Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias

An investigation into exchange-traded fund (ETF) outperforrnance during the period 2008-2012 is undertaken utilizing a data set of 288 U.S. traded securities. ETFs are tested for net asset value (NAV) premium, underlying index and market benchmark outperformance, with Sharpe, Treynor, and Sortino ratios employed as risk-adjusted performance measures. A key contribution is the application of an innovative generalized stepdown procedure in controlling for data snooping bias. We find that a large proportion of optimized replication and debt asset class ETFs display risk-adjusted premiums with energy and precious metals focused funds outperforming the S&P 500 market benchmark. 

Failure of a numerical quality assessment scale to identify potential risk of bias in a systematic review: a comparison study

BACKGROUND: Assessing methodological quality of primary studies is an essential component of systematic reviews. Following a systematic review which used a domain based system [United States Preventative Services Task Force (USPSTF)] to assess methodological quality, a commonly used numerical rating scale (Downs and Black) was also used to evaluate the included studies and comparisons were made between quality ratings assigned using the two different methods. Both tools were used to assess the 20 randomized and quasi-randomized controlled trials examining an exercise intervention for chronic musculoskeletal pain which were included in the review. Inter-rater reliability and levels of agreement were determined using intraclass correlation coefficients (ICC). Influence of quality on pooled effect size was examined by calculating the between group standardized mean difference (SMD).

RESULTS: Inter-rater reliability indicated at least substantial levels of agreement for the USPSTF system (ICC 0.85; 95% CI 0.66, 0.94) and Downs and Black scale (ICC 0.94; 95% CI 0.84, 0.97). Overall level of agreement between tools (ICC 0.80; 95% CI 0.57, 0.92) was also good. However, the USPSTF system identified a number of studies (n = 3/20) as "poor" due to potential risks of bias. Analysis revealed substantially greater pooled effect sizes in these studies (SMD -2.51; 95% CI -4.21, -0.82) compared to those rated as "fair" (SMD -0.45; 95% CI -0.65, -0.25) or "good" (SMD -0.38; 95% CI -0.69, -0.08).

CONCLUSIONS: In this example, use of a numerical rating scale failed to identify studies at increased risk of bias, and could have potentially led to imprecise estimates of treatment effect. Although based on a small number of included studies within an existing systematic review, we found the domain based system provided a more structured framework by which qualitative decisions concerning overall quality could be made, and was useful for detecting potential sources of bias in the available evidence.

Data-Augmentation for Reducing Dataset Bias in Person Re-identification

In this paper we explore ways to address the issue of dataset bias in person re-identification by using data augmentation to increase the variability of the available datasets, and we introduce a novel data augmentation method for re-identification based on changing the image background. We show that use of data augmentation can improve the cross-dataset generalisation of convolutional network based re-identification systems, and that changing the image background yields further improvements.

Alcohol attention bias in adolescent social drinkers: an eye tracking study

Rationale
Previous research on attention bias in nondependent social drinkers has focused on adult samples with limited focus on the presence of attention bias for alcohol cues in adolescent social drinkers.
Objectives
The aim of this study was to examine the presence of alcohol attention bias in adolescents and the relationship of this cognitive bias to alcohol use and alcohol-related expectancies.
Methods
Attention bias in adolescent social drinkers and abstainers was measured using an eye tracker during exposure to alcohol and neutral cues. Questionnaires measured alcohol use and explicit alcohol expectancies.
Results
Adolescent social drinkers spent significantly more time fixating to alcohol stimuli compared to controls. Total fixation time to alcohol stimuli varied in accordance with level of alcohol consumption and was significantly associated with more positive alcohol expectancies. No evidence for automatic orienting to alcohol stimuli was found in adolescent social drinkers.
Conclusion
Attention bias in adolescent social drinkers appears to be underpinned by controlled attention suggesting that whilst participants in this study displayed alcohol attention bias comparable to that reported in adult studies, the bias has not developed to the point of automaticity. Initial fixations appeared to be driven by alternative attentional processes which are discussed further.

Using interviewer random effects to remove selection bias from HIV prevalence estimates

Background: Selection bias in HIV prevalence estimates occurs if non-participation in testing is correlated with HIV status. Longitudinal data suggests that individuals who know or suspect they are HIV positive are less likely to participate in testing in HIV surveys, in which case methods to correct for missing data which are based on imputation and observed characteristics will produce biased results. Methods: The identity of the HIV survey interviewer is typically associated with HIV testing participation, but is unlikely to be correlated with HIV status. Interviewer identity can thus be used as a selection variable allowing estimation of Heckman-type selection models. These models produce asymptotically unbiased HIV prevalence estimates, even when non-participation is correlated with unobserved characteristics, such as knowledge of HIV status. We introduce a new random effects method to these selection models which overcomes non-convergence caused by collinearity, small sample bias, and incorrect inference in existing approaches. Our method is easy to implement in standard statistical software, and allows the construction of bootstrapped standard errors which adjust for the fact that the relationship between testing and HIV status is uncertain and needs to be estimated. Results: Using nationally representative data from the Demographic and Health Surveys, we illustrate our approach with new point estimates and confidence intervals (CI) for HIV prevalence among men in Ghana (2003) and Zambia (2007). In Ghana, we find little evidence of selection bias as our selection model gives an HIV prevalence estimate of 1.4% (95% CI 1.2% – 1.6%), compared to 1.6% among those with a valid HIV test. In Zambia, our selection model gives an HIV prevalence estimate of 16.3% (95% CI 11.0% - 18.4%), compared to 12.1% among those with a valid HIV test. Therefore, those who decline to test in Zambia are found to be more likely to be HIV positive. Conclusions: Our approach corrects for selection bias in HIV prevalence estimates, is possible to implement even when HIV prevalence or non-participation is very high or very low, and provides a practical solution to account for both sampling and parameter uncertainty in the estimation of confidence intervals. The wide confidence intervals estimated in an example with high HIV prevalence indicate that it is difficult to correct statistically for the bias that may occur when a large proportion of people refuse to test.

Adaptor protein-2 sigma subunit mutations causing familial hypocalciuric hypercalcaemia type 3 (FHH3) demonstrate genotype-phenotype correlations, codon bias and dominant-negative effects

The adaptor protein-2 sigma subunit (AP2sigma;2) is pivotal for clathrin-mediated endocytosis of plasma membrane constituents such as the calcium-sensing receptor (CaSR). Mutations of the AP2sigma;2 Arg15 residue result in familial hypocalciuric hypercalcaemia type 3 (FHH3), a disorder of extracellular calcium (Ca<inf>o</inf>²⁺) homeostasis. To elucidate the role of AP2sigma;2 in Ca<inf>o</inf>²⁺ regulation, we investigated 65 FHH probands, without other FHH-associated mutations, for AP2sigma;2 mutations, characterized their functional consequences and investigated the genetic mechanisms leading to FHH3. AP2sigma;2 mutations were identified in 17 probands, comprising 5 Arg15Cys, 4 Arg15His and 8 Arg15Leu mutations. A genotype-phenotype correlation was observed with the Arg15Leu mutation leading to marked hypercalcaemia. FHH3 probands harboured additional phenotypes such as cognitive dysfunction. All three FHH3-causing AP2sigma;2 mutations impaired CaSR signal transduction in a dominant-negative manner. Mutational bias was observed at the AP2sigma;2 Arg15 residue as other predicted missense substitutions (Arg15Gly, Arg15Pro and Arg15Ser), which also caused CaSR loss-of-function, were not detected in FHH probands, and these mutations were found to reduce the numbers of CaSR-expressing cells. FHH3 probands had significantly greater serum calcium (sCa) and magnesium (sMg) concentrations with reduced urinary calcium to creatinine clearance ratios (CCCR) in comparison with FHH1 probands with CaSR mutations, and a calculated index of sCa × sMg/100 × CCCR, which was ≥ 5.0, had a diagnostic sensitivity and specificity of 83 and 86%, respectively, for FHH3. Thus, our studies demonstrate AP2sigma;2 mutations to result in a more severe FHH phenotype with genotype-phenotype correlations, and a dominant-negative mechanism of action with mutational bias at the Arg15 residue.

Technological aids for the rehabilitation of memory and executive functioning in children and adolescents with acquired brain injury (Review).

Background The use of technology in healthcare settings is on the increase and may represent a cost-effective means of delivering rehabilitation. Reductions in treatment time, and delivery in the home, are also thought to be benefits of this approach. Children and adolescents with brain injury often experience deficits in memory and executive functioning that can negatively affect their school work, social lives, and future occupations. Effective interventions that can be delivered at home, without the need for high-cost clinical involvement, could provide a means to address a current lack of provision. We have systematically reviewed studies examining the effects of technology-based interventions for the rehabilitation of deficits in memory and executive functioning in children and adolescents with acquired brain injury. Objectives To assess the effects of technology-based interventions compared to placebo intervention, no treatment, or other types of intervention, on the executive functioning and memory of children and adolescents with acquired brain injury. Search methods We ran the search on the 30 September 2015. We searched the Cochrane Injuries Group Specialised Register, the Cochrane Central Register of Controlled Trials (CENTRAL), Ovid MEDLINE(R), Ovid MEDLINE(R) In-Process & Other Non-Indexed Citations, Ovid MEDLINE(R) Daily and Ovid OLDMEDLINE(R), EMBASE Classic + EMBASE (OvidSP), ISI Web of Science (SCI-EXPANDED, SSCI, CPCI-S, and CPSI-SSH), CINAHL Plus (EBSCO), two other databases, and clinical trials registers. We also searched the internet, screened reference lists, and contacted authors of included studies. Selection criteria Randomised controlled trials comparing the use of a technological aid for the rehabilitation of children and adolescents with memory or executive-functioning deficits with placebo, no treatment, or another intervention. Data collection and analysis Two review authors independently reviewed titles and abstracts identified by the search strategy. Following retrieval of full-text manuscripts, two review authors independently performed data extraction and assessed the risk of bias. Main results Four studies (involving 206 participants) met the inclusion criteria for this review. Three studies, involving 194 participants, assessed the effects of online interventions to target executive functioning (that is monitoring and changing behaviour, problem solving, planning, etc.). These studies, which were all conducted by the same research team, compared online interventions against a 'placebo' (participants were given internet resources on brain injury). The interventions were delivered in the family home with additional support or training, or both, from a psychologist or doctoral student. The fourth study investigated the use of a computer program to target memory in addition to components of executive functioning (that is attention, organisation, and problem solving). No information on the study setting was provided, however a speech-language pathologist, teacher, or occupational therapist accompanied participants. Two studies assessed adolescents and young adults with mild to severe traumatic brain injury (TBI), while the remaining two studies assessed children and adolescents with moderate to severe TBI. Risk of bias We assessed the risk of selection bias as low for three studies and unclear for one study. Allocation bias was high in two studies, unclear in one study, and low in one study. Only one study (n = 120) was able to conceal allocation from participants, therefore overall selection bias was assessed as high. One study took steps to conceal assessors from allocation (low risk of detection bias), while the other three did not do so (high risk of detection bias). Primary outcome 1: Executive functioning: Technology-based intervention versus placebo Results from meta-analysis of three studies (n = 194) comparing online interventions with a placebo for children and adolescents with TBI, favoured the intervention immediately post-treatment (standardised mean difference (SMD) -0.37, 95% confidence interval (CI) -0.66 to -0.09; P = 0.62; I2 = 0%). (As there is no 'gold standard' measure in the field, we have not translated the SMD back to any particular scale.) This result is thought to represent only a small to medium effect size (using Cohen’s rule of thumb, where 0.2 is a small effect, 0.5 a medium one, and 0.8 or above is a large effect); this is unlikely to have a clinically important effect on the participant. The fourth study (n = 12) reported differences between the intervention and control groups on problem solving (an important component of executive functioning). No means or standard deviations were presented for this outcome, therefore an effect size could not be calculated. The quality of evidence for this outcome according to GRADE was very low. This means future research is highly likely to change the estimate of effect. Primary outcome 2: Memory One small study (n = 12) reported a statistically significant difference in improvement in sentence recall between the intervention and control group following an eight-week remediation programme. No means or standard deviations were presented for this outcome, therefore an effect size could not be calculated. Secondary outcomes Two studies (n = 158) reported on anxiety/depression as measured by the Child Behavior Checklist (CBCL) and were included in a meta-analysis. We found no evidence of an effect with the intervention (mean difference -5.59, 95% CI -11.46 to 0.28; I2 = 53%). The GRADE quality of evidence for this outcome was very low, meaning future research is likely to change the estimate of effect. A single study sought to record adverse events and reported none. Two studies reported on use of the intervention (range 0 to 13 and 1 to 24 sessions). One study reported on social functioning/social competence and found no effect. The included studies reported no data for other secondary outcomes (that is quality of life and academic achievement). Authors' conclusions This review provides low-quality evidence for the use of technology-based interventions in the rehabilitation of executive functions and memory for children and adolescents with TBI. As all of the included studies contained relatively small numbers of participants (12 to 120), our findings should be interpreted with caution. The involvement of a clinician or therapist, rather than use of the technology, may have led to the success of these interventions. Future research should seek to replicate these findings with larger samples, in other regions, using ecologically valid outcome measures, and reduced clinician involvement.

Obsessive-compulsive symptoms and attentional bias: An eye-tracking methodology

Background and objectives: Cognitive models suggest that attentional biases are integral in the maintenance of obsessive-compulsive symptoms (OCS). Such biases have been established experimentally in anxiety disorders; however, the evidence is unclear in Obsessive Compulsive disorder (OCD). In the present study, an eye-tracking methodology was employed to explore attentional biases in relation to OCS.
Methods: A convenience sample of 85 community volunteers was assessed on OCS using the Yale-Brown Obsessive Compulsive Scale-self report. Participants completed an eye-tracking paradigm where they were exposed to OCD, Aversive and Neutral visual stimuli. Indices of attentional bias were derived from the eye-tracking data.
Results: Simple linear regressions were performed with OCS severity as the predictor and eye-tracking measures of the different attentional biases for each of the three stimuli types were the criterion variables. Findings revealed that OCS severity moderately predicted greater frequency and duration of fixations on OCD stimuli, which reflect the maintenance attentional bias. No significant results were found in support of other biases.
Limitations: Interpretations based on a non-clinical sample limit the generalisability of the conclusions, although use of such samples in OCD research has been found to be comparable to clinical populations. Future research would include both clinical and sub-clinical participants.
Conclusions: Results provide some support for the theory of maintained attention in OCD attentional biases, as opposed to vigilance theory. Individuals with greater OCS do not orient to OCD stimuli any faster than individuals with lower OCS, but once a threat is identified, these individuals allocate more attention to OCS-relevant stimuli.