EQIRA: Empirical and Quantitative Investment Research and Analysis

News Worth Reading: October 16, 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.

Hedge Funds

  • Hedge fund managers cite poor performance as their key challenge (preqin)
  • When it comes to Asia-focused hedge funds, a local presence is better (preqin)
  • Distressed debt funds are not having a good year (ft)
  • Why people invest in hedge funds (awealthofcommonsense)
  • Fortress is shutting down its $2 billion macro fund (ft)
  • Renaissance is closing a $1 billion hedge fund “due to a lack of investor interest” (wsj)
  • Hedge fund flows were down 1.13% this month (reuters)

Investing

  • 129 finance people to follow on Twitter (businessinsider)
  • The ups and downs of alternative investing (allaboutalpha)
  • More factors isn’t necessarily a good thing (etf)
  • Indexing has at least one major drawback (nytimes)
  • Andrew Lo wants to redefine indexing (ssrn)
  • Cliff Asness capitulates on smart beta (alphaarchitect)
  • Fees are still among the most critical aspects of fund investing (nytimes)
  • The lack of reproducibility in financial research is a problem (financial-math)
  • Emerging markets look a lot cheaper than US equities (researchaffiliates)
  • A closer look at last month’s MLP collapse (wsj)

Research

  • Commodity beta has not been a good investment over the past decade (morningstar)
  • Another variation on momentum: absolute strength (alphaarchitect, ssrn)
  • Combining value and momentum from the bottom up, and the top down (ssrn)
  • Combining momentum and asset allocation (ssrn)
  • Should trend followers weight their portfolios using equal risk allocations? (ssrn)
  • A comprehensive study of frontier and emerging government bond markets (ssrn)
  • Institutional trading in illiquid stocks introduces return predictability (ssrn)
  • There appears to be a skewness risk premium in commodities (ssrn)

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