Exploring the conditional performance of UK unit trusts

We evaluate the conditional performance of U.K. equity unit trusts using the approach of Lynch and Wachter (2007, 2008) relative to three conditional linear factor models. We find significant time variation in the conditional performance of some trust portfolios and individual trusts using the lag term spread as the information variable. The conditional performance of the trusts is countercyclical and larger trusts have more countercyclical performance than smaller trusts within certain investment sectors. These patterns in conditional trust performance cannot be fully explained by the underlying securities that the trusts hold.

Revisiting the carrier-phase source-term formulation in mixed Lagrangian-Eulerian particle models

The formulation of the carrier-phase momentum and enthalpy source terms in mixed Lagrangian-Eulerian models of particle-laden flows is frequently reported inaccurately. Under certain circumstances, this can lead to erroneous implementations, which violate physical laws. A particle- rather than carrier-based approach is suggested for a consistent treatment of these terms.

Fitting host-parasitoid models with CV² > 1 using hierarchical generalized linear models

The powerful general Pacala-Hassell host-parasitoid model for a patchy environment, which allows host density–dependent heterogeneity (HDD) to be distinguished from between-patch, host density–independent heterogeneity (HDI), is reformulated within the class of the generalized linear model (GLM) family. This improves accessibility through the provision of general software within well–known statistical systems, and allows a rich variety of models to be formulated. Covariates such as age class, host density and abiotic factors may be included easily. For the case where there is no HDI, the formulation is a simple GLM. When there is HDI in addition to HDD, the formulation is a hierarchical generalized linear model. Two forms of HDI model are considered, both with between-patch variability: one has binomial variation within patches and one has extra-binomial, overdispersed variation within patches. Examples are given demonstrating parameter estimation with standard errors, and hypothesis testing. For one example given, the extra-binomial component of the HDI heterogeneity in parasitism is itself shown to be strongly density dependent.