EQIRA: Empirical and Quantitative Investment Research and Analysis

News Worth Reading: November 6, 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

  • 20% of hedge funds are not even taking enough active risk to recapture their fees (valuewalk)
  • Highlights from Citi’s Hedge Fund Industry Snapshot for October (dailyalts)
  • A review of Q3’s alternative fund performance (dailyalts)
  • Macro strategies represented 30% of hedge fund launches in Q3 (preqin)
  • Ken Griffin looks back on 25 years of Citadel (nytimes)
  • Investors have pulled $3 billion from Brevan Howard this year (finalternatives)


  • Using principal components to understand portfolio diversification (gestaltu)
  • “Analysis” is not always as independent as you’d like (rp-pieces)
  • Indexing outperforms even in inefficient markets (etf)
  • Global fund managers are predicting more doom and gloom for emerging currencies (finalternatives)
  • George Soros pulled $500 million from Bill Gross’ Janus strategy (finalternatives)
  • Don’t fall for Twitter stock market manipulations (businessinsider)


  • The growth in investment options might be driving down real interest rates (marginalrevolution)
  • You can improve risk parity by accounting for skew and kurtosis (ssrn)
  • A comparison of competing low volatility approaches (dailyalts)
  • Idiosyncratic volatility and skewness are negatively related to stock returns (ssrn)
  • Stocks with abnormally low Google search volume earn more (ssrn)
  • The closer two countries, the more highly correlated their currencies (ssrn)
  • Currencies of countries with higher credit risk generate lower returns (ssrn)
  • An analysis of volatility risks in currency markets (ssrn)
  • Commodities have become more sensitive to macro news since 2008 (ssrn)

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