Low-cost momentum strategies

This paper analyses the impact of trading costs on the profitability of momentum strategies in the United Kingdom and concludes that losers are more expensive to trade than winners. The observed asymmetry in the costs of trading winners and losers crucially relates to the high cost of selling loser stocks with small size and low trading volume. Since transaction costs severely impact net momentum profits, the paper defines a new low-cost relative-strength strategy by shortlisting from all winner and loser stocks those with the lowest total transaction costs. While the study severely questions the profitability of standard momentum strategies, it concludes that there is still room for momentum-based return enhancement, should asset managers decide to adopt low-cost relative-strength strategies.

Meteorological factors controlling low-level continental pollutant outflow across a coast

Coastal outflow describes the horizontal advection of pollutants from the continental boundary layer across a coastline into a layer above the marine boundary layer. This process can ventilate polluted continental boundary layers and thus regulate air quality in highly populated coastal regions. This paper investigates the factors controlling coastal outflow and quantifies its importance as a ventilation mechanism. Tracers in the Met Office Unified Model (MetUM) are used to examine the magnitude and variability of coastal outflow over the eastern United States for a 4 week period during summer 2004. Over the 4 week period, ventilation of tracer from the continental boundary layer via coastal outflow occurs with the same magnitude as vertical ventilation via convection and advection. The relative importance of tracer decay rate, cross-coastal advection rate, and a parameter based on the relative continental and marine boundary layer heights, on coastal outflow is assessed by reducing the problem to a time-dependent box-model. The ratio of the advection rate and decay rate is a dimensionless parameter which determines whether tracers are long-lived or short-lived. Long- and short-lived tracers exhibit different behaviours with respect to coastal outflow. For short-lived tracers, increasing the advection rate increases the diurnally averaged magnitude of coastal outflow, but has the opposite effect for very long-lived tracers. Short-lived tracers exhibit large diurnal variability in coastal outflow but long-lived tracers do not. By combining the MetUM and box-model simulations a landwidth is determined which represents the distance inland over which emissions contribute significantly to coastal outflow. A landwidth of between 100 and 400 km is found to be representative for a tracer with a lifetime of 24 h.

Functionality of lipase and emulsifiers in low-fat cakes with inulin

The functional effects of lipase (0.003 and 0.006 g/100 g of flour) and emulsifier (0.5 and 1 g/100 g of flour) on fat-replaced (0%, 50% and 70%) batters and cakes with inulin (0, 7.5 and 10 g/100 g/of flour, respectively) were studied. Emulsifier addition significantly lowered the relative density of the batter. Emulsifier incorporation increased the viscoelastic properties of the batter. In contrast, lipase incorporation decreased the degree of system structuring. The evolution of the dynamic moduli and complex viscosity with rising temperatures were studied. Batters with 1 g/100 g emulsifier displayed a significantly lower complex viscosity during heating, resulting in collapsed cakes. Differential scanning calorimetry results revealed that the thermal setting in the control cakes occurred at higher temperatures, and accordingly, greater cake expansion was observed. Cakes with 0.003 g/100 g lipase or 0.5 g/100 g emulsifier displayed volume and crumb cell structure that were similar to those of control cakes. Higher concentrations of both improvers gave rise to cakes with lower volume, higher hardness and lower springiness. During storage time, cakes with lipase displayed lower hardness. Both improvers, at low concentrations, could improve certain physical characteristics, such as crumb structure, of fat-replaced cakes with inulin.

Revisiting the ‘Venturi effect’ in passage ventilation between two non-parallel buildings

A recent study conducted by Blocken et al. (Numerical study on the existence of the Venturi effect in passages between perpendicular buildings. Journal of Engineering Mechanics, 2008,134: 1021-1028) challenged the popular view of the existence of the ‘Venturi effect’ in building passages as the wind is exposed to an open boundary. The present research extends the work of Blocken et al. (2008a) into a more general setup with the building orientation varying from 0° to 180° using CFD simulations. Our results reveal that the passage flow is mainly determined by the combination of corner streams. It is also shown that converging passages have a higher wind-blocking effect compared to diverging passages, explained by a lower wind speed and higher drag coefficient. Fluxes on the top plane of the passage volume reverse from outflow to inflow in the cases of α=135°, 150° and 165°. A simple mathematical expression to explain the relationship between the flux ratio and the geometric parameters has been developed to aid wind design in an urban neighborhood. In addition, a converging passage with α=15° is recommended for urban wind design in cold and temperate climates since the passage flow changes smoothly and a relatively lower wind speed is expected compared with that where there are no buildings. While for the high-density urban area in (sub)tropical climates such as Hong Kong where there is a desire for more wind, a diverging passage with α=150° is a better choice to promote ventilation at the pedestrian level.