EQIRA: Empirical and Quantitative Investment Research and Analysis

News Worth Reading: October 28, 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

  • The hedge fund game is getting much harder, and managers are worried (bloomberg)
  • Hedge fund managers are seriously underestimating the potential of quant strategies (pionline)
  • The three most important differentiators between managed futures strategies (hedgeweek)

Investing

  • Sometimes you are your own worst enemy (awealthofcommonsense)
  • Active equity managers are really struggling to match index performance (ft)
  • The benefits of adding a short volatility position to a risk parity portfolio (econompicdata)
  • Research Associates claims 60/40 has a 0% chance of earning 5% real returns in the next 10 years (bloomberg)
  • Reducing news consumption can make you healthier and happier (fastcompany)

Quant

  • More data doesn’t necessarily mean greater accuracy (spectator)
  • Is our growing dependence on Big Data actually making the system less stable? (businessinsider)
  • Systematic decision making is much more reliable than following your instincts (mrzepczynski)
  • Want a job in Finance? Learn to code. (bloomberg)

Alternatives

  • Insights from 139 years of commodity futures history (ssrn)
  • Strong demand for alternative assets continues as global yields remain low (efinancialnews)
  • Investors are increasing private equity allocations despite valuation concerns (awealthofcommonsense)
  • We may be on the verge of years of subpar private equity performance (markovprocesses)

Endowments

  • Ivy League endowments had a rather mediocre fiscal year 2016 (pionline)
  • Harvard’s endowment is in the middle of a public relations disaster right now (bloomberg)

Research

  • Would risk parity weighting improve commodity indexes? (thinknewfound)
  • Using Monte Carlo simulation for portfolio optimization with transaction costs (arxiv)

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