Rob Arnott is revered in the investing world for his alternative passive index strategies, but when it comes to his own portfolio, the Research Affiliates founder likes to have a little fun playing the role of hedge-fund manager, too.

In an interview on Thursday, Arnott detailed a leveraged long-short strategy that has allowed him to double the returns of the S&P 500 over the last eight months. He shared with Business Insider screenshots of his personal brokerage account showing this strategy having produced a 36.67% return since mid-May. The S&P 500 has returned about 14% in that time.

The strategy comes from the idea behind the ETF Arnott launched in September: the RACWI US ETF (RAUS). The fund takes a…