SI206: Trend Following is a Lazy Man's Strategy ft. Mark Rzepczynski
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 20 August 2022
⏱️ 71 minutes
🧾️ Download transcript
Summary
This week, Mark Rzepczynsky joins us for our weekly update on Trend Following, at the end of yet another busy week for inflation watchers. Based on an article by Cliff Asness at AQR, we discuss why you want to own managed futures and why you want to avoid getting "carried away" as a Trend Follower, the dual mandate and the difference between strategy and running a business, innovation in Trend Following and why macro trends do not always translate to price trends. We also discuss how high inflation affects Trend Following and the importance of divergence, why turning points kill the real issue beyond inflation and using the 70 percent rule to make trading decisions, the difference between trend following and momentum and much more.
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Episode TimeStamps:
00:00 - Intro
03:22 - What happened this week?
13:36 - Industry performance update
16:07 - AQR latest article on managed futures
27:56 - The dual mandate and volatility "targeting"
37:55 - The private equity issue and innovation in Trend Following
43:48 - FT Article from Goldman Sachs about inflation and divergence
49:25 - How turning points impact your overall TF returns
53:17 - The 70 percent rule...and why it works for Trend Followers
56:03 - Hedgehogs vs. Foxes and drought in market liquidity
01:02:30 - Trend following vs. Momentum...can you tell the difference
01:03:55 -...
Transcript
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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 |
| 0:06.7 | investing and learn about the most dependable and consistent yet often overlooked investment strategy. |
| 0:13.2 | Welcome to the Systematic Investor Series. |
| 0:27.1 | Welcome or welcome back to this week's edition of the Systematic Investor series with Mark Rensinski and I, Neil's Castle Larsen, where each week we take the polls |
| 0:31.2 | of the global markets through the lens of a rules-based investor. |
| 0:34.7 | For those of you who are regular listeners, this podcast is all about voicing |
| 0:38.2 | our differences on the one topic that brings us together, namely systematic investing, using |
| 0:42.8 | the often overlooked but very robust strategy of trend following. We hope that today's episode |
| 0:48.2 | will trigger your curiosity to learn more by diving into the back catalog and listen to all |
| 0:53.7 | of the past episodes that you may |
| 0:55.2 | have missed like last week's episode with Rich, which I thought was a really important conversation |
| 1:01.0 | as we discussed topics like how trend followers avoid warehousing risk, how to avoid |
| 1:07.7 | recency bias in our model design. And we even tied trend following back |
| 1:12.2 | to a recent article by Morgan Housel |
| 1:14.3 | about long tails |
| 1:15.9 | and its importance |
| 1:16.9 | in achieving exceptional performance |
| 1:18.9 | in many industries. |
| 1:20.6 | And I would also like to encourage you |
| 1:22.3 | to listen to the Wednesday episode |
| 1:23.8 | where this week, |
| 1:25.2 | Jim Kazan and I spoke to Darius Dale, the founder of 42 Macro, |
... |
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