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:

active returns

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? Β It doesn’t do much:

low vol return premia

value tilt return premia

Corey is co-founder and Chief Investment Officer of Newfound Research, a quantitative asset manager offering a suite of separately managed accounts and mutual funds. At Newfound, Corey is responsible for portfolio management, investment research, strategy development, and communication of the firm's views to clients. Prior to offering asset management services, Newfound licensed research from the quantitative investment models developed by Corey. At peak, this research helped steer the tactical allocation decisions for upwards of $10bn. Corey holds a Master of Science in Computational Finance from Carnegie Mellon University and a Bachelor of Science in Computer Science, cum laude, from Cornell University. You can connect with Corey on LinkedIn or Twitter.