Currency overlay for global equity portfolios : cross-hedging and base currency

The effectiveness of a currency overlay hedge for a global equity portfolio can be significantly affected by changes in the base currency. Base currency changes have no significant effect on the hedged portfolio risk; however, they may substantially increase or decrease risk relative to the unhedged position. Australian (AUD) and Canadian (CAD) forwards provide effective cross-hedging, particularly in combination with one or two other currency hedges. Hedge effectiveness is significantly improved by allowing for natural hedges via a dynamic approach that captures structural change and permits under-hedging of currency exposures. © 2014 Wiley Periodicals, Inc.

Peripheral vascular endothelial growth factor as a novel depression biomarker: a meta-analysis

BACKGROUND: The neurotrophic hypothesis of major depressive disorder (MDD) postulates that the pathology of this illness incorporates a down-regulation of neurotrophin signaling. Brain-derived neurotrophic factor (BDNF) is the most studied neurotrophic mediator regarding the neurobiology of MDD. Nevertheless, emerging evidence has implicated the multi-competent angiogenic and neurogenic molecule - vascular endothelial growth factor (VEGF) - in hippocampal neurogenesis and depression pathophysiology. OBJECTIVE: To compare peripheral levels of VEGF between individuals with MDD and healthy controls. METHODS: We performed a systematic review and meta-analysis of original studies measuring peripheral levels of VEGF in participants with MDD compared to healthy controls. We searched the Pubmed/MEDLINE, EMBASE and PsycInfo databases for studies published in any language through December 16th, 2014. RESULTS: Fourteen studies met eligibility criteria (N=1633). VEGF levels were significantly elevated in individuals with MDD when compared to healthy controls (Hedges's g=0.343; 95% CI: 0.146-0.540; P<0.01). Funnel plot inspection and the Egger's test did not provide evidence of publication bias. A significant degree of heterogeneity was observed (Q=38.355, df=13, P<0.001; I(2)=66.1%), which was explored through meta-regression and subgroup analyses. Overall methodological quality, sample for assay (plasma versus serum), as well as the matching of MDD and control samples for age and gender emerged as significant sources of heterogeneity. CONCLUSIONS: Taken together, extant data indicate that VEGF shows promise as a biomarker for MDD, and supports that this mediator may be involved in neuroplasticity mechanisms underlying the pathophysiology of MDD.

Leptin in bipolar disorder: a systematic review and meta-analysis

BACKGROUND: Bipolar disorder (BD) is a psychiatric disorder associated with increased rates of obesity and inflammation. Leptin is an adipokine that is mainly produced by the white adipose tissue in response to insulin. It stimulates the immune system, increasing the production of pro-inflammatory cytokines. There is currently uncertainty regarding possible alterations in peripheral leptin levels across the mood states in BD. METHODS: This study comprises a between-group meta-analysis comparing serum and plasma leptin levels in people with BD in mania, depression or euthymia and healthy controls. We conducted a systematic search for all possibly eligible-English and non-English peer-reviewed articles. We calculated the effect size (ES) utilizing Hedges' adjusted g using random effects. RESULTS: Eleven studies were included in the meta-analyses, providing data on 1118 participants. Serum and plasma leptin levels were not altered in subjects with BD when compared to healthy controls in mania (g=-0.99, 95% CI -2.43 to 0.43, P=0.171), in depression (g=0.17, 95% CI -0.45 to 0.79, P=0.584), or in euthymia (g=0.03, 95% CI -0.39 to 0.46, P=0.882). However, we did observe a stronger association between leptin levels and both age and BMI in patients with BD in euthymia compared to healthy controls, such that the greater the age of the individuals, the greater the difference in leptin levels between BD and controls; and the higher the BMI, the greater the difference in leptin levels between BD and controls. CONCLUSIONS: Our meta-analysis provides evidence that leptin levels are not altered in BD across the mood spectrum compared to healthy controls. The disproportionate increase of leptin levels with increase in BMI in BD speaks in favour of a potential inflammatory role of white adipose tissue in BD and a disproportionate increase of leptin levels with increase in age.

O uso de derivativos e o custo de capital total ponderado

O presente artigo tem por objetivo demonstrar como a gestão de derivativos e a participação de capital estrangeiro afetam o custo de capital das empresas. Para essa finalidade o trabalho irá testar como impactam nos custos de capital WACC (Weighted Average Cost of Capital) e TACC (Total Average Cost of Capital), ou custo de capital total. Utilizando uma base de dados construída com dados do Economatica, bem como informações retiradas dos demonstrativos financeiros das empresas, estimaram-se três modelos para explicar quais seriam as variáveis que poderiam impactar o custo de capital das empresas. No primeiro modelo explicou-se o WACC (custo de capital médio ponderado), no segundo, o TACC (custo de capital total) e, no terceiro modelo, explicou-se a diferença entre o WACC e o TACC, quando diferente de zero. No caso do WACC a variável de teste derivativo, que demonstra empresas que possuem hedges de proteção, reduz o custo de capital, entretanto a variável estrangeiro que reflete a presença de capital estrangeiro foi estatisticamente não significativa. Já para o TACC a variável de teste estrangeiro não foi estatisticamente significativa e a variável derivativo não esteve presente. Entende-se que isto ocorre pelo fato de empresas mais conservadoras possuírem menor custo de capital.

Gestão de risco cambial no ambiente corporativo : aplicação da análise de componentes principais para a gestão do risco cambial em Trading Companies brasileiras

O presente estudo busca analisar a adoção de técnicas de imunização de carteiras para a gestão dos hedges cambiais no ambiente corporativo de uma Trading Company, utilizando de forma pioneira a análise de componentes principais aplicada à curva cambial como uma alternativa aos modelos usualmente utilizados de hedge por exposição gerada (back-to-back) e duration hedge que mostram algumas deficiências em sua gestão. Para exemplificar a efetividade da estratégia de imunização foi gerada aleatoriamente uma carteira de exposição cambial com data base de 02/01/2013 composta por 200 transações com valores entre US$5 milhões e -US$10 milhões, para vencimentos também aleatórios entre 03/06/2013 e 01/12/2014 com vencimento no primeiro dia útil de cada mês. Os resultados da Análise de Componente Principais mostraram que para os períodos analisados de 1, 2 e 3 anos, os três primeiros componentes explicam respectivamente 97.17%, 97.90% e 97.53% da variabilidade da curva cambial. No que diz respeito à imunização da carteira, a estratégia que utiliza a metodologia de componentes principais mostrou-se altamente efetiva, quando comparadas à estratégia back-to-back, de forma a permitir a sua aplicabilidade no ambiente corporativo. A estratégia de hedge utilizando-se da Análise de Componentes Principais para 1, 2 e 3 anos e pelo Duration Hedge apresentaram uma efetividade de, respectivamente, 101.3%, 99.47%, 97.64% e 99.24% para o período analisado e uma amplitude na efetividade diária de 8.62%, 7.79%, 8.45% e 19.21% o que indica uma superioridade da estratégia em relação ao Duration Hedge. Os resultados obtidos nesse trabalho são de grande relevância para a gestão de risco corporativo no mercado local.

Hedging options in a garch environment: testing the term structure of stochastic volatility models

This paper develops a methodology for testing the term structure of volatility forecasts derived from stochastic volatility models, and implements it to analyze models of S&P500 index volatility. U sing measurements of the ability of volatility models to hedge and value term structure dependent option positions, we fmd that hedging tests support the Black-Scholes delta and gamma hedges, but not the simple vega hedge when there is no model of the term structure of volatility. With various models, it is difficult to improve on a simple gamma hedge assuming constant volatility. Ofthe volatility models, the GARCH components estimate of term structure is preferred. Valuation tests indicate that all the models contain term structure information not incorporated in market prices.

REDUCING NUISANCE CANADA GOOSE PROBLEMS THROUGH HABITAT MANIPULATION

Urban populations of Canada geese (Branta canadensis) cause considerable problems when large numbers congregate in parks, playing fields, and backyards. In most cases, geese are drawn to these sites to feed on the lawns. I tested whether geese have feeding preferences for different grass species. Captive Canada geese preferred Kentucky bluegrass (Poa pratensis) and disliked tall fescue (Festuca arundinaceae) over colonial bentgrass (Agrostis tenuis cv. Highland), perennial ryegrass (Lolium perenne), and red fescue (Festuca rubra). They refused to eat some other ground covers such as pachysandra (Pachysandra terminalis) and English ivy (Hedera helix). These results suggest that goose numbers at problem sites could be reduced by changing the ground cover. I also compared the characteristics of foraging sites used by geese to other foraging sites that geese avoided. Occupied sites were more open so that geese had clearer visibility and greater ease in taking off and landing. This suggests that goose numbers at problem sites also could be reduced by planting tall trees to make it harder for the geese to fly away, and planting bushes and hedges to obstruct a goose's visibility.

Habitat selection of three cryptic Plecotus bat species in the European Alps reveals contrasting implications for conservation

Assessing the ecological requirements of species coexisting within a community is an essential requisite for developing sound conservation action. A particularly interesting question is what mechanisms govern the stable coexistence of cryptic species within a community, i.e. species that are almost impossible to distinguish. Resource partitioning theory predicts that cryptic species, like other sympatric taxa, will occupy distinct ecological niches. This prediction is widely inferred from eco-morphological studies. A new cryptic long-eared bat species, Plecotus macrobullaris, has been recently discovered in the complex of two other species present in the European Alps, with even evidence for a few mixed colonies. This discovery poses challenges to bat ecologists concerned with planning conservation measures beyond roost protection. We therefore tested whether foraging habitat segregation occurred among the three cryptic Plecotus bat species in Switzerland by radiotracking 24 breeding female bats (8 of each species). We compared habitat features at locations visited by a bat versus random locations within individual home ranges, applying mixed effects logistic regression. Distinct, species-specific habitat preferences were revealed. P. auritus foraged mostly within traditional orchards in roost vicinity, with a marked preference for habitat heterogeneity. P. austriacus foraged up to 4.7 km from the roost, selecting mostly fruit tree plantations, hedges and tree lines. P. macrobullaris preferred patchy deciduous and mixed forests with high vertical heterogeneity in a grassland dominated-matrix. These species-specific habitat preferences should inform future conservation programmes. They highlight the possible need of distinct conservation measures for species that look very much alike.

Can jatropha improve the energy supply of rural households in Africa?

There is still discussion regarding whether liquid biofuels can contribute to rural energy security in the global South. We argue that transitioning to a village energy supply based on jatropha hedges around smallholder plots is possible, but requires collective effort for the acquisition and maintenance of processing equipment and for the running of village generators. The use of jatropha oil for lighting in rural households is affordable and technically possible, but not ideal if more efficient electric solutions exist. Cooking with jatropha oil or press cake is also possible, but quantities produced in hedges can only substitute a small part of the firewood used by rural households.

Understanding the underlying mechanisms of recent Jatropha curcas L. adoption by smallholders in Kenya: A rural livelihood assessment in Bondo, Kibwezi, and Kwale districts

Between 2004 and 2007, NGOs, community based organisations and private investors promoted jatropha in Kenya with the aim of generating additional income and producing biofuel for rural development. By 2008 it became gradually evident that jatropha plantations (both mono- and intercropping) are uneconomical and risky due to competition for land and labour with food crops. Cultivation of jatropha hedges was found to have better chances of economic success and to present only little risks for the adopting farmers. Still, after 2008 a number of farmers went on adopting jatropha in plots rather than as hedges. It is hypothesised that lack of awareness about the low economic prospects of jatropha plantations was the main reason for continued adoption, and that smallholder farmers with higher resource endowments mainly ventured into its cultivation. In this study we provide an empirical basis for understanding the role of households' capital assets in taking up new livelihood strategies by smallholder farmers in three rural districts in Kenya. For that purpose, we assess the motivation and enabling factors that led to the adoption of jatropha as a new livelihood strategy, as well as the context in which promotion and adoption took place. A household survey was conducted in 2010, using a structured questionnaire, to collect information on household characteristics and capital asset endowment. Data were analysed using descriptive statistics and non-parametric statistical tests. We established that access to additional income and own energy supply were the main motivation for adoption of jatropha, and that financial capital assets do not necessarily have a positive influence on adoption as hypothesised. Further, we found that the main challenges that adopting farmers faced were lack of access to information on good management practices and lack of a reliable market. We conclude that continued adoption of on-farm jatropha after 2008 is a result of lacking awareness about the low economic value of this production type. We recommend abandoning on-farm production of jatropha until improved seed material and locally adapted agronomic knowledge about jatropha cultivation becomes available and its production becomes economically competitive.

Static replications with traffic light options

It is well known that sufficiently regular, one-dimensional payoff functions have an explicit static hedge by bonds, forward contracts, and options in a continuum of strikes. An easy and natural extension of the corresponding representation leads to static hedges based on the same instruments along with traffic light options, which have recently been introduced in the market. It is well known that the second strike derivative of non-discounted prices of vanilla options is related to the risk-neutral density of the underlying asset price in the corresponding absolutely continuous settings. Similar statements hold for traffic light options in sufficiently regular, bivariate settings.

Psychological interventions for acute pain after open heart surgery

BACKGROUND Acute postoperative pain is one of the most disturbing complaints in open heart surgery, and is associated with a risk of negative consequences. Several trials investigated the effects of psychological interventions to reduce acute postoperative pain and improve the course of physical and psychological recovery of participants undergoing open heart surgery. OBJECTIVES To compare the efficacy of psychological interventions as an adjunct to standard care versus standard care alone or standard care plus attention in adults undergoing open heart surgery on pain, pain medication, mental distress, mobility, and time to extubation. SEARCH METHODS We searched the Cochrane Central Register of Controlled Trials (CENTRAL) (The Cochrane Library 2013, Issue 8), MEDLINE (1946 to September 2013), EMBASE (1980 to September 2013), Web of Science (all years to September 2013), and PsycINFO (all years to September 2013) for eligible studies. We used the 'related articles' and 'cited by' options of eligible studies to identify additional relevant studies. We also checked lists of references of relevant articles and previous reviews. We also searched the ProQuest Dissertations and Theses Full Text Database (all years to September 2013) and contacted the authors of primary studies to identify any unpublished material. SELECTION CRITERIA Randomised controlled trials comparing psychological interventions as an adjunct to standard care versus standard care alone or standard care plus attention in adults undergoing open heart surgery. DATA COLLECTION AND ANALYSIS Two review authors (SK and JR) independently assessed trials for eligibility, estimated the risk of bias and extracted all data. We calculated effect sizes for each comparison (Hedges' g) and meta-analysed data using a random-effects model. MAIN RESULTS Nineteen trials were included (2164 participants).No study reported data on the number of participants with pain intensity reduction of at least 50% from baseline. Only one study reported data on the number of participants below 30/100 mm on the Visual Analogue Scale (VAS) in pain intensity. Psychological interventions have no beneficial effects in reducing pain intensity measured with continuous scales in the medium-term interval (g -0.02, 95% CI -0.24 to 0.20, 4 studies, 413 participants, moderate quality evidence) nor in the long-term interval (g 0.12, 95% CI -0.09 to 0.33, 3 studies, 280 participants, low quality evidence).No study reported data on median time to remedication or on number of participants remedicated. Only one study provided data on postoperative analgesic use. Studies reporting data on mental distress in the medium-term interval revealed a small beneficial effect of psychological interventions (g 0.36, 95% CI 0.10 to 0.62, 12 studies, 1144 participants, low quality evidence). Likewise, a small beneficial effect of psychological interventions on mental distress was obtained in the long-term interval (g 0.28, 95% CI 0.05 to 0.51, 11 studies, 1320 participants, low quality evidence). There were no beneficial effects of psychological interventions on mobility in the medium-term interval (g 0.23, 95% CI -0.22 to 0.67, 3 studies, 444 participants, low quality evidence) nor in the long-term interval (g 0.29, 95% CI -0.14 to 0.71, 4 studies, 423 participants, low quality evidence). Only one study reported data on time to extubation. AUTHORS' CONCLUSIONS For the majority of outcomes (two-thirds) we could not perform a meta-analysis since outcomes were not measured, or data were provided by one trial only. Psychological interventions have no beneficial effects on reducing postoperative pain intensity or enhancing mobility. There is low quality evidence that psychological interventions reduce postoperative mental distress. Due to limitations in methodological quality, a small number of studies, and large heterogeneity, we rated the quality of the body of evidence as low. Future trials should measure crucial outcomes (e.g. number of participants with pain intensity reduction of at least 50% from baseline) and should focus to enhance the quality of the body of evidence in general. Altogether, the current evidence does not clearly support the use of psychological interventions to reduce pain in participants undergoing open heart surgery.

Enduring effects of evidence-based psychotherapies in acute depression and anxiety disorders versus treatment as usual at follow-up — A longitudinal meta-analysis

This meta-analysis examined the enduring efficacy of evidence-based psychotherapies (EBP) in comparison to treatment as usual (TAU) by examining effects from termination to follow-up for acute anxiety and depression in an adult outpatient population. It was hypothesized that EBPs might extend their efficacy at follow-up assessment (Tolin, 2010). METHOD: Longitudinal multilevel meta-analyses were conducted that examined the magnitude of difference between EBP and TAU. Targeted (disorder-specific) outcomes were examined, along with dropout rates at follow-up assessments. RESULTS: A total of 15 comparisons (including 30 repeated effect sizes [ES]) were included in this meta-analysis (average of 8.9 month follow-up). Small to moderate ES differences were found to be in favor of EBPs at 0-4 month assessments (Hedges' g=0.40) and up to 12-18 month assessments (g=0.20), indicating no extended efficacy at follow-up. However, the TAU-conditions were heterogeneous, ranging from absence of minimal mental health treatment to legitimate psychotherapeutic interventions provided by trained professionals, the latter of which resulted in smaller ES differences. Furthermore, samples where substance use comorbidities were not actively excluded indicated smaller ES differences. TAU-conditions produced slightly higher dropout rates than EBP-conditions. CONCLUSION: Findings indicate small and no extended superiority of EBP for acute depression and anxiety disorders in comparison to TAU at follow-up assessment. There are a limited number of studies investigating the transportability and lasting efficacy of EBP compared to TAU, especially to TAU with equivalent conditions between treatment groups.