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
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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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GM25: A realtime account of going through "hell" in the markets ft. Michael Gayed
SI212: Trend Following in a Soft, Hard or No Landing ft. Alan Dunne
GM24: The Real Cause of the Global Energy Crisis (Part 1) ft. Adam Rozencwajg
SI211: A Trend Following Renaissance? ft. Mark Rzepczynski
GM23: The Wars of Capital ft. Michael Howell
SI210: Trend Following Q & A ft. Rob Carver
IL07: Equality Across the Globe can be Achieved ft. Oded Galor
SI209: Trend Following...The Best Way to Surf the Markets ft. Richard Brennan
ALO11: From Ballet Dancer to CIO ft. Cameron Dawson
SI208: Trend Following in Today's Economy ft. Alan Dunne
ALO10: How to Manage $50bn ft. Jason Morrow
SI207: Trend Following: The Perfect Portfolio? ft. Jerry Parker
GM22: Investing through a Fourth Turning ft. Niels Kaastrup-Larsen & Cem Karsan
SI206: Trend Following is a Lazy Man's Strategy ft. Mark Rzepczynski
GM21: The Inflation Regime and the Big Macro Picture ft. Darius Dale
SI205: Trend Following...What Really Matters ft. Richard Brennan
IL06: The History of Interest & the Next Devastating Crisis ft. Edward Chancellor
SI204: Trend Following & A Cocktail of Macro Factors ft. Alan Dunne
AL09: FED Funds may hit 8% ft. Bilal Hafeez
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