Episode description

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 -...