A robust optimization approach for index tracking problem

Index tracking is an investment approach where the primary objective is to keep portfolio return as close as possible to a target index without purchasing all index components. The main purpose is to minimize the tracking error between the returns of the selected portfolio and a benchmark. In this paper, quadratic as well as linear models are presented for minimizing the tracking error. The uncertainty is considered in the input data using a tractable robust framework that controls the level of conservatism while maintaining linearity. The linearity of the proposed robust optimization models allows a simple implementation of an ordinary optimization software package to find the optimal robust solution. The proposed model of this paper employs Morgan Stanley Capital International Index as the target index and the results are reported for six national indices including Japan, the USA, the UK, Germany, Switzerland and France. The performance of the proposed models is evaluated using several financial criteria e.g. information ratio, market ratio, Sharpe ratio and Treynor ratio. The preliminary results demonstrate that the proposed model lowers the amount of tracking error while raising values of portfolio performance measures.

Submarine record of volcanic island construction and collapse in the Lesser Antilles arc: First scientific drilling of submarine volcanic island landslides by IODP Expedition 340

IODP Expedition 340 successfully drilled a series of sites offshore Montserrat, Martinique and Dominica in the Lesser Antilles from March to April 2012. These are among the few drill sites gathered around volcanic islands, and the first scientific drilling of large and likely tsunamigenic volcanic island-arc landslide deposits. These cores provide evidence and tests of previous hypotheses for the composition and origin of those deposits. Sites U1394, U1399, and U1400 that penetrated landslide deposits recovered exclusively seafloor sediment, comprising mainly turbidites and hemipelagic deposits, and lacked debris avalanche deposits. This supports the concepts that i/ volcanic debris avalanches tend to stop at the slope break, and ii/ widespread and voluminous failures of preexisting low-gradient seafloor sediment can be triggered by initial emplacement of material from the volcano. Offshore Martinique (U1399 and 1400), the landslide deposits comprised blocks of parallel strata that were tilted or microfaulted, sometimes separated by intervals of homogenized sediment (intense shearing), while Site U1394 offshore Montserrat penetrated a flat-lying block of intact strata. The most likely mechanism for generating these large-scale seafloor sediment failures appears to be propagation of a decollement from proximal areas loaded and incised by a volcanic debris avalanche. These results have implications for the magnitude of tsunami generation. Under some conditions, volcanic island landslide deposits composed of mainly seafloor sediment will tend to form smaller magnitude tsunamis than equivalent volumes of subaerial block-rich mass flows rapidly entering water. Expedition 340 also successfully drilled sites to access the undisturbed record of eruption fallout layers intercalated with marine sediment which provide an outstanding high-resolution data set to analyze eruption and landslides cycles, improve understanding of magmatic evolution as well as offshore sedimentation processes.

Anthropogenic nitrogen deposition predicts local grassland primary production worldwide

Humans dominate many important Earth system processes including the nitrogen (N) cycle. Atmospheric N deposition affects fundamental processes such as carbon cycling, climate regulation, and biodiversity, and could result in changes to fundamental Earth system processes such as primary production. Both modelling and experimentation have suggested a role for anthropogenically altered N deposition in increasing productivity, nevertheless, current understanding of the relative strength of N deposition with respect to other controls on production such as edaphic conditions and climate is limited. Here we use an international multiscale data set to show that atmospheric N deposition is positively correlated to aboveground net primary production (ANPP) observed at the 1-m2 level across a wide range of herbaceous ecosystems. N deposition was a better predictor than climatic drivers and local soil conditions, explaining 16% of observed variation in ANPP globally with an increase of 1 kg N·ha-1·yr-1 increasing ANPP by 3%. Soil pH explained 8% of observed variation in ANPP while climatic drivers showed no significant relationship. Our results illustrate that the incorporation of global N deposition patterns in Earth system models are likely to substantially improve estimates of primary production in herbaceous systems. In herbaceous systems across the world, humans appear to be partially driving local ANPP through impacts on the N cycle.

Eccentric knee-flexor strength and risk of hamstring injuries in Rugby Union: A prospective study

BACKGROUND Hamstring strain injuries (HSIs) represent the most common cause of lost playing time in rugby union. Eccentric knee-flexor weakness and between-limb imbalance in eccentric knee-flexor strength are associated with a heightened risk of hamstring injury in other sports; however these variables have not been explored in rugby union. PURPOSE To determine if lower levels of eccentric knee-flexor strength or greater between-limb imbalance in this parameter during the Nordic hamstring exercise are risk-factors for hamstring strain injury in rugby union. STUDY DESIGN Cohort study; level of evidence, 3. METHODS This prospective study was conducted over the 2014 Super Rugby and Queensland Rugby Union seasons. In total, 178 rugby union players (age, 22.6 ± 3.8 years; height, 185 ± 6.8 cm; mass, 96.5 ± 13.1 kg) had their eccentric knee-flexor strength assessed using a custom-made device during the pre-season. Reports of previous hamstring, quadriceps, groin, calf and anterior cruciate ligament injury were also obtained. The main outcome measure was prospective occurrence of hamstring strain injury. RESULTS Twenty players suffered at least one hamstring strain during the study period. Players with a history of hamstring strain injury had 4.1 fold (RR = 4.1, 95% CI = 1.9 to 8.9, p = 0.001) greater risk of subsequent hamstring injury than players without such history. Between-limb imbalance in eccentric knee-flexor strength of ≥ 15% and ≥ 20% increased the risk of hamstring strain injury 2.4 fold (RR = 2.4, 95% CI = 1.1 to 5.5, p = 0.033) and 3.4 fold (RR = 3.4, 95% CI = 1.5 to 7.6, p = 0.003), respectively. Lower eccentric knee flexor strength and other prior injuries were not associated with increased risk of future hamstring strain. Multivariate logistic regression revealed that the risk of re-injury was augmented in players with strength imbalances. CONCLUSION Previous hamstring strain injury and between-limb imbalance in eccentric knee-flexor strength were associated with an increased risk of future hamstring strain injury in rugby union. These results support the rationale for reducing imbalance, particularly in players who have suffered a prior hamstring injury, to mitigate the risk of future injury.

Is there evidence to support the use of the angle of peak torque as a marker of hamstring injury and re-injury risk?

Hamstring strain injuries are the predominant injury in many sports, costing athletes and clubs a significant financial and performance burden. Therefore the ability to identify and intervene with individuals who are considered at a high risk of injury is important. One measure which has grown in popularity as an outcome variable following hamstring intervention/prevention studies and rehabilitation is the angle of peak knee flexor torque. This current opinion article will firstly introduce the measure and the processes behind it. Secondly, this article will summarise how the angle of peak knee flexor torque has been suggested to measure hamstring strain injury risk. Finally various limitations will be presented and outlined as to how they may influence the measure. These include the lack of muscle specificity, the common concentric contraction mode of assessment, reliability of the measure, various neural contributions (such as rate of force development and neuromuscular inhibition) as well as the lack of prospective data showing any predictive value in the measure.

Association study of genes related to bone formation and resorption and the extent of radiographic change in ankylosing spondylitis

Objective: To identify genetic associations with severity of radiographic damage in ankylosing spondylitis (AS). Method: We studied 1537 AS cases of European descent; all fulfilled the modified New York Criteria. Radiographic severity was assessed from digitised lateral radiographs of the cervical and lumbar spine using the modified Stoke Ankylosing Spondylitis Spinal Score (mSASSS). A two-phase genotyping design was used. In phase 1, 498 single nucleotide polymorphisms (SNPs) were genotyped in 688 cases; these were selected to capture >90% of the common haplotypic variation in the exons, exon-intron boundaries, and 5 kb flanking DNA in the 5' and 3' UTR of 74 genes involved in anabolic or catabolic bone pathways. In phase 2, 15 SNPs exhibiting p<0.05 were genotyped in a further cohort of 830 AS cases; results were analysed both separately and in combination with the discovery phase data. Association was tested by contingency tables after separating the samples into 'mild' and 'severe' groups, defined as the bottom and top 40% by mSASSS, adjusted for gender and disease duration. Results: Experiment-wise association was observed with the SNP rs8092336 (combined OR 0.32, p=1.2×10-5), which lies within RANK (receptor activator of NF?B), a gene involved in osteoclastogenesis, and in the interaction between T cells and dendritic cells. Association was also found with the SNP rs1236913 in PTGS1 (prostaglandin-endoperoxide synthase 1, cyclooxygenase 1), giving an OR of 0.53 (p=2.6×10-3). There was no observed association between radiographic severity and HLA-B*27. Conclusions: These findings support roles for bone resorption and prostaglandins pathways in the osteoproliferative changes in AS.

Altered formalin-induced pain and Fos induction in the periaqueductal grey of preadolescent rats following neonatal LPS exposure

Animal and human studies have demonstrated that early pain experiences can produce alterations in the nociceptive systems later in life including increased sensitivity to mechanical, thermal, and chemical stimuli. However, less is known about the impact of neonatal immune challenge on future responses to noxious stimuli and the reactivity of neural substrates involved in analgesia. Here we demonstrate that rats exposed to Lipopolysaccharide (LPS; 0.05 mg/kg IP, Salmonella enteritidis) during postnatal day (PND) 3 and 5 displayed enhanced formalin-induced flinching but not licking following formalin injection at PND 22. This LPS-induced hyperalgesia was accompanied by distinct recruitment of supra-spinal regions involved in analgesia as indicated by significantly attenuated Fos-protein induction in the rostral dorsal periaqueductal grey (DPAG) as well as rostral and caudal axes of the ventrolateral PAG (VLPAG). Formalin injections were associated with increased Fos-protein labelling in lateral habenula (LHb) as compared to medial habenula (MHb), however the intensity of this labelling did not differ as a result of neonatal immune challenge. These data highlight the importance of neonatal immune priming in programming inflammatory pain sensitivity later in development and highlight the PAG as a possible mediator of this process

Cardiometabolic effects of genetic upregulation of the interleukin 1 receptor antagonist: A Mendelian randomisation analysis

Background To investigate potential cardiovascular and other effects of long-term pharmacological interleukin 1 (IL-1) inhibition, we studied genetic variants that produce inhibition of IL-1, a master regulator of inflammation. Methods We created a genetic score combining the effects of alleles of two common variants (rs6743376 and rs1542176) that are located upstream of IL1RN, the gene encoding the IL-1 receptor antagonist (IL-1Ra; an endogenous inhibitor of both IL-1α and IL-1β); both alleles increase soluble IL-1Ra protein concentration. We compared effects on inflammation biomarkers of this genetic score with those of anakinra, the recombinant form of IL-1Ra, which has previously been studied in randomised trials of rheumatoid arthritis and other inflammatory disorders. In primary analyses, we investigated the score in relation to rheumatoid arthritis and four cardiometabolic diseases (type 2 diabetes, coronary heart disease, ischaemic stroke, and abdominal aortic aneurysm; 453 411 total participants). In exploratory analyses, we studied the relation of the score to many disease traits and to 24 other disorders of proposed relevance to IL-1 signalling (746 171 total participants). Findings For each IL1RN minor allele inherited, serum concentrations of IL-1Ra increased by 0·22 SD (95% CI 0·18–0·25; 12·5%; p=9·3 × 10−33), concentrations of interleukin 6 decreased by 0·02 SD (−0·04 to −0·01; −1·7%; p=3·5 × 10−3), and concentrations of C-reactive protein decreased by 0·03 SD (−0·04 to −0·02; −3·4%; p=7·7 × 10−14). We noted the effects of the genetic score on these inflammation biomarkers to be directionally concordant with those of anakinra. The allele count of the genetic score had roughly log-linear, dose-dependent associations with both IL-1Ra concentration and risk of coronary heart disease. For people who carried four IL-1Ra-raising alleles, the odds ratio for coronary heart disease was 1·15 (1·08–1·22; p=1·8 × 10−6) compared with people who carried no IL-1Ra-raising alleles; the per-allele odds ratio for coronary heart disease was 1·03 (1·02–1·04; p=3·9 × 10−10). Per-allele odds ratios were 0·97 (0·95–0·99; p=9·9 × 10−4) for rheumatoid arthritis, 0·99 (0·97–1·01; p=0·47) for type 2 diabetes, 1·00 (0·98–1·02; p=0·92) for ischaemic stroke, and 1·08 (1·04–1·12; p=1·8 × 10−5) for abdominal aortic aneurysm. In exploratory analyses, we observed per-allele increases in concentrations of proatherogenic lipids, including LDL-cholesterol, but no clear evidence of association for blood pressure, glycaemic traits, or any of the 24 other disorders studied. Modelling suggested that the observed increase in LDL-cholesterol could account for about a third of the association observed between the genetic score and increased coronary risk. Interpretation Human genetic data suggest that long-term dual IL-1α/β inhibition could increase cardiovascular risk and, conversely, reduce the risk of development of rheumatoid arthritis. The cardiovascular risk might, in part, be mediated through an increase in proatherogenic lipid concentrations. Funding UK Medical Research Council, British Heart Foundation, UK National Institute for Health Research, National Institute for Health Research Cambridge Biomedical Research Centre, European Research Council, and European Commission Framework Programme 7.

Interaction between ERAP1 and HLA-B27 in ankylosing spondylitis implicates peptide handling in the mechanism for HLA-B27 in disease susceptibility

Ankylosing spondylitis is a common form of inflammatory arthritis predominantly affecting the spine and pelvis that occurs in approximately 5 out of 1,000 adults of European descent. Here we report the identification of three variants in the RUNX3, LTBR-TNFRSF1A and IL12B regions convincingly associated with ankylosing spondylitis (P < 5 × 10-8 in the combined discovery and replication datasets) and a further four loci at PTGER4, TBKBP1, ANTXR2 and CARD9 that show strong association across all our datasets (P < 5 × 10-6 overall, with support in each of the three datasets studied). We also show that polymorphisms of ERAP1, which encodes an endoplasmic reticulum aminopeptidase involved in peptide trimming before HLA class I presentation, only affect ankylosing spondylitis risk in HLA-B27-positive individuals. These findings provide strong evidence that HLA-B27 operates in ankylosing spondylitis through a mechanism involving aberrant processing of antigenic peptides.

Genome-wide association study of CNVs in 16,000 cases of eight common diseases and 3,000 shared controls

Copy number variants (CNVs) account for a major proportion of human genetic polymorphism and have been predicted to have an important role in genetic susceptibility to common disease. To address this we undertook a large, direct genome-wide study of association between CNVs and eight common human diseases. Using a purpose-designed array we typed 19,000 individuals into distinct copy-number classes at 3,432 polymorphic CNVs, including an estimated 50% of all common CNVs larger than 500 base pairs. We identified several biological artefacts that lead to false-positive associations, including systematic CNV differences between DNAs derived from blood and cell lines. Association testing and follow-up replication analyses confirmed three loci where CNVs were associated with diseaseIRGM for Crohns disease, HLA for Crohns disease, rheumatoid arthritis and type 1 diabetes, and TSPAN8 for type 2 diabetesalthough in each case the locus had previously been identified in single nucleotide polymorphism (SNP)-based studies, reflecting our observation that most common CNVs that are well-typed on our array are well tagged by SNPs and so have been indirectly explored through SNP studies. We conclude that common CNVs that can be typed on existing platforms are unlikely to contribute greatly to the genetic basis of common human diseases. © 2010 Macmillan Publishers Limited. All rights reserved.

Architectural changes of the biceps femoris after concentric or eccentric training

Purpose To determine i) the architectural adaptations of the biceps femoris long head (BFlf) following concentric or eccentric strength training interventions; ii) the time course of adaptation during training and detraining. Methods Participants in this randomized controlled trial (control [n=28], concentric training group [n=14], eccentric training group [n=14], males) completed a 4-week control period, followed by 6 weeks of either concentric- or eccentric-only knee flexor training on an isokinetic dynamometer and finished with 28 days of detraining. Architectural characteristics of BFlf were assessed at rest and during graded isometric contractions utilizing two-dimensional ultrasonography at 28 days pre-baseline, baseline, days 14, 21 and 42 of the intervention and then again following 28 days of detraining. Results BFlf fascicle length was significantly longer in the eccentric training group (p<0.05, d range: 2.65 to 2.98) and shorter in the concentric training group (p<0.05, d range: -1.62 to -0.96) after 42 days of training compared to baseline at all isometric contraction intensities. Following the 28-day detraining period, BFlf fascicle length was significantly reduced in the eccentric training group at all contraction intensities compared to the end of the intervention (p<0.05, d range: -1.73 to -1.55). There was no significant change in fascicle length of the concentric training group following the detraining period. Conclusions These results provide evidence that short term resistance training can lead to architectural alterations in the BFlf. In addition, the eccentric training-induced lengthening of BFlf fascicle length was reversed and returned to baseline values following 28 days of detraining. The contraction mode specific adaptations in this study may have implications for injury prevention and rehabilitation.

Biceps femoris architecture and strength in athletes with a prior ACL reconstruction

Purpose To determine if limbs with a history of anterior cruciate ligament (ACL) injury reconstructed from the semitendinosus (ST) display different biceps femoris long head (BFlh) architecture and eccentric strength, assessed during the Nordic hamstring exercise, compared to the contralateral uninjured limb. Methods The architectural characteristics of the BFlh were assessed at rest and at 25% of a maximal voluntary isometric contraction (MVIC) in the control (n=52) and previous ACL injury group (n=15) using two-dimensional ultrasonography. Eccentric knee-flexor strength was assessed during the Nordic hamstring exercise. Results Fascicle length was shorter (p=0.001; d range: 0.90 to 1.31) and pennation angle (p range: 0.001 to 0.006: d range: 0.87 to 0.93) was greater in the BFlh of the ACL injured limb when compared to the contralateral uninjured limb at rest and during 25% of MVIC. Eccentric strength was significantly lower in the ACL injured limb than the contralateral uninjured limb (-13.7%; -42.9N; 95% CI = -78.7 to -7.2; p=0.021; d=0.51). Fascicle length, MVIC and eccentric strength were not different between the left and right limb in the control group. Conclusions Limbs with a history of ACL injury reconstructed from the ST have shorter fascicles and greater pennation angles in the BFlh compared to the contralateral uninjured side. Eccentric strength during the Nordic hamstring exercise of the ACL injured limb is significantly lower than the contralateral side. These findings have implications for ACL rehabilitation and hamstring injury prevention practices which should consider altered architectural characteristics.

'The ones with the beastly lives': Gender and textuality in Jean Rhys's Voyage in the Dark

Anna Morgan, the central character of Jean Rhys's Voyage in the Dark, has previously been read as a victim of her own inability to fashion some form of life for herself.1 It is possible, however, to suggest an alternative to such character-based readings and instead examine the systems of oppression which work to ensure that Anna remains an excluded, marginalized subject. Rather than personal failings, it is Anna's gender and colonial status which prevent her from participating fully in the dominant social and economic order of Voyage in the Dark. Anna is textually constrained on three levels, which may be defined as economic, colonialist, and narrative. Imbricated within these is the question of gender, which functions to place Anna in a position of double-exclusion within the text. These forms of exclusion function at the levels of discourse and narrative; I would argue that Anna's position is not, therefore, a product of realist character 'flaws' but rather that her discursive placement within the novel offers insight into the ways in which colonialism and sexism function in terms of textuality.

Short biceps femoris fascicles and eccentric knee flexor weakness increase the risk of hamstring injury in elite football (soccer): A prospective cohort study

Background/Aim: To investigate the role of eccentric knee flexor strength, between-limb imbalance and biceps femoris long head (BFlh) fascicle length on the risk of a future hamstring strain injury (HSI). Methods: Elite soccer players (n=152) from eight different teams participated. Eccentric knee flexor strength during the Nordic hamstring exercise and BFlh fascicle length were assessed at the beginning of pre-season. The occurrences of a HSI following this were recorded by the team medical staff. Relative risk (RR) was determined for univariate data, and logistic regression was employed for multivariate data. Results: Twenty-seven new HSIs were reported. Eccentric knee flexor strength below 337N (RR = 4.4; 95% CI = 1.1 to 17.5) and BFlh fascicles shorter than 10.56cm (RR = 4.1; 95% CI=1.9 to 8.7) significantly increased the risk of a subsequent HSI. Multivariate logistic regression revealed significant effects when combinations of age, previous history of HSI, eccentric knee flexor strength and BFlh fascicle length were explored. From these analyses the likelihood of a future HSI in older athletes or those with a previous HSI history was reduced if high levels of eccentric knee flexor strength and longer BFlh fascicles were present. Conclusions: The presence of short BFlh fascicles and low levels of eccentric strength in elite soccer players increase the risk of a future HSI. The greater risk of a future HSI in older players or those with a previous HSI is reduced when they possess longer BFlh fascicles and high levels of eccentric strength.

Shared genetics underlying epidemiological association between endometriosis and ovarian cancer

Epidemiological studies have demonstrated associations between endometriosis and certain histotypes of ovarian cancer, including clear cell, low-grade serous and endometrioid carcinomas. We aimed to determine whether the observed associations might be due to shared genetic aetiology. To address this, we used two endometriosis datasets genotyped on common arrays with full-genome coverage (3194 cases and 7060 controls) and a large ovarian cancer dataset genotyped on the customized Illumina Infinium iSelect (iCOGS) arrays (10 065 cases and 21 663 controls). Previous work has suggested that a large number of genetic variants contribute to endometriosis and ovarian cancer (all histotypes combined) susceptibility. Here, using the iCOGS data, we confirmed polygenic architecture for most histotypes of ovarian cancer. This led us to evaluate if the polygenic effects are shared across diseases. We found evidence for shared genetic risks between endometriosis and all histotypes of ovarian cancer, except for the intestinal mucinous type. Clear cell carcinoma showed the strongest genetic correlation with endometriosis (0.51, 95% CI = 0.18–0.84). Endometrioid and low-grade serous carcinomas had similar correlation coefficients (0.48, 95% CI = 0.07–0.89 and 0.40, 95% CI = 0.05–0.75, respectively). High-grade serous carcinoma, which often arises from the fallopian tubes, showed a weaker genetic correlation with endometriosis (0.25, 95% CI = 0.11–0.39), despite the absence of a known epidemiological association. These results suggest that the epidemiological association between endometriosis and ovarian adenocarcinoma may be attributable to shared genetic susceptibility loci.