Investment funds: What next?

Investment funds provide a low cost method of sharing in the rewards from capitalism. Recently “alternative investments” such as hedge funds have grown rapidly and the trading strategies open to hedge funds are now becoming available to mutual funds and even to ordinary retail investors. In this paper we analyze problems in assessing fund performance and the prospects for investment fund sectors. Choosing genuine outperformers among top funds requires a careful assessment of non-normality, order statistics and the possibility of false discoveries. The risk adjusted performance of the average hedge fund over the last 10-15 is actually not that impressive, although the “top” funds do appear to have statistically significant positive alphas.

Vascular calcification and mineral bone disorder in chronic kidney disease

Chronic Kidney Disease (CKD), osteoporosis and mild hyponatremia are all prevalent chronic conditions that may coexist and are often under-recognized. Mineral-Bone Disorder begins early in the natural history of CKD and results in complex abnormalities of bone which ultimately confers a well-established increased risk of fragility fractures in End Stage Kidney Disease. Hyponatremia is a novel, usually renal mediated metabolic perturbation, that most commonly occurs independently of the stage of renal dysfunction but which may also predispose to increased fracture risk. The extent -if any- to which either early stages of renal dysfunction or the presence of hyponatremia contribute to fracture occurrence in the general population, independently of osteoporosis, is unclear. Renal transplantation is the treatment of choice for ESKD and although it restores endogenous renal function it typically fails to normalize either the long term cardiovascular or fracture risk. One potential mechanism contributing to these elevated long-term risks and to diminished Health Related Quality of Life is persistent, post-transplant hyperparathyroidism. In this study we retrospectively examine the association of renal function and serum sodium with Bone Mineral Density and fracture occurrence in a retrospective cohort of 1930 female members of the general population who underwent routine DXA scan. We then prospectively recruited a cohort of 90 renal transplant recipients in order to examine the association of post transplant parathyroid hormone (PTH) level with measures of CKD Mineral Bone Disorder, including, DXA Bone Mineral Density, Vascular Calcification (assessed using both abdominal radiography and CT techniques, as well as indirectly by carotid-femoral Pulse Wave Velocity) and Quality of Life (using the Short Form-12 and a PTH specific symptom score). In the retrospective DXA cohort, moderate CKD (eGFR 30-59ml/min/1.73m2) and hyponatremia (<135mmol/L) were associated with fracture occurrence, independently of BMD, with an adjusted Odds Ratio (95% Confidence Interval), of 1.37 (1.0, 1.89) and 2.25 (1.24, 4.09) respectively. In the renal transplant study, PTH was independently associated with the presence of osteoporosis, adjusted Odds Ratio (95% Confidence Interval), 1.15 (per 10ng/ml increment), (1.04, 1.26). The presence of osteoporosis but not PTH was independently associated with measures of vascular calcification, adjusted ß (95% Confidence Interval), 12.45, (1.16, 23.75). Of the eight quality-of-life domains examined, post-transplant PTH (per 10ng/ml increment), was only significantly and independently associated with reduced Physical Functioning, (95% Confidence Interval), 1.12 (1.01, 1.23). CKD and hyponatremia are both common health problems that may contribute to fracture occurrence in the general population, a major on-going public health concern. PTH and decreased Bone Mineral Density may signal sub-optimal long-term outcomes post renal transplantation, influencing bone and vascular health and to a limited extent long term Health Related Quality of Life

Investment incentives and valuation of power sector infrastructure assets with increasing interconnection, intermittency and decarbonisation

This dissertation applies a variety of quantitative methods to electricity and carbon market data, utility company accounts data, capital and operating costs to analyse some of the challenges associated with investment in energy assets. In particular, three distinct research topics are analysed within this general theme: the efficiency of interconnector trading, the optimal sizing of intermittent wind facilities and the impact of carbon pricing on the cost of capital for investors are researched in successive sections.