EQIRA: Empirical and Quantitative Investment Research and Analysis

News Worth Reading: June 10, 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

  • Institutional investors have unrealistic expectations for hedge fund returns (mebfaber)
  • Investors have been flocking to CTAs, even as hedge funds experience outflows (preqin)
  • Macro returns had varied widely by asset class and style (hvst)
  • Inside an options-based scheme to artificially inflate performance fees (macro-ops)
  • Mutual funds run by hedge fund managers underperform their peers (stltoday)
  • Citi reviews hedge fund performance in April (dailyalts)
  • Activist investors are targeting REITs (nytimes)
  • AMG is on a hedge fund buying spree (bloomberg)
  • Quantopian’s crowdsourced hedge fund is ramping up (ft)
  • An update on the shipping cargo quant fund, CargoMetrics (ft)


  • A metric to help explain returns to trend following strategies (thinknewfound)
  • Stock market anomalies aren’t going to disappear any time soon (etf)
  • Treasury bills have become more volatile (bloomberg)
  • There might come a day when working on Wall Street requires that you be able to code (bloomberg)


  • Andrew Lo puts a new spin on portfolio theory (ssrn)
  • Volatility and liquidity risk both help to explain the returns to FX carry strategies (ssrn)
  • A trading strategy to take advantage of short-covering (ssrn)
  • Liquid alternatives do a poor job of replicating CTA returns (ssrn)

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