Top Traders Unplugged25 Nov 2023

SI271: Can Slippage be a Source of Alpha? ft. Mark Rzepczynski

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

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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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PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:

1. eBooks that cover key topics that you need to know about

In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here

2. Daily Trend Barometer and Market Score

One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here

3. Other Resources that can help you

And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here

Disclaimer

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