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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