Mark Rzepczynski

Founding Partner, Chief Investment Officer AMPHI Research and Trading, LLC

Title

CEO

Education

Brown University

Degree

Ph.D. Economics

Company Name
AMPHI Research and Trading

Company Description
AMPHI Research and Trading (ART) provides advisory services to global macro and managed futures managers and investors.

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Mark Rzepczynski, AMPHI Research and Trading

Mixed trend signals between equity indices and bonds

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Dec 04, 2018

Mark Rzepczynski, AMPHI Research and Trading

Managed futures funds not able to find trends

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Dec 04, 2018

Mark Rzepczynski, AMPHI Research and Trading

November performance - Bonds say environment is negative, equities don't agree

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Dec 01, 2018

Mark Rzepczynski, AMPHI Research and Trading

Illiquidity premium and asset allocation - Mistakes in management even when paid a premium

If you have an asset that has an illiquidity premium, an optimizer will love it as a choice. An illiquidity premium is a dangerous area for investing. First, are you getting paid enough for illiquid? Second, is there a good way to measure ...

Nov 30, 2018

Mark Rzepczynski, AMPHI Research and Trading

What is PMI telling us about the stock/bond mix?

A big problem with macro fundamental investing is getting timely data on the economy and then translating that information to effective investment signals. Government issued data generally are out of date and old information for forward looking ...

Nov 30, 2018

Mark Rzepczynski, AMPHI Research and Trading

Categorization and classification - Fundamental to finance and investing

"Categorization is not a matter to be taken lightly. There is nothing more basic than categorization to our thought, perception, action, and speech. Every time we see something as a kind of thing... we are categorizing." - linguist George Lakoff from ...

Nov 23, 2018

Mark Rzepczynski, AMPHI Research and Trading

Equity risk allocation - No change in exposure reduction view

It not a matter of like or dislike the fundamentals of equities in the current environment. When sentiment changes and volatility increases, reassessment of current exposures is warranted. However, concern about the macro environment should be ...

Nov 22, 2018

Mark Rzepczynski, AMPHI Research and Trading

Can you improve on the 60/40 stock/bond allocation without changing the 60/40 allocation?

The classic 60/40 stock bond mix has proven to be a good core asset allocation. When in doubt, employing the simple 60/40 (SPY/AGG) asset mix as a base case has been an allocation that has performed well versus other diversification strategies. This ...

Nov 21, 2018

Mark Rzepczynski, AMPHI Research and Trading

Fixed income choices - Move to further underweight

Current views on asset allocation in fixed income and credit are generally negative. The focus should be on holding shorter duration and cash investments. Credits spreads are widening because of both increased economic and financial risks. ...

Nov 19, 2018

Mark Rzepczynski, AMPHI Research and Trading

Spread widening can be costly - All is not well in credit land

It does not take much for an investor to have a losing credit trade on long duration bonds. The average duration on a long-term 10-year corporate is around 8 and current OAS spreads for triple-B corporates are 160 over Treasuries up from 120 earlier ...

Nov 16, 2018

Mark Rzepczynski, AMPHI Research and Trading

No diversification in Mudville - Time to try different risk premia styles

Diversification is usually thought of as a longer-term concept. Don’t worry if it seems like you are not receiving diversification in a given month or quarter. Think about diversification across a longer horizon. Diversification also does not ...

Nov 15, 2018

Mark Rzepczynski, AMPHI Research and Trading

Evolution and adaption: Trend-followers are constantly changing

Hedge funds styles, strategies, and firms evolve over time. The behavior of a hedge fund today is not the same as yesterday. These behavior changes are not because a manager has changed his style but because the environment, the tools, the ...

Nov 12, 2018

Mark Rzepczynski, AMPHI Research and Trading

Blending risk premia and generating craftsman alpha

Alpha generation will fall when it is measured correctly through an appropriate benchmark. Alpha shrinkage over the last ten years is a measurement problem. Returns for hedge funds are a combination of the underlying risk premia styles employed and ...

Nov 11, 2018

Mark Rzepczynski, AMPHI Research and Trading

Alpha production - As we get better at beta measurement, alpha will decline

A growing investment management theme over the last few years has been the incredible shrinking alpha. As investors gain more information on risk premia, there seems to be less alpha produced by managers. In reality, alpha production has likely not ...

Nov 09, 2018

Mark Rzepczynski, AMPHI Research and Trading

25 years after Jegadeesh and Titman - The Momentum Revolution

Trend-following and momentum has always been an important part of hedge funds and alternative investing but it would be hard to say that trend-following was mainstream thinking prior to the early 90's. This was the high water period of the of market ...

Nov 08, 2018

Mark Rzepczynski, AMPHI Research and Trading

Where do we stand after the October repricing?

The losses in October are well known. Now the question is whether these down moves will continue across styles, sectors, country indices, and bonds. The answer with few exceptions is the same. Market trends are pointed down and volatility is higher. ...

Nov 05, 2018

Mark Rzepczynski, AMPHI Research and Trading

Managed futures beat both stocks and bonds over short-run, yet many are not feeling good

The investor pain from low correlation; you can be diversified and lose money. An investment can have a low correlation with equities and still have a bad month when equities decline. Low correlation is no guarantee of protection when markets ...

Nov 05, 2018

Mark Rzepczynski, AMPHI Research and Trading

Hedge fund performance - Limited risk protection for the month and year

All asset classes were hurt with October performance. There is not much investors could have done to protect themselves during the month, yet there is a feeling that hedge fund managers should have done better for the month and the year. There is a ...

Nov 04, 2018

Mark Rzepczynski, AMPHI Research and Trading

The October repricing causes low signal to noise, limited trends

When markets reprice risk, it is not fun being a trend-follower. Long equity indices were a crowded trade and few made money when the early October reversal hit the markets. Fast traders were able to exploit the move, but a bounce off the lows hurt ...

Nov 03, 2018

Mark Rzepczynski, AMPHI Research and Trading

Managed futures - No crisis alpha in the short-run

Nov 03, 2018

Mark Rzepczynski, AMPHI Research and Trading

Bad October performance, but we are already hearing that this was expected - The hindsight bias

Nov 01, 2018

Mark Rzepczynski, AMPHI Research and Trading

The price of the Fed not providing new liquidity - larger drawdowns

Our graph looks at the drawdowns for the equity benchmark SPY over the last ten years. While the current drawdown has come fast, there are have been a number of drawdowns that have been far worse albeit none that have reached the magic 20 percent ...

Oct 31, 2018

Mark Rzepczynski, AMPHI Research and Trading

Met few good traders who thought their correct decisions were about luck

Skill is what you have when things go right. Luck is what you don't have when things go wrong. Probability does not have a personality. "Luck is probability taken personally.” – Penn Jillette, attributing its origin to Chip Denman (an IT director, ...

Oct 31, 2018

Mark Rzepczynski, AMPHI Research and Trading

Ford versus Starbucks - Uniqueness in money management is it necessary?

The changes in the product mix and delivery of goods in the new economy are profound versus the old economy. The old economy was about scale and creating sameness to cut costs. Henry Ford did not care which car you bought as long as it was black. The ...

Oct 30, 2018

Mark Rzepczynski, AMPHI Research and Trading

Looking for risk in all the wrong places....

...was lookin' for risk in all the wrong places, Lookin' for risk in too many faces, searchin' their eyes and lookin' for traces of what I'm dreamin' of. -Lookin' for Love, Johnny Lee Risk will surprise you. It is supposed to do this. While we ...

Oct 30, 2018