How to Combine Trend and Carry Signals in Portfolio Construction

My guest is Rob Croce, Senior Portfolio Manager at Newton Investment Management Group.

This episode is all about what Rob considers to be the two super factors: trend and carry.  More importantly, how Rob uses them to inform how risk is taken within asset classes, across asset classes, and over time.

Rob is not afraid to get in the weeds, either.  For example, on the trend side we discuss details such as how to combine trend signals of different speeds, how to balance the probability of a trend signal being noise versus its likelihood of continuing, and how trend signals can be improved using clustering ideas.

From high level thoughts about diversification to low level details about measuring bond carry correctly, there’s a lot to unpack in this episode.

Please enjoy my discussion with Rob Croce.