4.8 • 670 Ratings
🗓️ 12 February 2023
⏱️ 79 minutes
🧾️ Download transcript
Today, Mark Rzepczynski joins us at the end of another Fed driven week. We discuss the pros and cons of being a long term trend follower compared to a short term trend follower in terms of performance and Sharpe Ratio, and why you would want to apply the same rules to long and short sided trades, how to understand long and short term volatility, the advantages of being a systematic manager and the limits to how much AUM a manager can handle, how Rzepczynski will be focusing on change point detection in his next endevour and why it is important as a trend follower to think in terms of radical uncertainty or disequilibriums and much more.
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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:
03:20 - What happened this week?
11:01 - Individual Sharpe vs. portfolio Sharpe
18:59 - Industry performance update
19:56 - Q1, Pete: Same rules for longs and shorts - why?
32:25 - Q1 Follow-up: Change position right away or wait for first new trade entry?
36:09 - Q2, Callum: Question regarding TTU series with Ryan O'Grady
40:57 - Q3, Tim: Questions regarding link between Performance and AUM
50:21 - The problem with flat fees
55:06 - The idea of change point detection
01:00:18 - The age of disconnect
01:11:01 - The impact of disruptors
01:17:04 - Final thoughts
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0:00.0 | You're about to join Neil's Kostrup Larson on a raw and honest journey into the world of systematic investing and learn about the most dependable and consistent yet often overlooked investment strategy. |
0:13.0 | Welcome to the Systematic Investor Series. |
0:26.1 | Welcome and welcome back to this week's edition of the Systematic Investor series with Mark Rezsabinski and I, Neil's Kastro Blasen, where each week we take the pulse of the global |
0:30.5 | markets through the lens of a rules-based investor. |
0:33.4 | For those who are you who are regular listeners, this podcast is all about voicing our differences |
0:38.0 | on the one topic that brings us together, namely systematic investing, using the often |
0:43.4 | overlooked but very robust strategy of trend following. |
0:46.7 | We hope that today's episode will trigger your curiosity to learn more by diving into the |
0:52.1 | back catalogue and listen to the past episodes that you may have missed, |
0:55.4 | like last week's episode with Andrew Beer, |
0:57.6 | where we took a swing at answering some of the obstacles we often hear investors are struggling with |
1:04.1 | when it comes to making an allocation to manage futures. |
1:07.4 | And I hope we were able to provide some narrative that may help compel a few more investors |
1:12.5 | to include managed futures in their portfolio. So if you missed that episode, I hope you go back |
1:18.1 | and listen to that once. You're done listening to Mark and I today. I also would encourage you |
1:22.9 | to listen to the Wednesday episode where this week we spoke with Rory Johnston, who is an oil specialist, |
1:29.2 | which allowed us to really drill into some of the less talked about aspects of the current |
1:33.8 | energy situation. And so again, I would encourage you to go and check out Rory's episode. |
1:41.0 | And of course, let's not forget that you really should listen to the extra episodes |
1:45.3 | Alan and I are producing and putting out on Mondays and Fridays where we are very fortunate |
1:51.8 | to be speaking to the largest and most successful CTA firms in the world, which I think is |
1:57.8 | essentially the first time ever where they have been kind of rounded up together, |
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