Added Value of Combining Value and Momentum Indicators in the Swiss Stock Market

The purpose of the thesis is to examine the added value of combining value and momentum indicators in the Swiss stock exchange. Value indicators employed are P/E, EV/EBITDA, P/CF, P/B ja P/S. Momentum indicators examined are 52-week high, acceleration rate, 12-month past return and 6-month past return. The thesis examines whether the composite value measures based on the above mentioned ratios can add value and whether the inclusion of momentum can further improve the risk return profile of the value portfolios. The data is gathered from the Swiss equity market during the sample period from May 2001 to May 2011. Previous studies have shown that composite value measures can somewhat add value to the value portfolio strategy. Similarly, recent academic literature have found evidence that momentum works well as a timing indicator for time to entry to value stocks. This study indicates that the added value of composite value measures exists. It also shows that momentum combined to acceleration rate can significantly improve the risk adjusted performance of value-only portfolios.

Reforestation feasibility in area formerly used for cattle rasing in the state of Rondônia, Northwest Brazilian Amazon

Little knowledge on initial behavior of native tree species in recovering landscapes in the Amazon is a current concern for expanding reforestation in the region. Thus, the aim of this study was to evaluate the establishment of native tree species that could be used for reforestation in area previously covered by a pasture of brachiaria grass (Brachiaria brizantha) destined for intensive cattle rasing in the State of Rondônia. For this, there were performed previous diagnostic of landscape changes and the election of tree species based on the ecological group information. Some of the critical macronutrients for plant growth were supplied in the holes to alleviate nutrient deficiencies. In addition, growth and survival parameters were taken to evaluate the initial behavior of species. Six native tree species planted with different combinations (10mx10m, 5mx5m and 3mx3m) had survival rate and growth (total height, girth stem and crown projection area) measured in different intervals: 6-month, 12-month and 24-month after planting. All the species presented survival rate over 90% at 24 months and comparable growth indices to other native species under similar situation and in the region. Overall, Schizolobium amazonicum (bandarra), the non-identified legume tree 1 (acácia grande) and Colubrina glandulosa (sóbrasil) averaged over 90% the highest girth stem growth all over the area. S. amazonicum and the non-identified legume tree 1 (acácia grande) presented the best results for height and canopy area growth parameters, respectively. The combination among native tree species from initial successional ecological groups and fertilizer was favorable to promote reforestation in the conditions of the study area in Rondônia.

A retrospective search for bovine respiratory syncytial virus (BRSV) antigens in histological specimens by immunofluorescence and immunohistochemistry

Bovine respiratory syncytial virus (BRSV) has been only sporadically identified as a causative agent of respiratory disease in Brazil. This contrasts with frequent reports of clinical and histopathological findings suggestive of BRSV-associated disease. In order to examine a possible involvement of BRSV in cases of calf pneumonia, a retrospective search was performed for BRSV antigens in histological specimens submitted to veterinary diagnostic services from the states of Rio Grande do Sul and Minas Gerais. Ten out of 41 cases examined (24.4%) were positive for BRSV antigens by immunohistochemistry (IPX). Eight of these cases (19.5%) were also positive by indirect immunofluorescence (IFA), and 31 cases (75.6%) were negative in both assays. In the lungs, BRSV antigens were predominantly observed in epithelial cells of bronchioles and less frequently found in alveoli. In one case, antigens were detected only in the epithelium of the alveolar septae. The presence of antigen-positive cells was largely restricted to epithelial cells of these airways. In two cases, positive staining was also observed in cells and cellular debris in the exudate within the pulmonary airways. The clinical cases positive for BRSV antigens were observed mainly in young animals (2 to 12 month-old) from dairy herds. The main microscopic changes included bronchointerstitial pneumonia characterized by thickening of alveolar septae adjacent to airways by mononuclear cell infiltrates, and the presence of alveolar syncytial giant cells. In summary, the results demonstrate the suitability of the immunodetection of viral antigens in routinely fixed tissue specimens as a diagnostic tool for BRSV infection. Moreover, the findings provide further evidence of the importance of BRSV as a respiratory pathogen of young cattle in southeastern and southern Brazil.

Anaplasma marginale infection in cattle from south-western Amazonia

The present study provides the first epidemiological data regarding infection by Anaplasma marginale in cattle reared in south-western Brazilian Amazonia. One simple procedure was adapted for the extraction of DNA from blood clots collected in seven microregions of Rondônia State and two mesoregions of Acre State. PCR method was used to asses the frequency of A. marginale infections in 4 to12-month-old cattle. The cattle infection was investigated by polymerase chain reaction (PCR) using the specific primer "msp5" for A. marginale. The DNA amplifications revealed that the mean frequency of A. marginale infection was 98.6% (1,627/1,650) in samples from Rondonia, and 92.87% (208/225) in samples from Acre. The high frequency of A. marginale infections in 4 to 12-month-old cattle indicate a situation of enzootic stability in the studied areas and are comparable to those detected by immunodiagnosis in different endemic regions in Brazil. The DNA extraction of clotted blood method described here can be used for epidemiological studies on anaplasmosis and other bovine hemoparasites.

Hedge-rahastojen menestyksen pysyvyyden empiirinen tarkastelu sijoittajan näkökulmasta

This study examines performance persistence of hedge funds from investor's point of view and look at the methods by which an investor could choose the successful hedge funds to the portfolio. This study was used the data from HFI & Tremont databases on period 1998-2007. In this study used the 36-month combination (24-month selection and 12-month prediction periods). As the research methods used the Sharpe index, raw returns, MVR (mean variance ratio), GSC-clustering, the SDI index and the new combination of metrics. The evaluation criterions of the results used the volatility, excess returns and the Sharpe index. This study compared different results from the 7 time series with each other, and commenting the problems on a portfolio loss of funds.

Babesia bovis: expression of adhesion molecules in bovine umbilical endothelial cells stimulated with plasma from infected cattle

Ten male, 12-month-old Jersey with intact spleens, serologically and parasitologically free from Babesia were housed individually in an arthropod-free isolation system from birth and throughout entire experiment. The animals were randomly divided into two groups. Five animals (group A) were intravenously inoculated with 6.6 X10(7) red blood cells parasitized with pathogenic sample of Babesia bovis (passage 7 BboUFV-1), for the subsequent "ex vivo" determination of the expression of adhesion molecules. Five non-inoculated animals (group B) were used as the negative control. The expression of the adhesion molecules ICAM-1, VCAM, PECAM-1 E-selectin and thrombospondin (TSP) was measured in bovine umbilical vein endothelial cells (BUVECs). The endothelial cells stimulated with a pool of plasma from animals infected with the BboUFV-1 7th passage sample had a much more intense immunostaining of ICAM-1, VCAM, PECAM-1 E-selectin and TSP, compared to the cells which did not received the stimulus. The results suggest that proinflammatory cytokines released in the acute phase of babesiosis may be involved in the expression of adhesion molecules thereby implicating them in the pathophysiology of babesiosis caused by B. bovis.

Hedge-rahastojen menestyksen pysyvyys ja suhteellinen suoriutuminen sijoittajan näkökulmasta

The purpose of the thesis is to examine the long-term performance persistence and relative performance of hedge funds during bear and bull market periods. Performance metrics applied for fund rankings are raw return, Sharpe ratio, mean variance ratio and strategy distinctiveness index calculated of the original and clustered data correspondingly. Four different length combinations for selection and holding periods are employed. The persistence is examined using decile and quartile portfolio formatting approach and on the basis of Sharpe ratio and SKASR as performance metrics. The relative performance persistence is examined by comparing hedge portfolio returns during varying stock market conditions. The data is gathered from a private database covering 10,789 hedge funds and time horizon is set from January 1990 to December 2012. The results of this thesis suggest that long-term performance persistence of the hedge funds exists. The degree of persistence also depends on the performance metrics employed and length combination of selection and holding periods. The best results of performance persistence were obtained in the decile portfolio analysis on the basis of Sharpe ratio rankings for combination of 12-month selection period and the holding period of equal length. The results also suggest that the best performance persistence occurs in the Event Driven and Multi strategies. Dummy regression analysis shows that a relationship between hedge funds and stock market returns exists. Based on the results, Dedicated Short Bias, Global Macro, Managed Futures and Other strategies perform well during bear market periods. The results also indicate that the Market Neutral strategy is not absolutely market neutral and the Event Driven strategy has the best performance among all hedge strategies.

Effects of physical activity and fitness on the psychological wellbeing of young men and working adults: associations with stress, mental resources, overweight and workability

Background: A positive association has been suggested to exist between physical activity and psychological wellbeing. However, the association between physical fitness, especially muscle fitness and psychological wellbeing, has not yet been fully elucidated. Aims: The objective of the present thesis was to assess the relationship between physical activity and physical fitness with stress symptoms, mental resources and workability among young men and working adults. Subjects and methods: Volunteers of young men (n=831, mean age 25-y (±4.0)), underwent a cardiorespiratory (CRF) and muscle fitness (MFI) test and completed leisure time physical activity (LTPA) and Occupational Stress Questionnaires (OSQ). The participants were divided into tertiles according to LTPA, CRF and MFI. A 12-month exercise intervention evaluated 371 working adults (exercise group, n=338, mean age 45-y (±8.8)); control group, n=33, mean age 41-y (±6.9)).The exercise group underwent a 12-month exercise program followed by a 12-month follow-up. The OSQ, Workability Index (WAI) and CRF were evaluated at baseline and at 4, 8, 12 and 24 months. Results: Physically inactive subjects reported more stress and less available mental resources than the subjects who reported high physical activity levels. Improved physical fitness was associated with less stress and more mental resources among normal weight men, but not in overweight men. After a 12-month exercise intervention, employees in the exercise group increased their physical activity, improved workability, decreased stress symptoms and improved their physical fitness and mental resources. After the follow-up year, workability and stress were improved compared to baseline. Conclusions: In this thesis, good physical fitness was associated with improved psychological wellbeing among young men and working adults.

The Performance of European Small Cap Equity Funds

The thesis examines the risk-adjusted performance of European small cap equity funds between 2008 and 2013. The performance is measured using several measures including Sharpe ratio, Treynor ratio, Modigliani measure, Jensen alpha, 3-factor alpha and 4-factor alpha. The thesis also addresses the issue of persistence in mutual fund performance. Thirdly, the relationship between the activity of fund managers and fund performance is investigated. The managerial activity is measured using tracking error and R-squared obtained from a 4-factor asset pricing model. The issues are investigated using Spearman rank correlation test, cross-sectional regression analysis and ranked portfolio tests. Monthly return data was provided by Morningstar and consists of 88 mutual funds. Results show that small cap funds earn back a significant amount of their expenses, but on average loose to their benchmark index. The evidence of performance persistence over 12-month time period is weak. Managerial activity is shown to positively contribute to fund performance

Comparison of the effectiveness of initial combined antiretroviral therapy with nelfinavir or efavirenz at a university-based outpatient service in Brazil

Since there are some concerns about the effectiveness of highly active antiretroviral therapy in developing countries, we compared the initial combination antiretroviral therapy with zidovudine and lamivudine plus either nelfinavir or efavirenz at a university-based outpatient service in Brazil. This was a retrospective comparative cohort study carried out in a tertiary level hospital. A total of 194 patients receiving either nelfinavir or efavirenz were identified through our electronic database search, but only 126 patients met the inclusion criteria. Patients were included if they were older than 18 years old, naive for antiretroviral therapy, and had at least 1 follow-up visit after starting the antiretroviral regimen. Fifty-one of the included patients were receiving a nelfinavir-based regimen and 75 an efavirenz-based regimen as outpatients. Antiretroviral therapy was prescribed to all patients according to current guidelines. By intention-to-treat (missing/switch = failure), after a 12-month period, 65% of the patients in the efavirenz group reached a viral load <400 copies/mL compared to 41% of the patients in the nelfinavir group (P = 0.01). The mean CD4 cell count increase after a 12-month period was also greater in the efavirenz group (195 x 10(6) cells/L) than in the nelfinavir group (119 x 10(6) cells/L; P = 0.002). The efavirenz-based regimen was superior compared to the nelfinavir-based regimen. The low response rate in the nelfinavir group might be partially explained by the difficulty of using a regimen requiring a higher patient compliance (12 vs 3 pills a day) in a developing country.

Storage stability of cashew apple juice preserved by hot fill and aseptic processes

Cashew (Anacardium occidentale L.) apples from Pacajus, Ceará State, Brazil, were processed into high pulp content juice. The juice was packed either by hot fill or an aseptic process and evaluated for physical, physical-chemical, and sensorial changes during a 12-month storage period at room temperature. The results indicated that pH, soluble solids, total acidity, total sugar content and color did not change significantly during storage nor were affected by the type of filling. The sensorial analysis showed that juice acceptance remained high throughout the storage period regardless of the filling system. Differences in juice viscosity persisted between both processes.

Antinutrients in the cassava (Manihot esculenta Crantz) leaf powder at three ages of the plant

In Brazil, the cassava leaf meal (CLM) has been used to strive against undernourishment because it is a high source of vitamins and minerals. However, the wide variation in the chemical composition of the different cultivars, as well as their antinutritional substances may be a restriction to their uses. The levels of some antinutrients in CLM from five cultivars at three ages of the plant (TAP) were investigated, in order to select the cultivars and plant ages that would be more appropriate for human consumption. The lowest contents of antinutrients were observed in the 12-month old plants, except for nitrate and hemagglutinin from which the lowest contents were found for the 17 month old ones. The cultivar IAC 289-70 had the lowest antinutrient levels, except for saponin and oxalate. Thus, the cultivar IAC 289-70 at 12 months is the most appropriate for human consumption.

Market anomalies and tactical asset allocation: Utilising market anomalies in multiple asset class portfolios with the Black−Litterman model

This thesis discusses the basic problem of the modern portfolio theory about how to optimise the perfect allocation for an investment portfolio. The theory provides a solution for an efficient portfolio, which minimises the risk of the portfolio with respect to the expected return. A central feature for all the portfolios on the efficient frontier is that the investor needs to provide the expected return for each asset. Market anomalies are persistent patterns seen in the financial markets, which cannot be explained with the current asset pricing theory. The goal of this thesis is to study whether these anomalies can be observed among different asset classes. Finally, if persistent patterns are found, it is investigated whether the anomalies hold valuable information for determining the expected returns used in the portfolio optimization Market anomalies and investment strategies based on them are studied with a rolling estimation window, where the return for the following period is always based on historical information. This is also crucial when rebalancing the portfolio. The anomalies investigated within this thesis are value, momentum, reversal, and idiosyncratic volatility. The research data includes price series of country level stock indices, government bonds, currencies, and commodities. The modern portfolio theory and the views given by the anomalies are combined by utilising the Black-Litterman model. This makes it possible to optimise the portfolio so that investor’s views are taken into account. When constructing the portfolios, the goal is to maximise the Sharpe ratio. Significance of the results is studied by assessing if the strategy yields excess returns in a relation to those explained by the threefactormodel. The most outstanding finding is that anomaly based factors include valuable information to enhance efficient portfolio diversification. When the highest Sharpe ratios for each asset class are picked from the test factors and applied to the Black−Litterman model, the final portfolio results in superior riskreturn combination. The highest Sharpe ratios are provided by momentum strategy for stocks and long-term reversal for the rest of the asset classes. Additionally, a strategy based on the value effect was highly appealing, and it basically performs as well as the previously mentioned Sharpe strategy. When studying the anomalies, it is found, that 12-month momentum is the strongest effect, especially for stock indices. In addition, a high idiosyncratic volatility seems to be positively correlated with country indices on stocks.

Mermithid (nematoa: mermithidae) infections of black flies (Diptera: Simuliidae) : seasonal variation and developmental characteristics /

Mermithid nematodes (Nematoda: Mermithidae) parasitize larval, pupal and adult black flies (Diptera: Simuliidae), oftentimes resulting in partial or complete host feminization. This study was designed to characterize parasite-host seasonal variation and to estabUsh the developmental life stage at which feminization is initiated. Data indicate that the total adult population of black flies collected from Algonquin Provincial Park throughout the spring of 2004 was comprised of 31.8% female, 67.8% male and 0.4% intersex individuals. Of the total population, 0.6% was infected by mermithid nematodes (69.0% female, 3.5% male and 27.6% intersex). Seasonal infection trends established over a 12-month period revealed that black flies with different life histories host the same mermithid subfamilies, while black flies with similar life histories host mermithids from different subfamilies. If a simuliid species simultaneously hosts two mermithid species, these parasites are from different subfamilies. Molecular mermithid identification revealed two mermithid subfamilies, Me.somermithinae and Gastromermithinae, present in the simuliid hosts. Mermithid colour variation was not found to be a reliable species indicator. The developmental stage at which feminization is initiated was determined by examining gonad morphology and meiotic chromosomal condition. Results indicate that mermithid-infected black flies exhibit feminization prior to larval histoblast formation. Larvae can be morphologically male (testes present) or female (ovaries present), with morphological males exhibiting either male (achiasmate) or female (chiasmate) meiotic chromosomes; morphological females were only genetically female. Additionally, mermithid infection inhibits simuliid gonad development.

The effects of plants(Typha Latifolia)and root-bed medium on the treatment of domestic sewage within a vertical flow constructed wetland /

The effect that plants {Typha latifolia) as well as root-bed medium physical and chemical characteristics have on the treatment of primary treated domestic wastewater within a vertical flow constructed wetland system was investigated. Five sets of cells, with two cells in each set, were used. Each cell was made of concrete and measured 1 .0 m X 1 .0 m and was 1.3 m deep. Four different root-bed media were tested : Queenston Shale, Fonthill Sand, Niagara Shale and a Michigan Sand. Four of the sets contained plants and a single type of root-bed medium. The influence of plants was tested by operating a Queenston Shale set without plants. Due to budget constraints no replicates were constructed. All of the sets were operated independently and identically for twenty-eight months. Twelve months of data are presented here, collected after 16 months of continuous operation. Root-bed medium type did not influence BOD5 removal. All of the sets consistently met Ontario Ministry of Environment (MOE) requirements (<25 mg/L) for BOD5 throughout the year. The 12 month average BOD5 concentration from all sets with plants was below 2.36 mg/L. All of the sets were within MOE discharge requirements (< 25 mg/L) for suspended solids with set effluent concentrations ranging from 1.53 to 14.80 mg/L. The Queenston Shale and Fonthill Sand media removed the most suspended solids while the Niagara Shale set produced suspended solids. The set containing Fonthill Sand was the only series to meet MOE discharge requirements (< Img/L) for total phosphorus year-round with a twelve month mean effluent concentration of 0.23 mg/L. Year-round all of the root-bed media were well below MOE discharge requirements (< 20mg/L in winter and < 10 mg/L in sumnner) for ammonium. The Queenston Shale and Fonthill Sand sets removed the most total nitrogen. Plants had no effect on total nitrogen removal, but did influence how nitrogen was cycled within the system. Plants increased the removal of suspended solids by 14%, BOD5 by 10% and total phosphorus by 22%. Plants also increased the amount of dissolved oxygen that entered the system. During the plant growing season removal of total phosphorus was better in all sets with plants regardless of media type. The sets containing Queenston Shale and Fonthill Sand media achieved the best results and plants in the Queenston Shale set increased treatment efficiency for every parameter except nitrogen. Vertical flow wetland sewage treatment systems can be designed and built to consistently meet MOE discharge requirements year-round for BOD5, suspended solids, total phosphorus and ammonium. This system Is generally superior to the free water systems and sub-surface horizontal flow systems in cold climate situations.