EQIRA: Empirical and Quantitative Investment Research and Analysis

News Worth Reading: November 27, 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

  • Highlights from EY’s Global Hedge Fund and Investor Survey (dailyalts)
  • Hedge fund exit requests rose in November (reuters)
  • Separating hedge fund strategies into substitutes and diversifiers (dailyalts)
  • Hedge funds have been terrible stock pickers as of late (bloomberg)


  • Pension and endowment return assumptions are way too high (economist)
  • Three lessons from Yale’s endowment (morningstar)
  • Employing too many managers can give you an expensive index (institutionalinvestor)
  • How many steps removed from security selection do you really want to be? (wsj)
  • Extending a sector momentum backtest to the early 1970s (dualmomentum)
  • Trend following and momentum strategies for global REITs (alphaarchitect)
  • Inferences drawn from backtests are false until proven true (priceactionlab)
  • In aggregate, investors are terrible market timers (alphaarchitect)
  • A better way to approach due diligence (thinknewfound)
  • Steady gainers benefit most from the momentum effect (alphaarchitect)
  • Credit risk is not well rewarded (etf)
  • Mutual hedge funds are going out of style (ft)
  • Forecasting Treasury bond returns using GDP (ssrn)


  • What does the Sharpe ratio really tell us? (ssrn)
  • Modified IR as a predictor of fund performance (ssrn)
  • Institutions tend to herd in the corporate bond market, which can lead to instability (ssrn)
  • Identifying stock mispricings using option markets (ssrn)

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