EQIRA: Empirical and Quantitative Investment Research and Analysis

News Worth Reading: April 29, 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

  • Investors are okay with lower hedge fund returns if those returns are uncorrelated (preqin)
  • CTAs haven’t been doing so well as of late (priceactionlab)
  • Commodity funds are becoming popular again (wsj)
  • Merger arb AUM is approaching an all-time high (bloomberg)
  • Managed futures strategies have had much smaller drawdowns than stocks (attaincapital)


  • U.S. stocks have been in drawdowns for more than 70% of their history (awealthofcommonsense)
  • The odds of an active, long-only equity manager outperforming over the long run are not very good (awealthofcommonsense)
  • Is trend following permanently broken? (thinknewfound)
  • Hedging tail risk can be incredibly expensive (pensionpartners)
  • Falling trading volumes suggest currencies have become much less liquid (bloomberg)


  • How to combine value and momentum (gersteinfisher)
  • Explaining the purchasing power parity puzzle (ssrn)
  • A look at implied volatility around the world (ssrn)
  • Predicting stock returns using risk-neutral variance (ssrn)

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