Flirting with Models

Roberto Croce - Trend and Carry Within Assets, Across Assets, and Over Time (S6E8)

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Jun 19, 2023
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INSIGHT

Super Factors

  • Rob Crocek prefers trend and carry factors in multi-asset investing.
  • These "super factors" offer explanatory power across assets and time.
INSIGHT

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.
INSIGHT

Trend Subsumes Momentum

  • Risk-adjusted momentum's predictive power diminishes in multi-asset space.
  • Trend captures overall market direction (beta timing).
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