EQIRA: Empirical and Quantitative Investment Research and Analysis

News Worth Reading: February 12, 2016

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

  • January was tough for several brand name hedge funds (businessinsider)
  • Quant funds are dominating year-to-date performance (businessinsider)
  • Citi reviews December hedge fund performance (dailyalts)
  • Speed dating for hedge funds and investors is a real thing now (wsj)
  • AIG is cutting its hedge fund allocations (finalternatives)
  • Two big funds of funds managers are merging (dailyalts)
  • Is Bridgewater’s Ray Dalio feuding with his heir apparent? (wsj)
  • Virtu is letting some outsiders use its trading technology (bloomberg)
  • Rosebrook Capital is buying up illiquid stakes in distressed hedge funds (bloomberg)
  • Your portfolio is probably having a better year than Bill Ackman’s (finalternatives)

Factor Investing

  • Cliff Asness opines on Eugene Fama and the momentum anomaly (aqr)
  • How long before the momentum effect is arbitraged away? (priceactionlab)

Investing

  • One quant’s approach to building trading strategies (quandl)
  • Don’t expect bonds to do as well over the next 40 years as they have over the last 40 (awealthofcommonsense)
  • Buy and hold investing and drawdowns go hand in hand (thinknewfound)
  • Buy and hold versus drawdown control: the historical track record (econompicdata)
  • Levered currency exposure has really hurt global risk parity funds (ft)
  • Equity declines are affecting pension funding levels (pionline)
  • At least model is suggesting that we may already be in a recession (capitalspectator)
  • Get your hands on the 2016 Credit Suisse Global Investment Yearbook (abnormalreturns)

Research

  • Bad performance persists in mutual funds; good performance does not (ssrn)
  • Applying a value strategy to global bond investing (ssrn)
  • 100 years of time series momentum put under the microscope (alphaarchitect)
  • The reversal effect is stronger when using overnight, as opposed to 1-day, returns (ssrn)

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