EQIRA: Empirical and Quantitative Investment Research and Analysis

News Worth Reading: September 30, 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

  • Hedge funds are slashing fees left and right to retain clients (reuters)
  • Julian Robertson hates everything (businessinsider)
  • Goodbye, Perry Capital (ft)


  • Alpha is not as valuable as you think (longboardfunds)
  • Asset allocation decisions are much more important than security selection decisions (gestaltu)
  • On the importance of distinguishing between skill and luck (linkedin)
  • A higher Sharpe ratio doesn’t necessarily mean a better investment (thepfengineer)
  • Rob Arnott and Cliff Asness discuss factor investing (morningstar)
  • Momentum is not dead yet (etf)
  • Identifying the best ETFs for each market segment for both active and passive investors (signalplot)
  • Harvard has a new endowment head, its fourth in the last 10 years (bloomberg)


  • Clustering approaches for financial data analysis (arxiv)
  • Reducing the size, value and momentum anomalies to a single factor (ssrn)
  • Skewness parity works better than volatility parity in risk parity portfolios (ssrn)

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