Crisis Alpha Is Not What Most Investors Think | Systematic Investor | Ep.400

Summary

This episode of Systematic Investor discusses trend following, crisis alpha, and the 'betting against beta' factor. Guests Yoav Git and Rob Carver from Fidelity Investments explain that crisis alpha in trend following comes more from beta timing than market selection. They also explore the use of carry strategies to enhance trend portfolios, and execution challenges during crises.

• Yoav Git describes how AI-assisted math helped solve a 60-year-old problem.
• Discussion of rising Japanese bond yields and global bond market backdrop.
• Explanation of the 'betting against beta' factor and why low-beta portfolios outperform.
• Rob Carver's research paper on where crisis alpha really comes from.
• Finding that trend following's crisis alpha is driven by beta timing, not cross-sectional selection.
• Proposal to add carry as a beta-neutral tilt within asset classes to improve trend.
• Execution considerations during crises, including correlation spikes and multi-asset order management.
• Observation that trend followers are currently short fixed income.