Anàlisi de la gestió de fons d’inversió de renda variable en el període 2009-2013

La crisi financera que es va originar l’any 2007 va tenir uns efectes devastadors a tots els àmbits de l’economia. El mercat hipotecari es va desplomar i l’accés al crèdit es va restringir a la majoria de la població. Els efectes que va tenir la crisi sobre aquests mercats han estat analitzats i estudiats repetidament en diverses assignatures. Però el que es vol observar amb la realització d’aquest treball són els efectes que va provocar la crisi econòmica sobre un altre àmbit del mercat financer, el mercat de fons d’estalvi i més concretament, en el de fons d’inversió. Aquest treball vol analitzar si els mercats espanyol i europeu de fons d’inversió ha patit els efectes de la crisi econòmica i si ha estat així, en quin grau s’han vist afectats. Aquests mercats venen regits per experts professionals en la matèria i la rendibilitat d’aquests actius vindrà determinada per la gestió que aquests facin. Per poder mesurar si la seva gestió aconsegueix millorar els resultats que podríem obtenir invertint en el mercat, utilitzarem uns índexs financers anomenats mesures de performance. Dins el ventall disponible de fons d’inversió, ens centrarem en el mercat de renda variable ja que és el que presenta major variabilitat i està més sotmès a possibles canvis en el mercat. En concret s’analitzaran els resultats de la gestió del mercat de fons d’inversió de renda variable durant els anys posteriors a la crisi fins a l’actualitat tant al mercat espanyol com al mercat europeu per diferents categories de fons.

Effect of tow-drop gaps on the damage resistance and tolerance of Variable-Stiffness Panels

This paper presents an experimental study of the effects of tow-drop gaps in Variable Stiffness Panels under drop-weight impact events. Two different configurations, with and without ply-staggering, have been manufactured by Automated Fibre Placement and compared with their baseline counterpart without defects. For the study of damage resistance, three levels of low velocity impact energy are generated with a drop-weight tower. The damage area is analysed by means of ultrasonic inspection. Results of the analysed defect configurations indicate that the influence of gap defects is only relevant under small impact energy values. However, in the case of damage tolerance, the residual compressive strength after impact does not present significant differences to that of conventional straight fibre laminates. This indicates that the strength reduction is driven mainly by the damage caused by the impact event rather than by the influence of manufacturing-induced defects

Variable-stiffness composite panels: Defect tolerance under in-plane tensile loading

Automated Fiber Placement is being extensively used in the production of major composite components for the aircraft industry. This technology enables the production of tow-steered panels, which have been proven to greatly improve the structural efficiency of composites by means of in-plane stiffness variation and load redistribution. However, traditional straight-fiber architectures are still preferred. One of the reasons behind this is related to the uncertainties, as a result of process-induced defects, in the mechanical performance of the laminates. This experimental work investigates the effect of the fiber angle discontinuities between different tow courses in a ply on the un-notched and open-hole tensile strength of the laminate. The influence of several manufacturing parameters are studied in detail. The results reveal that 'ply staggering' and '0% gap coverage' is an effective combination in reducing the influence of defects in these laminates

Fiscal policy and interest rates: the role of financial and economic integration

It is commonly believed that a fiscal expansion raises interest rates. However, these crowding out effects of deficits have been found to be small or non-existent. One explanation is that financial integration offsets interest rate differentials on globalised bond markets. This paper measures the degree of integration of government bond markets, using spatial modelling techniques to take this spillover on financial markets into account. Our main finding is that the crowding out effect on domestic interest rates is significant, but is reduced by spillover across borders. This spillover is important in major crises or in periods of coordinated policy actions. This result is generally robust to various measures of cross-country linkages. We find spillover to be much stronger among EU countries.

Regulating Concessions of Toll Motorways, An Empirical Study on Fixed vs. Variable Term Contracts

Recent theoretical developments on concession contracts for long term infrastructure projects under uncertain demand show the benefits of allowing for flexible term contracts rather than fixing a rigid term. This study presents a simulation to compare both alternatives by using real data from the oldest Spanish toll motorway. For this purpose, we analyze how well the flexible term would have performed instead of the fixed length actually established. Our results show a huge reduction of the term of concession that would have dramatically decreased the firm’s benefits and the user’s overpayment due to the internalization of an unexpected traffic increase.

Regression analysis of compositional data when both the dependent variable and independent variable are components

It is well known that regression analyses involving compositional data need special attention because the data are not of full rank. For a regression analysis where both the dependent and independent variable are components we propose a transformation of the components emphasizing their role as dependent and independent variables. A simple linear regression can be performed on the transformed components. The regression line can be depicted in a ternary diagram facilitating the interpretation of the analysis in terms of components. An exemple with time-budgets illustrates the method and the graphical features

Expectativas y volatilidad condicionada: los tipos de interés en el mercado interbancario

En este trabajo examinamos si la teoría de expectativas con primas de liquidez constantes puede explicar la estructura temporal de los tipos de interés de pequeños vencimientos en el mercado interbancario de depósitos español, para datos mensuales desde 1977 hasta 1995. Utilizamos el contraste de Campbell y Shiller (1987) basado en un modelo VAR cointegrado. A partir de las estimaciones consistentes de dicho modelo obtenemos la magnitud y persistencia de los shocks a través de la simulación de la respuesta al impulso, y estimaciones eficientes de los parámetros modelizando la varianza condicional que es variable en el tiempo. En este sentido, se proponen varios esquemas de volatilidad que permiten plantear distintas aproximaciones de laincertidumbre en un entorno multiecuacional GARCH y que están basadas en el modelo de expectativas propuesto. La evidencia empírica muestra que se incumple la teoría de las expectativas, que existe una dinámica conjunta a corto plazo para los tipos de interés y el diferencial que está definida por un modelo VAR(4)-GARCH( 1,1)-BEKK (que está próximo a la integrabilidad en varianza), y que existen distintos factores de riesgo que afectan a las primas en los plazos estudiados

An Interface Damage Model for the Simulation of Delamination Under Variable-Mode Ratio in Composite Materials

A thermodynamically consistent damage model for the simulation of progressive delamination under variable mode ratio is presented. The model is formulated in the context of the Damage Mechanics. The constitutive equation that results from the definition of the free energy as a function of a damage variable is used to model the initiation and propagation of delamination. A new delamination initiation criterion is developed to assure that the formulation can account for changes in the loading mode in a thermodynamically consistent way. The formulation proposed accounts for crack closure effets avoiding interfacial penetration of two adjacent layers aftercomplete decohesion. The model is implemented in a finite element formulation. The numerical predictions given by the model are compared with experimental results

Estudi i guia docent per a modelatge i simulació de sistemes mitjançant l'entron ARENA

Aquest projecte es basa en el modelatge i simulació de sistemes utilitzant un simulador digital, i pretén ser una guia docent com a eina d’ajuda per a una assignatura que, a priori, s’impartirà a la Universitat de Vic. La simulació és una tècnica que permet representar el comportament de processos (físics, productius, de serveis, etc.) sense necessitat d’accedir al sistema real. Per analitzar, estudiar i millorar el comportament d’un sistema mitjançant la tècnica de la simulació digital és necessari primer desenvolupar un model conceptual que descrigui les variables d’interès, i després implementar-lo en un simulador per poder analitzar els resultats. ARENA és el software de simulació que s’estudia en aquest projecte i es presenta com una eina que permet la descripció complerta de l’experiència que una entitat desenvolupa a l’interior del sistema mentre flueix a través d’aquest. En concret s’utilitza la versió ARENA 10.0. Pel que fa a l’estructura del projecte, primerament s’introdueixen conceptes teòrics referents a la simulació, així com avantatges i inconvenients i els camps d’aplicació de la simulació. Seguidament i ja centrats en l’Arena, s’analitza un exemple senzill per començar-ne a veure el funcionament. Posteriorment, es van estudiant varis exemples amb complexitat progressiva. Aquests exemples es desenvolupen pas a pas de manera que es puguin anar provant amb el simulador. En el transcurs del projecte es van estudiant les eines de l’Arena i les seves possibilitats, així com els resultats obtinguts i les interpretacions d’aquests. Aquest projecte pretén, doncs, donar conceptes introductoris en el camp de la simulació en general, i, en particular, descriure eines bàsiques sobre el funcionament de l’Arena.

Nutrimetabolomics fingerprinting to identify biomarkers of bread exposure in a free-living population from the PREDIMED study cohort

Bread is one of the most widely consumed foods. Its impact on human health is currently of special interest for researchers. We aimed to identify biomarkers of bread consumption by applying a nutrimetabolomic approach to a free-living population. An untargeted HPLC q-TOF-MS and multivariate analysis was applied to human urine from 155 subjects stratified by habitual bread consumption in three groups: non-consumers of bread (n = 56), white-bread consumers (n = 48) and whole-grain bread consumers (n = 51). The most differential metabolites (variable importance for projection ≥1.5) included compounds originating from cereal plant phytochemicals such as benzoxazinoids and alkylresorcinol metabolites, and compounds produced by gut microbiota (such as enterolactones, hydroxybenzoic and dihydroferulic acid metabolites). Pyrraline, riboflavin, 3-indolecarboxylic acid glucuronide, 2,8-dihydroxyquinoline glucuronide and N-α-acetylcitrulline were also tentatively identified. In order to combine multiple metabolites in a model to predict bread consumption, a stepwise logistic regression analysis was used. Receiver operating curves were constructed to evaluate the global performance of individual metabolites and their combination. The area under the curve values [AUC (95 % CI)] of combined models ranged from 77.8 % (69.1 86.4 %) to 93.7 % (89.4 98.1 %), whereas the AUC for the metabolites included in the models had weak values when they were evaluated individually: from 58.1 % (46.6 69.7 %) to 78.4 % (69.8 87.1 %). Our study showed that a daily bread intake significantly impacted on the urinary metabolome, despite being examined under uncontrolled free-living conditions. We further concluded that a combination of several biomarkers of exposure is better than a single biomarker for the predictive ability of discriminative analysis.

Nutrimetabolomics fingerprinting to identify biomarkers of bread exposure in a free-living population from the PREDIMED study cohort

Bread is one of the most widely consumed foods. Its impact on human health is currently of special interest for researchers. We aimed to identify biomarkers of bread consumption by applying a nutrimetabolomic approach to a free-living population. An untargeted HPLC q-TOF-MS and multivariate analysis was applied to human urine from 155 subjects stratified by habitual bread consumption in three groups: non-consumers of bread (n = 56), white-bread consumers (n = 48) and whole-grain bread consumers (n = 51). The most differential metabolites (variable importance for projection ≥1.5) included compounds originating from cereal plant phytochemicals such as benzoxazinoids and alkylresorcinol metabolites, and compounds produced by gut microbiota (such as enterolactones, hydroxybenzoic and dihydroferulic acid metabolites). Pyrraline, riboflavin, 3-indolecarboxylic acid glucuronide, 2,8-dihydroxyquinoline glucuronide and N-α-acetylcitrulline were also tentatively identified. In order to combine multiple metabolites in a model to predict bread consumption, a stepwise logistic regression analysis was used. Receiver operating curves were constructed to evaluate the global performance of individual metabolites and their combination. The area under the curve values [AUC (95 % CI)] of combined models ranged from 77.8 % (69.1 86.4 %) to 93.7 % (89.4 98.1 %), whereas the AUC for the metabolites included in the models had weak values when they were evaluated individually: from 58.1 % (46.6 69.7 %) to 78.4 % (69.8 87.1 %). Our study showed that a daily bread intake significantly impacted on the urinary metabolome, despite being examined under uncontrolled free-living conditions. We further concluded that a combination of several biomarkers of exposure is better than a single biomarker for the predictive ability of discriminative analysis.