# fixed income (blogs) — RSS Amplifier Recent posts from the 1 feeds in the RSS Amplifier directory that cover fixed income. Page: Feed: --- ## [Short-term trend trading and liquidity - stay away from small tick contracts](http://mrzepczynski.blogspot.com/2026/08/short-term-trend-trading-and-liquidity.html) _2026-08-18 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ The paper, “Is Trend Still Your Friend: A microstructural account of the demise of short-term trend-following” , is important research on why trend-following may not work over short horizons. While trend-following seems to span time, there are exceptions. Since 2009, there has been no profit to be had from short-term trend trading. This paper documents the break in short-term trend trading and… ## [Japan and the big carry trade](http://mrzepczynski.blogspot.com/2026/08/japan-and-big-carry-trade.html) _2026-08-18 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ The yen carry trade has existed for decades. Borrow in cheap Japanese funding markets, sell yen, and then buy the currency of a high-yielding market in some other currency. Of course, hedging and risk management add layers, but the overall strategy is straightforward. Everything works until it does not, because of two things: 1) rates in Japan increase relative to the rest of the world, the yield… ## [Hedge funds and Treasuries - An unholy alliance](http://mrzepczynski.blogspot.com/2026/08/hedge-funds-and-treasuries-unholy.html) _2026-08-18 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ This may seem obvious, but hedge funds dominate a significant portion of Treasury trading. Their exposure exceeds that of mutual funds, and their behavior strongly affects market direction. These are not the same bond vigilantes of long ago, but a breed of arbitrageurs and directional traders ready to go long or short based on small market deviations. They are both liquidity takers and makers.… ## [Big losses - big mistakes in finance from leverage](http://mrzepczynski.blogspot.com/2026/08/big-losses-big-mistakes-in-finance-from.html) _2026-08-18 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ There are some common themes when it comes to large losses in finance - leverage kills. We cannot say that it is always the case, but a review of the biggest trading losses seems linked to excess leverage. Too much risk with a surprise event, and you have a recipe for losses. This will happen with funds and financials, and if we dig into corporate losses, we will find a link to leverage. What is… ## [Fed balance sheet - More work to do](http://mrzepczynski.blogspot.com/2026/08/fed-balance-sheet-more-work-to-do.html) _2026-08-17 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ The issue that has been important to Fed Chairman Warsh has been the Fed balance sheet. There still isn't enough focus on the dynamics of changes in the balance sheet, inflation, and credit. Total Fed assets are still more than 6 times higher than before the Great Financial Crisis, which was well over 15 years ago. Now, Fed regulatory rules have changed, so the total assets may be much higher for… ## [Peter Lynch on stop-loss](http://mrzepczynski.blogspot.com/2026/08/peter-lynch-on-stop-loss.html) _2026-08-17 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ Selling your winners and holding your losers is like cutting the flowers and watering the weeds - Peter Lynch Peter Lynch was not a quant or a trend-follower, so it may seem odd that he is talking about trend-following fundamentals, yet the premise of Lynch's argument is clear even for fundamental investors. Hold your good companies and get rid of the bad ones. This does not always have to be… ## [The types of trend-following systems - choose what fits](http://mrzepczynski.blogspot.com/2026/08/the-types-of-trend-following-systems.html) _2026-08-12 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ A recent paper tries to develop a unified theory of trend-following by classifying trend-following into three groups; see “The science and practice of trend-following systems”. The authors break trend-following into three types: European, American, and Time Series Momentum. European trend-following is based on continuous weights using an EWMA filter. In this system, position sizes are proportional… ## [A benign inflation number - now what?](http://mrzepczynski.blogspot.com/2026/08/a-benign-inflation-number-now-what.html) _2026-08-12 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ Inflation numbers were within expectations, yet this is not something to celebrate. Core inflation is still above the 2% target, and headline inflation is still above 3%. Has the Fed been successful with its policy? The answer is no. However, the current inflation numbers suggest that no action will be taken at the September FOMC meeting. Policy changes are unlikely before an election, and that… ## [TIPS yields continue to move higher](http://mrzepczynski.blogspot.com/2026/08/tips-yields-continue-to-move-higher.html) _2026-08-11 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ It is not just nominal yields that are moving higher. Real yields have also been on a steep ascent, with levels at the highest in ten years. In fact, to get to these real yields, investors will have to look at data prior to the GFC. We are in a strong situation where real yields are telling investors that we have tight monetary conditions, yet inflation and nominal yields suggest that concerns… ## [Yen intervention can buy time not a solution](http://mrzepczynski.blogspot.com/2026/08/yen-intervention-can-buy-time-not.html) _2026-08-10 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ Always bet against intervention if there is no change in policy. Now, this does not mean you should fight a central bank in the short-term. It does mean that intervention has to continue if it is to work. Central banks are much savvier with their intervention. It will occur when there is limited liquidity. It may come through markets not expected, like EUR/JPY instead of USD/JPY. It will be… ## [Meet Claude, an AI assistant (Sponsored)](https://crawlproof.com/a/YN3kGkQYyuLm) _2026-08-10 · **Sponsored**_ Chat with Claude at claude.ai — a conversational AI assistant. ## [AI investment follows other boom and bust cycles](http://mrzepczynski.blogspot.com/2026/08/ai-investment-follows-other-boom-and.html) _2026-08-10 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ Booms or bubbles are often associated with excessive investments. The euphoria associated with a new technology or meme leads to significant money flows. But there is a marginal return on the capital that falls as more investment dollars flow into the theme. The excess investment leads to a large capital stock in the new technology that may have significant positives for an economy, yet that does… ## [Consumer sentiment not supporting market sentiment](http://mrzepczynski.blogspot.com/2026/08/consumer-sentiment-not-supporting.html) _2026-08-04 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ University of Michigan Consumer Sentiment is now at the lowest level in 40 years. I could go back further. It is the lowest level ever recorded, as listed in the FRED database. Worse than the Volcker recession and the double-digit recession. Sentiment has fallen since the pandemic. The consumer confidence survey data, which goes back even further to 1959, shows the same pattern. There is a… ## [Yen intervention will not change fundamentals](http://mrzepczynski.blogspot.com/2026/08/yen-intervention-will-not-change.html) _2026-08-03 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ The coordinated Yen intervention continues as we see the currency has continued to improve. Short-term intervention can reduce volatility, but this is not a volatility problem. This is a policy problem, and nothing has changed in policy. The Bank of Japan has moved its target rate to 1% and has provided forward guidance that it expects rates will continue to move higher. If this is the policy,… ## [What makes me worry about the markets - August 2026](http://mrzepczynski.blogspot.com/2026/08/what-makes-me-worry-about-markets.html) _2026-08-03 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ The markets are connected, and the message is not good: 1. The Korean tech bubble is bursting, and some return to normality; however, it is not done yet. US retail investors are net sellers. We just saw a US fund blow-up with Situational Awareness. It is a one-off, but investors need to realize that investor euphoria led to the excessive money flows. 2. Coordinated intervention in the yen market… ## [What can LLMs do and more importantly, not do?](http://mrzepczynski.blogspot.com/2026/08/what-can-llms-do-and-more-importantly.html) _2026-08-03 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ A very interesting position paper worth a read for any follower of AI: “ LLMs Can't Jump: Why the Abductive Leap is the Final Frontier of AI Discovery.” The thought is simple. AI may be good at some forms of inference, like deduction and induction, but it is not able to do the third type: abduction. “ While AI can compress data (Induction) and prove theorems (Deduction), it cannot yet recreate the… ## [More than a Korean bubble problem - US retail is selling](http://mrzepczynski.blogspot.com/2026/08/more-than-korean-bubble-problem-us.html) _2026-08-03 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ The bubble in Korea has been viewed by some as an isolated event. There is no question that Korean-specific regulation and behavior were a strong contributor to this bubble, yet we should look at what is happening in the US. One, the semiconductor sector is showing strong declines. Not like Korea, but the pattern is similar. Two, the move in the AI and IT sectors has been driven by retail, and… ## [Yields at levets not seen in a decade](http://mrzepczynski.blogspot.com/2026/08/yields-at-levets-not-seen-in-decade.html) _2026-08-03 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ Since the pandemic, 10- and 30-year Treasury yields have been on a steady march higher. We have seen continued inflation above target, continued budget deficits, the shock of pandemic QE, and no strong policy moves to stop the ascent. We are now seeing rates that will take us back up to pre-GFC levels. Could this be considered normalization of rates? This is hard to argue when you look at the… ## [The equity maket sectors are getting more disperse](http://mrzepczynski.blogspot.com/2026/08/the-equity-maket-sectors-are-getting.html) _2026-08-01 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ Using the v-Lab data, we are seeing that correlations across sectors in the US are falling and showing more dispersion. If the stock market, like all markets, can be viewed as a network, we are seeing the network expanding after a period of strong connection in the first quarter of 2025. We are seeing a disconnect in the IT sector but also across real market sectors. This can be viewed as a market… ## [Gold taking up the slack of lower dollar central bank demand](http://mrzepczynski.blogspot.com/2026/08/gold-taking-up-slack-of-lower-dollar.html) _2026-08-01 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ At some point, the fiat money producers will believe that fiat money is losing its value. There will not be an announcement, but there will be a slow adjustment. Look at the reserve assets held. Central banks are expected to reduce their exposure in dollars. They have already seen an increase in gold holdings. Now you have to be careful when looking at gold, because a large percentage of the… ## [Monetary policy uncertainty relatively stable](http://mrzepczynski.blogspot.com/2026/07/monetary-policy-uncertainty-relatively.html) _2026-07-31 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ Everyone in the bond markets has been talking about Fed Chair Warsh and his changing views on forward guidance. His policy stance is clear. He does not want to give forward guidance. He will reduce guidance to the minimum. Markets have reacted to this with much wailing, yet we need to focus on the actual impact on markets. One way to look at this is through market-based measures of monetary policy… ## [Make any domain metal (Sponsored)](https://crawlproof.com/a/l0ow08NMiV3I) _2026-07-31 · **Sponsored**_ Turn any domain into a blacked-out metal landing page with an email waitlist ## [Korean KOSPI - the bubble market has burst](http://mrzepczynski.blogspot.com/2026/07/korean-kospi-bubble-market-has-burst.html) _2026-07-30 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ Sometimes the bubble burst will sneak up on you even if it is in plain sight. The Korean KOSPI index is down over 44% in approximately 40 days, with over 300,000 individual leveraged accounts liquidated and over 1.2 million accounts receiving margin calls this month. The index was about 45-50 percent information technology, with the largest exposure in Samsung and SK Hynix. The problem for the US… ## [Central bank behavior and gold trading](http://mrzepczynski.blogspot.com/2026/07/central-bank-behavior-and-gold-trading.html) _2026-07-30 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ Gold has had a complete turnaround after reaching highs well above $5,000 an ounce. So, what was going on? One clear indicator is that central banks have cut their gold purchases. Central banks have not been viewed as profit maximizers, but the high prices in the first quarter may have been too much, and they took a step back from the market. The other profit-maximizers may have had the same view,… ## [The failure of forward guidance or what should we expect](http://mrzepczynski.blogspot.com/2026/07/the-failure-of-forward-guidance-or-what.html) _2026-07-30 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ Analysts are calling it a failure of the Fed's new forward guidance policy. The policy, of course, is no forward guidance. Given Fed Chairman Warsh is not going to tell the market much about the intention of Fed policy other than "it will not waver" from trying to fight inflation, the market will have to decide on the efficacy of current policy. The Fed, instead of driving policy, can now learn… ## [How to measure slippage - look for negative surprises](http://mrzepczynski.blogspot.com/2026/07/how-to-measure-slippage-look-for.html) _2026-07-30 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ The paper by Ilija I. Zovko, "Realtime price impact detection" provides an interesting solution to the slippage monitoring problem. Traditional methods for managing market impact typically rely on monitoring post-fill price slippage. This approach fails in real-time environments for two key reasons: Statistically Slow - Estimating price slippage requires hundreds of fills before the signal can be… ## [Momentum and network learning](http://mrzepczynski.blogspot.com/2026/07/momentum-and-network-learning.html) _2026-07-30 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ The paper “Network Momentum across Asset Classes ” introduces a multi-asset quantitative trading strategy based on network momentum —a trading signal derived from momentum spillover across different asset classes. Momentum spillover occurs when past performance in one asset predicts future returns in linked assets. While traditionally studied in pairwise connections (e.g., stock-bond pairs or… ## [Treasury convenience yield and inflation](http://mrzepczynski.blogspot.com/2026/07/treasury-convenience-yield-and-inflation.html) _2026-07-28 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ The convenience yield associated with Treasury securities is dynamic, meaning the price of safety associated with this safe asset is constantly changing with the macro environment. This important paper, "Inflation and Treasury Convenience,” on the macro dynamics of the convenience yield finds that inflationary supply shocks raise the opportunity cost of holding money and money-like assets,… ## [No momentum factor after accounting for cross-sectional liquidity](http://mrzepczynski.blogspot.com/2026/07/no-momentum-factor-after-accounting-for.html) _2026-07-28 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ What causes momentum, or what is associated with momentum? A new paper suggests that there is a strong link between liquidity and momentum, and that changes in liquidity precede momentum gains. The paper, titled “Momentum Returns and the Role of Liquidity Improvements” by Jeppe Bro, demonstrates that the traditional stock market momentum anomaly is actually driven by cross-sectional liquidity… ## [Periods of financial stress - the long history](http://mrzepczynski.blogspot.com/2026/07/periods-of-financial-stress-long-history.html) _2026-07-23 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ A paper that has not received much attention focuses on measures of systemic risk in "Systemic Risk Measures: From the Panics of 1907 to the Banking Stress of 2023" . Much of the data from this paper is available from V-lab. The work suggests that there have been more stress periods recently, but their duration has been shorter. There has not been a stress period since the banking crisis of 2023.… ## [SRISK around the globe - Look at China](http://mrzepczynski.blogspot.com/2026/07/srisk-around-globe-look-at-china.html) _2026-07-23 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ There is concern about the risk in the current markets given the high valuations. In a perfect world, investors would like early warnings of market stress as an indicator that it is time to rebalance portfolios. Identifying different stress indicators will allow investors to triangulate on the true market environment. One that I have been recently focused on is SRISK from the website V-Lab. SRISK… ## [A dirty secret in private equity](http://mrzepczynski.blogspot.com/2026/07/a-dirty-secret-in-private-equity.html) _2026-07-22 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ The private equity markets have been a darling for many pensions and endowments because of their strong long-term returns. Of course, investors should expect a premium over public markets because money is locked up for a long period of time. The problem is that many funds are nearing the end of their lives, yet many of the underlying investments have not been sold to other firms or IPOed. The… ## [Home of the Agentic Pull Request (Sponsored)](https://crawlproof.com/a/qXpmXFA0H2hP) _2026-07-22 · **Sponsored**_ CLI-first, TUI-ready toolkits and a moshscript installer — join the waitlist ## [A warning sign of a bubble? stock issuance](http://mrzepczynski.blogspot.com/2026/07/a-warning-sign-of-bubble-stock-issuance.html) _2026-07-15 · Mark Rzepczynski · Disciplined Systematic Global Macro Views_ One of the key signs of a stock bubble is the issuance of new stock. Simply put, when the stock market is overvalued, smart firms will issue new stock to take advantage of these high values. The increase in supply will flood the market and generate downward pressure on stocks. We are seeing more issuance in the market this year, but it is not at extreme levels. The large increases in 2020-2021…