EQIRA: Empirical and Quantitative Investment Research and Analysis

News Worth Reading: October 30, 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.

Alternatives

  • Do better performing funds hold the power to charge higher fees? (preqin)
  • Citi was briefly on the hook for a $400 million hit (efinancialnews)
  • Hedge funds are bracing for losses in catastrophe bonds due to Hurricane Patricia (finalternatives)
  • A broad look at the liquid alternatives industry (barrons)
  • AIMA has issued a guide for liquid alternative fund management (allaboutalpha)
  • Are private equity returns overstated? (awealthofcommonsense)

Factor Investing

  • Enhancing performance with dynamic factor timing strategies (dailyalts)
  • An overview of multi-factor investing in the equity space (gersteinfisher)
  • Timing the equity value factor (rrspstrategy)
  • An interest rate “cycle” factor can predict bond returns (etf)

Investing

  • There has been a ton of turnover at the Stanford endowment (allaboutalpha)
  • You do not experience summary statistics (thinknewfound)
  • Towers Watson views alternative credit as a key strategic allocation (dailyalts)
  • Andrew Lo wants to help create a fund to tackle cancer (institutionalinvestor)
  • Avoiding drawdowns with downside protection strategies (alphaarchitect)
  • Common investor biases and where they come from (csfb)
  • This can’t be said enough: high fees really hurt performance (cfapubs)
  • Sectors matter more than styles (spdrs)
  • What does the VIX really tell us? (econompicdata)
  • Your benchmark index might not be giving you the exposure you want (investorfieldguide)

Research

  • Are investors systematically flocking to bonds over weekends to avoid equity risk? (priceactionlab)
  • Can the dividend price ratio of private firms predict stock returns? (ssrn)
  • Modeling cointegration in commodity markets (ssrn)
  • Private equity firms are pretty good at negotiating M&A transactions (ssrn)
  • The effects of Twitter sentiment on stock price returns (plos)
  • Analyzing the relationships between oil, gold, and stocks (arxiv)
  • News momentum is a powerful predictor of stock returns (ssrn)
  • Active credit default swap markets may decrease firm valuations (ssrn)
  • There are better ways to forecast future returns than by using the historical mean (ssrn)

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