SI271: Can Slippage be a Source of Alpha? ft. Mark Rzepczynski
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 25 November 2023
⏱️ 69 minutes
🧾️ Download transcript
Summary
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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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 -...
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 investing |
| 0:07.2 | and learn about the most dependable and consistent yet often overlooked investment strategy. |
| 0:13.2 | Welcome to the Systematic Investor Series. |
| 0:26.5 | Welcome and welcome back to this week's edition of the Systematic Investor series with Mark Rissomsinski and I, Neil's Castle Larsen, |
| 0:29.1 | where each week we take the polls of the global market through the lens of a rules-based investor. |
| 0:34.4 | Mark, wonderful to be back with you on this holiday week. How are you doing? |
| 0:39.4 | I'm doing well. Yesterday was Thanksgiving in the United States. I will say it's my favorite |
| 0:45.2 | holiday. It's hard to commercialize just getting family together, having a good meal and |
| 0:50.2 | saying what you're really thankful for for the last year. So this is my favorite holiday. |
| 0:55.3 | Yes. |
| 0:55.9 | And I'm not sure you're thankful for the trends we got so far this year, |
| 0:59.7 | but maybe something else, I imagine. |
| 1:03.0 | Yeah, it's been an ouch on a number of different levels. |
| 1:06.2 | I think that not only for trends, but systematic, long, short, equity, systematic macro. |
| 1:12.2 | A lot of the managers have, you know, had some speed bumps here over the last year. |
| 1:17.6 | Indeed, I have a feeling we're going to be talking about that today. |
| 1:21.1 | But before we do, I'm always curious on a sort of more serious point other than the turkey, |
| 1:27.2 | just to know kind of what you've been focusing on, |
| 1:30.3 | maybe or paying attention to outside the topics |
| 1:32.6 | we're going to be talking about in the last couple of months |
| 1:35.6 | since we last spoke, anything in particular? |
| 1:39.0 | Well, it always comes back to the topics we're going to discuss, |
... |
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