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

**SPEAKER_1** (0:01)
Welcome to Top Traders Unplugged. In markets, success doesn't come from predicting what happens next. It comes from being prepared for what you can't predict.
In each episode, we go deep with some of the world's most thoughtful minds in investing, economics and beyond to understand how they think, how they prepare and how they decide, and the experiences that shaped how they see the world. No noise, no shortcuts, just real conversations to help you think better and invest with confidence.

**Niels Kaastrup-Larsen** (0:35)
Welcome or welcome back to this week's edition of the systematic investor series with Yoav Git and I, Niels Kaastrup-Larsen, where each week we take the pulse of the global market through the lens of a rules-based investor. This week, we have a very special guest, namely Rob Croce, who is a portfolio manager in the Quantitative Research and Investment Division at Fidelity Investments, and who is here to discuss a recent paper that he co-authored, as well as some of the other topics we have lined up today.
Yoav and Rob, it's really great to be with both of you this week. Hope you're doing well. Where are you connecting from? Let's talk about...

**Yoav Git** (1:09)
So, I'm actually connecting from Israel. I'm visiting my parents, so I'm enjoying the summer here, very hot, and enjoying the fact that there is actually a lull in the hostilities between Iran and the US, and long may it continue.

**Niels Kaastrup-Larsen** (1:28)
Absolutely. Rob, where are you dialing in from today?

**Rob Croce** (1:31)
Beautiful Boston, where you can see we have a lovely gray sky and about 45 degrees outside. Perfect Boston springtime.

**Niels Kaastrup-Larsen** (1:39)
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, why don't you share a little bit with the audience about your background, your journey to where you are today, and maybe also what got you fascinated about trend following.

**Rob Croce** (1:57)
Yeah, life is so path dependent. I'm a recovering economist. I don't know if I'm embarrassed to say that, but I'm definitely a recovering economist. I did grad school, Econ PhD at Ohio State. And in my last year of graduate school, I did an internship at a public investment plan, Texas Teachers, and I was in their strategic research group for a summer. And I saw how big institutional investors think about quantitative investing. And I was hooked.
And that led to my first job at a small firm in Houston. And at that job, we were an outsourced CIO for a public plan, as well as a direct fund of funds manager when I started. And, you know, one of my colleagues was in manager due diligence. And he asked me if I knew anything about managed futures or trend following. And I said, no, what's that? And he said, well, basically, you buy things that are going up and sell things that are going down. And I thought that was ridiculous, right? Like in economics, like everything's already priced in and markets adjust immediately. And so, you know, but I went and I started playing with data. And I went back to him very excitedly and said, look at this, buying things that have been going up seems to work. And, you know, that was the beginning. And, you know, that firm decided to build out a direct asset management business. And I got to be sort of on the ground, writing the code and learning by doing, which I think is a great way to do it.
And that, you know, Managed Futures was one of the first things that we worked on, because the view of the CIO at that firm was that it's one of the most impactful things you can add to a portfolio from a diversification perspective. So I worked on it there, and it's been a theme in my work ever since. I've been in a couple of firms since then. I joined Fidelity about two and a half years ago and working in the same space.

**Niels Kaastrup-Larsen** (3:59)
Absolutely. And I know, of course, that today you're here to share your own views and thoughts, and not those necessarily of Fidelity Investments, if I'm not mistaken. Anyways, great to hear, and thanks for the background. We've got a really strong line up of topics, as I mentioned already. One of them is a paper that you co-authored, Rob.
But before we dive into any of those, I'm always curious that sort of anything else other than that, that might have been on your radar in the last few weeks. So, Yoav, I'm going to come to you first. Anything that excites you at the moment other than trend following?