Momentum risk: An approach following the correlations between active stocks

The momentum anomaly has been widely documented in the literature. However, there are still many issues where there is no consensus and puzzles left unexplained. One is that strategies based on momentum present a level of risk that is inconsistent with the diversification that it offers. Moreover, recent studies indicate that this risk is variable over time and mostly strategy-specific. This work project hypothesises and proves that this evidence is explained by the portfolio constitution of the momentum strategy over time, namely the covariance and correlation between companies in the top and down deciles and across them.

Dynamic delta hedging of autocallables under a discrete rebalancing context

This work tests different delta hedging strategies for two products issued by Banco de Investimento Global in 2012. The work studies the behaviour of the delta and gamma of autocallables and their impact on the results when delta hedging with different rebalancing periods. Given its discontinuous payoff and path dependency, it is suggested the hedging portfolio is rebalanced on a daily basis to better follow market changes. Moreover, a mixed strategy is analysed where time to maturity is used as a criterion to change the rebalancing frequency.

História e Saber Tropical: Memória de Gago para além das suas políticas

A morte súbita de José Mariano Gago aos 66 anos gerou consternação nos seus numerosos amigos e admiradores em Portugal e no estrangeiro. Governante mais durável do regime, a sua obra recebeu tributos unânimes cá dentro, sendo amplamente creditado lá fora por ter criado o Conselho Europeu de Investigação (ERC). Estão disponíveis inúmeros testemunhos num sítio dedicado, foi publicada em sua memória um volume de estudos sobre ciência e ensino superior em Portugal e preparam-se mais homenagens. Esta destaca dois aspetos menos conhecidos do físico e político português, amor pela história pátria e consciência da relação desta com o saber tropical, antes de apreciar a retrospetiva oficial. Focando um retrato de Damião de Góis que desejava oferecer na Flandres e acreditava que eu poderia localizar, a minha homenagem a Mariano pretende ir para além do Palácio das Laranjeiras, onde governou, e da Europa, onde estudou.

Performance analysis of an SRI screen based on employment quality in high and low capital industries: International evidence

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics and Maastricht University School of Business and Economics

Impact of mobile app user acquisition on managerial decisions: Evidence from empirical experiment

In this research we conducted a mixed research, using qualitative and quantitative analysis to study the relationship and impact between mobile advertisement and mobile app user acquisition and the conclusions companies can derive from it. Data was gathered from management of mobile advertisement campaigns of a portfolio of three different mobile apps. We found that a number of implications can be extracted from this intersection, namely to product development, internationalisation and management of marketing budget. We propose further research on alternative app users sources, impact of revenue on apps and exploitation of product segments: wearable technology and Internet of Things.

Value creation in the nursing home real estate investment market - A case study

The underlying thesis examines the value drivers of direct investments in nursing home real estate in Germany. A survey among investors and operators is conducted in order to identify significant value drivers. Moreover, based on survey results, a framework for assessing German nursing home real estate is developed. This is applied in a case-study about the set-up of a nursing home value-add fund which will demonstrate the value creation process of redeveloping an existing nursing home real estate portfolio. Through a concluding analysis the sources of value creation, sensitivities and future prospects of direct investing into German nursing home real estate are concluded.

Introducing spin-off stocks into the NSP’s risk parity strategy

Field lab: Nova Student Portfolio

Alpha generation with Twitter’s daily momentum

This thesis does not set out to focus on the dynamics relationship between Twitter and stock prices, but instead tries to understand if using relevant information extracted from tweets has the power to increase investors’ stock picking ability, and generate alpha in portfolio’s choice relative to a benchmark. Despite the short period analyzed, it gives promising results that the sentiment analysis performed by Social Market Analytics Inc. applied to an equity portfolio, is able to generate positive abnormal returns, statistically significant in and out of sample.

Macroeconomic risk in commodities market

The thesis studies the presence of macroeconomic risk in the commodities futures market. I present strong evidence that there is a strong relationship between macroeconomic risk and individual commodities future returns. Furthermore, long-only trading strategies seem to be strongly exposed to systematic risk, while long-short trading strategies (based on basis, momentum and basis-momentum) are found to present no such risk. Instead, I found a strong sentiment exposure in the portfolio returns of these long-short strategies, mainly during recessions. The advantages of following long-short strategies become even clearer when analyzing different macroeconomic regimes.

NSP work project investment styles

This paper analyzes the Nova Student Portfolio (NSP) with the objective to understand performances of the fund. Each investment style has been analyzed (growth, value and momentum) in order to highlight what style allocation contributed positively and which had a negative impact. The results show that the team mainly invested in value stocks, which contributed positively but that its growth investments had a negative impact on the stock picking performance. The stock selection shows a major influence of the value investment style. A statistical approach shows that the market factor was the one explaining the most the NSP returns.

Carry and trend-following strategies

Recent research has shown that carry and trend strategies when combined lead to significant risk-adjusted returns that can be very attractive to investors, at a low cost with small and positive skewness. This study proposes to combine both carry and trend-following, considering a data set of ten years (09/2005-09/2015), within a portfolio composed by three major asset classes: currencies, commodities and equity indices. Following a futures-based methodology, the obtained results show that, indeed, the strategy results inevitably in higher returns and greater sharpe ratios for every asset class in study. This outcome results from the fact that trend proved to provide a significant hedge to the downside risk that carry is exposed to.

Chondrogenic differentiation within magnetic-responsive multilayered liquified capsules containing collagen II/TFG-β3 coated microparticles

The use of stem cells is a promising therapeutic approach for the substantial challenge to regenerate cartilage. Considering the two prerequisites, namely the use of a 3D system to enable the chondrogenic differentiation and growth factors to avoid dedifferentiation, the diffusion efficiency of essential biomolecules is an intrinsic issue. We already proposed a liquified bioencapsulation system containing solid microparticles as cell adhesion sites1. Here, we intend to use the optimized system towards chondrogenic differentiation by encapsulating stem cells and collagenII-TGF-β3 PLLA microparticles. As a proof-of-concept, magnetite-nanoparticles were incorporated into the multilayered membrane. This can be a great advantage after implantation procedures to fixate the capsules in situ with the held of an external magnetic patch and for the follow-up through imaging. Results showed that the production of glycosaminoglycans and the expression of cartilage-relevant markers (collagen II, Sox9, aggrecan, and COMP) increased up to 28 days, while hypertrophic (collagen X) and fibrotic (collagen I) markers were downregulated. The presence of nanofibers in the newly deposited ECM was visualized by SEM, which resembles the collagen fibrils of native cartilage. The presence of the major constituent of cartilage, collagen II, was detected by immunocytochemistry and afranin-O and alcian blue stainings revealed a basophilic ECM deposition, which is characteristic of neocartilage. These findings suggest that the proposed system may provide a suitable environment for chondrogenic differentiation.

Development of biomimetic microengineered hydrogel fibers for tendon regeneration

Musculoskeletal diseases are one of the leading causes of disability worldwide. Tendon injuries are responsible for substantial morbidity, pain and disability. Tissue engineering strategies aim at translating tendon structure into biomimetic materials. The main goal of the present study is to develop microengineered hydrogel fibers through the combination of microfabrication and chemical interactions between oppositely charged polyelectrolytes. For this, methacrylated hyaluronic acid (MeHA) and chondroitin sulfate (MeCS) were combined with chitosan (CHT). Hydrogel fibers were obtained by injecting polymer solutions (either MeHA or MeHA/MeCS and CHT) in separate microchannels that join at a y-junction, with the materials interacting upon contact at the interface. To evaluate cell behavior, human tendon derived cells (hTDCs) were isolated from tendon surplus samples during orthopedic surgeries and seeded on top of the fibers. hTDCs adhered to the surface of the fibers, remaining viable, and were found to be expressing CD44, the receptor for hyaluronic acid. The synthesis of hydrogel fibers crosslinkable through both physical and chemical mechanisms combined with microfabrication technology allows the development of biomimetic structures with parallel fibers being formed towards the replication of tendon tissue architecture.

Osteogenic differentiation of adipose stem cells by endothelial cells co-culture within liquified capsules

Inspired by the native co-existence of multiple cell types and from the concept of deconstructing the stem cell niche, we propose a co-encapsulation strategy within liquified capsules. The present team has already proven the application of liquified capsules as bioencapsulation systems1. Here, we intend to use the optimized system towards osteogenic differentiation. Capsules encapsulating adipose stem cells alone (MONO-capsules) or in co-culture with endothelial cells (CO-capsules) were maintained in endothelial medium with or without osteogenic differentiation factors. The suitability of the capsules for living stem and endothelial cells encapsulation was demonstrated by MTS and DNA assays. The osteogenic differentiation was assessed by quantifying the deposition of calcium and the activity of ALP up to 21 days. CO capsules had an enhanced osteogenic differentiation, even when cultured in the absence of osteogenic factors. Furthermore, osteopontin and CD31 could be detected, which respectively indicate that osteogenic differentiation had occurred and endothelial cells maintained their phenotype. An enhanced osteogenic differentiation by co-encapsulation was also confirmed by the upregulation of osteogenic markers (BMP-2, RUNX2, BSP) while the expression of angiogenic markers (VEGF, vWF, CD31) revealed the presence of endothelial cells. The proposed capsules can also act as a growth factor release system upon implantation, as showed by VEGF and BMP-2 quantification. These findings demonstrate that the co-encapsulation of stem and endothelial cells within liquified injectable capsules provides a promising strategy for bone tissue engineering.  

Stromal vascular fraction cell sheets angiogenic potential for tissue engineering and regenerative medicine applications

One of the biggest concerns in the Tissue Engineering field is the correct vascularization of engineered constructs. Strategies involving the use of endothelial cells are promising but adequate cell sourcing and neo-vessels stability are enduring challenges. In this work, we propose the hypoxic pre-conditioning of the stromal vascular fraction (SVF) of human adipose tissue to obtain highly angiogenic cell sheets (CS). For that, SVF was isolated after enzymatic dissociation of adipose tissue and cultured until CS formation in normoxic (pO2=21%) and hypoxic (pO2=5%) conditions for 5 and 8 days, in basal medium. Immunocytochemistry against CD31 and CD146 revealed the presence of highly branched capillary-like structures, which were far more complex for hypoxia. ELISA quantification showed increased VEGF and TIMP-1 secretion in hypoxia for 8 days of culture. In a Matrigel assay, the formation of capillary-like structures by endothelial cells was more prominent when cultured in conditioned medium recovered from the cultures in hypoxia. The same conditioned medium increased the migration of adipose stromal cells in a scratch assay, when compared with the medium from normoxia. Histological analysis after implantation of 8 days normoxic- and hypoxic-conditioned SVF CS in a hindlimb ischemia murine model showed improved formation of neo-blood vessels. Furthermore, Laser Doppler results demonstrated that the blood perfusion of the injured limb after 30 days was enhanced for the hypoxic CS group. Overall, these results suggest that SVF CS created under hypoxia can be used as functional vascularization units for tissue engineering and regenerative medicine.