Today, we’re delighted to welcome Mark Rzepczynski onto the show to discuss his time working with John W. Henry and what J. W. Henry’s ‘secret weapon’ was, the most effective way to gain downside protection, how to overcome behavioural biases in investing, how diversification can reduce profitability during huge trends, how to effectively make the case for Trend Following to potential investors, where returns dispersion among CTAs is stemming from, and one of our favourite topics: how many markets in a portfolio is too many?
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0:00 – Intro
1:14 – Macro recap from Niels
2:53 – Weekly review of returns
5:55 – Niels: Can you tell us about your journey to where you are today?
10:24 – Niels: Do you think John Henry’s success in sports can be partly down to his previous Trend Following methodologies?
12:18 – Niels: How do think we as humans overcome our behavioural biases in investing?
14:32 – Moritz: To what extent do systematic CTAs need laser-like focus, compared to others?
17:57 – Moritz: How did the day-to-day business of John W. Henry run?
21:00 – Niels: What led to John W. Henry eventually dissolving his firm, and what have leading CTAs today, who have been around since then, done right to still be successful?
29:02 – Moritz: How many markets in a trading system are too many?
42:06 – Niels to Moritz: How do you really benefit from correlation-based position sizing?
49:35 – Mark to hosts: How do you utilise momentum ranking in your portfolios?
55:45 – Niels: Where do you think returns dispersion among CTAs stems is stemming from?
57:21 – Moritz: What can be done better, in terms of selling a strategy to potential clients?
1:10:16 – Niels: How do you get so many ideas for content for your blog?1:12:32 – Niels: Do you have specific times of the day to do your writing?1:13:55 – Moritz: Why is the concept of convexity so popular nowadays?
1:18:06 – Niels: What is the best downside protection, in your opinion?
1:23:05 – Performance recap