SI129: Correlation & Volatility…and is holding bonds “Stupid”? ft. Mark Rzepczynski

We’re joined today by Mark Rzepczynski to discuss the return of the GameStop short-squeeze, Trend Following in a high interest-rate environment, the future of AI & machine learning in trading models, the case for including short positions in a portfolio, how to spot a commodity ‘super-cycle’, the different factors driving markets higher, why good news can often be bad news for markets, retail investors opening trades on the wrong ticker symbols, and why Trend Following tends to do better on the long-side.

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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

In this episode, we discuss:

• If holding bonds "stupid"?
• The problem of being an economic policy engineer
• Why we have to make a distinguish between complicated and complex systems
• The value of intuition - coup d'oeil and Clausewitz
• Robot systematic versus human (discretionary) can you tell the difference? Is there a Turing test and " I Robot"
• Correlation and volatility
• The poor quality of forecasts - latest from currency markets
• Due diligence and quality of managers.
• Intraday trends – are they stable or unstable?

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Episode TimeStamps:

00:00 – Intro

01:46 – Macro recap from Niels

05:18 – Weekly review of performance

01:04:48 – Q1 & Q2; Plamen: Is there an official organisation that studies & publishes data about the CTA industry? Can you speak about the research process you follow and how you generate trade ideas?

01:10:49 – Benchmark performance update

01:12:25 – Recommended listening or reading this week: Howard Marks’ latest memo

01:14:34 – Announcement: Special episode next week featuring both Jerry Parker & Rob Carver

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