FICC Focus BlackRock’s Rosenberg on Systematic Multi-Strat: Credit Crunch
Mar 28, 2025
Jeffrey Rosenberg, Managing Director and Senior Portfolio Manager at BlackRock Systematic Fixed Income, dives deep into systematic investing and its transformative impact on credit markets. He discusses the evolution of strategies that drive returns, focusing on the rise of multistrat hedge funds and the importance of adapting approaches during downturns. Rosenberg highlights the innovative use of the Merton model in credit derivatives and the significance of blending automated models with human oversight for optimized performance.
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Career Beginnings
- Jeffrey Rosenberg's career began in Minneapolis at a mortgage manager during the rise of CMOs.
- His interest in quantitative finance led him to pursue mathematics and computational finance.
Systematic Investing Spectrum
- Systematic investing encompasses various strategies, from index-tracking to pure alpha.
- Rosenberg explains that BlackRock's systematic approach considers the full spectrum, including factors, alternatives, and trend-following.
Multi-Strategy Approach
- Multi-strategy funds benefit from combining uncorrelated strategies, enhancing alpha while managing risk.
- Rosenberg highlights the importance of neutralizing beta and factor risk to achieve true alpha.
