SI400: When Crisis Alpha Hides in Plain Sight ft. Yoav Git & Rob Croce
Top Traders Unplugged
Niels Kaastrup-Larsen
4.8 • 712 Ratings
🗓️ 16 May 2026
⏱️ 67 minutes
🧾️ Download transcript
Summary
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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2. Daily Trend Barometer and Market Score
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3. Other Resources that can help you
And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here
Transcript
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| 0:00.0 | Welcome to Top Traders Unplugged. |
| 0:03.0 | In markets, success doesn't come from predicting what happens next. |
| 0:08.0 | It comes from being prepared for what you can't predict. |
| 0:11.0 | In each episode, we go deep with some of the world's most thoughtful minds in investing, economics, and beyond |
| 0:18.0 | to understand how they think, how they prepare, and how they decide, and the |
| 0:22.3 | experiences that shaped how they see the world. |
| 0:25.4 | No noise, no shortcuts, just real conversations to help you think better and invest with confidence. |
| 0:35.5 | Welcome and welcome back to this week's edition of the Systematic Investor Series with |
| 0:39.1 | you of Git and I, Neil's Castro Blasen, where each week we take the pulse of the global market |
| 0:43.3 | through the lens of a rules-based investor. This week we have a very special guest, namely |
| 0:48.0 | Rob Krochi, who is a portfolio manager in the quantitative research and investment division |
| 0:52.8 | at Fidelity Investments and who is here |
| 0:55.1 | to discuss a recent paper that he co-authored as well as some of the other topics we have lined |
| 1:00.2 | up today. You're Rob. It's really great to be with both of you this week. Hope you're doing well. |
| 1:07.0 | Why are you connecting from? Let's talk about... So I'm actually connecting from Israel. I'm visiting my parents, so I'm enjoying the summer |
| 1:17.4 | here, very hot, and enjoying the fact that there is actually a lull in the hostilities between |
| 1:23.7 | Iran and the US, and long it may it continue. |
| 1:28.6 | Absolutely. Rob, where are you, where are you dialing in from today? |
| 1:31.6 | Beautiful Boston, where you can see we have a lovely gray sky and about 45 degrees outside. |
| 1:37.1 | Perfect Boston springtime. |
| 1:39.5 | Fantastic. Looks very nice, I have to say. Now, before we get into any of the topics, since it's your first time on the show, Rob, |
| 1:46.8 | why don't you share a little bit with the audience about your background, your journey |
... |
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