 19 The World Is Flat (Friedman), 137 Whipsaws, 261 Wozniak, Steve, 254 Why Most Published Research Findings Are False Wright, Charlie, 245 (Harvey, Liu, and Zhu), 447 Wyart, M., 405n., 422, 423 Wilde, Oscar, 104, 569 Wyckoff, Richard, 17 William of Occam, 207 Williams, Albert, 6 Yahoo!, 211 Williams, Ted, 260 Yahoo! Finance, 12, 114 Williams, Walter, 282 Yekutieli, D., 442 The Winners and Losers of the Zero-Sum Game Yew, Lee Kuan, 200 (Harris), 107 Young America in Wall Street, 4, 176 Winnie the Pooh, 373 Yu, J., 407 Winston, Jameis, 187 Winton Capital, 33, 236–242, 296, 321, 421 Zero-sum trading, 106–108 The Winton Papers (Harding), 35–36 Zhu, H., 435, 447 Wizard of Oz (fi lm), 56 Zimmer, Don, 182 Wolf, Rudolf, 299 Zweig, Jason, 275 Wooden, John, 178 Zweig, Martin, 170

bindex 658 25 October 2018 9:25 PM