SI322: Market Narratives and the Unpredictable Alpha ft. Mark Rzepczynski
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 670 Ratings
🗓️ 16 November 2024
⏱️ 68 minutes
🧾️ Download transcript
Summary
In this episode, Mark Rzepczynski joins Alan Dunne to explore narratives, rationality, and behavioral uncertainty, particularly in the context of trend following. They discuss recent market trends in the wake of the election, with a focus on bond market movements. Mark shares insights on the current stage of the risk cycle and whether we’re witnessing an excessive buildup of leverage in the financial system. The conversation also delves into two fascinating studies: one on the significance of having access to the news and accurate information in trading, and another on how equity analysts forecast earnings—both with implications for trend following strategies. Finally, they examine the narratives currently shaping markets and debate whether trend following can be considered a source of “unpredictable alpha.”
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Episode TimeStamps:
00:39 - What has been on our radar recently?
05:43 - Industry performance update
10:17 - New times for bonds
14:37 - The issue is always in the details
19:02 - What is driving markets at the moment?
22:36 - The perspective on treasuries is changing
26:34 - Trend followers are going crypto
29:22 - Does crypto make sense in trend following?
30:47 - Where are we in the risk cycle?
34:57 - How spikes in credit spreads have impacted leverage
38:16 - Does "perfect information" exist?
43:27 - A kind and a wicked...
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 |
| 0:07.6 | of systematic investing and learn about the most dependable and consistent yet often overlooked |
| 0:13.0 | investment strategy. |
| 0:15.0 | Welcome to the Systematic Investor Series. |
| 0:27.3 | Welcome back to the latest edition of Top Traders Unplugged, |
| 0:29.7 | where we take the pulse of the market from the perspective of a rules-based investor. |
| 0:32.5 | It's Alan Dunn setting in again for deals this week, |
| 0:35.9 | and delighted to be joined by Mark mark how are you not too bad |
| 0:39.1 | always good to be here good stuff yeah we haven't spoken in a while so looking forward to hearing |
| 0:44.2 | what you have to say and particularly as uh the elections are in the rear mirror now so we get |
| 0:51.5 | your perspective on that but uh I mean, in general, |
| 0:54.8 | what's been on your radar of late? You know, the one thing that I sent you a chart, I think, |
| 1:00.4 | the other day is that the equity risk premium has now turned negative. So if you think that |
| 1:07.1 | the stock market is going to continue to go higher over the next couple of years, |
| 1:12.1 | think again. This is not does, doesn't bode well for the longer term view for stocks. |
| 1:18.9 | I know there's post-election euphoria, but, but if you look at some of the longer-term |
| 1:25.5 | indicators, that's not overly positive. |
| 1:29.0 | So, but beyond that, I guess I'd sort of say that, you know, if I was like a rumple still, |
| 1:35.9 | you know, or someone who went to sleep and then woke up a week later after your election, |
| 1:42.1 | you sort of say, like, the world is still uh the world is still |
| 1:45.0 | here it's not on fire you look at markets uh you know we have some indications for markets but uh |
| 1:51.2 | it's not as though that uh the world has has gone to a catastrophe mode with uh with a new u s president |
... |
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