EQIRA: Empirical and Quantitative Investment Research and Analysis

News Worth Reading: September 25, 2015

News is overrated. We recommend reducing your daily intake and concentrating instead on hard data and data-rich analysis. That said, there’s always great information out there if you know where to look. The following comprises our list of news worth reading from the past week.

  • Top tier hedge funds appear to be able to time the market (ssrn)
  • Global 60/40 has done a lot worse than US 60/40 over the past year (alphaarchitect)
  • Comparing the realized performance of various asset allocation strategies (ssrn)
  • Simple forecasts beat complex forecasts (alphaarchitect)
  • Solutions shouldn’t be more complicated than necessary (awealthofcommonsense)
  • Risk parity seeks a new approach (ft)
  • A close look at the evolution of endowment management (ssrn)
  • What would Yale do it it were taxable? (etf, cfapubs)
  • Public pension plans are increasing their allocations to hedge funds (dailyalts)
  • JPMorgan predicts pensions will shift hedge fund allocations to low volatility, low beta strategies (pionline)
  • Pensions are going overseas to invest in infrastructure (allaboutalpha)
  • Smart beta still contains a lot of dumb beta (barrons)
  • Jim Simons said trend following stopped working long ago. Is he right? (priceactionlab)
  • It might depend on your definition of trend following (qoppac)
  • The commodities bust continues to depress Latin American economies (institutionalinvestor)
  • Commodities have become more sensistive to macro news since 2008 (ssrn)
  • Emerging market carry trade returns might be able to predict market crashes (ssrn)
  • High credit risk stocks earn more than low credit risk stocks (ssrn)
  • There is a momentum effect in European high yield bonds (ssrn)
  • State Street launches investable private equity replication index (finalternatives)
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