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Mark Rzepczynski

mrzepczynski.blogspot.com

2020

Old School / New School Analysis - Feeling your way across a data streamoriginal ↗
7 Mar 2020
Old School / New School Analysis - Feeling your way across a data streamoriginal ↗
7 Mar 2020
The hidden fixed income benchmark risk - Is this what you want? Is this what you expect?original ↗
4 Mar 2020
The hidden fixed income benchmark risk - Is this what you want? Is this what you expect?original ↗
4 Mar 2020
Conditional momentum based on the basis (carry) - It worksoriginal ↗
3 Mar 2020
Conditional momentum based on the basis (carry) - It worksoriginal ↗
3 Mar 2020
CTA/Managed futures managers - What is happening behind the averages?original ↗
3 Mar 2020
CTA/Managed futures managers - What is happening behind the averages?original ↗
3 Mar 2020
VIX index - In case you don't know, it is a non-normal distributionoriginal ↗
2 Mar 2020
VIX index - In case you don't know, it is a non-normal distributionoriginal ↗
2 Mar 2020
Credit risk - just as big an issue as equity riskoriginal ↗
2 Mar 2020
Credit risk - just as big an issue as equity riskoriginal ↗
2 Mar 2020
Equity performance choices - Limited safetyoriginal ↗
2 Mar 2020
Equity performance choices - Limited safetyoriginal ↗
2 Mar 2020
Follow the precautionary principle for health and create a sick global economyoriginal ↗
1 Mar 2020
Follow the precautionary principle for health and create a sick global economyoriginal ↗
1 Mar 2020
What if you could not forget any information - would you be a better investor?original ↗
27 Feb 2020
What if you could not forget any information - would you be a better investor?original ↗
27 Feb 2020
Recency bias - It is not solved by being quantoriginal ↗
26 Feb 2020
Recency bias - It is not solved by being quantoriginal ↗
26 Feb 2020
Blending trend-following and carry through simple diagramsoriginal ↗
24 Feb 2020
Blending trend-following and carry through simple diagramsoriginal ↗
24 Feb 2020
Mean reversion in style factors - Don't go chasing returnsoriginal ↗
22 Feb 2020
Mean reversion in style factors - Don't go chasing returnsoriginal ↗
22 Feb 2020
Primacy and recency effects - The ordering of ideas mattersoriginal ↗
21 Feb 2020
Primacy and recency effects - The ordering of ideas mattersoriginal ↗
21 Feb 2020
Financial Repression - Still a growing issue around the worldoriginal ↗
20 Feb 2020
Financial Repression - Still a growing issue around the worldoriginal ↗
20 Feb 2020
Instrumental and epistemic rationality - worth thinking deeper about decision behavior and intelligenceoriginal ↗
19 Feb 2020
Instrumental and epistemic rationality - worth thinking deeper about decision behavior and intelligenceoriginal ↗
19 Feb 2020
The power of credit hedge funds - Good underlying returnsoriginal ↗
18 Feb 2020
The power of credit hedge funds - Good underlying returnsoriginal ↗
18 Feb 2020
The same benefits that exist for equity ARP apply to credit ARPoriginal ↗
16 Feb 2020
The same benefits that exist for equity ARP apply to credit ARPoriginal ↗
16 Feb 2020
Black Swan, uncertainty, contagion, and the coronavirusoriginal ↗
15 Feb 2020
Black Swan, uncertainty, contagion, and the coronavirusoriginal ↗
15 Feb 2020
The low volatility style factor - A great history, but can it continue?original ↗
14 Feb 2020
The low volatility style factor - A great history, but can it continue?original ↗
14 Feb 2020
Realize that every benchmark or index is a bundle of factorsoriginal ↗
12 Feb 2020
Realize that every benchmark or index is a bundle of factorsoriginal ↗
12 Feb 2020
Factor indices can add value and change equity risk profileoriginal ↗
11 Feb 2020
Factor indices can add value and change equity risk profileoriginal ↗
11 Feb 2020
An alternative investment matrix - Determine weights for each boxoriginal ↗
10 Feb 2020
An alternative investment matrix - Determine weights for each boxoriginal ↗
10 Feb 2020
Fixed income factor analysis - Interesting breakdown for high yieldoriginal ↗
9 Feb 2020
Fixed income factor analysis - Interesting breakdown for high yieldoriginal ↗
9 Feb 2020
Rare events, force majeure, and coronavirusoriginal ↗
8 Feb 2020
Rare events, force majeure, and coronavirusoriginal ↗
8 Feb 2020
Palladium price shock - A case study for why commodities are differentoriginal ↗
7 Feb 2020
Palladium price shock - A case study for why commodities are differentoriginal ↗
7 Feb 2020
The "last mile" problem and investment managementoriginal ↗
5 Feb 2020
The "last mile" problem and investment managementoriginal ↗
5 Feb 2020
ECB historical policy review - An institution in two regimesoriginal ↗
5 Feb 2020
ECB historical policy review - An institution in two regimesoriginal ↗
5 Feb 2020
Keep decisions simple when there is uncertainty - The case of coronavirusoriginal ↗
3 Feb 2020
Keep decisions simple when there is uncertainty - The case of coronavirusoriginal ↗
3 Feb 2020
AQR expected returns - Don't expect much returnoriginal ↗
2 Feb 2020
AQR expected returns - Don't expect much returnoriginal ↗
2 Feb 2020
Sahm recession indicator - Nothing to see here noworiginal ↗
1 Feb 2020
Sahm recession indicator - Nothing to see here noworiginal ↗
1 Feb 2020
Narrative Economics by Robert Shiller - Storytelling but no predictionsoriginal ↗
31 Jan 2020
Narrative Economics by Robert Shiller - Storytelling but no predictionsoriginal ↗
31 Jan 2020
Financial stress and Fed action - Is it needed?original ↗
31 Jan 2020
Financial stress and Fed action - Is it needed?original ↗
31 Jan 2020
Jim Simons' Guiding Principles for a Successful Organizationoriginal ↗
27 Jan 2020
Jim Simons' Guiding Principles for a Successful Organizationoriginal ↗
27 Jan 2020
Expectations differ by generations - How do you deal with generational financial experiences?original ↗
25 Jan 2020
Expectations differ by generations - How do you deal with generational financial experiences?original ↗
25 Jan 2020
Clayton Christensen - “The Innovator’s Dilemma” author died and we lose a great management thinkeroriginal ↗
25 Jan 2020
Clayton Christensen - “The Innovator’s Dilemma” author died and we lose a great management thinkeroriginal ↗
25 Jan 2020
The good news - more money with stable velocity; the bad news - the plumbingoriginal ↗
24 Jan 2020
The good news - more money with stable velocity; the bad news - the plumbingoriginal ↗
24 Jan 2020
Financial Stability Board Report - The shadows of banking are bigoriginal ↗
22 Jan 2020
Financial Stability Board Report - The shadows of banking are bigoriginal ↗
22 Jan 2020
Ensemble modeling - A solution to ambiguity and improved forecastingoriginal ↗
20 Jan 2020
Ensemble modeling - A solution to ambiguity and improved forecastingoriginal ↗
20 Jan 2020
Principal Component Analysis of alternative risk premia shows unique groupingsoriginal ↗
20 Jan 2020
Principal Component Analysis of alternative risk premia shows unique groupingsoriginal ↗
20 Jan 2020
Centuries of interest rate data - Proves challenging for investors todayoriginal ↗
17 Jan 2020
Centuries of interest rate data - Proves challenging for investors todayoriginal ↗
17 Jan 2020
ARP strategies and market beta - Check the stability when constructing portfoliosoriginal ↗
16 Jan 2020
ARP strategies and market beta - Check the stability when constructing portfoliosoriginal ↗
16 Jan 2020
The "Golden Age" of bond maturity premium unlikely to continueoriginal ↗
16 Jan 2020
The "Golden Age" of bond maturity premium unlikely to continueoriginal ↗
16 Jan 2020
Smart does not mean rational - Need to think beyond SAToriginal ↗
13 Jan 2020
Smart does not mean rational - Need to think beyond SAToriginal ↗
13 Jan 2020
Fundamental versus technical risk premia - Are there distinctions?original ↗
12 Jan 2020
Fundamental versus technical risk premia - Are there distinctions?original ↗
12 Jan 2020
Fed policy "review" - What has not been openly discussed?original ↗
11 Jan 2020
Fed policy "review" - What has not been openly discussed?original ↗
11 Jan 2020
If you think you are smart, you won't listen to othersoriginal ↗
9 Jan 2020
If you think you are smart, you won't listen to othersoriginal ↗
9 Jan 2020
Alternative risk premia and the advantage of cluster analysisoriginal ↗
8 Jan 2020
Alternative risk premia and the advantage of cluster analysisoriginal ↗
8 Jan 2020
Smart people may have a bias blind spotoriginal ↗
7 Jan 2020
Smart people may have a bias blind spotoriginal ↗
7 Jan 2020
Trend-following - Go deep or go wide - There is a balance on the number of markets tradedoriginal ↗
7 Jan 2020
Trend-following - Go deep or go wide - There is a balance on the number of markets tradedoriginal ↗
7 Jan 2020
Smart people may support their positions opportunistically, in spite of the dataoriginal ↗
6 Jan 2020
Smart people may support their positions opportunistically, in spite of the dataoriginal ↗
6 Jan 2020
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