

Roberto Croce - Trend and Carry Within Assets, Across Assets, and Over Time (S6E8)
22 snips Jun 19, 2023
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Super Factors
- Rob Crocek prefers trend and carry factors in multi-asset investing.
- These "super factors" offer explanatory power across assets and time.
Trend vs. Momentum
- Trend following surpasses cross-sectional momentum in multi-asset portfolios.
- Trend focuses on directional movement, not relative performance within an asset class.
Trend Subsumes Momentum
- Risk-adjusted momentum's predictive power diminishes in multi-asset space.
- Trend captures overall market direction (beta timing).