EQIRA: Empirical and Quantitative Investment Research and Analysis

News Worth Reading: May 13, 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

  • Investor preference for brand name hedge funds is creating a herding effect (efinancialnews)
  • According to Citi, investors prefer hedge funds for risk-factor based investing (finalternatives)
  • Paradoxically, poor hedge fund performance may be a result of increased skill (etf)
  • A few big investors have abandoned hedge funds, but overall AUM is still expected to increase (hedgeweek)
  • Hedge funds almost doubled their algorithmic currency trading last year (bloomberg)
  • Quant funds are targeting Silicon Valley talent (institutionalinvestor)
  • Point72 has made its first #FinTech investment (reuters)


  • Alpha is great, but getting exposure to the right betas is more important (evidenceinvestor)
  • Be wary of analyses that apply fitted models to extreme outliers (noahpinionblog)
  • Using machine learning to predict out-of-sample trading algorithm performance (quantopian)
  • Two key sources of outperformance: compensation for risk and exploitation of investor behavior (thinknewfound)
  • After years of optimism, option markets are now pricing in larger downside risk than upside risk (ft)


  • The more complex a strategy, the more likely it’s been overfit to the past (alphaarchitect)
  • A very deep look at the risk factors underlying the FX carry trade (ssrn)
  • An analysis of risk premia and seasonality in commodity futures markets (ssrn)
  • Assuming normality when optimizing portfolios can reduce returns by 2-3% annually (ssrn)

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