A couple teaser graphics from a small "white-paper-ette" we are writing.
Cumulative active returns (long the strategy, short the market-capitalization weighted index, rebalanced monthly) for different strategy and style tilts:
Cumulative active returns for a portfolio that has equal-weight exposure to these strategy and style tilts:
How does geography help diversify cumulative active returns for a given strategy or style tilt? It doesn't do much: