EQIRA: Empirical and Quantitative Investment Research and Analysis

News Worth Reading: October 7, 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

  • Preqin has released a special report on the US hedge fund industry (preqin)
  • An interview with Point72’s head of big data (businessinsider)


  • Even great active managers can have extended periods of underperformance (mebfaber)
  • True diversification eliminates the need for market timing (longboardfunds)
  • You are probably consuming too much news (pensionpartners)
  • Using principal components to generate better estimates of tail risk (thinknewfound)


  • A selection of recent papers focused on volatility and tail risk (capitalspectator)
  • Using intraday data allows one to increase volatility forecasting accuracy by 10-30% (ssrn)
  • The equity size anomaly only generates abnormal returns after high-risk months (ssrn)
  • Option traders in the late 19th century were more sophisticated than you think (ssrn)

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