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Mark Rzepczynski

mrzepczynski.blogspot.com

2020

No crisis alpha with this crisis - The form of the crisis mattersoriginal ↗
21 Sept 2020
No crisis alpha with this crisis - The form of the crisis mattersoriginal ↗
21 Sept 2020
Money market prime funds closing, and shadow banking system is restructuringoriginal ↗
18 Sept 2020
Money market prime funds closing, and shadow banking system is restructuringoriginal ↗
18 Sept 2020
Alternative risk premia timing - Success through nowcastingoriginal ↗
16 Sept 2020
Alternative risk premia timing - Success through nowcastingoriginal ↗
16 Sept 2020
News sentiment index from SF Fed is usefuloriginal ↗
15 Sept 2020
News sentiment index from SF Fed is usefuloriginal ↗
15 Sept 2020
Exploratory and confirmatory thinking - Too much of the latter and not enough of the formeroriginal ↗
15 Sept 2020
Exploratory and confirmatory thinking - Too much of the latter and not enough of the formeroriginal ↗
15 Sept 2020
Exogenous versus endogenous risks and the tech sell-offoriginal ↗
14 Sept 2020
Exogenous versus endogenous risks and the tech sell-offoriginal ↗
14 Sept 2020
Smart beta ETFs are not so smart after launchoriginal ↗
12 Sept 2020
Smart beta ETFs are not so smart after launchoriginal ↗
12 Sept 2020
Gold as the currency of last resort against debasement riskoriginal ↗
11 Sept 2020
Gold as the currency of last resort against debasement riskoriginal ↗
11 Sept 2020
Important questions and quantitative analysis ... Grappling with what is missingoriginal ↗
8 Sept 2020
Important questions and quantitative analysis ... Grappling with what is missingoriginal ↗
8 Sept 2020
60/40 Stock/ bond asset allocation - All bond bull - But it continuesoriginal ↗
8 Sept 2020
60/40 Stock/ bond asset allocation - All bond bull - But it continuesoriginal ↗
8 Sept 2020
A flat Phillips curve, changing Fed goals, and asset allocationoriginal ↗
7 Sept 2020
A flat Phillips curve, changing Fed goals, and asset allocationoriginal ↗
7 Sept 2020
Tech sell-off - We sort of know why....sellers exceeding buyersoriginal ↗
5 Sept 2020
Tech sell-off - We sort of know why....sellers exceeding buyersoriginal ↗
5 Sept 2020
Dollar moves reversing liquidity crisis and expressing money growth differencesoriginal ↗
4 Sept 2020
Dollar moves reversing liquidity crisis and expressing money growth differencesoriginal ↗
4 Sept 2020
What does it take to win in equity markets? - Watch your factor risk exposuresoriginal ↗
3 Sept 2020
What does it take to win in equity markets? - Watch your factor risk exposuresoriginal ↗
3 Sept 2020
Smart investors not immune from my-side argument biasoriginal ↗
3 Sept 2020
Smart investors not immune from my-side argument biasoriginal ↗
3 Sept 2020
Volatility and uncertainty both declining - Good for investorsoriginal ↗
2 Sept 2020
Volatility and uncertainty both declining - Good for investorsoriginal ↗
2 Sept 2020
Explaining the surge of retail investors - A view that there is no crash riskoriginal ↗
1 Sept 2020
Explaining the surge of retail investors - A view that there is no crash riskoriginal ↗
1 Sept 2020
The power and risk from return dispersionoriginal ↗
1 Sept 2020
The power and risk from return dispersionoriginal ↗
1 Sept 2020
WEIRD and REAM investment professionals - Thinking the sameoriginal ↗
30 Aug 2020
WEIRD and REAM investment professionals - Thinking the sameoriginal ↗
30 Aug 2020
Exploiting time varying risk premia using the economic cycle (not business cycle)original ↗
28 Aug 2020
Exploiting time varying risk premia using the economic cycle (not business cycle)original ↗
28 Aug 2020
A surprise commodity demand shock - the case of lumberoriginal ↗
27 Aug 2020
A surprise commodity demand shock - the case of lumberoriginal ↗
27 Aug 2020
Gold ETFs and the current move in gold prices - The power of innovationoriginal ↗
26 Aug 2020
Gold ETFs and the current move in gold prices - The power of innovationoriginal ↗
26 Aug 2020
Rebalance timing for factor strategies - Luck or skill?original ↗
24 Aug 2020
Rebalance timing for factor strategies - Luck or skill?original ↗
24 Aug 2020
Commodity futures sort dynamics - Different from other asset classesoriginal ↗
23 Aug 2020
Commodity futures sort dynamics - Different from other asset classesoriginal ↗
23 Aug 2020
The complex relationship between banks and the Fedoriginal ↗
22 Aug 2020
The complex relationship between banks and the Fedoriginal ↗
22 Aug 2020
"Intuition first, strategic reasoning second" - the reason for market odditiesoriginal ↗
20 Aug 2020
"Intuition first, strategic reasoning second" - the reason for market odditiesoriginal ↗
20 Aug 2020
SG Survey Shows Strong Global Macro and CTA Interestoriginal ↗
19 Aug 2020
SG Survey Shows Strong Global Macro and CTA Interestoriginal ↗
19 Aug 2020
EM stress driven by current account, reserves, debt, and risk aversionoriginal ↗
17 Aug 2020
EM stress driven by current account, reserves, debt, and risk aversionoriginal ↗
17 Aug 2020
Thinking about trend-following using a binomial tree - Simple model shows strategy valueoriginal ↗
17 Aug 2020
Thinking about trend-following using a binomial tree - Simple model shows strategy valueoriginal ↗
17 Aug 2020
Holding risky assets going forward - Will luck change?original ↗
16 Aug 2020
Holding risky assets going forward - Will luck change?original ↗
16 Aug 2020
Fed independence - If it is flexed, markets will sufferoriginal ↗
14 Aug 2020
Fed independence - If it is flexed, markets will sufferoriginal ↗
14 Aug 2020
Pick your yield poison - credit or prepayment risk - Or, look at other risk premiaoriginal ↗
13 Aug 2020
Pick your yield poison - credit or prepayment risk - Or, look at other risk premiaoriginal ↗
13 Aug 2020
The dollar and the "dominant currency paradigm" - There is good news from a dollar declineoriginal ↗
10 Aug 2020
The dollar and the "dominant currency paradigm" - There is good news from a dollar declineoriginal ↗
10 Aug 2020
Commodity markets and the long-run - Follow industrial production and inflationoriginal ↗
10 Aug 2020
Commodity markets and the long-run - Follow industrial production and inflationoriginal ↗
10 Aug 2020
Skyscrapers and alternative data - An example of correlation not predictionoriginal ↗
8 Aug 2020
Skyscrapers and alternative data - An example of correlation not predictionoriginal ↗
8 Aug 2020
Belief superiority and belief confidence - Watch out if you think you are superiororiginal ↗
7 Aug 2020
Belief superiority and belief confidence - Watch out if you think you are superiororiginal ↗
7 Aug 2020
Money velocity - money growth and the economy - An age old problemoriginal ↗
6 Aug 2020
Money velocity - money growth and the economy - An age old problemoriginal ↗
6 Aug 2020
Practical versus Technical Knowledge in Trend-following: The Edge is the Practical Knowledgeoriginal ↗
5 Aug 2020
Practical versus Technical Knowledge in Trend-following: The Edge is the Practical Knowledgeoriginal ↗
5 Aug 2020
Making money with trends in non-crisis periods - The challengeoriginal ↗
3 Aug 2020
Making money with trends in non-crisis periods - The challengeoriginal ↗
3 Aug 2020
Alternative risk premia - Obtaining diversity for both left and right tail eventsoriginal ↗
1 Aug 2020
Alternative risk premia - Obtaining diversity for both left and right tail eventsoriginal ↗
1 Aug 2020
Gold extremism, fundamentals, and trends - When in doubt, follow the pricesoriginal ↗
31 Jul 2020
Gold extremism, fundamentals, and trends - When in doubt, follow the pricesoriginal ↗
31 Jul 2020
Fighting the Fed's short volatility position - Hold some divergent trades and strategies for tail riskoriginal ↗
30 Jul 2020
Fighting the Fed's short volatility position - Hold some divergent trades and strategies for tail riskoriginal ↗
30 Jul 2020
Market rushes, panics and frenzies - Associated with a desire to trade earlyoriginal ↗
29 Jul 2020
Market rushes, panics and frenzies - Associated with a desire to trade earlyoriginal ↗
29 Jul 2020
Overlapping momentum strategies - Gains from diversification of timeframe modelsoriginal ↗
28 Jul 2020
Overlapping momentum strategies - Gains from diversification of timeframe modelsoriginal ↗
28 Jul 2020
The pandemic - Multiple components define the problem and solutionsoriginal ↗
24 Jul 2020
The pandemic - Multiple components define the problem and solutionsoriginal ↗
24 Jul 2020
Different components of rationality - Deeper thinking beyond behavioral biasesoriginal ↗
21 Jul 2020
Different components of rationality - Deeper thinking beyond behavioral biasesoriginal ↗
21 Jul 2020
Go with trend-following over put protection to hedge tail riskoriginal ↗
20 Jul 2020
Go with trend-following over put protection to hedge tail riskoriginal ↗
20 Jul 2020
Why are top performing hedge funds successful? Some non-parametric evidenceoriginal ↗
19 Jul 2020
Why are top performing hedge funds successful? Some non-parametric evidenceoriginal ↗
19 Jul 2020
Idiosyncratic risk increases internal uncertainty - A requirement for more investor knowledgeoriginal ↗
19 Jul 2020
Idiosyncratic risk increases internal uncertainty - A requirement for more investor knowledgeoriginal ↗
19 Jul 2020
A comparison between ARP, hedge funds, and real assetsoriginal ↗
15 Jul 2020
A comparison between ARP, hedge funds, and real assetsoriginal ↗
15 Jul 2020
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