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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),

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