In this episode of the Masters in Business podcast, Corey Hoffstein, the founder of Newfound Research, shares his unique path into quantitative investing, which began with licensing models from his college dorm. He recounts a major SEC investigation triggered by a client's misuse of his models and reflects on how his views on backtesting have changed over time. Hoffstein introduces his innovative portfolio diversification strategy, "return stacking," which builds on the concept of "portable alpha" to address the risks highlighted by the 2008 financial crisis. He also offers valuable insights into market structure, liquidity cascades, and the pitfalls of depending solely on historical data to forecast future market trends.
