Top Traders Unplugged

SI306: If Trend Following was an Olympic Sport... ft. Mark Rzepczynski

Jul 27, 2024
Guest
Mark Rzepczynski
Mark Rzepczynski, a seasoned expert in trend following and quantitative easing, delves into the dynamic world of investment strategies. He discusses how the issuance of treasury bills influences quantitative easing and the evolving views on inflation. Rzepczynski emphasizes the value of building robust trading systems over models, and explores the interplay between stocks and bonds in portfolios. The conversation highlights the impact of AI on trend following, while examining cognitive biases like the hot hand fallacy that shape investor decisions.
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ANECDOTE

Trend Following as an Olympic Sport

  • Mark Rzepczynski was surprised that Chat GPT correctly identified trend following with marathon running.
  • He was also amazed that his own analogy of ski jumping or long-distance running aligned with Chat GPT's response.
INSIGHT

Activist Treasury Issuance

  • The US Treasury's issuance of more bills than coupon bonds has provided quantitative easing, offsetting the Fed's tightening.
  • This might explain the US economy's resilience, the slow decline in inflation, and relatively positive financial conditions.
INSIGHT

Trend Following's Challenge

  • Trend following excels during crises but underperforms in calm markets, making it challenging for investors.
  • This calm period, with subsiding rates and inflation, explains recent trend following underperformance.
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