Today, Mark Rzepczynski and I dissect the macro rally we are experiencing at the moment. We discuss why we are seeing an increasing attention to what CTAs are doing, how survey data regarding the economy confuses investors and markets, and we address some of the most common questions that investors ask in meetings at the moment. Additionally, we discuss how explanatory depth can be applied to trend following, why it is critical to master your attention and speed of adjustment and we wrap up debating how much slippage a trend follower should expect and if slippage can be turned into a new source of alpha.
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Episode TimeStamps:
01:21 - What has caught Mark's attention recently?
02:20 - Industry performance update
04:51 - What is going on in the markets?
09:01 - Reverse engineering the CTAs
11:45 - Confusion in the markets
14:38 - Are we being lied to about inflation?
20:24 - Mixed signals
22:14 - What are investors asking in meetings at the moment?
25:33 - Modeling with personality
32:25 - Losers create diversification
36:13 - Things that are often being forgotten
38:15 - Narratives and explanatory depth
47:04 - Are short-term models better than longer-term models?
50:34 - Does new = better?
56:42 - Getting the backtest and transactions costs right
59:31 - Don't overstep your capacity
01:01:29 - Minimizing slippage
01:04:23 - What is a reasonable level of slippage
01:06:48 - Thanks for listening
Copyright © 2023 – CMC AG – All Rights Reserved
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PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:
1. eBooks that cover key topics that you need to know about
In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here
2. Daily Trend Barometer and Market Score
One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here
3. Other Resources that can help you
And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here
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SI306: If Trend Following was an Olympic Sport... ft. Mark Rzepczynski
GM66: Trump Trade and the 3 Legged Stool ft. MacroAlf & Cem Karsan
SI305: Building A Hedge Fund Allocation ft. Alan Dunne
GM65: Why Fed Will Raise Rates Next Year ft. Adam Posen
SI304: Taking the Trend Following Temperature with Man AHL ft. Graham Robertson
OI09: The Key to Trend Following Success ft. Cole Wilcox
SI303: The Unstoppable Volpocalypse ft. Cem Karsan & Alan Dunne
GM64: Why the Economy is Vulnerable to Recession ft. Claudia Sahm
SI302: The Negative Crisis Beta and CTA's Hidden Market Timing Skills ft. Nick Baltas
GM63: War Without Rules ft. General Robert Spalding
SI301: The AI Hype within Investing...a Step Too Far? ft. Rob Carver
OI08: Trend Following...Austrian Style ft. Michael Neubauer & Joseph Waldstein from SMN
SI300: Finding the Optimal Trend Following Rules ft. Richard Brennan
IL27: Unlocking the Secrets of Great Communication ft. Charles Duhigg
SI299: Sharing the Trend Following Pie ft. Andrew Beer
GM62: How to Build a Future-Proof Portfolio ft. Bob Elliott
SI298: The Trend Following ETF Revolution ft. Katy Kaminski
GM61: The New Politics: Neoliberal Decline and Authoritarian Rise ft. Gary Gerstle
Si297: Trend Following as a Return Enhancement Overlay ft. Alan Dunne
IL26: How New Technologies Will Shape the Economy ft. Koen De Leus & Philippe Gijsels
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