EQIRA: Empirical and Quantitative Investment Research and Analysis

News Worth Reading: November 13, 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

  • Billion dollar hedge funds manage 92% of institutional hedge fund investments (preqin)
  • Funds of funds are struggling to maintain AUM (reuters)
  • Hedge funds list growing assets as their #1 goal (ai-cio)
  • Funds of funds are disproportionately large investors in emerging managers (preqin)
  • Hedge funds aggressively sold their most liquid holdings during the 2008 crisis (ssrn)


  • Endowments tend to be better than pensions at picking hedge funds (aboutmjones)
  • Pensions are really struggling with the gap between assumed and actual returns (nytimes)
  • Analyzing the factors driving the performance of top endowments (markovprocesses)


  • Using mututal fund flows to time the market (econompicdata)
  • Trend following strategies have been underperforming for a while now (priceactionlab)
  • Currency exposure is the dominant risk in unhedged foreign bonds (thinknewfound)
  • The world’s longest trend following backtest (alphaarchitect)
  • The advantages of simple allocation strategies (aaii)
  • Value and momentum can be useful market timing tools (capitalspectator)
  • However, value measures aren’t that useful at predicting short and medium-term stock performance (etf)


  • There are statistical arbitrage opportunities in CDS term structures (ssrn)
  • Stocks sold by mutual funds outperform those they buy (ssrn)
  • Liquidity risk plays a very minor role in the pricing of sovereign credit spreads (ssrn)
  • Skewness as a predictor of market returns (ssrn)

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