SI271: Can Slippage be a Source of Alpha? ft. Mark Rzepczynski
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.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.Learn more about the Trend Barometer here.Send your questions to info@toptradersunplugged.comAnd please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.Follow Mark on Twitter.Episode TimeStamps:01:21 - What has caught Mark's attention recently?02:20 - Industry performance update04:51 - What is going on in the markets?09:01 - Reverse engineering the CTAs11:45 - Confusion in the markets14:38 - Are we being lied to about inflation?20:24 - Mixed signals22:14 - What are investors asking in meetings at the moment?25:33 - Modeling with personality32:25 - Losers create diversification36:13 - Things that are often being forgotten38:15 - Narratives and explanatory depth47:04 - Are short-term models better than longer-term models?50:34 - Does new = better?56:42 - Getting the backtest and transactions costs right59:31 -...