State detection in a financial portfolio: a self-organizing maps approach for financial time series

This study analyses financial data using the result characterization of a self-organized neural network model. The goal was prototyping a tool that may help an economist or a market analyst to analyse stock market series. To reach this goal, the tool shows economic dependencies and statistics measures over stock market series. The neural network SOM (self-organizing maps) model was used to ex-tract behavioural patterns of the data analysed. Based on this model, it was de-veloped an application to analyse financial data. This application uses a portfo-lio of correlated markets or inverse-correlated markets as input. After the anal-ysis with SOM, the result is represented by micro clusters that are organized by its behaviour tendency. During the study appeared the need of a better analysis for SOM algo-rithm results. This problem was solved with a cluster solution technique, which groups the micro clusters from SOM U-Matrix analyses. The study showed that the correlation and inverse-correlation markets projects multiple clusters of data. These clusters represent multiple trend states that may be useful for technical professionals.

Brazilian equity risk premium analysis: A macroeconomic approach

Double Degree Masters in Economics Program from Insper and NOVA School of Business and Economics

The influence of menopausal status on bone turnover and disease control in breast cancer patients with metastatic bone disease treated with chemotherapy plus zoledronic acid : an exploratory retrospective cohort study

RESUMO: Introdução: Uma meta-análise recente demonstrou que uso adjuvante de ácido zoledrónico (AZ) em mulheres pós-menopáusicas com cancro da mama precoce (CM) conduz a redução do risco de morte por CM em 17%. Investigámos o efeito do estado hormonal (pré [PrM] vs pós-menopausa tardia [PoM]) na remodelação óssea e controlo de doença em mulheres com CM e metástases ósseas (MO) tratadas com AZ e quimioterapia (QT). Métodos: Neste estudo de coorte retrospetivo, colhemos variáveis clinico-patológicas e quantificámos o telopéptido N-terminal (NTX) urinário e marcadores tumorais (MT) séricos em mulheres com CM e MO tratadas com QT e AZ. As doentes foram divididas em PrM (<45 anos) e PoM (>60 anos). Endpoints do estudo: variação do NTX, CA15.3 e CEA nos meses 3, 6 e 9, tempo até falência de QT de primeira-linha e sobrevivência. Quando apropriado foram usados os testes de Wilcoxon rank-sum, modelo de efeitos lineares mistos, teste log-rank e modelo de Cox. Resultados: Quarenta doentes foram elegíveis para análise (8 PrM e 32 PoM). Depois da introdução de AZ e QT, os níveis de NTX e MT caíram no coorte global. O perfil de resposta não diferiu entre grupos no mês 3 ou em tempos posteriores (valor-p para interação tempo-estado hormonal no mês 3=0.957). Ademais, o perfil de resposta dos MT também não diferiu entre grupos. O tempo mediano até falência de primeira-linha de QT em PrM e PoM foi de 15.2 e 17.4 meses, respetivamente. Não foi identificada diferença significativa entre grupos, quer em análise univariada quer após controlo para envolvimento visceral (p=0.399 e 0.469, respetivamente). Igualmente, não houve diferenças em termos de sobrevivência. Conclusões: Neste coorte, não foram identificadas diferenças no controlo de NTX ou MT em função do estado menopausico. Igualmente, não foi identificada diferença no tempo até falência de primeira-linha de CT ou sobrevivência.----------- ABSTRACT: Background: A recent meta-analysis showed that the adjuvant use of zoledronic acid (ZA) in postmenopausal women with early breast cancer (BC) leads to a reduction in the risk of breast cancer death by 17%. We investigated the effect of the hormonal status (pre [PrM] vs late post menopause [PoM]) on bone turnover and disease control among women with BC and boné metastases (BM) treated with ZA and chemotherapy (CT). Methods: In this retrospective cohort study, we collected clinicopathologic variables, urinary Nterminal telopeptide (NTX) and serum tumor marker levels from women with BC and BM treated with CT and ZA. Patients were divided in PrM (<45 years) and PoM (>60 years). Study endpoints were NTX, CA15.3 and CEA variation at 3, 6 and 9 months, and time to first-line CT failure and survival. We performed multilevel mixed-effects linear regression models to assess the variation of repeated measures and cox regression models for time to event outcomes. Results: Forty patients were eligible for analysis (8 PrM and 32 PoM). After introduction of ZA and CT, NTX and tumor markers declined in the overall cohort. Response profile was similar between menopausal groups at month 3 and at later time points (p-value for time-hormonal status interaction at month 3=0.957). Furthermore, tumor markers response profile was also equal between groups. Median time to first-line CT failure in PrM and PoM women was 15.2 and 17.4 months, respectively. No significant difference between groups was found, either using a univariate analysis or after controlling for visceral disease involvement (p=0.399 and 0.469, respectively). Likewise, no differences in survival were found. Conclusions: In this cohort, no differences were found in terms of NTX or tumor markers control according to menopausal status. Similarly, no difference in time to first-line CT failure or survival was found.

Equidade na despesa com cuidados de saúde em Portugal

RESUMO - O acesso com equidade aos cuidados de saúde é uma das pedras angulares da constituição da nossa República e do SNS. A garantia de igual utilização para iguais necessidades seguindo os princípios de equidade é parte integrante da legislação Portuguesa. Os indivíduos com menor estatuto-socioeconómico são apontados unanimemente pela literatura internacional como possuindo pior estado de saúde que os mais abastados, sendo por isso de prever uma maior utilização dos cuidados de saúde. Através deste trabalho pretendemos aferir a equidade da despesa com cuidados de saúde, partindo da premissa que pior estatuto socioeconómico está relacionado com pior estado de saúde, serão os indivíduos com menor capacidade financeira a utilizar mais os cuidados de saúde e portanto a apresentar maior despesa. Utilizando o INS 05/06, e, através de uma regressão multivariada, ajustámos os resultados em relação às variáveis comummente associadas com necessidades em cuidados de saúde, e verificámos que efectivamente existem iniquidades na despesa com cuidados de saúde. Analisando o rendimento líquido total da família do utente no mês anterior ao inquérito existe uma clara gradação, em que maior rendimento se reflecte em maior despesa. Verificámos que as despesas com cuidados de saúde são superiores nos indivíduos com idade superior a 34 anos, com uma educação de nível terciário ou superior, com rendimento superior ou igual a 700,20 euros, com estado de saúde auto-reportado Muito Mau, com seguro de saúde e com doenças crónicas. A despesa não variou significativamente tendo em conta o sexo. Na idade, apenas a categorias etárias 18 a 34 anos e maiores de 75 anos apresentaram uma diferença estatisticamente significativa em relação à despesa com cuidados de saúde. À luz dos resultados obtidos, concluímos que existem efectivamente iniquidades favoráveis aos mais ricos na despesa com cuidados de saúde em Portugal.

Performance analysis of an SRI screen based on employment quality in high and low capital industries: International evidence

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics and Maastricht University School of Business and Economics

Managing marginal capital requirements in solvency II: Analysis of a real insurance portfolio

This thesis provides a complete analysis of the Standard Capital Requirements given by Solvency II for a real insurance portfolio. We analyze the investment portfolio of BPI Vida e Pensões, an insurance company affiliated with a Portuguese bank BPI, both at security, sub-portfolio and asset class levels. By using the Standard Formula from EIOPA, Total SCR amounts to 239M€. This value is mostly explained by Market and Default Risk whereas the former is driven by Spread and Concentration Risks. Following the methodology of Leblanc (2011), we examine the Marginal Contribution of an asset to the SCR which allows for the evaluation of the risks of each security given its characteristics and interactions in the portfolio. The top contributors to the SCR are Corporate Bonds and Term Deposits. By exploring further the composition of the portfolio, our results show that slight changes in allocation of Term and Cash Deposits have severe impacts on the total Concentration and Default Risks, respectively. Also, diversification effects are very relevant by representing savings of 122M€. Finally, Solvency II represents an opportunity for the portfolio optimization. By constructing efficient frontiers, we find that as the target expected return increases, a shift from Term Deposits/ Commercial Papers to Eurozone/Peripheral and finally Equities occurs.

How to bring equity investors to the social sector? A quasi-equity approach through the case study of SPEAK

As nonprofits do not have access to the same capital markets as for-profit enterprises, organizations usually scramble for funding to keep up with their mission. This scenario can be changed through the use of the right financial engineering. This Work Project aims at studying an innovative financing mechanism based on the concept of quasi-equity for organizations devoted to social ends to cope with their capital needs. A quasi-equity investment model is built for the Portuguese social business SPEAK, and an in-depth assessment of its current financial, organizational and impact situations is conducted. This is a pioneer case study in Portugal.

Measuring spillover effects in Euro Area equity and bond markets

Since its inception, the Eurozone has experienced significant financial integration. However, with the recent turbulent period, the dynamics of this integration may have changed. This study analyses the volatility spillovers from the US and aggregate Eurozone markets into ten Euro Area national equity and bond markets, using a regime-switching model with shifting shock sensitivities. The evidence confirms an increased impact of shock spillover intensity after the 2008 crisis in the equity market and a decrease of the same parameters for the bond market. In both markets, the overall impact of the Eurozone is greater when compared to the U.S.

An equity wealth preservation strategy: Following the macro trend

Financial crisis have happened in the past and will continue to do so in the future. In the most recent 2008 crisis, global equities (as measured by the MSCI ACWI index) lost a staggering 54.2% in USD, on the year. During those periods wealth preservation becomes at the top of most investor’s concerns. The purpose of this paper is to develop a strategy that protects the investment during bear markets and significant market corrections, generates capital appreciation, and that can support Millennium BCP’s Wealth Management Unit on their asset allocation procedures. This strategy extends the Dual Momentum approach introduced by Gary Antonacci (2014) in two ways. First, the investable set of securities in the equities space increases from two to four. Besides the US it will comprise the Japanese, European (excl. UK) and EM equity indices. Secondly, it adds a volatility filter as well as three indicators related to the business cycle and the state of the economy, which are relevant to decide on the strategy’s exposure to equities. Overall the results attest the resiliency of the strategy before, during and after historical financial crashes, as it drastically reduces the downside exposure and consistently outperforms the benchmark index by providing higher mean returns with lower variance.

Hybrid investment strategy active portfolio management – US stock market

This thesis aims to develop an alternative active managed portfolio strategy based on companies‟ Fundamental and Technical Analysis and analyze its finals results. There is a big distinction between the two approaches and the main objective is to understand if it is possible to take advantage of both. With this in mind a Hybrid investment strategy for the US stock market, due to its dimension and liquidity, which was able to outperform the S&P 500 index, the benchmark, during both Bear and Bull Markets between 2000 and 2015.

Carry and trend-following strategies

Recent research has shown that carry and trend strategies when combined lead to significant risk-adjusted returns that can be very attractive to investors, at a low cost with small and positive skewness. This study proposes to combine both carry and trend-following, considering a data set of ten years (09/2005-09/2015), within a portfolio composed by three major asset classes: currencies, commodities and equity indices. Following a futures-based methodology, the obtained results show that, indeed, the strategy results inevitably in higher returns and greater sharpe ratios for every asset class in study. This outcome results from the fact that trend proved to provide a significant hedge to the downside risk that carry is exposed to.

Análise do acesso aos cuidados de reabilitação em Angola

RESUMO - Angola é um país em desenvolvimento e dado o baixo número de profissionais na reabilitação e a centralização dos cuidados desta área na capital do país, Luanda, é pertinente caraterizar o acesso dos utentes e perceber em que medida é que a oferta destes cuidados satisfaz as necessidades atuais da população. Sendo assim, este estudo teve como objetivos, avaliar o acesso dos utentes do Centro de Referência Nacional público para Reabilitação em Angola, CMFR, e identificação de áreas prioritárias de ação para promoção de igualdade no acesso. A análise metodológica consistiu na recolha e análise de dados dos utentes que acederam ao CMFR de Setembro de 2014 a Janeiro de 2015 e pesquisa documental abrangente, não-sistemática, sobre equidade e acesso a cuidados de saúde em Reabilitação a nivel internacional e em Angola. Para o tratamento e recolha de dados foram consideradas variáveis sociodemográficas e caraterizadoras do acesso onde se fez a caraterização da população em estudo, análise das variáveis resultantes do acesso ao CMFR através de uma análise de regressão.