Rob Croce PhD

Head of Liquid Alts at Newton IM

[Rob Croce PhD @RobertoMCroce]

@biancoresearch Inflation expectations survey data is just plain awful. An ARMA model would be my starting point. But even then, all the regression coefficients would be super unstable, with a structural break around 2020.

[Rob Croce PhD @RobertoMCroce]

@choffstein Makes sense. Good luck with the launch.

[Corey Hoffstein 🏴‍☠️ @choffstein]

higher for longer

[Rob Croce PhD @RobertoMCroce]

@daniburgz You jinxed it

[Rob Croce PhD @RobertoMCroce]

@egfalken 4% on both sides of same bet?

[Rob Croce PhD @RobertoMCroce]

@gperetin @choffstein Yes, short front month (as defined by BCOM calendar), long somewhere further out. Done in every mkt (but NG is where the juice is, CL to lesser degree)

[Rob Croce PhD @RobertoMCroce]

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 @RobertoMCroce]

@choffstein Who is this aimed at 🤣🤣🤣

[Rob Croce PhD @RobertoMCroce]

@19_VFC @choffstein That's certainly right in commodities b/c carry is a big part of the trend signal. Outside of commods, carry and value are more similar; as an instrument gets cheaper, it's yield rises relative to it's price.

[Corey Hoffstein 🏴‍☠️ @choffstein]

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

https://t.co/si79dVi8wi

[Rob Croce PhD @RobertoMCroce]

@themarketradar @INArteCarloDoss Breakevens are not inflation and they are lousy predictors too. Market segmentation, maybe?

[Corey Hoffstein 🏴‍☠️ @choffstein]

Me 🔜 Global EQD in Vegas

(hanging out with @jasoncbuck @profplum99 @RoniIsraelov @RobertoMCroce @PaulKim_ETFs @jam_croissant)

[Rob Croce PhD @RobertoMCroce]

@choffstein Net of trading costs (not to mention fees) youre better off with the long only version. It's only if you wanna combine factors in magnitudes larger than you can get in long only that l/s makes sense to consider. For ex: 2x each value, low vol, quality, and mom. Ten vol, 0 beta.

[Frederik Gieschen @FrederikNeckar]

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 @RobertoMCroce]

@WifeyAlpha Not you too with this BS. This is not a thing.

[Rob Croce PhD @RobertoMCroce]

@choffstein Bank lending is the strongest channel of monetary transmission and could be badly encumbered by a few bank failures and bad sentiment around banks. This pulls forward recession expectations. Will be interesting to see response to CPI print tomorrow.

[Aaron Filbeck, CFA, CAIA, CFP®, CIPM, FDP @filbeck_a]

“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.

https://t.co/P9WJJP7ceB

[Rob Croce PhD @RobertoMCroce]

@patrick_saner @JimReid35 Inflation swaps trading at 3.3% for CPI over next 12 months. Seems pretty unlikely. If current market levels across the board are predicated on these irrational assumptions, then we have more pain commin'

[Rob Croce PhD @RobertoMCroce]

@charliebilello What about net of the cash rate? There is a lot more cushion when rates start off at 10%.