EQIRA: Empirical and Quantitative Investment Research and Analysis

News Worth Reading: January 13, 2017

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

  • Does constant risk targeting undermine the diversification benefit of managed futures strategies? (alphaarchitect)
  • Look out, long/short funds are getting increasingly long (bloomberg)


  • Your portfolio is probably much less diversified than you think (thinknewfound)
  • The relationship between starting credit spread and realized return is nonlinear (econompicdata)
  • Are markets now micro efficient and macro inefficient? (awealthofcommonsense)
  • Analyzing the efficacy of Monte Carlo based portfolio optimization (propfoliomanagement)
  • Short sellers play a valuable role in keeping markets efficient (etf)
  • Differences in sector weights explain many of the differences in global valuations (fortunefinancialadvisors)
  • CalPERS may move up to $30 billion in-house (bloomberg)


  • How to construct more efficient equity factors (ssrn)

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