In this episode, Mark Rzepczynski joins Alan Dunne to explore narratives, rationality, and behavioral uncertainty, particularly in the context of trend following. They discuss recent market trends in the wake of the election, with a focus on bond market movements. Mark shares insights on the current stage of the risk cycle and whether we’re witnessing an excessive buildup of leverage in the financial system. The conversation also delves into two fascinating studies: one on the significance of having access to the news and accurate information in trading, and another on how equity analysts forecast earnings—both with implications for trend following strategies. Finally, they examine the narratives currently shaping markets and debate whether trend following can be considered a source of “unpredictable alpha.”
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Episode TimeStamps:
00:39 - What has been on our radar recently?
05:43 - Industry performance update
10:17 - New times for bonds
14:37 - The issue is always in the details
19:02 - What is driving markets at the moment?
22:36 - The perspective on treasuries is changing
26:34 - Trend followers are going crypto
29:22 - Does crypto make sense in trend following?
30:47 - Where are we in the risk cycle?
34:57 - How spikes in credit spreads have impacted leverage
38:16 - Does "perfect information" exist?
43:27 - A kind and a wicked environment
45:56 - Why Mark tries to avoid causal influence in economics
48:50 - Get your position size right or go bankrupt
50:31 - Trailing PE - the secret sauce of successful analysts?
55:18 - How narrative impacts the stock market
58:37 - Discussing recent market action through the narrative lens
01:01:26 - Trend following - an unpredictable alpha?
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