We published a new paper this afternoon, Being Strategic About Tactical Allocations.

To quote the abstract,

In this paper we address the issue of balancing the value of tactical decisions with the costs required to implement them. We propose a process where factor bets are extracted from portfolio weights and used in an optimization to balance the cost of trade implementation with tracking error. In a naΓ―ve test, overall turnover is reduced by 66-75% while incurring an annualized tracking error of 1.68-2.22%.

We hope you enjoy the read!

As always, feel free to ask questions and reach out in the comments below or via our contact page.

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.