EQIRA: Empirical and Quantitative Investment Research and Analysis

News Worth Reading: May 20, 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

  • Cliff Asness believes that hedge funds should hedge more and charge less (bloomberg)
  • Get ready for another round of anti-hedge fund sentiment (nytimes)

Investing

  • How portfolio construction affects value funds (alphaarchitect)
  • Low volatility investing may only be attractive when value stocks are cheap (alphaarchitect)
  • How economists turned economics into a highly lucrative pseudoscience (aeon)
  • Man AHL and Oxford are partnering on a center for machine learning and data analytics (hedgeweek)
  • CalSTRS is increasing the percentage of assets it manages internally (pionline)
  • Jack Treynor, a major contributor to the CAPM model, died last week (bloomberg)

Research

  • Big endowments aren’t more skilled than their smaller peers, they just take more risk (ssrn)
  • The winning papers for AQR’s 2016 Insight Award (aqr)
  • Volatility risk premia in the G9 currencies (ssrn)
  • Individual stocks exhibit predictable return seasonality (alphaarchitect)
  • Improving the Black-Litterman approach to portfolio optimization (ssrn)
  • Volatility timing can improve portfolio performance (ssrn)
  • It’s hard to beat naïve diversification when constructing stock portfolios (ssrn)

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