Chasing performance persistence of hedge funds

The thesis examines the performance persistence of hedge funds using complement methodologies (namely cross-sectional regressions, quantile portfolio analysis and Spearman rank correlation test). In addition, six performance ranking metrics and six different combinations of selection and holding periods are compared. The data is gathered from HFI and Tremont databases covering over 14,000 hedge funds and time horizon is set from January 1996 to December 2007. The results suggest that there definitely exists performance persistence among hedge funds and the strength and existence of persistence vary among fund styles. The persistence depends on the metrics and combination of selection and prediction period applied. According to the results, the combination of 36-month selection and holding period outperforms other five period combinations in capturing performance persistence within the sample. Furthermore, model-free performance metrics capture persistence more sensitively than model-specific metrics. The study is the first one ever to use MVR as a performance ranking metric, and surprisingly MVR is more sensitive to detect persistence than other performance metrics employed.

Information integration and its impacts on logistics performance - Using information technology and systems to facilitate information integration

Fast changing environment sets pressure on firms to share large amount of information with their customers and suppliers. The terms information integration and information sharing are essential for facilitating a smooth flow of information throughout the supply chain, and the terms are used interchangeably in research literature. By integrating and sharing information, firms want to improve their logistics performance. Firms share information with their suppliers and customers by using traditional communication methods (telephone, fax, Email, written and face-to-face contacts) and by using advanced or modern communication methods such as electronic data interchange (EDI), enterprise resource planning (ERP), web-based procurement systems, electronic trading systems and web portals. Adopting new ways of using IT is one important resource for staying competitive on the rapidly changing market (Saeed et al. 2005, 387), and an information system that provides people the information they need for performing their work, will support company performance (Boddy et al. 2005, 26). The purpose of this research has been to test and understand the relationship between information integration with key suppliers and/or customers and a firm’s logistics performance, especially when information technology (IT) and information systems (IS) are used for integrating information. Quantitative and qualitative research methods have been used to perform the research. Special attention has been paid to the scope, level and direction of information integration (Van Donk & van der Vaart 2005a). In addition, the four elements of integration (Jahre & Fabbe-Costes 2008) are closely tied to the frame of reference. The elements are integration of flows, integration of processes and activities, integration of information technologies and systems and integration of actors. The study found that information integration has a low positive relationship to operational performance and a medium positive relationship to strategic performance. The potential performance improvements found in this study vary from efficiency, delivery and quality improvements (operational) to profit, profitability or customer satisfaction improvements (strategic). The results indicate that although information integration has an impact on a firm’s logistics performance, all performance improvements have not been achieved. This study also found that the use of IT and IS have a mediocre positive relationship to information integration. Almost all case companies agreed on that the use of IT and IS could facilitate information integration and improve their logistics performance. The case companies felt that an implementation of a web portal or a data bank would benefit them - enhance their performance and increase information integration.

A conglutination test for rapid detection of antibodies against Babesia bigemina

A rapid conglutination test (RCT) with performance comparable to the indirect fluorescent antibody technique (IFAT) was developed to detect antibodies against Babesia bigemina (B. bigemina-RCT). The B. bigemina-RCT is a sensitive, specific, economical, and rapidly performed serological test suitable for field application or minimally equipped laboratories. This test had a sensitivity of 90.9%, and specificity of 97.6%, compared to IFAT, which showed for the same parameters respectively, 98.3% and 99.7%. The early detection of anti- B. bigemina immunoglobulins by RCT in experimental infections was nearly parallel to that of IFAT. Cross reactions were observed with sera from calves experimentally infected with Babesia bovis (1.8%) and with Anaplasma marginale (1.2%). RCT antigen prepared with non parasitized erythrocytes (negative antigen) showed 1.5%, 3.5% and 2.2% of positive reactions with sera from animals experimentally infected with B. bigemina, B. bovis and A. marginale. However, none of the sera from animals of endemic areas for babesia infection resulted in positive reactions with the negative antigen. Considering these results and shelf life over six months, the B. bigemina-RCT could be used for epidemiological surveys and evaluation of control measures against this species of Babesia.

Effect of oral administration of Propionibacterium acnes on growth performance, DTH response and anti-OVA titers in goat kids

Immunostimulants are susbstances that stimuli the response of effector cells to activate the immune response such as antigen uptake, cytokine release or antibody response. These substances can increase resistence to infection by different types of microorganisms, reducing dependence of antibiotics used in livestock animals. Recent reports have demonstrated the positive effect of Propionibacterium acnes (P. acnes) to control animal diseases. In this study, we evaluated the effect of the non-specific immunostimulant P. acnes on immunological functions and growth performance in goat kids. Twenty five goat kids served as control group (A) and another 25 animals received P. acnes being the experimental group (B). Kids were challenged with ovalbumin (OVA) to assess humoral immunity. To assess in vivo cell immunity, delayed type hypersensitivity (DTH) test with phytohemagglutinin (PHA) was used, clinical signs and body weight were recorded each week until 9 weeks of age when the experiment ended. Blood samples were obtained to analyze serum proteins fractions and anti-OVA specific antibodies. No clinical signs of disease and no differences (p>0.05) on body weight between groups were recorded (7.32±0.81 kg in group A, 7.13±0.65 kg in group B). Goat kids from group B had more total protein (59.8±5g/l) and albumin levels (32.8±3.3g/l) than goat kids from group A (56.6±5.7 g/l, 29.6±3.9 g/l respectively) (p<0.05). DTH response in goat kids from group B on day 42 was higher (p<0.05) than group A. At day 63, goat kids from group receiving P. acnes had higher percentage (85.4) of anti-OVA IgM titers (p<0.05) than control group (57.7). In conclusion, the results showed that oral administration of P. acnes to goat kids improved some aspects of the immune system of the animals and it could be used to control goat diseases.

Mechanical design and analysis of modular active magnetic bearing test rig

Tässä työssä on tutkittu modulaarisen aktiivimagneettilaakeroidun koelaitteen mekaanista suunnittelua ja analysointia. Suurnopeusroottorin suunnittelun teoria on esitelty. Lisäksi monia analyyttisiä mallinnusmenetelmiä mekaanisten kuormitusten mallintamiseksi on esitelty. Koska kyseessä on suurnopeussähkökone, roottoridynamiikka ja sen soveltuvuus suunnittelussa on esitelty. Magneettilaakerien rakenteeseen ja toimintaan on tutustuttu osana tätä työtä. Kirjallisuuskatsaus nykyisistä koelaitteista esimerkiksi komponenttien ominaisuuksien tunnistamiseen ja roottoridynamiikan tutkimuksiin on esitelty. Työn rajauksena on konseptisuunnittelu muunneltavalle magneettilaakeroidulle (AMB) koelaitteelle ja suunnitteluprosessin dokumentointi. Muunneltavuuteen päädyttiin, koska se mahdollistaa erilaisten komponenttiasetteluiden testaamisen erilaisille magneettilaakerikokoonpanoille ja roottoreille. Pääpaino tässä työssä on suurnopeus induktiokoneen roottorin suunnittelussa ja mallintamisessa. Modulaaristen toimilaitteiden kuten magneettilaakerien ja induktiosähkömoottorin rakenne on esitelty ja modulaarisen rakenteen käytettävyyden hyödyistä koelaitekäytössä on dokumentoitu. Analyyttisiä ja elementtimenetelmään perustuvia tutkimusmenetelmiä on käytetty tutkittaessa suunniteltua suurnopeusroottoria. Suunnittelun ja analysoinnin tulokset on esitelty ja verrattu keskenään eri mallinnusmenetelmien välillä. Lisäksi johtopäätökset sähkömagneettisten osien liittämisen monimutkaisuudesta ja vaatimuksista roottoriin ja toimilaitteisiin sekä mekaanisten että sähkömagneettisten ominaisuuksien optimoimiseksi on dokumentoitu.

Diagnosing dementia and normal aging: clinical relevance of brain ratios and cognitive performance in a Brazilian sample

The main objective of the present study was to evaluate the diagnostic value (clinical application) of brain measures and cognitive function. Alzheimer and multiinfarct patients (N = 30) and normal subjects over the age of 50 (N = 40) were submitted to a medical, neurological and cognitive investigation. The cognitive tests applied were Mini-Mental, word span, digit span, logical memory, spatial recognition span, Boston naming test, praxis, and calculation tests. The brain ratios calculated were the ventricle-brain, bifrontal, bicaudate, third ventricle, and suprasellar cistern measures. These data were obtained from a brain computer tomography scan, and the cutoff values from receiver operating characteristic curves. We analyzed the diagnostic parameters provided by these ratios and compared them to those obtained by cognitive evaluation. The sensitivity and specificity of cognitive tests were higher than brain measures, although dementia patients presented higher ratios, showing poorer cognitive performances than normal individuals. Normal controls over the age of 70 presented higher measures than younger groups, but similar cognitive performance. We found diffuse losses of tissue from the central nervous system related to distribution of cerebrospinal fluid in dementia patients. The likelihood of case identification by functional impairment was higher than when changes of the structure of the central nervous system were used. Cognitive evaluation still seems to be the best method to screen individuals from the community, especially for developing countries, where the cost of brain imaging precludes its use for screening and initial assessment of dementia.

Effect of practice and span length on the dual-task coordination executive test

The measure "mu", proposed as an index of the ability to coordinate concurrent box-crossing (BC) and digit-span (DS) tasks in the dual task (DT), should reflect the capacity of the executive component of the working memory system. We investigated the effect of practice in BC and of a change in the digit span on mu by adding previous practice trials in BC and diminishing, maintaining or increasing the digit sequence length. The mu behavior was evaluated throughout three trials of the test. Reported strategies in digit tasks were also analyzed. Subjects with diminished span showed the best performance in DT due to a stable performance in DS and BC in the single- and dual-task conditions. These subjects also showed a more stable performance throughout trials. Subjects with diminished span tended to employ effortless strategies, whereas subjects with increased span employed effort-requiring strategies and showed the lowest means of mu. Subjects with initial practice trials showed the best performance in BC and the most differentiated performance between the single- and dual-task conditions in BC. The correlation coefficient between the mu values obtained in the first and second trials was 0.814 for subjects with diminished span and practice trials in BC. It seems that the within-session practice in BC and the performance variability in DS affect the reliability of the index mu. To control these factors we propose the introduction of previous practice trials in BC and a modification of the current method to determine the digit sequence length. This proposal should contribute to the development of a more reliable method to evaluate the executive capacity of coordination in the dual-task paradigm.

Application of isotope-selective non-dispersive infrared spectrometry for the evaluation of the 13C-urea breath test: comparison with three concordant methods

The aim of this work was to compare the performance of isotope-selective non-dispersive infrared spectrometry (IRIS) for the 13C-urea breath test with the combination of the 14C-urea breath test (14C-UBT), urease test and histologic examination for the diagnosis of H. pylori (HP) infection. Fifty-three duodenal ulcer patients were studied. All patients were submitted to gastroscopy to detect HP by the urease test, histologic examination and 14C-UBT. To be included in the study the results of the 3 tests had to be concordant. Within one month after admission to the study the patients were submitted to IRIS with breath samples collected before and 30 min after the ingestion of 75 mg 13C-urea dissolved in 200 ml of orange juice. The samples were mailed and analyzed 11.5 (4-21) days after collection. Data were analyzed statistically by the chi-square and Mann-Whitney test and by the Spearman correlation coefficient. Twenty-six patients were HP positive and 27 negative. There was 100% agreement between the IRIS results and the HP status determined by the other three methods. Using a cutoff value of delta-over-baseline (DOB) above 4.0 the IRIS showed a mean value of 19.38 (minimum = 4.2, maximum = 41.3, SD = 10.9) for HP-positive patients and a mean value of 0.88 (minimum = 0.10, maximum = 2.5, SD = 0.71) for negative patients. Using a cutoff value corresponding to 0.800% CO2/weight (kg), the 14C-UBT showed a mean value of 2.78 (minimum = 0.89, maximum = 5.22, SD = 1.18) in HP-positive patients. HP-negative patients showed a mean value of 0.37 (minimum = 0.13, maximum = 0.77, SD = 0.17). IRIS is a low-cost, easy to manage, highly sensitive and specific test for H. pylori detection. Storing and mailing the samples did not interfere with the performance of the test.

Designing of Balanced Performance Measurement System to Purchasing Process

The performance measurement produces information about the operation of the business process. On the basis of this information performance of the company can be followed and improved. Balanced performance measurement system can monitor performance of several perspectives and business processes can be led according to company strategy. Major part of the costs of a company is originated from purchased goods or services are an output of the buying process emphasising the importance of a reliable performance measurement of purchasing process. In the study, theory of balanced performance measurement is orientated and framework of purchasing process performance measurement system is designed. The designed balanced performance measurement system of purchasing process is tested in case company paying attention to the available data and to other environmental enablers. The balanced purchasing performance measurement system is tested and improved during the test period and attention is paid to the definition and scaling of objectives. Found development initiatives are carried out especially in the scaling of indicators. Finally results of the study are evaluated, conclusions and additional research areas proposed.

Developmental norms for the Gardner Steadiness Test and the Purdue Pegboard: a study with children of a metropolitan school in Brazil

Norms for the Gardner Steadiness Test and the Purdue Pegboard were developed for the neuropsychological assessment of children in the metropolitan area of Rio de Janeiro. A computer-generated unbiased sample of 346 children with a mean age of 9.4 years (SD = 2.76), who were attending a large normal public school in this urban area, was the subject of this study. Two boys were removed from the study, one for refusing to participate and the other due to severe strabismus. Therefore, the final sample contained 344 children (173 boys and 171 girls). Sex and age of the child and hand preferred for writing, but not ethnic membership or social class, had significant effects on performance in the Gardner Steadiness Test and the Purdue Pegboard. Girls outperformed boys. Older children performed better than younger children. However, the predictive relationship between age of the child and neuropsychological performance included linear and curvilinear components. Comparison of the present results to data gathered in the United States revealed that the performance of this group of Brazilian children is equivalent to that of US children after Bonferroni's correction of the alpha level of significance. It is concluded that sex and age of the child and hand preferred for writing should be taken into account when using the normative data for the two instruments evaluated in the present study. Furthermore, the relevance of neurobehavioral antidotes for the obliteration of some of the probable neuropsychological effects of cultural deprivation in Brazilian public school children is hypothesized.

Category fluency test: effects of age, gender and education on total scores, clustering and switching in Brazilian Portuguese-speaking subjects

Verbal fluency tests are used as a measure of executive functions and language, and can also be used to evaluate semantic memory. We analyzed the influence of education, gender and age on scores in a verbal fluency test using the animal category, and on number of categories, clustering and switching. We examined 257 healthy participants (152 females and 105 males) with a mean age of 49.42 years (SD = 15.75) and having a mean educational level of 5.58 (SD = 4.25) years. We asked them to name as many animals as they could. Analysis of variance was performed to determine the effect of demographic variables. No significant effect of gender was observed for any of the measures. However, age seemed to influence the number of category changes, as expected for a sensitive frontal measure, after being controlled for the effect of education. Educational level had a statistically significant effect on all measures, except for clustering. Subject performance (mean number of animals named) according to schooling was: illiterates, 12.1; 1 to 4 years, 12.3; 5 to 8 years, 14.0; 9 to 11 years, 16.7, and more than 11 years, 17.8. We observed a decrease in performance in these five educational groups over time (more items recalled during the first 15 s, followed by a progressive reduction until the fourth interval). We conclude that education had the greatest effect on the category fluency test in this Brazilian sample. Therefore, we must take care in evaluating performance in lower educational subjects.

Selection of patients for myocardial perfusion scintigraphy based on fuzzy sets theory applied to clinical-epidemiological data and treadmill test results

Coronary artery disease (CAD) is a worldwide leading cause of death. The standard method for evaluating critical partial occlusions is coronary arteriography, a catheterization technique which is invasive, time consuming, and costly. There are noninvasive approaches for the early detection of CAD. The basis for the noninvasive diagnosis of CAD has been laid in a sequential analysis of the risk factors, and the results of the treadmill test and myocardial perfusion scintigraphy (MPS). Many investigators have demonstrated that the diagnostic applications of MPS are appropriate for patients who have an intermediate likelihood of disease. Although this information is useful, it is only partially utilized in clinical practice due to the difficulty to properly classify the patients. Since the seminal work of Lotfi Zadeh, fuzzy logic has been applied in numerous areas. In the present study, we proposed and tested a model to select patients for MPS based on fuzzy sets theory. A group of 1053 patients was used to develop the model and another group of 1045 patients was used to test it. Receiver operating characteristic curves were used to compare the performance of the fuzzy model against expert physician opinions, and showed that the performance of the fuzzy model was equal or superior to that of the physicians. Therefore, we conclude that the fuzzy model could be a useful tool to assist the general practitioner in the selection of patients for MPS.

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

Evaluation of a 1-h 75-g oral glucose tolerance test in the diagnosis of gestational diabetes

In order to evaluate the performance of a 1-h 75-g oral glucose tolerance test (OGTT) for the diagnosis of gestational diabetes mellitus (GDM), a cohort of 4998 women, 20 years or older, without previous diabetes being treated in prenatal care clinics in Brazil answered a questionnaire and performed a 75-g OGTT including fasting, 1-h and 2-h glucose measurements between their 24th and 28th gestational weeks. Pregnancy outcomes were transcribed from medical registries. GDM was defined according to WHO criteria (fasting: ≥126 mg/dL; 2-h value: ≥140 mg/dL) and macrosomia as a birth weight equal to or higher than 4000 g. Areas under the receiver operator characteristic curve (AUC) were compared and diagnostic properties of various cut-off points were evaluated. The AUCs for the prediction of macrosomia were 0.606 (0.572-0.637) for the 1-h and 0.589 (0.557-0.622) for the 2-h plasma glucose test. Similar predictability was demonstrable regarding combined adverse outcomes: 0.582 (0.559-0.604) for the 1-h test and 0.572 (0.549-0.595) for the 2-h test. When the 1-h glucose test was evaluated against a diagnosis of GDM defined by the 2-h glucose test, the AUC was 0.903 (0.886-0.919). The cut-off point that maximized sensitivity (83%) and specificity (83%) was 141 mg/dL, identifying 21% of the women as positive. A cut-off point of 160 mg/dL, with lower sensitivity (62%), had higher specificity (94%), labeling 8.6% as positive. Detection of GDM can be done with a 1-h 75-g OGTT: the value of 160 mg/dL has the same diagnostic performance as the conventional 2-h value (140 mg/dL). The simplification of the test may improve coverage and timing of the diagnosis of GDM.

Acute exercise performed close to the anaerobic threshold improves cognitive performance in elderly females

The objective of the present study was to compare the effect of acute exercise performed at different intensities in relation to the anaerobic threshold (AT) on abilities requiring control of executive functions or alertness in physically active elderly females. Forty-eight physically active elderly females (63.8 ± 4.6 years old) were assigned to one of four groups by drawing lots: control group without exercise or trial groups with exercise performed at 60, 90, or 110% of AT (watts) and submitted to 5 cognitive tests before and after exercise. Following cognitive pretesting, an incremental cycle ergometer test was conducted to determine AT using a fixed blood lactate concentration of 3.5 mmol/L as cutoff. Acute exercise executed at 90% of AT resulted in significant (P < 0.05, ANOVA) improvement in the performance of executive functions when compared to control in 3 of 5 tests (verbal fluency, Tower of Hanoi test (number of movements), and Trail Making test B). Exercising at 60% of AT did not improve results of any tests for executive functions, whereas exercise executed at 110% of AT only improved the performance in one of these tests (verbal fluency) compared to control. Women from all trial groups exhibited a remarkable reduction in the Simple Response Time (alertness) test (P = 0.001). Thus, physical exercise performed close to AT is more effective to improve cognitive processing of older women even if conducted acutely, and using a customized exercise prescription based on the anaerobic threshold should optimize the beneficial effects.