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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