Head of Liquid Alts at Newton IM
Boston, MA
Joined January 2014
- Tweets531
- Following441
- Followers501
- Likes2.1K
Powell says: "Although policy is restrictive it may not be restrictive enough and it has not been restrictive for long enough,”
How the *heck* is policy restrictive? Rates barely match run rate core inflation. Restrictive?
Rob Croce PhD retweeted
Trend and Carry Within Assets, Across Assets, and Over Time with @RobertoMCroce
🔄🔀↕️
🦸♂️ Trend and carry as super factors
🏎️ Blending trend speeds
⚖️ Trend magnitude versus conviction
👜 Measuring carry
🧩 Combining trend and carry
flirtingwithmodels.com/2023/…
Rob Croce PhD retweeted
Me 🔜 Global EQD in Vegas
(hanging out with @jasoncbuck @profplum99 @RoniIsraelov @RobertoMCroce @PaulKim_ETFs @jam_croissant)
Rob Croce PhD retweeted
Steve Ross who built Warner: "When I was a teenager, my father was dying. He gave me the best advice possible. He said, there are three categories of people in this world.
The first is the individual who wakes up in the morning and goes into the office and proceeds to dream.
The second category is the individual who gets up in the morning, goes into the office, and proceeds to work sixteen hours a day.
The third is the individual who comes into the office, dreams for about an hour, and then proceeds to do something about his dreams.
"He said, 'Go into the third category for only one reason: there's no competition.' "
Rob Croce PhD retweeted
“Regardless of objective function, virtually all investors would be well served by including an allocation to broad commodities from where we are today.”
More from @RobertoMCroce on @CAIA_Blog.
caia.org/blog/2023/01/01/inf…
Rob Croce PhD retweeted
Free to read today: Investment managers say overcomplicating what should be simple strategies can confound their objectives
hubs.li/Q01nxXQz0
Rob Croce PhD retweeted
"Keep risk parity simple, stupid"--Comprehensive overview of #RiskParity in all its flavors from managers & index purvyrs @AQRCapital @Bridgewater Evoke / Advanced Research $RPAR @HFRinc @NewtonIM @RobertoMCroce @MarkovMPI @MillimanFRM @WilshireAssoc by @Luke_Clancy @RiskDotNet
Free to read today: Investment managers say overcomplicating what should be simple strategies can confound their objectives
hubs.li/Q01nxXQz0
I like the title of this figure. Markets still of view that inflation comes down when real rates are still deeply negative. Makes no sense. Long way to go.
Rob Croce PhD retweeted
"We believe that factors, or “risk premia” are a powerful mechanism for predicting returns and building diversifying strategies. The features that drew investors to the product category are still available."
Nice article by @RobertoMCroce via @CAIA_Blog
caia.org/blog/2022/06/06/dea…
My kids killed it with the candy haul last night. I explained that I would be eating much more of their candy this year because of their great performance. Now they understand progressive taxation.
My 8yo came across the 100 Trillion Zimbabwe Dollar note on my desk and said "we should go to Zimbabwe, we would have so much money." Yes, it led to a monetarist tirade. But also an interesting discussion of exchange rates and fiat currency.
Rob Croce PhD retweeted
The jobs report was encouraging but not stellar.
From the point of view of the #Fed, the focus will be on the UR corrected for participation.
While the official UR is 5.8%, when adjusted for people who exited the labor force post Covid, the number is still 9%.
No taper rush.
Rob Croce PhD retweeted
Awesome.
“Do some goddamn pushups” in particular is sublime genius. thereformedbroker.com/2021/0…
Rob Croce PhD retweeted
1/8 This is a thread about whether Fed policy is really as easy and dovish as it seems and as the Fed intends it to be.
I would argue it is not, and not because the Fed doesn't want it to be, but because markets are skeptical of the new Fed's framework, as the chart shows.
Hey Twitter Peeps:
I wanted to make sure everyone is aware of the rockstar inaugural issue of the Journal of Systematic Investing. The image below shows abstracts from the issue. several interesting and important papers by names you already know.
Rob Croce PhD retweeted
God bless those who run long/short factor portfolios and live to tell the tale...
