SI129: Correlation & Volatility…and is holding bonds “Stupid”? ft. Mark Rzepczynski
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 28 February 2021
⏱️ 76 minutes
🧾️ Download transcript
Summary
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
Copyright © 2025 – CMC AG – All Rights Reserved
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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
Transcript
Click on a timestamp to play from that location
| 0:00.0 | You're about to join Jerry Parker, Maritz Siebert, and Nealz Kostrup Larson on their |
| 0:06.3 | raw and honest journey into the world of systematic investing and learn about the most |
| 0:11.1 | dependable and consistent yet often overlooked investment strategy. Welcome to the |
| 0:15.8 | Systematic Investor podcast series. |
| 0:26.5 | Welcome and welcome back to this week's edition of the Systematic Investor series with Mark Recepinski and I, Neil's Castle Blasen, where each week we take the pulse of |
| 0:31.5 | the global market through the lens of a rules-based investor. |
| 0:35.1 | For those of you who are regular listeners, |
| 0:41.0 | our conversations are intended to motivate and inspire you to continue your rules-based investing journey. |
| 0:43.9 | And for those of you who are newer to the show, |
| 0:46.0 | we hope that today's episode will trigger your appetite |
| 0:48.6 | to learn more by diving into the back catalog |
| 0:52.2 | and listen to all of the past episodes that you may have missed, |
| 0:56.0 | like last week's episode with Jerry Parker, where Jerry, who keeps surprising me, |
| 1:01.1 | despite that I've known him for more than 30 years, |
| 1:04.3 | he shared some really interesting lessons regarding trade level, actually, |
| 1:08.4 | that he was taught back in the Turtle Day. |
| 1:11.3 | So it really is a must-listen episode if you missed that one. |
| 1:16.3 | Mark, it's great to be back with you. |
| 1:18.8 | How are you doing? |
| 1:19.6 | What's going on where you are? |
| 1:21.0 | Great. |
| 1:21.6 | It's good to talk with you again. |
... |
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