Brazilian equity mutual funds: A general outlook based on performance

This dissertation main goal is to overview the Brazilian equity mutual funds returns. We find that active management is not effective for Ibovespa index, since Ibovespa active funds do not outperform the Ibovespa referenced funds. However, for IBrX index, active management do outperform the passive strategy. We found that Sustainable funds returns do not outperform the market, Endowment funds show poor performance, which could indicate strong regulation imposition over endowment funds portfolios. The size of a fund shows positive correlation to mean average returns and alphas. A fund’s lifetime is positively correlated to returns and to alphas, which could be related to more risk-taking by younger managers in order to pursue higher expected returns and, consequently, bigger inflows. Younger funds tend to have lower performance probably because, in taking more risks, they do not perform as expected. In addition, we find that the decreasing trend of the alpha evolution along the time is a sign of the industry decreasing returns of scale, which entails that managers have more difficulties to beat the market portfolio. Top 10s rankings show that funds appear more than once on the top 10s, which shows persistence of funds’ performance. Finally, concerning the deciles and quartiles rankings, the frequency of appearances changes among performance measures. There are measures which, when compared to others, strongly change the top and bottom for the decile and quartile members.

Suposição de normalidade e gestão de risco: uma aplicação do var paramétrico via teste de aderência

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Rentabilidade de estratégias de momento no IBOVESPA: aplicação de critérios de risco para seleção de carteiras

Este artigo apresenta a utilização de Beta e variação de Beta dos ativos pertencentes ao Ibovespa como novos critérios para a construção de carteiras vencedoras e perdedoras em estratégias de momento. Os resultados mostram que as estratégias de momento, com base em critérios de maior ou menor Beta e de variação de Beta dos ativos pertencentes ao Ibovespa, geram retornos positivos ao longo de períodos subsequentes de 6 meses e 12 meses, porém apontam que estas estratégias, quando aplicadas e renovadas a cada mudança do principal índice bursátil brasileiro, apresentaram-se menos rentáveis do que as estratégias habituais baseadas no retorno total dos ativos no período entre 1995 a 2013.

Cálculo do Value at Risk (VaR) para o Ibovespa, pós crise de 2008, por meio dos modelos de heterocedasticidade condicional (GARCH) e de volatilidade estocástica (Local Scale Model - LSM)

O objetivo deste estudo é propor a implementação de um modelo estatístico para cálculo da volatilidade, não difundido na literatura brasileira, o modelo de escala local (LSM), apresentando suas vantagens e desvantagens em relação aos modelos habitualmente utilizados para mensuração de risco. Para estimação dos parâmetros serão usadas as cotações diárias do Ibovespa, no período de janeiro de 2009 a dezembro de 2014, e para a aferição da acurácia empírica dos modelos serão realizados testes fora da amostra, comparando os VaR obtidos para o período de janeiro a dezembro de 2014. Foram introduzidas variáveis explicativas na tentativa de aprimorar os modelos e optou-se pelo correspondente americano do Ibovespa, o índice Dow Jones, por ter apresentado propriedades como: alta correlação, causalidade no sentido de Granger, e razão de log-verossimilhança significativa. Uma das inovações do modelo de escala local é não utilizar diretamente a variância, mas sim a sua recíproca, chamada de “precisão” da série, que segue uma espécie de passeio aleatório multiplicativo. O LSM captou todos os fatos estilizados das séries financeiras, e os resultados foram favoráveis a sua utilização, logo, o modelo torna-se uma alternativa de especificação eficiente e parcimoniosa para estimar e prever volatilidade, na medida em que possui apenas um parâmetro a ser estimado, o que representa uma mudança de paradigma em relação aos modelos de heterocedasticidade condicional.

Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months

We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20min to 160 days. At time scales shorter than 20 min we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics. (c) 2005 Elsevier B.V. All rights reserved.

Modelos estocásticos com heterocedasticidade: Uma abordagem Bayesiana para os retornos do Ibovespa

Current research compares the Bayesian estimates obtained for the parameters of processes of ARCH family with normal and Student's t distributions for the conditional distribution of the return series. A non-informative prior distribution was adopted and a reparameterization of models under analysis was taken into account to map parameters' space into real space. The procedure adopts a normal prior distribution for the transformed parameters. The posterior summaries were obtained by Monte Carlo Markov Chain (MCMC) simulation methods. The methodology was evaluated by a series of Bovespa Index returns and the predictive ordinate criterion was employed to select the best adjustment model to the data. Results show that, as a rule, the proposed Bayesian approach provides satisfactory estimates and that the GARCH process with Student's t distribution adjusted better to the data.

Association Between Parity, Pre-pregnancy Body Mass Index And Gestational Weight Gain.

To analyze the relationship between parity, pre-pregnancy body mass index (BMI), and gestational weight gain (GWG). This observational controlled study was conducted from November 2013 to April 2014, with postpartum women who started antenatal care up to 14 weeks and had full-term births. Data were collected from medical records and antenatal cards. Descriptive and bivariate analyses were performed. The significance level was 5%. Data were collected from 130 primiparous and 160 multiparous women. At the beginning of prenatal care, 54.62% of the primiparous were eutrophic, while the majority of multiparous were overweight or obese (62.51%). Multiparas are two times more likely to be obese at the beginning of their pregnancies, when compared to primiparas. The average pre-pregnancy weight and final pregnancy weight was significantly higher in multiparous, however, the mean GWG was higher among primiparous. We found an inverse correlation between parity and the total GWG, but initial BMI was significantly higher in multiparas. Nevertheless, monitoring of the GWG through actions that promote a healthier lifestyle is needed, regardless of parity and nutritional status, in order to prevent excessive GWG and postpartum weight retention and consequently inadequate pre-pregnancy nutritional status in future pregnancies.

Sorghum Flour Fractions: Correlations Among Polysaccharides, Phenolic Compounds, Antioxidant Activity And Glycemic Index.

Nutrients composition, phenolic compounds, antioxidant activity and estimated glycemic index (EGI) were evaluated in sorghum bran (SB) and decorticated sorghum flour (DSF), obtained by a rice-polisher, as well as whole sorghum flour (WSF). Correlation between EGI and the studied parameters were determined. SB presented the highest protein, lipid, ash, β-glucan, total and insoluble dietary fiber contents; and the lowest non-resistant and total starch contents. The highest carbohydrate and resistant starch contents were in DSF and WSF, respectively. Phenolic compounds and antioxidant activities were concentrated in SB. The EGI values were: DSF 84.5±0.41; WSF 77.2±0.33; and SB 60.3±0.78. Phenolic compounds, specific flavonoids and antioxidant activities, as well as total, insoluble and soluble dietary fiber and β-glucans of sorghum flour samples were all negatively correlated to EGI. RS content was not correlated to EGI.

Validação da Body Appreciation Scale (BAS), Life Satisfaction Index for the Third Age (LSITA) e do Aging Perception Questionnaire (APQ) para a língua portuguesa no Brasil : um estudo em idosos brasileiros

Universidade Estadual de Campinas . Faculdade de Educação Física

Association of polymorphisms at the ADIPOR1 regulatory region with type 2 diabetes and body mass index in a Brazilian population with European or African ancestry

Association studies between ADIPOR1 genetic variants and predisposition to type 2 diabetes (DM2) have provided contradictory results. We determined if two single nucleotide polymorphisms (SNP c.-8503G>A and SNP c.10225C>G) in regulatory regions of ADIPOR1 in 567 Brazilian individuals of European (EA; N = 443) or African (AfA; N = 124) ancestry from rural (quilombo remnants; N = 439) and urban (N = 567) areas. We detected a significant effect of ethnicity on the distribution of the allelic frequencies of both SNPs in these populations (EA: -8503A = 0.27; AfA: -8503A = 0.16; P = 0.001 and EA: 10225G = 0.35; AfA: 10225G = 0.51; P < 0.001). Neither of the polymorphisms were associated with DM2 in the case-control study in EA (SNP c.-8503G>A: DM2 group -8503A = 0.26; control group -8503A = 0.30; P = 0.14/SNP 10225C>G: DM2 group 10225G = 0.37; control group 10225G = 0.32; P = 0.40) and AfA populations (SNP c.-8503G>A: DM2 group -8503A = 0.16; control group -8503A = 0.15; P = 0.34/SNP 10225C>G: DM2 group 10225G = 0.51; control group 10225G = 0.52; P = 0.50). Similarly, none of the polymorphisms were associated with metabolic/anthropometric risk factors for DM2 in any of the three populations, except for HDL cholesterol, which was significantly higher in AfA heterozygotes (GC = 53.75 ± 17.26 mg/dL) than in homozygotes. We conclude that ADIPOR1 polymorphisms are unlikely to be major risk factors for DM2 or for metabolic/anthropometric measurements that represent risk factors for DM2 in populations of European and African ancestries.

Modelos de volatilidade estocástica em séries financeiras: uma aplicação para o IBOVESPA

Neste artigo apresentamos uma análise Bayesiana para o modelo de volatilidade estocástica (SV) e uma forma generalizada deste, cujo objetivo é estimar a volatilidade de séries temporais financeiras. Considerando alguns casos especiais dos modelos SV usamos algoritmos de Monte Carlo em Cadeias de Markov e o software WinBugs para obter sumários a posteriori para as diferentes formas de modelos SV. Introduzimos algumas técnicas Bayesianas de discriminação para a escolha do melhor modelo a ser usado para estimar as volatilidades e fazer previsões de séries financeiras. Um exemplo empírico de aplicação da metodologia é introduzido com a série financeira do IBOVESPA.

Diet quality index adjusted for energy requirements in adults

This study aimed to develop a diet quality index (DQI-a) adjusted for energy requirement. Dietary intake of adults was assessed using 24-hour food recall. The DQI was developed for scores evenly distributed across ten items characterizing different aspects of diet: food groups, nutrients, and variety. The components categorized under the food groups from the Dietary Guide for Brazilians were adjusted according to the estimated energy requirements of the population studied. Index consistency and correlation with nutrients of the diet was analyzed by Cronbach's alpha. A total of 737 individuals were assessed and energy requirements ranged from 1,800 to 2,500kcal among women and 2,500 to 3,400kcal in men. The food group with greatest variation in total portions was cereals and tubers. Cronbach's alpha of the DQI-a was 0.643 and the index correlated with most of the nutrients. The DQI-a can be considered a valuable instrument for assessing diet quality of the Brazilian population.

Body Mass Index, Cigarette Smoking, and Alcohol Consumption and Cancers of the Oral Cavity, Pharynx, and Larynx: Modeling Odds Ratios in Pooled Case-Control Data

study-specific results, their findings should be interpreted with caution

Short-term nutritional counseling reduces body mass index, waist circumference, triceps skinfold and triglycerides in women with metabolic syndrome

Background: It is recognized that the growing epidemic of metabolic syndrome is related to dietary and lifestyle changes. Objective: The purpose of this study was to evaluate short-term application of nutritional counseling in women with metabolic syndrome. Methods: This follow-up study was conducted from September to November 2008 with thirty three women >= 35 years old screened clinically for nutritional counseling. Dietary intake was reported, and biochemical and body composition measures were taken at baseline and after three months of follow-up. Results: Of the 33 women evaluated, 29 patients completed the study. The prevalence of type 2 diabetes mellitus, hypertension, dyslipidemia, and obesity was high at 38%, 72.4%, 55.2%, and 75.8%, respectively. At the end of three-months of follow-up, a significant decline in body mass index, waist circumference, triceps skinfold, and triglycerides was observed, as was an increase in calcium and vitamin D intake. The multiple regression analysis showed that changes in body mass index, triceps skinfold, waist circumference and triglyceride levels after nutritional intervention were positively associated with changes in anthropometric (loss of body weight) and biochemical (decrease of TG/HDL-c ratio) parameters. Moreover, waist circumference changes were negatively associated with changes in calcium and vitamin D intake. Conclusion: Short-term nutritional counseling improved some factors of metabolic syndrome. Moreover, the increases in calcium and vitamin D consumption can be associated with the improvement in markers of metabolic syndrome.

Prognostic index expression of cyclin-D1, cerbB-2 and VEGF: metastases vs corresponding primary cancers and metastatic vs non-metastatic adenocarcinomas

The prognostic relevance of different molecular markers in lung cancer is a crucial issue still worth investigating, and the specimens collected and analyzed represent a valuable source of material. Cyclin-D1, c-erbB-2 and vascular endothelial growth factor (VEGF) have shown to be promising as prognosticators in human cancer. In this study, we sought to examine the importance of Cyclin-D1, c-erbB-2 and VEGF, and to study the quantitative relationship among these factors and disease progression in metastases vs corresponding primary cancer, and metastatic vs non metastatic cancers. Material and Methods: We used immunohistochemistry and morphometric analysis to evaluate the amount of tumour staining for Cyclin-D1, c-erbB-2 and VEGF in 52 patients with surgically excised ademocarcinoma of the lung, and the outcome for our study was survival time until death from hematogenic metastases. Results: Metastasis presented lower c-erbB-2 expression than corresponding primary cancers (p=0.02). Cyclin-D1 and VEGF expression were also lower in metastases than in corresponding primary cancers, but this difference did not achieve statistical significance. Non-metastatic cancers also presented significantly lower Cyclin-D1 and c-erbB-2 expression than metastatic cancers (p<0.01 and p<0.01, respectively). Equally significant was the difference between higher c-erbB-2 expression by metastatic cancers compared to non-metastatic cancers (p=0.02). Considering survival in Kaplan-Maier analysis, Cyclin-D1 (p=0.04), c-erbB-2 (p=0.04) and VEGF (p<0.01) were important predictors of survival in metastatic cancers.