EQIRA: Empirical and Quantitative Investment Research and Analysis

News Worth Reading: December 18, 2015

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

  • Hedge funds are working hard to keep AUM up despite poor performance (nytimes)
  • Hedge fund fees are falling, and investors are valuing liquidity (valuewalk)
  • Hedge funds haven’t been too good at stock picking this year (valuewalk)
  • Citi reviews October hedge fund performance (dailyalts)
  • 44% of hedge fund managers plan on launching a new fund in 2016 (reuters)
  • Investors are fed up with commodity hedge funds (businessinsider)
  • Public pensions tend to make above average hedge fund investments (pionline)
  • Two Sigma is getting into direct lending (finalternatives)
  • Combining liquid alternatives with hedge funds (dailyalts)

Factor Investing

  • Momentum is all fun and good until it crashes (investorfieldguide)
  • Most US equities are in an anti-momentum, mean-reverting regime right now (priceactionlab)
  • Why does dual momentum outperform? (dualmomentum)
  • A closer look at the low volatility anomaly (etf)


  • Strategies that have generated stable abnormal returns can still stop working at any time (philosophicaleconomics)
  • Most long-term backtests do not remotely reflect what can be achieved in the future (priceactionlab)
  • Investing without a plan can lead you into irrational portfolio decisions (awealthofcommonsense)
  • Machine learning is going to play an increasingly large role in money management (efinancialnews)


  • Cliff Asness defends risk parity (dailyalts)
  • Only 2% of actively managed mutual funds generate statistically significant alpha (etf)
  • FinTech is attracting some big name Wall Street players (ft)
  • Hedge funds aren’t the only ones that can restrict redemptions in times of crisis (bloomberg)
  • A majority of fund managers expect 3+ rate hikes in the next year (finalternatives)
  • Three lessons from the junk bond collapse (pragcap)


  • A detailed look at carry, momentum and value (ssrn)
  • Most stock return anomalies result from mispricings, not higher risk (alphaarchitect)
  • The most heavily shorted stocks do, in fact, underperform (ssrn)
  • Is the low beta anomaly an artifact of model misspecification? (ssrn)
  • Using deep learning algorithms to model S&P 500 volatilities (arxiv)

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