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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ALO02: Properly Diversifying a $1.6Trillion Portfolio ft. Sebastien Page
SI179: A New Golden Era for Trend Followers ft. Alan Dunne
ALO01: Adapting to Market Cycles ft. Phil Huber
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SI177: The Value of Price ft. Mark Rzepczynski
VOL09: The Magical Properties of Money ft. David Orrell
SI176: The Origin of Outliers ft. Richard Brennan
VOL08: Adaptation To Change ft. Jean-Philippe Bouchaud
SI175: A Winning Approach to Risk ft. Rob Carver
VOL07: Participate & Protect ft. Dave Dredge
SI174: The Future of Trend Following ft. Alan Dunne
VOL06: Finding True Value in the World of Volatility ft. Benn Eifert
SI173: ‘Trend Following + Nothing’ Part Two ft. Jerry, Moritz, Rob, Mark & Rich
TTU119: The Secret to becoming Richer, Wiser, Happier ft. William Green
SI172: ‘Trend Following + Nothing’ Part One ft. Jerry, Moritz, Rob, Mark & Rich
TTU118: TRILLIONS...The Passive Revolution ft. Robin Wigglesworth
SI171: Machine Learning - Pros & Cons ft. Hari Krishnan
SI170: 'Don’t Try This At Home' ft. Rob Carver
TTU117: Strategic Risk Management ft. Cam Harvey & Rob Carver
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