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.

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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

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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 yiel