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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IL31: What Your Cashless Future Will Look Like ft. Richard Holden
SI316: Solving the "How Much" Trend Following Question ft. Nick Baltas
ALO26: Managing a C$600 Billion State Pension Fund ft. Amy Flikerski
SI315: Preparing for a Pivotal Time in Global Markets ft. Cem Karsan
GM71: The Carry Risk Lurking in Your Portfolio ft. Kevin Coldiron
SI314: Algo Anxiety... Can AI Resolve This? ft. Mark Rzepczynski
GM70: The State of the Commodity Super Cycle ft. Adam Rozencwajg
SI313: The Paradox of High-Volatility Alternatives ft. Alan Dunne
IL30: How To Evaluate True Macro Risk? ft. Philipp Carlsson-Szlezak
SI312: Should You Just Buy a CTA Index? ft. Rob Carver
GM69: The Global Economy from a Liquidity Perspective ft. Michael Howell
SI311: BREAKING: New CTA Index being revealed ft. Andrew Beer
GM68: Chief Strategist: “Most Scenerios Point to Recession” ft. Peter Berezin
SI310: The Illusion of Backtests and True Drivers of Price ft. Richard Brennan
IL29: Technology: The Economic Dynamite ft. Mark Mills
SI309: Bonds Behaving Badly ft. Katy Kaminski
ALO25: Master Your Hedge Fund Allocation ft. John Jackson
SI308: Major Market Moves - What Now, Trend Followers? ft. Nick Baltas
GM67: Successful Investing in a Disrupted World ft. Aswath Damodaran
SI307: The Unpinning of Volatility & How to Prepare for What is Coming ft. Cem Karsan
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