EQIRA: Empirical and Quantitative Investment Research and Analysis

News Worth Reading: November 20, 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

  • Some big name hedge funds have had a very rough quarter (nytimes)
  • Large hedge funds have outperformed small ones over the past 5 years (preqin)
  • Hedge fund investors appear to prefer relative value strategies (preqin)
  • A look at hedge fund sector crowding (valuewalk)
  • BlackRock is closing a formerly $4.6 billion macro fund (bloomberg)
  • AQR’s very consistent “free lunch” (ft)
  • A profile of AQR’s Cliff Asness (efinancialnews)
  • Why managed futures strategies love bond futures (attaincapital)


  • CalPERS is reducing its assumed rate of return to 6.5% (pionline)
  • In finance, lies are often more powerful than truths (theirrelevantinvestor)
  • An example of the perils of backtesting (priceactionlab)
  • The mean reversion case for (and against) strong future returns (econompicdata)
  • Is acceleration a stronger factor than momentum? (factorwave)
  • Investor psychology plays a huge role in the value anomaly (alphaarchitect)
  • Money managers are moving back towards higher risk investments (pionline)
  • Historical bond performance during different interest rate environments (alphaarchitect)
  • Investors are paying 0.38% per year to own German bonds (ft)
  • High demand for private equity is eroding investor negotiating power (finalternatives)


  • CDS inferred stock volatility as a complement to option implied volatility (mathfinance)
  • Forecasting oil market volatility (ssrn)
  • Recent advances in explaining hedge fund returns (ssrn)
  • Recent advances in hedge fund performance attribution (ssrn)
  • Contrary to finance theory, stocks with high idiosyncratic risk return less (alphaarchitect)
  • A detailed look at the history of momentum investing (thinknewfound)

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