Indexing and active fund management: International evidence

Author's pre-print

Market risk charge of the trading book: a comparison of the Basel II and Basel III

This paper aims to investigate if the market capital charge of the trading book increased in Basel III compared to Basel II. I showed that the capital charge rises by 232% and 182% under the standardized and internal model, respectively. The varying liquidity horizons, the calibration to a stress period, the introduction of credit spread risk, the restrictions on correlations across risk categories and the incremental default charge boost Basel III requirements. Nevertheless, the impact of Expected shortfall at 97.5% is low and long term shocks decrease the charge. The standardized approach presents advantages and disadvantages relative to internal models.

Tracking error of exchange-traded funds: Evidence from the UK

This paper is mainly concerned with the tracking accuracy of Exchange Traded Funds (ETFs) listed on the London Stock Exchange (LSE) but also evaluates their performance and pricing efficiency. The findings show that ETFs offer virtually the same return but exhibit higher volatility than their benchmark. It seems that the pricing efficiency, which should come from the creation and redemption process, does not fully hold as equity ETFs show consistent price premiums. The tracking error of the funds is generally small and is decreasing over time. The risk of the ETF, daily price volatility and the total expense ratio explain a large part of the tracking error. Trading volume, fund size, bid-ask spread and average price premium or discount did not have an impact on the tracking error. Finally, it is concluded that market volatility and the tracking error are positively correlated.

The impact of talent management practices on employee retention: The moderator effect of leader-member exchange and role modeling

Organizations are undergoing serious difficulties to retain talent. Authors argue that Talent Management (TM) practices create beneficial outcomes for individuals and organizations. However, there is no research on the leaders’ role in the functioning of these practices. This study examines how LMX and role modeling influence the impact that TM practices have on employees’ trust in their organizations and retention. The analysis of two questionnaires (Nt1=175; Nt2=107) indicated that TM only reduced turnover intentions, via an increase in trust in the organization, when role modeling was high and not when it was low. Therefore, we can say that leaders are crucial in the TM context, and in sustaining a competitive advantage for organizations.

Exchange rate pressure in Angola

The objective of this work is to develop an operational tool to analyze exchange rate pressure in the context of Angola. The Angolan economy exhibits a number of relevant characteristics: a closed financial account, a partially controlled current account, a highly dollarized economy and exports (oil) price determined in World markets. These features have a direct effect on the demand of foreign currency and motivate their inclusion in the specification of a model for Angola. The model provides the rational for a measure of an exchange market rate pressure (EMP) index that contains exports changes, imports changes, the foreign interest rate and inflation and the change in foreign reserves corrected for a measure dollarization. The empirical performance new measure is comparable (slightly better) to the performance of the EMP indexes obtained in Eichengreen Rose and Wyplosz (1994) and Klassen and Jager (2011).

Search for high-mass diphoton resonances in pp collisions at s =8TeV with the ATLAS detector

This article describes a search for high-mass resonances decaying to a pair of photons using a sample of 20.3  fb−1 of pp collisions at s√=8  TeV recorded with the ATLAS detector at the Large Hadron Collider. The data are found to be in agreement with the Standard Model prediction, and limits are reported in the framework of the Randall-Sundrum model. This theory leads to the prediction of graviton states, the lightest of which could be observed at the Large Hadron Collider. A lower limit of 2.66 (1.41) TeV at 95% confidence level is set on the mass of the lightest graviton for couplings of k/M¯¯¯¯Pl=0.1 (0.01).

Ion exchange dependent electroactive phase content and electrical properties of poly(vinylidene fluoride)/Na(M)Y composites

Different metal-ion exchanged NaY zeolite, Na(M)Y, were used to prepare poly(vinylidene fluoride) based composites by solvent casting and melting crystallization. The effect of different metal ion-exchanged zeolites on polymer crystallization and electrical properties was reported. Cation-framework interactions and hydration energy of the cations determined that K+ is the most efficient exchanged ion in NaY zeolite, followed by Cs+ and Li+. The electroactive phase crystallization strongly depends on the ions present in the zeolite, leading to variations of the surface energy characteristics of the Na(M)Y zeolites and the polymer chain ability of penetration in the zeolite. Thus, Na(Li)Y and NaY induces the complete electroactive -phase crystallization of the crystalline phase of PVDF, while Na(K)Y only induces it partly and Na(Cs)Y is not able to promote the crystallization of the electroactive phase. Furthermore, different ion size/weigh and different interaction with the zeolite framework results in significant variations in the electrical response of the composite. In this way, iinterfacial polarization effects in the zeolite cavities and zeolite-polymer interface, leads to strong increases of the dielectric constant on the composites with lightest ions weakly bound to the zeolite framework. Polymer composite with Na(Li)Y show the highest dielectric response, followed by NaY and Na(K)Y. Zeolite Na(Cs)Y contribute to a decrease of the dielectric constant of the composite. The results show the relevance of the materials for sensor development.

Search for heavy lepton resonances decaying to a Z boson and a lepton in pp collisions at s√=8 TeV with the ATLAS detector

A search for heavy leptons decaying to a Z boson and an electron or a muon is presented. The search is based on pp collision data taken at s√=8 TeV by the ATLAS experiment at the CERN Large Hadron Collider, corresponding to an integrated luminosity of 20.3 fb−1. Three high-transverse-momentum electrons or muons are selected, with two of them required to be consistent with originating from a Z boson decay. No significant excess above Standard Model background predictions is observed, and 95% confidence level limits on the production cross section of high-mass trilepton resonances are derived. The results are interpreted in the context of vector-like lepton and type-III seesaw models. For the vector-like lepton model, most heavy lepton mass values in the range 114-176 GeV are excluded. For the type-III seesaw model, most mass values in the range 100-468 GeV are excluded.

Measurement of the charge asymmetry in dileptonic decays of top quark pairs in pp collisions at s√=7 TeV using the ATLAS detector

A measurement of the top--antitop (tt¯) charge asymmetry is presented using data corresponding to an integrated luminosity of 4.6 fb−1 of LHC pp collisions at a centre-of-mass energy of 7 TeV collected by the ATLAS detector. Events with two charged leptons, at least two jets and large missing transverse momentum are selected. Two observables are studied: AℓℓC based on the identified charged leptons, and Att¯C, based on the reconstructed tt¯ final state. The asymmetries are measured to be AℓℓC=0.024±0.015 (stat.)±0.009 (syst.), Att¯C=0.021±0.025 (stat.)±0.017 (syst.). The measured values are in agreement with the Standard Model predictions.

Measurement of the production and lepton charge asymmetry of W bosons in Pb plus Pb collisions at root s(NN)=2.76 TeV with the ATLAS detec

A measurement of W boson production in lead-lead collisions at sNN−−−√=2.76 TeV is presented. It is based on the analysis of data collected with the ATLAS detector at the LHC in 2011 corresponding to an integrated luminosity of 0.14 nb−1 and 0.15 nb−1 in the muon and electron decay channels, respectively. The differential production cross-sections and lepton charge asymmetry are each measured as a function of the average number of participating nucleons ⟨Npart⟩ and absolute pseudorapidity of the charged lepton. The results are compared to predictions based on next-to-leading-order QCD calculations. These measurements are, in principle, sensitive to possible nuclear modifications to the parton distribution functions and also provide information on scaling of W boson production in multi-nucleon systems.

A search for high-mass resonances decaying to τ+τ− in pp collisions at s√=8 TeV with the ATLAS detector

A search for high-mass resonances decaying into τ+τ− final states using proton-proton collisions at s√=8 TeV produced by the Large Hadron Collider is presented. The data were recorded with the ATLAS detector and correspond to an integrated luminosity of 19.5-20.3 fb−1. No statistically significant excess above the Standard Model expectation is observed; 95% credibility upper limits are set on the cross section times branching fraction of Z′ resonances decaying into τ+τ− pairs as a function of the resonance mass. As a result, Z′ bosons of the Sequential Standard Model with masses less than 2.02 TeV are excluded at 95% credibility. The impact of the fermionic couplings on the Z′ acceptance is investigated and limits are also placed on a Z′ model that exhibits enhanced couplings to third-generation fermions.

Search for production of WW/WZ resonances decaying to a lepton, neutrino and jets in pp collisions at s√ = 8 TeV with the ATLAS detector

A search is presented for a narrow diboson resonances decaying to WW or WZ in the final state where one W boson decays leptonically (to an electron or a muon plus a neutrino) and the other W/Z boson decays hadronically. The analysis is performed using an integrated luminosity of 20.3 fb−1 of pp collisions at s√ = 8 TeV collected by the ATLAS detector at the LHC. No evidence for resonant diboson production is observed, and resonance masses below 700 GeV and 1490 GeV are excluded at 95% confidence level for the spin-2 Randall-Sundrum bulk graviton G∗ with coupling constant of 1.0 and the extended gauge model W′ boson respectively.

Light-distortion analysis as a possible indicator of visual quality after refractive lens exchange with diffractive multifocal intraocular lenses

METHODS: Refractive lens exchange was performed with implantation of an AT Lisa 839M (trifocal) or 909MP (bifocal toric) IOL, the latter if corneal astigmatism was more than 0.75 diopter (D). The postoperative visual and refractive outcomes were evaluated. A prototype light-distortion analyzer was used to quantify the postoperative light-distortion indices. A control group of eyes in which a Tecnis ZCB00 1-piece monofocal IOL was implanted had the same examinations. RESULTS: A trifocal or bifocal toric IOL was implanted in 66 eyes. The control IOL was implanted in 18 eyes. All 3 groups obtained a significant improvement in uncorrected distance visual acuity (UDVA) (P < .001) and corrected distance visual acuity (CDVA) (P Z .001). The mean uncorrected near visual acuity (UNVA) was 0.123 logMAR with the trifocal IOL and 0.130 logMAR with the bifocal toric IOL. The residual refractive cylinder was less than 1.00 D in 86.7% of cases with the toric IOL. The mean light-distortion index was significantly higher in the multifocal IOL groups than in the monofocal group (P < .001), although no correlation was found between the light-distortion index and CDVA. CONCLUSIONS: The multifocal IOLs provided excellent UDVA and functional UNVA despite increased light-distortion indices. The light-distortion analyzer reliably quantified a subjective component of vision distinct from visual acuity; it may become a useful adjunct in the evaluation of visual quality obtained with multifocal IOLs.

Search for high-mass diboson resonances with boson-tagged jets in proton-proton collisions at √s = 8TeV with the ATLAS detector

A search is performed for narrow resonances decaying into WW, WZ, or ZZ boson pairs using 20.3 fb−1 of proton--proton collision data at a centre-of-mass energy of s√ = 8 TeV recorded with the ATLAS detector at the Large Hadron Collider. Diboson resonances with masses in the range from 1.3 to 3.0 TeV are sought after using the invariant mass distribution of dijets where both jets are tagged as a boson jet, compatible with a highly boosted W or Z boson decaying to quarks, using jet mass and substructure properties. The largest deviation from a smoothly falling background in the observed dijet invariant mass distribution occurs around 2 TeV in the WZ channel, with a global significance of 2.5 standard deviations. Exclusion limits at the 95% confidence level are set on the production cross section times branching ratio for the WZ final state of a new heavy gauge boson, W′, and for the WW and ZZ final states of Kaluza--Klein excitations of the graviton in a bulk Randall--Sundrum model, as a function of the resonance mass. W′ bosons with couplings predicted by the extended gauge model in the mass range from 1.3 to 1.5 TeV are excluded at 95% confidence level.

Analysis of events with b-jets and a pair of leptons of the same charge in pp collisions at √s=8 TeV with the ATLAS detector

An analysis is presented of events containing jets including at least one b-tagged jet, sizeable missing transverse momentum, and at least two leptons including a pair of the same electric charge, with the scalar sum of the jet and lepton transverse momenta being large. A data sample with an integrated luminosity of 20.3 fb−1 of pp collisions at s√=8 TeV recorded by the ATLAS detector at the Large Hadron Collider is used. Standard Model processes rarely produce these final states, but there are several models of physics beyond the Standard Model that predict an enhanced rate of production of such events; the ones considered here are production of vector-like quarks, enhanced four-top-quark production, pair production of chiral b′-quarks, and production of two positively charged top quarks. Eleven signal regions are defined; subsets of these regions are combined when searching for each class of models. In the three signal regions primarily sensitive to positively charged top quark pair production, the data yield is consistent with the background expectation. There are more data events than expected from background in the set of eight signal regions defined for searching for vector-like quarks and chiral b′-quarks, but the significance of the discrepancy is less than two standard deviations. The discrepancy reaches 2.5 standard deviations in the set of five signal regions defined for searching for four-top-quark production. The results are used to set 95% CL limits on various models.