SI400: When Crisis Alpha Hides in Plain Sight ft. Yoav Git & Rob Croce
Get the full intelligence
Search transcripts, export clips, track mentions, and explore all topics from “SI400: When Crisis Alpha Hides in Plain Sight ft. Yoav Git & Rob Croce” inside PodZeus.
In this episode of Top Traders Unplugged, hosts Niels Karstablassen and Joab Gitt welcome Rob Croce, a portfolio manager at Fidelity Investments, to discuss the nuances of trend following and crisis alpha. The conversation begins with Rob's personal journey from economics to quantitative investing, highlighting his early fascination with trend following after discovering its empirical success despite theoretical skepticism. The episode dives into two major topics: a deep dive into the AQR paper 'Betting Against Beta,' which explores the consistent outperformance of low-beta assets across multiple asset classes, and Rob's own co-authored research paper, 'Trend Following Crisis Alpha,' which examines how crisis alpha in trend following strategies arises primarily from beta timing rather than cross-sectional relative value signals. The paper proposes enhancing trend strategies by incorporating market-neutral, volatility-balanced tilts like carry within asset classes while preserving the defensive properties of trend following. The discussion also covers the practical challenges of multi-asset execution during crises, with insights from a presentation by Rob Angrain on optimal order execution strategies that prioritize early risk reduction over passive waiting. The episode concludes with reflections on the evolving nature of risk management, the importance of dynamic correlation estimation, and the growing role of systematic approaches in modern portfolio construction.
Crisis alpha in trend following primarily stems from beta timing—aligning positions across entire asset classes—rather than individual asset-level signals.
Market-neutral, volatility-balanced tilts like carry can enhance trend portfolios without sacrificing defensiveness, offering a path to 'portable alpha'.
Optimal execution during crises involves aggressive early risk reduction rather than passive waiting, especially in multi-asset or paired trades.
High correlation spikes during market stress can be leveraged for risk management by shifting to more liquid assets, even if it means temporarily abandoning alpha.
The 'Betting Against Beta' factor has shown persistent outperformance across asset classes since the 1920s, suggesting structural inefficiencies in how risk is priced.
Introduction to the Systematic Investor Series
Hosts introduce the episode's theme: preparing for the unpredictable in markets through systematic, rules-based investing. They welcome Rob Croce, a quant at Fidelity, to discuss recent research on trend following and crisis alpha.
Rob Croce's Journey into Quantitative Investing
Rob shares his path from economics PhD to becoming a quant, sparked by an internship at Texas Teachers and a pivotal moment when he discovered the empirical power of trend following despite its theoretical implausibility.
The Power of 'Betting Against Beta' Across Asset Classes
“The effect is prevalent in US equities from the 1920s, international markets, bond markets, credit markets—and even in commodities, though less so.”
Decomposing Trend Following: Beta Timing vs. Relative Value
“The stereotypical crisis alpha returns seem to have come from the beta timing. Not a huge surprise. Trend following is in large part a beta timing strategy.”
Optimizing Multi-Asset Execution in Crisis Conditions
“The problem is that when you start running your order, you're accumulating a lot of risk. You have a lot of risk on your hand because you've got 100 orders to execute.”
“The stereotypical crisis alpha returns seem to have come from the beta timing. Not a huge surprise. Trend following is in large part a beta timing strategy.”
“The problem is that when you start running your order, you're accumulating a lot of risk. You have a lot of risk on your hand because you've got 100 orders to execute.”
“You're not accumulating volatility that much. So actually, his observation... is that what you should do is you should start immediately cut the risk that you're holding in the order very quickly.”
Hosts
Guest
Betting Against Beta
other
Rob Croce
person
Fidelity Investments
organization
Joab Gitt
person
Trend Following Crisis Alpha
other
Niels Karstablassen
person
AQR
organization
US Treasuries
other
Rob Angrain
person
Lasse Herr Petersen
person
GM98: Powerlessness Is Rising and Nobody Is Ready ft. Peter Atwater
Top Traders Unplugged • 1h 13m • 4/1/2026
SI394: The Quarter That Tested Every Trend Follower ft. Katy Kaminski & Harry Moore
Top Traders Unplugged • 1h 13m • 4/4/2026
OI21: The Hidden Edge in Markets No One Is Trading ft. Tom Babbedge
Top Traders Unplugged • 47m • 4/8/2026
SI395: Finding Alpha in the Strait of Chaos ft. Andrew Beer
Top Traders Unplugged • 1h 16m • 4/11/2026
TTU152: Where is the Open? ft. Toby Crabel
Top Traders Unplugged • 1h 5m • 4/15/2026
Get the full intelligence
Search transcripts, export clips, track mentions, and explore all topics from “SI400: When Crisis Alpha Hides in Plain Sight ft. Yoav Git & Rob Croce” inside PodZeus.
Start discovering podcast insights today
Start with a 7-day trial and explore a growing catalog of popular podcasts. No credit card required.
No credit card required • 7-day trial • Cancel anytime