Mean reversion in the short horizon returns of UK portfolios

This paper will show that short horizon stock returns for UK portfolios are more predictable than suggested by sample autocorrelation co-efficients. Four capitalisation based portfolios are constructed for the period 1976–1991. It is shown that the first order autocorrelation coefficient of monthly returns can explain no more than 10% of the variation in monthly portfolio returns. Monthly autocorrelation coefficients assume that each weekly return of the previous month contains the same amount of information. However, this will not be the case if short horizon returns contain predictable components which dissipate rapidly. In this case, the return of the most recent week would say a lot more about the future monthly portfolio return than other weeks. This suggests that when predicting future monthly portfolio returns more weight should be given to the most recent weeks of the previous month, because, the most recent weekly returns provide the most information about the subsequent months' performance. We construct a model which exploits the mean reverting characteristics of monthly portfolio returns. Using this model we forecast future monthly portfolio returns. When compared to forecasts that utilise the autocorrelation statistic the model which exploits the mean reverting characteristics of monthlyportfolio returns can forecast future returns better than the autocorrelation statistic, both in and out of sample.

Momentum profits and macroeconomic factors

This article tests whether macroeconomic variables and market sentiment influence the size of momentum profits. It finds that although returns to the winner and loser portfolios are influenced by a range of macroeconomic and market wide variables; momentum profits are influenced only by the scale of portfolio outflows. Thus, when investors are sending their capital elsewhere, reduced funds at home, dampen the profitability of the momentum trading strategy. It also finds that when the market closes, below its opening level in the previous six months, momentum profits are higher, which might be a reflection of mean reversion in the market. © 2004 Taylor and Francis Ltd.

Momentum profits following bull and bear markets

This paper examines the profitability that the widely published momentum strategy achieves following bull and bear markets. Investors can gain stronger momentum profits by adopting the continuation strategy after poor lagged market returns. The longer the duration used to describe the bear state, the stronger the momentum returns that are realised. The results contradict the theoretical findings of the investors' overconfidence model of Daniel et al. (`Investor Psychology and Security Market Under- and Over-Reactions', Journal of Finance, 53, 1839-85, 1998) and the follow-the-trend model of Kim (`Long-term Momentum Hypothesis: Contrarian and Momentum Strategies', Working Paper, 2002), but concur with the theoretical results of the traders' hesitation model of Du (`Heterogeneity in Investor Confidence and Asset Market Under- and Overreaction', Working Paper, 2002).

Susceptibility to pattern glare following stroke

The aim of this work was to measure susceptibility to pattern glare within a stroke group, employing a direct method of assessment. Twenty stroke subjects, aged 38-85 years, were recruited, along with an age-matched control group (n = 20). Assessment of pattern glare susceptibility was undertaken using the pattern glare test. An abnormal degree of pattern glare is present when individuals score >1 on the mid-high spatial frequency difference variable, a relative score that allows for normalization of the subject, or >3 when viewing the mid spatial frequency grating. Stroke subjects demonstrate elevated levels of pattern glare compared to normative data values and a control population, as determined using the pattern glare test. This was most notable when considering the output measure for the mid-high difference variable. The mean score for the mid-high difference variable was 2.15 SD 1.27 for the stroke subjects versus 0.10 SD 1.12 for the control subjects. When considering the mid-high difference variable, 75% of the stroke group recorded an abnormal level of pattern glare compared to 5% in the control group. This study demonstrates an association between stroke subjects and elevated levels of pattern glare. Cortical hyperexcitability has been shown to present following stroke, and this has been proposed as a plausible explanation for the perceptual distortions experienced by individuals susceptible to pattern glare. Further work to assess the benefits of spectral filters in reducing perceptual distortions in stroke patients is currently underway.

Does nuclear tissue infected with bacteria following disc herniations lead to Modic changes in the adjacent vertebrae?

Purpose To investigate the prevalence of infected herniated nucleus material in lumbar disc herniations and to determine if patients with an anaerobic infected disc are more likely to develop Modic change (MC) (bone oedema) in the adjacent vertebrae after the disc herniation. MCs (bone oedema) in vertebrae are observed in 6 % of the general population and in 35-40 % of people with low back pain. These changes are strongly associated with low back pain. There are probably a mechanical cause and an infective cause that causes MC. Several studies on nuclear tissue from herniated discs have demonstrated the presence of low virulent anaerobic microorganisms, predominantly Propionibacterium acnes, in 7-53 % of patients. At the time of a herniation these low virulent anaerobic bacteria may enter the disc and give rise to an insidious infection. Local inflammation in the adjacent bone may be a secondary effect due to cytokine and propionic acid production. Methods Patients undergoing primary surgery at a single spinal level for lumbar disc herniation with an MRI-confirmed lumbar disc herniation, where the annular fibres were penetrated by visible nuclear tissue, had the nucleus material removed. Stringent antiseptic sterile protocols were followed. Results Sixty-one patients were included, mean age 46.4 years (SD 9.7), 27 % female. All patients were immunocompetent. No patient had received a previous epidural steroid injection or undergone previous back surgery. In total, microbiological cultures were positive in 28 (46 %) patients. Anaerobic cultures were positive in 26 (43 %) patients, and of these 4 (7 %) had dual microbial infections, containing both one aerobic and one anaerobic culture. No tissue specimens had more than two types of bacteria identified. Two (3 %) cultures only had aerobic bacteria isolated. In the discs with a nucleus with anaerobic bacteria, 80 % developed new MC in the vertebrae adjacent to the previous disc herniation. In contrast, none of those with aerobic bacteria and only 44 % of patients with negative cultures developed new MC. The association between an anaerobic culture and new MCs is highly statistically significant (P = 0.0038), with an odds ratio of 5.60 (95 % CI 1.51-21.95). Conclusion These findings support the theory that the occurrence of MCs Type 1 in the vertebrae adjacent to a previously herniated disc may be due to oedema surrounding an infected disc. The discs infected with anaerobic bacteria were more likely (P<0.0038) to develop MCs in the adjacent vertebrae than those in which no bacteria were found or those in which aerobic bacteria were found. © Springer-Verlag Berlin Heidelberg 2013.

Higher-order aberrations in amblyopia:an analysis of pre- and post-wavefront-guided laser refractive correction

For more than a century it has been known that the eye is not a perfect optical system, but rather a system that suffers from aberrations beyond conventional prescriptive descriptions of defocus and astigmatism. Whereas traditional refraction attempts to describe the error of the eye with only two parameters, namely sphere and cylinder, measurements of wavefront aberrations depict the optical error with many more parameters. What remains questionable is the impact these additional parameters have on visual function. Some authors have argued that higher-order aberrations have a considerable effect on visual function and in certain cases this effect is significant enough to induce amblyopia. This has been referred to as ‘higher-order aberration-associated amblyopia’. In such cases, correction of higher-order aberrations would not restore visual function. Others have reported that patients with binocular asymmetric aberrations display an associated unilateral decrease in visual acuity and, if the decline in acuity results from the aberrations alone, such subjects may have been erroneously diagnosed as amblyopes. In these cases, correction of higher-order aberrations would restore visual function. This refractive entity has been termed ‘aberropia’. In order to investigate these hypotheses, the distribution of higher-order aberrations in strabismic, anisometropic and idiopathic amblyopes, and in a group of visual normals, was analysed both before and after wavefront-guided laser refractive correction. The results show: (i) there is no significant asymmetry in higher-order aberrations between amblyopic and fixing eyes prior to laser refractive treatment; (ii) the mean magnitude of higher-order aberrations is similar within the amblyopic and visually normal populations; (iii) a significant improvement in visual acuity can be realised for adult amblyopic patients utilising wavefront-guided laser refractive surgery and a modest increase in contrast sensitivity was observed for the amblyopic eye of anisometropes following treatment (iv) an overall trend towards increased higher-order aberrations following wavefront-guided laser refractive treatment was observed for both visually normal and amblyopic eyes. In conclusion, while the data do not provide any direct evidence for the concepts of either ‘aberropia’ or ‘higher-order aberration-associated amblyopia’, it is clear that gains in visual acuity and contrast sensitivity may be realised following laser refractive treatment of the amblyopic adult eye. Possible mechanisms by which these gains are realised are discussed.

The effects of entrance pupil centration and coma aberrations on myopic progression following orthokeratology

Background: The aim was to assess the potential association between entrance pupil location relative to the coaxially sighted corneal light reflex (CSCLR) and the progression of myopia in children fitted with orthokeratology (OK) contact lenses. Additionally, whether coma aberration induced by decentration of the entrance pupil centre relative to the CSCLR, as well as following OK treatment, is correlated with the progression of myopia, was also investigated. Methods: Twenty-nine subjects aged six to 12years and with myopia of -0.75 to -4.00 DS and astigmatism up to 1.00DC were fitted with OK contact lenses. Measurements of axial length and corneal topography were taken at six-month intervals over a two-year period. Additionally, baseline and three-month topographic outputs were taken as representative of the pre- and post-orthokeratology treatment status. Pupil centration relative to the CSCLR and magnitude of associated corneal coma were derived from corneal topographic data at baseline and after three months of lens wear. Results: The centre of the entrance pupil was located superio-temporally to the CSCLR both pre- (0.09±0.14 and -0.10±0.15mm, respectively) and post-orthokeratology (0.12±0.18 and -0.09±0.15mm, respectively) (p>0.05). Entrance pupil location pre- and post-orthokeratology lens wear was not significantly associated with the two-year change in axial length (p>0.05). Significantly greater coma was found at the entrance pupil centre compared with CSCLR both pre- and post-orthokeratology lens wear (both p<0.05). A significant increase in vertical coma was found with OK lens wear compared to baseline (p<0.001) but total root mean square (RMS) coma was not associated with the change in axial length (all p>0.05). Conclusion: Entrance pupil location relative to the CSCLR was not significantly affected by either OK lens wear or an increase in axial length. Greater magnitude coma aberrations found at the entrance pupil centre in comparison to the CSCLR might be attributed to centration of orthokeratological treatments at the CSCLR.

Estimation of computer waste quantities using forecasting techniques

Technology changes rapidly over years providing continuously more options for computer alternatives and making life easier for economic, intra-relation or any other transactions. However, the introduction of new technology “pushes” old Information and Communication Technology (ICT) products to non-use. E-waste is defined as the quantities of ICT products which are not in use and is bivariate function of the sold quantities, and the probability that specific computers quantity will be regarded as obsolete. In this paper, an e-waste generation model is presented, which is applied to the following regions: Western and Eastern Europe, Asia/Pacific, Japan/Australia/New Zealand, North and South America. Furthermore, cumulative computer sales were retrieved for selected countries of the regions so as to compute obsolete computer quantities. In order to provide robust results for the forecasted quantities, a selection of forecasting models, namely (i) Bass, (ii) Gompertz, (iii) Logistic, (iv) Trend model, (v) Level model, (vi) AutoRegressive Moving Average (ARMA), and (vii) Exponential Smoothing were applied, depicting for each country that model which would provide better results in terms of minimum error indices (Mean Absolute Error and Mean Square Error) for the in-sample estimation. As new technology does not diffuse in all the regions of the world with the same speed due to different socio-economic factors, the lifespan distribution, which provides the probability of a certain quantity of computers to be considered as obsolete, is not adequately modeled in the literature. The time horizon for the forecasted quantities is 2014-2030, while the results show a very sharp increase in the USA and United Kingdom, due to the fact of decreasing computer lifespan and increasing sales.

Visual and quality outcomes following bilateral implantation of a trifocal intraocular lens

Purpose: To examine visual outcomes following bilateral implantation of the FineVision trifocal intraocular lens (IOL; PhysIOL, Liège, Belgium). Methods: 26 patients undergoing routine cataract surgery were implanted bilaterally with the FineVision Trifocal IOL and followed up post-operatively for 3 months. The FineVision optic features a combination of 2 diffractive structures, resulting in distance, intermediate (+1.75 D add) and near vision (+3.50 D add) zones. Apodization of the optic surface increases far vision dominance with pupil aperture. Data collected at the 3 month visit included uncorrected and corrected distance (CDVA) and near vision; subjective refraction; defocus curve testing (photopic and mesopic); contrast sensitivity (CSV-1000); halometry glare testing and a questionnaire (NAVQ) to gauge near vision function and patient satisfaction. Results: The cohort comprised 15 males and 11 females, aged 52.5–82.4 years (mean 70.6 ± 8.2 years). Mean post-operative UDVA was 0.22 ± 0.14 logMAR, with a mean spherical equivalent refraction of +0.02 ± 0.35 D. Mean CDVA was 0.13 ± 0.10 logMAR monocularly, and 0.09 ± 0.07 logMAR binocularly. Defocus curve testing showed an extensive range of clear vision in both photopic and mesopic conditions. Patients showed high levels of satisfaction with their near vision (mean ± 0.9 ± 0.6, where 0 = completely satisfied, and 4 = completely unsatisfied) and demonstrated good spectacle independence. Conclusion: The FineVision IOL can be considered in patients seeking spectacle dependence following cataract surgery, and provide good patient satisfaction with uncorrected vision.

Can aberrometry provide rapid and reliable measures of subjective depth of focus following multifocal intraocular lens implantation?

Purpose: To determine whether the ‘through-focus’ aberrations of a multifocal and accommodative intraocular lens (IOL) implanted patient can be used to provide rapid and reliable measures of their subjective range of clear vision. Methods: Eyes that had been implanted with a concentric (n = 8), segmented (n = 10) or accommodating (n = 6) intraocular lenses (mean age 62.9 ± 8.9 years; range 46-79 years) for over a year underwent simultaneous monocular subjective (electronic logMAR test chart at 4m with letters randomised between presentations) and objective (Aston open-field aberrometer) defocus curve testing for levels of defocus between +1.50 to -5.00DS in -0.50DS steps, in a randomised order. Pupil size and ocular aberration (a combination of the patient’s and the defocus inducing lens aberrations) at each level of blur was measured by the aberrometer. Visual acuity was measured subjectively at each level of defocus to determine the traditional defocus curve. Objective acuity was predicted using image quality metrics. Results: The range of clear focus differed between the three IOL types (F=15.506, P=0.001) as well as between subjective and objective defocus curves (F=6.685, p=0.049). There was no statistically significant difference between subjective and objective defocus curves in the segmented or concentric ring MIOL group (P>0.05). However a difference was found between the two measures and the accommodating IOL group (P<0.001). Mean Delta logMAR (predicted minus measured logMAR) across all target vergences was -0.06 ± 0.19 logMAR. Predicted logMAR defocus curves for the multifocal IOLs did not show a near vision addition peak, unlike the subjective measurement of visual acuity. However, there was a strong positive correlation between measured and predicted logMAR for all three IOLs (Pearson’s correlation: P<0.001). Conclusions: Current subjective procedures are lengthy and do not enable important additional measures such as defocus curves under differently luminance or contrast levels to be assessed, which may limit our understanding of MIOL performance in real-world conditions. In general objective aberrometry measures correlated well with the subjective assessment indicating the relative robustness of this technique in evaluating post-operative success with segmented and concentric ring MIOL.