EQIRA: Empirical and Quantitative Investment Research and Analysis

News Worth Reading: October 2, 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.

  • A set of objective, well-thought out comments on hedge funds (awealthofcommonsense)
  • The line between hedge funds and private equity is becoming blurred (institutionalinvestor)
  • Hedge funds are front-running ETFs (wsj)
  • One of Canada’s largest pensions is suing Boaz Weinstein’s Saba Capital (businessinsider)
  • Cargill is shutting down Black River Asset Management, its $7 billion hedge fund (ft)
  • Spruce Alpha blew up in August (and not in the good way) (nytimes)
  • The current S&P 500 drawdown in a historical context (capitalspectator)
  • Investment strategies that have outperformed in the 10 worst quarters since 1972 (dailyalts)
  • Intermediate term bonds have been a sweet spot for the risk/return tradeoff (awealthofcommonsense)
  • Inflation expectations are falling (capitalspectator)
  • Combining volatility, momentum, and trend in asset allocation (alphaarchitect)
  • Many fund managers would be better off doing nothing (ft)
  • Forget “active vs. passive”: it’s all about factors (gestaltu)
  • Deconstructing the Harvard endowment’s multi-year stretch of subpar performance (statisticalideas)
  • Why the MLP business model may be a goner (barrons)
  • Crowds can behave unpredictably, sometimes with tragic consequences (rp-pieces)
  • Wall Street is lacking an effective way to hedge credit risk (bloomberg)
  • Do amateurs forecast better than professionals? (wsj)
  • Liquidity risk explains a great deal of the return to FX carry strategies (ssrn)
  • Unlike what you’ve been taught, it’s sometimes optimal to exercise a call option early (ssrn)
  • The financialization of commodities has produced negative externalities for the real economy (ssrn)
  • Changes in bond volatility can predict future S&P 500 returns (ssrn)
  • A foreign exchange trading strategy based on higher return moments (ssrn)

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