Blog · corpus.blog/blogs/mrzepczynski.blogspot.com/posts
Mark Rzepczynski
mrzepczynski.blogspot.com
2017
Factor risk premium differ across countries - Make sure you are factor diversified globallyoriginal ↗
16 Dec 2017
Factor risk premium differ across countries - Make sure you are factor diversified globallyoriginal ↗
16 Dec 2017
14 Dec 2017
14 Dec 2017
Producing alpha is not easy - The solution to making effective decisions in a uncertain world has not been foundoriginal ↗
14 Dec 2017
Producing alpha is not easy - The solution to making effective decisions in a uncertain world has not been foundoriginal ↗
14 Dec 2017
Financial conditions - No signal of tightening. Trend says stay the course with risky assetsoriginal ↗
9 Dec 2017
Financial conditions - No signal of tightening. Trend says stay the course with risky assetsoriginal ↗
9 Dec 2017
“Risk of a rapid repricing in global markets” -(ECB) With this narrative, investors need strategies that generate portfolio gammaoriginal ↗
7 Dec 2017
“Risk of a rapid repricing in global markets” -(ECB) With this narrative, investors need strategies that generate portfolio gammaoriginal ↗
7 Dec 2017
7 Dec 2017
7 Dec 2017
Hedge fund performance mixed, but some bright spots with fundamental growth and systematic macrooriginal ↗
5 Dec 2017
Hedge fund performance mixed, but some bright spots with fundamental growth and systematic macrooriginal ↗
5 Dec 2017
Trends signals still mixed in many asset classes - Long US equity indices still strongest signaloriginal ↗
3 Dec 2017
Trends signals still mixed in many asset classes - Long US equity indices still strongest signaloriginal ↗
3 Dec 2017
Sector return performance for equities strong across the board - Hold overweight in equitiesoriginal ↗
3 Dec 2017
Sector return performance for equities strong across the board - Hold overweight in equitiesoriginal ↗
3 Dec 2017
Managed futures slightly positive in a choppy environment - Performance driven by asset class weightsoriginal ↗
2 Dec 2017
Managed futures slightly positive in a choppy environment - Performance driven by asset class weightsoriginal ↗
2 Dec 2017
Stocks continue their strong performance - Hard to fight equity trends; the opportunity cost of not following trends is highoriginal ↗
2 Dec 2017
Stocks continue their strong performance - Hard to fight equity trends; the opportunity cost of not following trends is highoriginal ↗
2 Dec 2017
30 Nov 2017
30 Nov 2017
26 Nov 2017
26 Nov 2017
The Tale of the Tail - Focus on the where, why, and what is wrong; Use strategy diversification as a solutionoriginal ↗
24 Nov 2017
The Tale of the Tail - Focus on the where, why, and what is wrong; Use strategy diversification as a solutionoriginal ↗
24 Nov 2017
Holding period diversification - Investing with hedge fund managers that have different trading time-frames adds valueoriginal ↗
23 Nov 2017
Holding period diversification - Investing with hedge fund managers that have different trading time-frames adds valueoriginal ↗
23 Nov 2017
22 Nov 2017
22 Nov 2017
Changing the risk profile from credit to macro - Take away liquidity risk and switch alternative risk premiumsoriginal ↗
20 Nov 2017
Changing the risk profile from credit to macro - Take away liquidity risk and switch alternative risk premiumsoriginal ↗
20 Nov 2017
Being short volatility is risky in a crisis - Do you know your volatility premium exposure?original ↗
13 Nov 2017
Being short volatility is risky in a crisis - Do you know your volatility premium exposure?original ↗
13 Nov 2017
11 Nov 2017
11 Nov 2017
10 Nov 2017
10 Nov 2017
10 Nov 2017
10 Nov 2017
Will hedging not speculation be the driver of a financial disaster? Is VaR hedging like portfolio insurance?original ↗
6 Nov 2017
Will hedging not speculation be the driver of a financial disaster? Is VaR hedging like portfolio insurance?original ↗
6 Nov 2017
The upside-downside risk embedded in options - Lower but less balanced than earlier in the yearoriginal ↗
6 Nov 2017
The upside-downside risk embedded in options - Lower but less balanced than earlier in the yearoriginal ↗
6 Nov 2017
3 Nov 2017
3 Nov 2017
October hedge fund performance led by CTA's - all hedge fund strategies positive for the yearoriginal ↗
3 Nov 2017
October hedge fund performance led by CTA's - all hedge fund strategies positive for the yearoriginal ↗
3 Nov 2017
1 Nov 2017
1 Nov 2017
Interest rates for the ages - "Winter is coming" for bonds but it can take a number of formsoriginal ↗
30 Oct 2017
Interest rates for the ages - "Winter is coming" for bonds but it can take a number of formsoriginal ↗
30 Oct 2017
29 Oct 2017
29 Oct 2017
VaR - good for a manager, but bad for the markets as a whole - Call it the "Paradox of VaR Risk Management"original ↗
25 Oct 2017
VaR - good for a manager, but bad for the markets as a whole - Call it the "Paradox of VaR Risk Management"original ↗
25 Oct 2017
Formal or Informal predictive procedures - If it is repetitive go with the formal approachoriginal ↗
22 Oct 2017
Formal or Informal predictive procedures - If it is repetitive go with the formal approachoriginal ↗
22 Oct 2017
Risk parity with strong performance, yet global macro - managed futures may be a better choice to offset mispricing riskoriginal ↗
21 Oct 2017
Risk parity with strong performance, yet global macro - managed futures may be a better choice to offset mispricing riskoriginal ↗
21 Oct 2017
18 Oct 2017
18 Oct 2017
If you take away the Fed balance sheet, should the bond premium be negative? Term premium realityoriginal ↗
16 Oct 2017
If you take away the Fed balance sheet, should the bond premium be negative? Term premium realityoriginal ↗
16 Oct 2017
Renaissance in global macro - it is all about global disruption and "creative destruction" - Here is one avenue for dislocationoriginal ↗
15 Oct 2017