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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GM32: Commodity Super Cycle in Full Force ft. Jeff Currie
TTU123: Trend Following Master Class ft. Russell Korgaonkar, CIO at Man AHL
SI226: Trend Following - the Do's & the Dont's ft. Rob Carver
IL11: How China Derailed Its Peaceful Rise ft. Susan Shirk
TTU122: New Amazing CTA & Managed Futures Series
ALO13: Building Resilient Portfolios with Alternatives ft. Dylan Grice
SI225: 2023...Another Great Year for Trend Following? (TTU Group Part 2)
SI224: 2022 the Perfect Year for Trend Followers? (TTU Group Part 1)
GM31: The Art of Volatility Investing ft. Dave Dredge
SI223: 2022 an unusual year for Volatility ft. Cem Karsan
IL10: Chip War (FT's Best Business Book 2022) ft. Chris Miller
SI222: Trend Following vs Tail Hedging to Protect Your Portfolio ft. Rob Carver
GM30: The Era of Weather Volatility ft. Shawn Hackett
SI221: Will 2023 be another Trend Following Year? ft. Alan Dunne
ALO12: How to Invest like a Private Bank ft. Shannon Saccocia
SI220: Is It Too Late for Trend Following? ft. Mark Rzepczynski
GM29: What if the World isn't Ending? ft. Marko Papic
SI219: The Impact of Secular Inflation ft. Cem Karsan
GM28: Draught, Deflation, Default & Global Depression ft. Simon Hunt
SI218: Trend Following to the Rescue ft. Richard Brennan
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