25 resultados para trend following mean reversion

em CentAUR: Central Archive University of Reading - UK


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A dataset of manufacturers' measurements of acrylamide levels in 40,455 samples of fresh sliced potato crisps from 20 European countries for years 2002 to 2011 was compiled. This dataset is by far the largest ever compiled relating to acrylamide levels in potato crisps. Analysis of variance was applied to the data and showed a clear, significant downward trend for mean levels of acrylamide, from 763 +/- 91.1 ng g(-1) (parts per billion) in 2002 to 358 +/- 2.5 ng g(-1) in 2011; this was a decrease of 53% +/- 13.5%. The yearly 95th quantile values were also subject to a clear downward trend. The effect of seasonality arising from the influence of potato storage on acrylamide levels was evident, with acrylamide in the first 6 months of the year being significantly higher than in the second 6 months. The proportion of samples containing acrylamide at a level above the indicative value of 1000ngg(-1) for potato crisps introduced by the European Commission in 2011 fell from 23.8% in 2002 to 3.2% in 2011. Nevertheless, even in 2011, a small proportion of samples still contained high levels of acrylamide, with 0.2% exceeding 2000ngg(-1).

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Analysis of meteorological records from four stations (Chittagong, Cox’s Bazar, Rangamati, Sitakunda) in south-eastern Bangladesh show coherent changes in climate over the past three decades. Mean maximum daily temperatures have increased between 1980 and 2013 by ca. 0.4 to 0.6°C per decade, with changes of comparable magnitude in individual seasons. The increase in mean maximum daily temperature is associated with decreased cloud cover and wind speed, particularly in the pre- and post-monsoon seasons. During these two seasons, the correlation between changes in maximum temperature and clouds is between -0.5 and -0.7; the correlation with wind speed is weaker although similar values are obtained in some seasons. Changes in mean daily minimum (and hence mean) temperature differ between the northern and southern part of the basin: northern stations show a decrease in mean daily minimum temperature during the post-monsoon season of between 0.2 and 0.5°C per decade while southern stations show an increase of ca. 0.1 to 0.4°C per decade during the pre-monsoon and monsoon seasons. In contrast to the significant changes in temperature, there is no trend in mean or total precipitation at any station. However, there is a significant increase in the number of rain days at the northern sites during the monsoon season, with an increase per decade of 3 days in Sitakunda and 7 days at Rangamati. These climate changes could have a significant impact on the hydrology of the Halda Basin, which supplies water to Chittagong and is the major pisciculture centre in Bangladesh.

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This paper seeks to increase the understanding of the performance implications for investors who choose to combine an unlisted real estate portfolio (in this case German Spezialfonds) with a (global) listed real estate element. We call this a “blended” approach to real estate allocations. For the avoidance of doubt, in this paper we are dealing purely with real estate equity (listed and unlisted) allocations, and do not incorporate real estate debt (listed or unlisted) or direct property into the process. A previous paper (Moss and Farrelly 2014) showed the benefits of the blended approach as it applied to UK Defined Contribution Pension Schemes. The catalyst for this paper has been the recent attention focused on German pension fund allocations, which have a relatively low (real estate) equity content, and a high bond content. We have used the MSCI Spezialfonds Index as a proxy for domestic German institutional real estate allocations, and the EPRA Global Developed Index as a proxy for a global listed real estate allocation. We also examine whether a rules based trading strategy, in this case Trend Following, can improve the risk adjusted returns above those of a simple buy and hold strategy for our sample period 2004-2015. Our findings are that by blending a 30% global listed portfolio with a 70% allocation (as opposed to a typical 100% weighting) to Spezialfonds, the real estate allocation returns increase from 2.88% p.a. to 5.42% pa. Volatility increases, but only to 6.53%., but there is a noticeable impact on maximum drawdown which increases to 19.4%. By using a Trend Following strategy raw returns are improved from 2.88% to 6.94% p.a. , The Sharpe Ratio increases from 1.05 to 1.49 and the Maximum Drawdown ratio is now only 1.83% compared to 19.4% using a buy and hold strategy . Finally, adding this (9%) real estate allocation to a mixed asset portfolio allocation typical for German pension funds there is an improvement in both the raw return (from 7.66% to 8.28%) and the Sharpe Ratio (from 0.91 to 0.98).

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Turbulent surface fluxes of momentum and sensible and latent heat as well as surface temperature, air temperature, air humidity, and wind speed were measured by the German Falcon research aircraft over the marginal ice zone (MIZ) of the northern Baltic Sea and the Fram Strait. Applying the bulk formulas and the stability functions to the measurements, the roughness lengths for momentum z0, sensible heat zT, and latent heat zq were calculated. As mean values over a wide range of sea ice conditions, we obtain z0 = 5 � 10�4 m, zT = 1 � 10�8 m, and zq = 1 � 10�7 m. These correspond to the following mean values (± standard deviations) of neutral transfer coefficients reduced to 10 m height, CDN10 = (1.9 ± 0.8) � 10�3, CHN10 = (0.9 ± 0.3) � 10�3, and CEN10 = (1.0 ± 0.2) � 10�3. An average ratio of z0/zT � 104 was observed over the range of 10�6 m < z0 < 10�2 m and differs from previously published results over compact sea ice (10�1 < z0/zT < 103). Other observational results over heterogeneous sea ice do not exist. However, our z0/zT ratio approximately agrees with observations over heterogeneous land surfaces. Flux parameterizations based on commonly used roughness lengths ratios (z0 = zT = zq) overestimate the surface heat fluxes compared to our measurements by more than 100%.

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The objective of this study was to determine the distribution of total selenium (Se) and of the proportion of total Se comprised as the selenized amino acids selenomethionine (SeMet) and selenocysteine (SeCys) within the post mortem tissues of lambs that were fed high dose selenized enriched yeast (SY), derived from a specific strain of Saccharomyces cerevisae CNCM (Collection Nationale de Culture de Micro-organism) I-3060. Thirty two Texel X Suffolk lambs (6.87 ± 0.23 kg BW) were offered both reconstituted milk replacer and a pelleted diet, both of which had been either supplemented with high SY (6.30 ± 0.18 mg Se/kg DM) or unsupplemented (0.13 ± 0.01 mg Se/kg of DM), depending on treatment designation, for a continuous period of 91 d. At enrollment and 28, 56 and 91 d following enrollment lambs were blood sampled. At the completion of the treatment period, five lambs from each treatment group were euthanased and samples of heart, liver, kidney and skeletal muscle (Longissimus Dorsi and Psoas Major) were retained for Se analysis. The inclusion of high SY increased (P < 0.001) whole blood Se concentration, reaching a maximum mean value of 815.2 ± 19.1 ng Se/mL compared with 217.8 ± 9.1 ng Se/mL in control animals. Tissue total Se concentrations were significantly (P < 0.001) higher in SY supplemented animals than in controls irrespective of tissue type; values were 26, 16, 8 and 3 times higher in skeletal muscle, liver, heart and kidney tissue of HSY lambs when compared to controls. however, the distribution of total Se and the proportions of total Se comprised as either SeMet or SeCys differed between tissue types. Selenocysteine was the predominant selenized amino acid in glandular tissues, such the liver and kidney. irrespective of treatment, although absolute values were markedly higher in HSY lambs. Conversely selenomethionine was the predominat selenized amino acid in cardiac and skeletal muscle (Longissimus Dorsi, and Psoas Major) tissues in HSY animals, although the same trend was not apparent for control lambs in which SeCys was the predominant selenized amino acid. It was concluded that there were increases in both whole blood and tissue total Se concentrations as a result of dietary supplementation with high dose of SY. Furthermore, distribution of total Se and Se species differed between both treatment designation and tissue type.

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A multivariate fit to the variation in global mean surface air temperature anomaly over the past half century is presented. The fit procedure allows for the effect of response time on the waveform, amplitude and lag of each radiative forcing input, and each is allowed to have its own time constant. It is shown that the contribution of solar variability to the temperature trend since 1987 is small and downward; the best estimate is -1.3% and the 2sigma confidence level sets the uncertainty range of -0.7 to -1.9%. The result is the same if one quantifies the solar variation using galactic cosmic ray fluxes (for which the analysis can be extended back to 1953) or the most accurate total solar irradiance data composite. The rise in the global mean air surface temperatures is predominantly associated with a linear increase that represents the combined effects of changes in anthropogenic well-mixed greenhouse gases and aerosols, although, in recent decades, there is also a considerable contribution by a relative lack of major volcanic eruptions. The best estimate is that the anthropogenic factors contribute 75% of the rise since 1987, with an uncertainty range (set by the 2sigma confidence level using an AR(1) noise model) of 49–160%; thus, the uncertainty is large, but we can state that at least half of the temperature trend comes from the linear term and that this term could explain the entire rise. The results are consistent with the intergovernmental panel on climate change (IPCC) estimates of the changes in radiative forcing (given for 1961–1995) and are here combined with those estimates to find the response times, equilibrium climate sensitivities and pertinent heat capacities (i.e. the depth into the oceans to which a given radiative forcing variation penetrates) of the quasi-periodic (decadal-scale) input forcing variations. As shown by previous studies, the decadal-scale variations do not penetrate as deeply into the oceans as the longer term drifts and have shorter response times. Hence, conclusions about the response to century-scale forcing changes (and hence the associated equilibrium climate sensitivity and the temperature rise commitment) cannot be made from studies of the response to shorter period forcing changes.

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A model was published by Lewis et al. (2002) to predict the mean age at first egg (AFE) for pullets of laying strains reared under non-limiting environmental conditions and exposed to a single change in photoperiod during the rearing stage. Subsequently, Lewis et al. (2003) reported the effects of two opposing changes in photoperiod, which showed that the first change appears to alter the pullet's physiological age so that it responds to the second change as though it had been given at an earlier age (if photoperiod was decreased), or later age (if photoperiod was increased) than the true chronological age. During the construction of a computer model based on these two publications, it became apparent that some of the components of the models needed adjustment. The amendments relate to (1) the standard deviation (S.D.) used for calculating the proportion of a young flock that has attained photosensitivity, (2) the equation for calculating the slope of the line relating AFE to age at transfer from one photoperiod to another, (3) the equation used for estimating the distribution of AFE as a function of the mean value, (4) the point of no return when pullets which have started spontaneous maturation in response to the current photoperiod can no longer respond to a late change in photoperiod and (5) the equations used for calculating the distribution of AFE when the trait is bimodal.

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This paper considers the problem of estimation when one of a number of populations, assumed normal with known common variance, is selected on the basis of it having the largest observed mean. Conditional on selection of the population, the observed mean is a biased estimate of the true mean. This problem arises in the analysis of clinical trials in which selection is made between a number of experimental treatments that are compared with each other either with or without an additional control treatment. Attempts to obtain approximately unbiased estimates in this setting have been proposed by Shen [2001. An improved method of evaluating drug effect in a multiple dose clinical trial. Statist. Medicine 20, 1913–1929] and Stallard and Todd [2005. Point estimates and confidence regions for sequential trials involving selection. J. Statist. Plann. Inference 135, 402–419]. This paper explores the problem in the simple setting in which two experimental treatments are compared in a single analysis. It is shown that in this case the estimate of Stallard and Todd is the maximum-likelihood estimate (m.l.e.), and this is compared with the estimate proposed by Shen. In particular, it is shown that the m.l.e. has infinite expectation whatever the true value of the mean being estimated. We show that there is no conditionally unbiased estimator, and propose a new family of approximately conditionally unbiased estimators, comparing these with the estimators suggested by Shen.

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Objectives: To determine the incidence and clinical relevance of newly diagnosed cases of prostate cancer in a group of men who had an elevated PSA and benign prostate biopsy 7 years previously. Patients and Method: Patients under the age of 80 years with an elevated PSA who had had a benign prostate biopsy in the 12 months between March 1, 1994 and February 28, 1995 were studied. One hundred and sixty four patients with a mean age of 66.8 years (range 47-79 years) were identified. The mean PSA for this group was 10.3 ng/ml (range 4.1-81 ng/ml). One hundred and fifty nine of the 164 (97%) hospital records were available for review and all but 21 (12.8%) of the General Practitioners were contacted. Results: Eighteen (11%) of the original 164 patients were subsequently diagnosed with prostate cancer, 2 died from their disease. Conclusions: In a population where the follow-up of patients with a benign biopsy was arranged on clinical grounds alone, 11% of the study group were diagnosed with prostate cancer during a seven-year follow-up. Although some of these cancers appear to be slow growing, most of those diagnosed in the initial follow-up period were deemed to be clinically significant and a small proportion progressed rapidly to metastases. All patients who have an elevated PSA, but benign biopsy, should undergo a period of PSA monitoring until it is clear that their PSA is not rising. We propose an initial intensive monitoring period to avoid missing those with clinically aggressive disease. (C) 2003 Elsevier Science B.V. All rights reserved.

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Background: Indian Asians living in Western Countries have an over 50% increased risk of coronary heart disease (CHD) relative to their Caucasians counterparts. The atherogenic lipoprotein phenotype (ALP), which is more prevalent in this ethnic group, may in part explain the increased risk. A low dietary long chain n-3 fatty acid (LC n-3 PUFA) intake and a high dietary n-6 PUFA intake and n-6:n-3 PUFA ratio in Indian Asians have been proposed as contributors to the increased ALP incidence and CHD risk in this subgroup. Aim: To examine the impact of dietary n-6:n-3 PUFA ratio on membrane fatty acid composition, blood lipid levels and markers of insulin sensitivity in Indian Asians living in the UK. Methods: Twenty-nine males were assigned to either a moderate or high n-6:n-3 PUFA (9 or 16) diet for 6 weeks. Fasting blood samples were collected at baseline and 6 weeks for analysis of triglycerides, total-, LDL- and HDL- cholesterol, non-esterified fatty acids, glucose, insulin, markers of insulin sensitivity and C-reactive protein. Results: Group mean saturated fatty acid, MUFA, n-6 PUFA and n-3 PUFA on the moderate and high n-6:n-3 PUFA diets were 26 g/d, 43 g/d, 15 g/d, 2 g/d and 25 g/d, 25 g/d, 28 g/d, 2 g/d respectively. A significantly lower total membrane n-3 PUFA and a trend towards lower EPA and DHA levels were observed following the high n-6:n-3 PUFA diet. However no significant effect of treatment on plasma lipids was evident. There was a trend towards a loss of insulin sensitivity on the high n-6:n-3 PUFA diet, with the increase in fasting insulin (P = 0.04) and HOMA IR [(insulin x glucose)/22.5] (P = 0.02) reaching significance. Conclusion: The results of the current study suggest that, within the context of a western diet, it is unlikely that dietary n-6:n-3 PUFA ratio has any major impact on the levels of LC n-3 PUFA in membrane phospholipids or have any major clinically relevant impact on insulin sensitivity and its associated dyslipidaemia.

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An increase in resistance to one natural enemy may result in no correlated change, a positive correlated change, or a negative correlated change in the ability of the host or prey to resist other natural enemies. The type of specificity is important in understanding the evolutionary response to natural enemies and was studied here in a Drosaphila-parasitoid system. Drosophila melanogaster lines selected for increased larval resistance to the endoparasitoid wasps Asobara tabida or Leptopilina boulardi were exposed to attack by A. tabida, L. boulardi and Leptopilina heterotama at 15 degrees C, 20 degrees C, and 25 degrees C. In general, encapsulation ability increased with temperature, with the exception of the lines selected against L. boulardi, which showed the opposite trend. Lines selected against L, boulardi showed large increases in resistance against all three parasitoid species, and showed similar levels of defense against A. tabida to the lines selected against that parasitoid. In contrast, lines selected against A. tabida showed a large increase in resistance to A. tabida and generally to L. heterotoma, but displayed only a small change in their ability to survive attack by L. boulardi. Such asymmetries in correlated responses to selection for increased resistance to natural enemies may influence host-parasitoid community structure.

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OBJECTIVE: The present study was carried out to determine effects of test meals of different fatty acid compositions on postprandial lipoprotein and apolipoprotein metabolism. DESIGN: The study was a randomized, single blind design. SETTING: The study was carried out in the Clinical Investigation Unit of the Royal Surrey County Hospital. SUBJECTS: Twelve male normal subjects with an average age of 22.4 +/- 1.4 years (mean +/- SD) were selected from the student population of the University of Surrey; one subject dropped out of the study because he found the test meal unpalatable. INTERVENTIONS: The subjects were given three evening test meals on three separate occasions, in which the oils used were either a mixed oil (rich in saturated fatty acids and approximated the fatty acid intake of the current UK diet), corn oil (rich in n-6 fatty acids), or fish oil (rich in n-3 fatty acids) 40 g of the oil under investigation were incorporated into a rice-based test meal. Triacylglycerol-rich lipoproteins-triacylglycerol (TRL-TAG), TRL-cholesterol (TRL-cholesterol), plasma-TAG, plasma cholesterol (T-C), and serum apolipoprotein A-I and B (apo A-I and B) responses were measured. Postprandial responses were followed for 11 h. RESULTS: Postprandial plasma-TAG responses, calculated as incremental areas under the response curves (IAUC) were significantly reduced following the fish oil meal [365.5 +/- 145.4 mmol/l x min (mean +/- SD)[ compared with the mixed oil meal (552.0 +/- 141.7 mmol/l x min) (P < 0.05) and there was a strong trend towards the same direction in the TRL-TAG responses. In all instances, plasma-and TRL-TAG showed a biphasic response with increased concentrations occurring at 1h and between 3 and 7h postprandially. TRL-cholesterol, T-C, and serum apo A-I and B responses to the three meals were similar. CONCLUSIONS: The findings support the view that fish oils decrease postprandial lipaemia and this may be an important aspect of their beneficial effects in reducing risk of coronary heart disease (CHD). Further work is required to determine the mechanisms responsible for this effect.

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Synoptic-scale air flow variability over the United Kingdom is measured on a daily time scale by following previous work to define 3 indices: geostrophic flow strength, vorticity and direction. Comparing the observed distribution of air flow index values with those determined from a simulation with the Hadley Centre’s global climate model (HadCM2) identifies some minor systematic biases in the model’s synoptic circulation but demonstrates that the major features are well simulated. The relationship between temperature and precipitation from parts of the United Kingdom and these air flow indices (either singly or in pairs) is found to be very similar in both the observations and model output; indeed the simulated and observed precipitation relationships are found to be almost interchangeable in a quantitative sense. These encouraging results imply that some reliability can be assumed for single grid-box and regional output from this climate model; this applies only to those grid boxes evaluated here (which do not have high or complex orography), only to the portion of variability that is controlled by synoptic air flow variations, and only to those surface variables considered here (temperature and precipitation).

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Advances in seasonal forecasting have brought widespread socio-economic benefits. However, seasonal forecast skill in the extratropics is relatively modest, prompting the seasonal forecasting community to search for additional sources of predictability. For over a decade it has been suggested that knowledge of the state of the stratosphere can act as a source of enhanced seasonal predictability; long-lived circulation anomalies in the lower stratosphere that follow stratospheric sudden warmings are associated with circulation anomalies in the troposphere that can last up to two months. Here, we show by performing retrospective ensemble model forecasts that such enhanced predictability can be realized in a dynamical seasonal forecast system with a good representation of the stratosphere. When initialized at the onset date of stratospheric sudden warmings, the model forecasts faithfully reproduce the observed mean tropospheric conditions in the months following the stratospheric sudden warmings. Compared with an equivalent set of forecasts that are not initialized during stratospheric sudden warmings, we document enhanced forecast skill for atmospheric circulation patterns, surface temperatures over northern Russia and eastern Canada and North Atlantic precipitation. We suggest that seasonal forecast systems initialized during stratospheric sudden warmings are likely to yield significantly greater forecast skill in some regions.