Episode Description
This week, we are joined by Yoav Git and Rob Croce from Fidelity Investments for a deep dive into trend following, portfolio construction and execution in modern markets. The conversation explores why crisis alpha may come more from beta timing than market selection, the logic behind betting against beta, and how quantitative investors think about diversification, carry and relative value strategies. Along the way, the trio discuss Japan’s rising bond yields, momentum investing, execution risk during crises and even how ChatGPT helped solve a 60-year-old mathematical problem. This is a technical but highly practical discussion about how systematic investors build robust portfolios in a changing macro environment.
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Episode TimeStamps:
01:57 - Rob Croce’s path from economics to managed futures and trend following
04:38 - Yoav on AI-assisted mathematics and solving a 60-year-old problem
06:14 - Rob on out-of-sample testing and learning from market structure
11:42 - Rising Japanese bond yields and the global bond market backdrop
12:39 - Momentum investing and the growing popularity of trend-based strategies
17:04 - Current trend following environment across equities, bonds and commodities
19:13 - “Betting Against Beta” and why low-beta portfolios may outperform
25:43 - The role of leverage aversion and diversification in factor investing
34:26 - Rob Croce’s paper: where crisis alpha really comes from
40:31 - Why beta timing drives much of trend following’s defensive behavior
47:46 - Can carry improve trend following without sacrificing crisis alpha?
51:51 - Execution algorithms, risk reduction and trading during crises
57:46 - Why correlation spikes matter for portfolio execution and liquidity
01:04:05 - Final thoughts and where to find Rob Croce’s research
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