SI130: Trend Following in the Age of Disconnect ft. Mark Rzepczynski

Today, Mark Rzepczynski joins us at the end of another Fed driven week. We discuss the pros and cons of being a long term trend follower compared to a short term trend follower in terms of performance and Sharpe Ratio, and why you would want to apply the same rules to long and short sided trades, how to understand long and short term volatility, the advantages of being a systematic manager and the limits to how much AUM a manager can handle, how Rzepczynski will be focusing on change point detection in his next endevour and why it is important as a trend follower to think in terms of radical uncertainty or disequilibriums and much more.

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Episode TimeStamps:

03:20 - What happened this week?

11:01 - Individual Sharpe vs. portfolio Sharpe

18:59 - Industry performance update

19:56 - Q1, Pete: Same rules for longs and shorts - why?

32:25 - Q1 Follow-up: Change position right away or wait for first new trade entry?

36:09 - Q2, Callum: Question regarding TTU series with Ryan O'Grady

40:57 - Q3, Tim: Questions regarding link between Performance and AUM

50:21 - The problem with flat fees

55:06 - The idea of change point detection

01:00:18 - The age of disconnect

01:11:01 - The impact of disruptors

01:17:04 - Final thoughts

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