Momentum risk: An approach following the correlations between active stocks

The momentum anomaly has been widely documented in the literature. However, there are still many issues where there is no consensus and puzzles left unexplained. One is that strategies based on momentum present a level of risk that is inconsistent with the diversification that it offers. Moreover, recent studies indicate that this risk is variable over time and mostly strategy-specific. This work project hypothesises and proves that this evidence is explained by the portfolio constitution of the momentum strategy over time, namely the covariance and correlation between companies in the top and down deciles and across them.

Fate map of zebrafish left-right organizer

The organizer is a ciliated signalling transient organ, responsible for the patterning of embryo tissues during embryonic development. In higher vertebrates, such as mouse and chick, this organizer (the node and the Hensen’s node, respectively) performs dorsalventral and anteriorposterior axis definition, as well as left-right patterning of the internal organs. In lower vertebrates, such as frog and zebrafish, there is a separate specialized organ for left-right purposes called the Gastrocoel Roof Plate (GRP) and Kupffer’s Vesicle (KV), respectively. It is known that mouse and chick organizer cells give rise to structures like floor plate, notochord, hypochord and somites. Frog GRP originates all these but floor plate. In zebrafish, at 13-14 somite stage (ss) the KV finished its left-right patterning but what happens to this organizer’ cells is still poorly studied. This research attempts to understand the fate and behaviour of the KV cells. We followed the fate of KV cells by live imaging and by tight time-courses with fixed larvae. We assessed in detail their proliferative and death profile, as well as cilia length progression from 9-10 ss until 29-30 ss. We conclude that the KV cells mostly follow the evolutionarily conserved fates described for other organizers. These cells mainly incorporate the notochord and hypochord; few cells incorporate the floor plate and the somites. As a novelty, it is also hypothesized that the hypural cell fate may be among the KV cell fates.

Alpha generation with Twitter’s daily momentum

This thesis does not set out to focus on the dynamics relationship between Twitter and stock prices, but instead tries to understand if using relevant information extracted from tweets has the power to increase investors’ stock picking ability, and generate alpha in portfolio’s choice relative to a benchmark. Despite the short period analyzed, it gives promising results that the sentiment analysis performed by Social Market Analytics Inc. applied to an equity portfolio, is able to generate positive abnormal returns, statistically significant in and out of sample.

Introducing risk parity on momentum and carry portfolios

The momentum and carry anomalies have been extensively documented in the literature. However, there are still many issues relating to the risks associated to them that are left unexplained. One is the fact that an investor holds for too long the most volatile assets, both under momentum and carry strategies. Therefore, they present a level of risk and a probability of extreme events to happen inconsistent. This work project hypothesizes and proves the introduction of risk parity rules on the weights of the portfolios do increase risk rewarding of carry strategies. However, it fails under momentum strategies.

Design and implementation of an assurance map at Sonae retail business

The present Working Project aims at studying the topic of assurance mapping in a specific organizational context of a Portuguese retail company. For this purpose, an assurance map framework was designed to support the decision making process of stakeholders, through the delivery of comfort concerning risks, operations and control. In the end, the framework was successfully implemented for the process sourcing of goods in two business units of the company. Although, further implementation of the framework proved not to be feasible during the project’s timespan, it is expected to occur in the near future.