SI137: Can AI Trading Be Better Than Classical Methods? ft. Mark Rzepczynski

Top Traders Unplugged

Niels Kaastrup-Larsen

Business, Business News, Investing, News

4.8 • 712 Ratings

🗓️ 25 April 2021

⏱️ 81 minutes

🔗️ Recording | iTunes | RSS

🧾️ Download transcript

Summary

Today, Mark Rzepczynski returns to the show to discuss how Trend Following allows investors to own more risky assets, Systematic Global Macro versus Trend Following, the process of how an investor digests new information, classical Trend Following versus modern Trend Following with AI methods, whether rock-star hedge funds such as ARK Invest can end up being too greedy when seeking AUM, why it can be a good idea to avoid timing the different exposures of your portfolio as much as possible, some of the possible reasons behind Dunn Capital’s successful near 50-year track record, and thoughts on position-sizing in relation to historic volatility.

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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:

How a Trend Following approach allows safer access to risky markets
The differences between Systematic Trading based on macro data versus based on price-only
How a top trader should efficiently process new data
Modern AI-based Trend Following versus classical Trend Following
Whether the biggest hedge funds in the world fall victim of being too greedy for AUM
Why you should avoid 'timing the market'
The possible secrets of success behind Dunn Capital's near 50-year track record

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Episode TimeStamps:

00:00 – Intro

02:00 – Macro recap from Niels

08:46 – Weekly review of performance

13:28 – Swedish systematic macro-fund, IPM, closes after losing $4billion during the pandemic

28:37 – New style Trend Following with machine learning versus classical Trend Following

53:54 – Some of the reasons behind Dunn Capital’s successful near 50-year track record

01:05:03 – Q1 Raymond: What are some good methods for market selection, other than liquidity?

01:08:35 – Q2; Dirk: Have you found significant differences between volatility-based position-sizing and a one-size-fits-all approach?

01:17:10 – Benchmark performance update

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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

Transcript

Click on a timestamp to play from that location

0:00.0	You're about to join Jerry Parker, Maritz Siebert, and Neil's Kostrup Larson on their
0:06.3	raw and honest journey into the world of systematic investing and learn about the most dependable
0:11.6	and consistent yet often overlooked investment strategy. Welcome to the Systematic Investor
0:16.8	podcast series.
0:26.4	Welcome and welcome back to this week's edition of the Systematic Investor series with Mark Rezsabinski and I, Niels Castro-Larsen, where each week we take the pulse of
0:31.5	the global markets through the lens of a rules-based investor.
0:35.4	Now, for those of you who are regular listeners,
0:42.0	our conversations are intended to motivate and inspire you to continue your rules-based investment journey.
0:43.8	And if you're new to the show, we hope that today's episode will trigger your
0:47.1	appetite to learn more by diving into the back catalog and listen to all of the past
0:52.9	episodes that you may have missed like last week's
0:55.1	episode with Jerry, where we discussed whether we are right in using historical volatility
1:00.5	for position sizing and how much of a portfolio should be allocated to trend following strategies,
1:07.0	just to name a few of the topics we covered. But Mark, it's fantastic to be back with you this week.
1:13.5	How are you doing how things where you are in the U.S.?
1:17.0	I'm living well in a K-shaped recovery.
1:20.8	Actually, this week I got my second vaccination,
1:23.5	so I'm fully vaccinated and ready to do whatever I have to do to travel and under current restrictions,
1:31.4	but I've got my shots, so I'm feeling good.
1:34.5	Can I ask which one you got?
1:36.2	I got the Pfizer.
1:38.0	Okay.
	...

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