Performance of active portfolio management and the effect of stock market trend

Purpose of the study is to evaluate performance of active portfolio management and the effect of stock market trend on the performance. Theory of efficient markets states that market prices reflect all available information and that all investors share a common view of future price developments. This view gives little room for the success of active management, but the theory has been disputed – at least the level of efficiency. Behavioral finance has developed theories that identify irrational behavior patterns of investors. For example, investment decisions are not made independent of past market developments. These findings give reason to believe that also the performance of active portfolio management may depend on market developments. Performance of 16 Finnish equity funds is evaluated during the period of 2005 to 2011. In addition two sub periods are constructed, a bull market period and a bear market period. The sub periods are created by joining together the two bull market phases and the two bear market phases of the whole period. This allows for the comparison of the two different market states. Performance of the funds is measured with risk-adjusted performance by Modigliani and Modigliani (1997), abnormal return over the CAPM by Jensen (1968), and market timing by Henriksson and Merton (1981). The results suggested that in average the funds are not able to outperform the market portfolio. However, the underperformance was found to be lower than the management fees in average which suggests that portfolio managers are able to do successful investment decisions to some extent. The study revealed substantial dependence on the market trend for all of the measures. The risk-adjusted performance measure suggested that in bear markets active portfolio managers in average are able to beat the market portfolio but not in bull markets. Jensen´s alpha and the market timing model also showed striking differences between the two market states. The results of these two measures were, however, somewhat problematic and reliable conclusions about the performance could not be drawn.

Control of the phosphorylation of the astrocyte marker glial fibrillary acidic protein (GFAP) in the immature rat hippocampus by glutamate and calcium ions: possible key factor in astrocytic plasticity

The present review describes recent research on the regulation by glutamate and Ca2+ of the phosphorylation state of the intermediate filament protein of the astrocytic cytoskeleton, glial fibrillary acidic protein (GFAP), in immature hippocampal slices. The results of this research are discussed against a background of modern knowledge of the functional importance of astrocytes in the brain and of the structure and dynamic properties of intermediate filament proteins. Astrocytes are now recognized as partners with neurons in many aspects of brain function with important roles in neural plasticity. Site-specific phosphorylation of intermediate filament proteins, including GFAP, has been shown to regulate the dynamic equilibrium between the polymerized and depolymerized state of the filaments and to play a fundamental role in mitosis. Glutamate was found to increase the phosphorylation state of GFAP in hippocampal slices from rats in the post-natal age range of 12-16 days in a reaction that was dependent on external Ca2+. The lack of external Ca2+ in the absence of glutamate also increased GFAP phosphorylation to the same extent. These effects of glutamate and Ca2+ were absent in adult hippocampal slices, where the phosphorylation of GFAP was completely Ca2+-dependent. Studies using specific agonists of glutamate receptors showed that the glutamate response was mediated by a G protein-linked group II metabotropic glutamate receptor (mGluR). Since group II mGluRs do not act by liberating Ca2+ from internal stores, it is proposed that activation of the receptor by glutamate inhibits Ca2+ entry into the astrocytes and consequently down-regulates a Ca2+-dependent dephosphorylation cascade regulating the phosphorylation state of GFAP. The functional significance of these results may be related to the narrow developmental window when the glutamate response is present. In the rat brain this window corresponds to the period of massive synaptogenesis during which astrocytes are known to proliferate. Possibly, glutamate liberated from developing synapses during this period may signal an increase in the phosphorylation

Study of the effects of ß-myrcene on rat fertility and general reproductive performance

ß-Myrcene (MYR) is a monoterpene found in the oils of a variety of aromatic plants including lemongrass, verbena, hop, bay, and others. MYR and essential oils containing this terpenoid compound are used in cosmetics, household products, and as flavoring food additives. This study was undertaken to investigate the effects of MYR on fertility and general reproductive performance in the rat. MYR (0, 100, 300 and 500 mg/kg) in peanut oil was given by gavage to male Wistar rats (15 per dose group) for 91 days prior to mating and during the mating period, as well as to females (45 per dose group) continuously for 21 days before mating, during mating and pregnancy, and throughout the period of lactation up to postnatal day 21. On day 21 of pregnancy one-third of the females of each group were submitted to cesarean section. Resorption, implantation, as well as dead and live fetuses were counted. All fetuses were examined for external malformations, weighed, and cleared and stained with Alizarin Red S for skeleton evaluation. The remaining dams were allowed to give birth to their offspring. The progeny was examined at birth and subsequently up to postnatal day 21. Mortality, weight gain and physical signs of postnatal development were evaluated. Except for an increase in liver and kidney weights, no other sign of toxicity was noted in male and female rats exposed to MYR. MYR did not affect the mating index (proportion of females impregnated by males) or the pregnancy index (ratio of pregnant to sperm-positive females). No sign of maternal toxicity and no increase in externally visible malformations were observed at any dose level. Only at the highest dose tested (500 mg/kg) did MYR induce an increase in the resorption rate and a higher frequency of fetal skeleton anomalies. No adverse effect of MYR on postnatal weight gain was noted but days of appearance of primary coat, incisor eruption and eye opening were slightly delayed in the exposed offspring. On the basis of the data presented in this paper the no-observed-adverse-effect level (NOAEL) for toxic effects on fertility and general reproductive performance can be set at 300 mg of ß-myrcene/kg body weight by the oral route.

Simulating the dynamics of silver market using computational market dynamics

Traditional econometric approaches in modeling the dynamics of equity and commodity markets, have, made great progress in the past decades. However, they assume rationality among the economic agents and and do not capture the dynamics that produce extreme events (black swans), due to deviation from the rationality assumption. The purpose of this study is to simulate the dynamics of silver markets by using the novel computational market dynamics approach. To this end, the daily data from the period of 1st March 2000 to 1st March 2013 of closing prices of spot silver prices has been simulated with the Jabłonska-Capasso-Morale(JCM) model. The Maximum Likelihood approach has been employed to calibrate the acquired data with JCM. Statistical analysis of the simulated series with respect to the actual one has been conducted to evaluate model performance. The model captures the animal spirits dynamics present in the data under evaluation well.

The role of complement in the early phase of Leishmania (Leishmania) amazonensis infection in BALB/c mice

Complement-depleted and -non-depleted BALB/c mice were inoculated with Leishmania (Leishmania) amazonensis promastigotes into the hind footpad to study the role of the complement system in cutaneous leishmaniasis. Total serum complement activity was measured by hemolytic assay and C3 fragment deposit at the inoculation site was determined by direct immunofluorescence in the early period of infection, i.e., at 3, 24, 48 h and 7 days post-infection. The inflammatory reaction and the parasite burden were evaluated in the skin lesion at 7 and 30 days post-infection. Total serum complement activity decreased in the early phase of infection, from 3 to 24 h, in non-depleted mice compared to non-infected and non-depleted mice. C3 fragment deposit at the site of parasite inoculation was present throughout the period of infection in non-depleted mice. In contrast, no C3 fragment deposit was observed at the inoculation site in complement-depleted mice. Complement-depleted mice showed a significant decrease in the inflammatory response and a significant increase in the number of parasites (70.0 ± 5.3 vs 5.3 ± 1.5) at 7 days of infection (P < 0.05). A higher number of parasites were also present at 30 days of infection at the inoculation site of complement-depleted mice (78.5 ± 24.9 vs 6.3 ± 5.7). These experiments indicate that complement has an important role at the beginning of experimental cutaneous leishmaniasis caused by L. (L.) amazonensis by controlling the number of parasites in the lesion.

Regime-Switching in the Impact of Oil Price Shocks on Stock Market Volatility: Evidence from Oil-Importing and Oil-Exporting Countries

Research has highlighted the adequacy of Markov regime-switching model to address dynamic behavior in long term stock market movements. Employing a purposed Extended regime-switching GARCH(1,1) model, this thesis further investigates the regime dependent nonlinear relationship between changes in oil price and stock market volatility in Saudi Arabia, Norway and Singapore for the period of 2001-2014. Market selection is prioritized to national dependency on oil export or import, which also rationalizes the fitness of implied bivariate volatility model. Among two regimes identified by the mean model, high stock market return-low volatility regime reflects the stable economic growth periods. The other regime characterized by low stock market return-high volatility coincides with episodes of recession and downturn. Moreover, results of volatility model provide the evidence that shocks in stock markets are less persistent during the high volatility regime. While accelerated oil price rises the stock market volatility during recessions, it reduces the stock market risk during normal growth periods in Singapore. In contrast, oil price showed no significant notable impact on stock market volatility of target oil-exporting countries in either of the volatility regime. In light to these results, international investors and policy makers could benefit the risk management in relation to oil price fluctuation.

Characterization of polyphenol oxidase in two cocoa (Theobroma cacao L.) cultivars produced in the south of Bahia, Brazil

Abstract The reactions leading to the formation of precursors of chocolate flavor are performed by endogenous enzymes present in the cocoa seed. Polyphenol oxidase (PPO) presence and activity during fermentation of cocoa beans is responsible for the development of flavor precursors and is also implicated in the reduction of bitterness and astringency. However, the reliability of cocoa enzyme activities is complicated due to variations in different genotypes, geographical origins and methods of fermentation. In addition, there is still a lack of systematic studies comparing different cocoa cultivars. So, the present study was designed to characterize the activity of PPO in the pulp and seeds of two cocoa cultivars, PH 16 and TSH 1188. The PPO activity was determined spectrophotometrically and characterized as the optimal substrate concentration, pH and temperature and the results were correlated with the conditions during the fermentation process. The results showed the specificity and differences between the two cocoa cultivars and between the pulp and seeds of each cultivar. It is suggested that specific criteria must be adopted for each cultivar, based on the optimal PPO parameters, to prolong the period of maximum PPO activity during fermentation, contributing to the improvement of the quality of cocoa beans.

Building-up influence: post-war industrialization in the State of Minas Gerais, Brazil

This paper examines the post-War industrialization process in the Brazilian State of Minas Gerais, focusing on one of its desirable outcomes, namely the capacity to generate growth through the impact of strong input-output linkages. This process is placed into historical perspective considering the ideas that permeate the economic development debate throughout the period of analysis. Changes in the regional economic structure are assessed through the use of three input-output tables for the years of 1953, 1980 and 1995. By adopting the fields of influence methodology as the analytical core, it is shown that the efforts towards the creation of a more integrated regional economy have generated stronger influence of the targeted sectors (metal products, transportation equipment, chemical, and services). However, structural changes also contributed to strengthen leakage in the system originated in traditional economic activities.

The influence of investigator disturbance on aggressive behaviour and breeding success of ring-billed gulls (Larus delawarensis) /

Increased losses of eggs and chicks resulting from human intrusion (investigator or other) into seabird colonies has been well documented. In 1990/91, I studied the effects of investigator disturbance on aggressive behaviour and breeding success of individual pairs of ring-billed gulls nesting at two colonies near Port Colborne, Ontario. The insular colony was on an artificial breakwall, associated with the Welland Ship Canal, approximately 1 km off the north shore of Lake Erie. The mainland colony was adjacent to the canal approximately 1 km east of the breakwall. The frequencies of adult threat and assault behaviours, chick movement and adult attacks on chicks were recorded by continuous scan sampling 30 min prior to, 30 min during and 60 (2 X 30) min after investigator disturbance. The frequency of threat and assault behaviours increased during the period of investigator activity in the colony while the duration of wingpulls and beakpulls decreased. Significantly more chicks ran ("runners") from their natal territories during disturbances and "runners" were more frequently attacked than "territorial" chicks. No chicks were fatally attacked during disturbance and "runners" returned to their natal territories quickly after disturbance. Breeding success was determined for pairs nesting in study plots subjected to two levels of disturbance (normal and moderate). The disturbance level of each plot differed in visitation frequency and activities performed on each visit. Investigator disturbance had no effect on the hatching success or fledging success (taken as 21 days of age) of ring-billed gull study pairs at either colony.

ASSESSING THE PERFORMANCE OF EMERGING MARKET MUTUAL FUNDS IN CANADA

Emerging markets have received wide attention from investors around the globe because of their return potential and risk diversification. This research examines the selection and timing performance of Canadian mutual funds which invest in fixed-income and equity securities in emerging markets. We use (un)conditional two- and five-factor benchmark models that accommodate the dynamics of returns in emerging markets. We also adopt the cross-sectional bootstrap methodology to distinguish between ‘skill’ and ‘luck’ for individual funds. All the tests are conducted using a comprehensive data set of bond and equity emerging funds over the period of 1989-2011. The risk-adjusted measures of performance are estimated using the least squares method with the Newey-West adjustment for standard errors that are robust to conditional heteroskedasticity and autocorrelation. The performance statistics of the emerging funds before (after) management-related costs are insignificantly positive (significantly negative). They are sensitive to the chosen benchmark model and conditional information improves selection performance. The timing statistics are largely insignificant throughout the sample period and are not sensitive to the benchmark model. Evidence of timing and selecting abilities is obtained in a small number of funds which is not sensitive to the fees structure. We also find evidence that a majority of individual funds provide zero (very few provide positive) abnormal return before fees and a significantly negative return after fees. At the negative end of the tail of performance distribution, our resampling tests fail to reject the role of bad luck in the poor performance of funds and we conclude that most of them are merely ‘unlucky’.

A Diagnostic and Modeling Study on the Onset of Summer Monsoon over South Asia

This study focuses on the onset of southwest monsoon over Kerala. India Meteorological Department (IMD) has been using a semi-objective method to define monsoon onset. The main objectives of the study are to understand the monsoon onset processes, to simulate monsoon onset in a GCM using as input the atmospheric conditions and Sea Surface Temperature, 10 days earlier to the onset, to develop a method for medium range prediction of the date of onset of southwest monsoon over Kerala and to examine the possibility of objectively defining the date of Monsoon Onset over Kerala (MOK). It gives a broad description of regional monsoon systems and monsoon onsets over Asia and Australia. Asian monsoon includes two separate subsystems, Indain monsoon and East Asian monsoon. It is seen from this study that the duration of the different phases of the onset process are dependent on the period of ISO. Based on the study of the monsoon onset process, modeling studies can be done for better understanding of the ocean-atmosphere interaction especially those associated with the warm pool in the Bay of Bengal and the Arabian Sea.

Studies on the benthose of the mud bank regions of the Kerala coast

There is very little information on the subtidal bottom fauna of the shelf regions in the seas around India. What little is known is restricted to macro benthos. The paucity of the work on bottom fauna and the importance of mud banks in the fishery of the South West Coast of India has initiated the present study. Attempts have been made to obtain a picture of the bottom fauna of a mud bank region of the Kerala Coast. The difficulties involved in the sampling and analysis, especially the availability of a suitable vessel during the S.W. Monsoon, resulted in the work being restricted mainly to the Narakal mud bank region 6 Km. north of Cochin Detailed sampling is conducted using grab, dredge and to a small extent beam trawl, to assess the qualitative and quantitative nature of the macro benthos. Important species contributing to the fauna are identified and the standing crop estimated for different seasons. The meiobenthos was studied using core samples taken from the grab. Animals were identified to the major taxa. Standing crop of meiobenthos and the quantitative importance of different groups were also studied. The data collected have been interpreted and discussed. As an understanding of the physico-chemical aspects of the environment is essential in order to obtain a true picture of the benthos, attempts were made in this direction. Environmental parameters such as temperature of the sediment, salinity, temperature, and dissolved oxygen in the overlying water were studied .during the period of benthos investigation. Monthly observations on the dissolved inorganic and organic phosphorus in the area of investigation have been made. The physico-chemical nature of the sediment was also studied. Influence of these ecological variables on the bottom fauna is discussed.

Studies on the effect of the organophosphorus pesticide Eka(Rlu) x EC 25 on the bacterial flora of Villorita cyprinoides var. cochinensis (Han1ey)

The thesis is Studies on the Effect or the Obganophosphorus Pesticide Ekalux(R) EC 25 on the Bacterial Flora or Villorita Cyprinoides Var.Cochinensis (Hanley). For the present investigation, the black clam Villorita gyprinoides var. cochinensis (Hanley), a most common clam genus present in this estuarine system has been selected as test organaism and Ekalux (R) EC 25 as toxicant. The aspects dealt with are 1. Total heterotrophic bacterial population, 2. Generic composition, 3. Hydrolytic enzyme producing bacteria, 4. Antibiotic resistance, 5. Heavy metal resistance, 6. The effect of pesticide concentration on the growth of the bacteria and 7. Effect of temperature, pH and sodium chloride on the growth and phosphate release of selected isolates.The samples for the experiment were collected from the Vembanad Lake, near Kumbalam Island during the period of September 1985 to May '86. The THB of the estuarine water and clams contained 6.5 x I04/ml and 2.975 x l06/g respectively, immediately after collection. Untreated water and clam samples showed enormous increase in THB from 0 hr population. The treated samples (water and clams) contained higher THB than 0 hr. In general, THB was observed to increase tremendously in the samples treated with pesticide when compared to their native flora. With reference to various concentrations of pesticides, THB recorded an increase with increase of concentration in water and clam samples.

Studies on the interaction of two level atoms with quantized electromagnetic field

The present study described about the interaction of a two level atom and squeezed field with time varying frequency. By applying a sinusoidal variation in the frequency of the field, the randomness in population inversion is reduced and the collapses and periodic revivals are regained. Quantum optics is an emerging field in physics which mainly deals with the interaction of atoms with quantised electromagnetic fields. Jaynes-Cummings Model (JCM) is a key model among them, which describes the interaction between a two level atom and a single mode radiation field. Here the study begins with a brief history of light, atom and their interactions. Also discussed the interaction between atoms and electromagnetic fields. The study suggest a method to manipulate the population inversion due to interaction and control the randomness in it, by applying a time dependence on the frequency of the interacting squeezed field.The change in behaviour of the population inversion due to the presence of a phase factor in the applied frequency variation is explained here.This study also describes the interaction between two level atom and electromagnetic field in nonlinear Kerr medium. It deals with atomic and field state evolution in a coupled cavity system. Our results suggest a new method to control and manipulate the population of states in two level atom radiation interaction,which is very essential for quantum information processing.We have also studied the variation of atomic population inversion with time, when a two level atom interacts with light field, where the light field has a sinusoidal frequency variation with a constant phase. In both coherent field and squeezed field cases, the population inversion variation is completely different from the phase zero frequency modulation case. It is observed that in the presence of a non zero phase φ, the population inversion oscillates sinusoidally.Also the collapses and revivals gradually disappears when φ increases from 0 to π/2. When φ = π/2 the evolution of population inversion is identical to the case when a two level atom interacts with a Fock state. Thus, by applying a phase shifted frequency modulation one can induce sinusoidal oscillations of atomic inversion in linear medium, those normally observed in Kerr medium. We noticed that the entanglement between the atom and field can be controlled by varying the period of the field frequency fluctuations. The system has been solved numerically and the behaviour of it for different initial conditions and different susceptibility values are analysed. It is observed that, for weak cavity coupling the effect of susceptibility is minimal. In cases of strong cavity coupling, susceptibility factor modifies the nature in which the probability oscillates with time. Effect of susceptibility on probability of states is closely related to the initial state of the system.

Research in Architecture: Looking Backward and Forward: Forty-Year Experience in Architectural Research at the Faculty of Architecture STU

The introduction of my contribution contains a brief information on the Faculty of Architecture of the Slovak University of Technology in Bratislava (FA STU) and the architectural research performed at this institution. Schemes and priorities of our research in architecture have changed several times since the very beginning in early 50’s. The most significant change occurred after “the velvet revolution” in 1989. Since 1990 there have been several sources to support research at universities. The significant part of my contribution is rooted in my own research experience since the time I had joined FA STU in 1975 as a young architect and researcher. The period of the 80’s is characterized by the first unintentional attempts to do “research by design” and my “scientific” achievements as by-products of my design work. Some of them resulted in the following issues: conception of mezzo-space, theory of the complex perception of architectural space and definition of basic principles of ecologically conscious architecture. Nowadays I continue my research by design within the application of so called solar envelope in urban scale with my students.