SI400: When Crisis Alpha Hides in Plain Sight ft. Yoav Git & Rob Croce

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.-----50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE-----Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.Learn more about the Trend Barometer here.Send your questions to info@toptradersunplugged.comAnd please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.Follow Rob on LinkedIn and read his paper.Follow Yoav on Linkedin.Episode TimeStamps:01:57 - Rob Croce’s path from economics to managed futures and trend following04:38 - Yoav on AI-assisted mathematics and solving a 60-year-old problem06:14 - Rob on out-of-sample testing and learning from market structure11:42 - Rising Japanese bond yields and the global bond market backdrop12:39 - Momentum investing and the growing popularity of trend-based strategies17:04 - Current trend following environment across equities, bonds and commodities19:13 - “Betting Against Beta” and why low-beta portfolios may outperform25:43 - The role of leverage aversion and diversification in factor investing34:26 - Rob Croce’s paper: where crisis alpha really comes from40:31 - Why beta timing drives much of trend following’s defensive behavior47:46 - Can carry improve trend following without sacrificing crisis alpha?51:51 - Execution algorithms, risk reduction and trading during crises57:46 - Why correlation spikes matter for portfolio execution and liquidity01:04:05 - Final thoughts and where to find Rob Croce