Tail risk in the hedge fund industry

The dissertation goal is to quantify the tail risk premium embedded into hedge funds' returns. Tail risk is the probability of extreme large losses. Although it is a rare event, asset pricing theory suggests that investors demand compensation for holding assets sensitive to extreme market downturns. By de nition, such events have a small likelihood to be represented in the sample, what poses a challenge to estimate the e ects of tail risk by means of traditional approaches such as VaR. The results show that it is not su cient to account for the tail risk stemming from equities markets. Active portfolio management employed by hedge funds demand a speci c measure to estimate and control tail risk. Our proposed factor lls that void inasmuch it presents explanatory power both over the time series as well as the cross-section of funds' returns.

Private equity regulation: what are the consequences of the alternative investment fund managers directive (AIFMD) on private equity managers?

The recent global financial crisis brought significant regulatory changes in the worldwide financial industry. In Europe and in the alternative asset sector specifically, a new regulation by the name of Alternative Investment Fund Managers Directive saw the daylight in 2010. This far-reaching and complex Directive with the main goal of regulating and overseeing alternative investment funds has triggered many discussions and represents an industry game-changer. Thus, this research will focus on the impact and consequences of the Directive on private equity fund managers and the role of regulators. In other words, what are the effects, what does that mean in a quantitative and qualitative sense, and how is it likely to influence the outlook of this asset class? In order to provide the reader with an extensive view on the topic, the paper will first discuss relevant theory and literature, using mix-methods and legal-dogmatic approaches. Further, descriptive case studies, analysis of existing surveys, and interviews with industry experts will supplement the paper in order to understand primary implications of the Directive with the goal of providing useful insights for further private equity regulation research.

In cash we trust: cash holdings in the brazilian equity fund industry

We study cash allocation ability as a possible explanatory factor that allows equity fund managers to produce high levels of adjusted returns (not explained by the risk factors they are exposed to). In order to do so, we explore the non-indexed Brazilian equity fund industry during the period of January 2006 to February 2015, evaluating cash allocation ability by level and effectiveness of cash deployment using return-based and holding-based approaches to explore a database of monthly invested assets and returns. We found that even though market timing is a rare skill in the industry, the flexibility to hold high levels of cash played a significant role in the result of over performing managers.

Does active management add value?: the Brazilian mutual fund market

Does active management add or destroy value? With a sample of 699 with four different main categories: stocks, fixed income, hedge and exchange rate mutual funds we conclude that the active management add value to investors in stocks and hedge funds. But in fixed income mutual funds the evidence is against the active management. We also analyze the determinants of significant alphas. For stocks and hedge funds the evidence suggests that old, big and active funds generate biggest alphas. In fixed income funds the evidence is not clear, only a positive relationship between size and alphas could be found.

The effect of guia exame’s ratings on the brazilian fund industry: an analysis of net-worth flows

This paper infers the impact the publication “Guia Exame” (the guide) has on the Brazilian fund industry, more specifically on the ability the concerned funds develop on attracting new investment. The impact is measured using the event-study analysis based on the variation of net worth subsequently to the event of being rated, according to the methodology applied by the guide to rank the funds. We used five years of fund ratings according to Guia Exame (2000-2004) and analyzed the changes of these funds’ net worth. We also compared the event amongst different categories of funds. The results found confirm the expected effects according to star rankings and asset manager size in all years.

Use of scrap tire rubber in place of SBS in modified asphalt as an environmentally correct alternative for Brazil

Reusing scrap tires has become a worldwide challenge, especially due to the great difficulty in finding ecologically and economically feasible ways to dispose of them. This has led to the creation of specific programs and legislation for reusing scrap tires. Research has shown that a certain percentage of scrap tire rubber can be added to asphalt compositions, and this has become a worldwide practice. This paper describes the properties of four asphalt compositions modified with scrap tire rubber (STR) prepared in the laboratory. These properties are then compared with those of asphalt modified with styrene butadiene styrene (SBS), a synthetic polymer and one of the most common modifiers, to verify the feasibility of using scrap tire rubber as a substitute for SBS. The scope of this study does not include an analysis of how STR affects end-of-life asphalt. The main findings indicate that STR is a potential substitute of SBS in paving material, and although it does not meet some of the standard specifications when compared with SBS, these issues can be overcome by proper care during storage and transportation. The substitution of SBS by STR also showed the potential for about 10% in expenditure savings. (C) 2012 Elsevier Ltd. All rights reserved.

Exposure to rabies virus in a population of free-ranging capuchin monkeys (Cebus apella nigritus) in a fragmented, environmentally protected area in southeastern Brazil

The aim of this study is to assess the frequency of rabies antibodies in free-ranging capuchin monkeys (Cebus apella nigritus) in a fragmented, environmentally protected, rural area of southeastern Brazil. Thirty-six free-ranging monkeys were tested by the rapid fluorescent focus inhibition test for detection of antibodies against rabies virus. Four individuals (11.11 %) had neutralizing antibody titers a parts per thousand yen0.25 IU/mL, demonstrating rabies virus exposure.

Surface morphology of Diplodon expansus (Kuster, 1856; Mollusca, Bivalvia, Hyriidae) gill filaments after exposure to environmentally relevant concentrations of atrazine herbicide

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

Impact of an environmentally realistic intake of water contaminants and superoxide formation on tissues of rats

Water contaminants have a high potential risk for the health of populations and for this reason their toxic effects urgently should be established. The present study was carried out to determine whether an environmentally realistic intake of water contaminants can induce tissue lesions, and to clarify the contribution of superoxide radical (O-2(.-)) formation to this effect. Male Wistar rats were given drinking water from the Tiett River (group A) and from the Capivara River (group B). The increased creatinine, glucose, alanine transaminase and amylase levels in serum reflected the toxic effects of river-water contaminants to renal, pancreatic and hepatic tissues of rats. As changes in lipoperoxide were observed in rats after river-water intake while superoxide dismutase activities decreased in these animals, it is assumed that the superoxide anion elicits lipoperoxide formation and induces tissue damage. There is evidence that oxygen tension reflects water pollution, since river-water with a-low oxygen tension induced more elevated toxicity in rat tissues. (C) 1999 Elsevier B.V. Ltd. All rights reserved.

An eco-friendly protocol for synthesis of thiourea derivatives: 1-benzoyl-3-benzylguanidine and 1-benzoyl-3-benzyl-O-ethylisourea. A possible non-purely thermal microwave assisted reaction

1-Benzoyl-3-benzylguanidine and 1-benzoyl-3-benzyl-O-ethylisourea were synthesized in good yields (68 and 76%, respectively) from 1-benzoyl-3-benzylthiourea and benzoyl-ethylthiocarbamate in dry media conditions using KF-Al2O3 under microwave irradiation. Strong nucleophilic amines promoted the sulfur elimination by attack on the thiocarbonyl group in both thiourea and thiocarbamates to afford guanidines and isourea, respectively. Transesterification products were obtained from p-TsOH catalyzed reaction of thiocarbamate with alcohols under MW-solvent-free conditions. Very important non-purely thermal MW specific effects were evidenced and attributed to stabilization by coulombic interactions between materials and waves. (c) 2005 Elsevier Ltd. All rights reserved.

Environmentally induced antinociception and hyperalgesia in rats and mice

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Financial globalization: from crises-prone to development-friendly?

Includes bibliography

Insurance underwriter or financial development fund: what role for reserve pooling in Latin America?

Includes bibliography

Expenditures, investment and financing for sustainable development in Trinidad and Tobago

Includes bibliography

Is it possible to make pixel-based radar image classification user-friendly?

In this paper we would like to shed light the problem of efficiency and effectiveness of image classification in large datasets. As the amount of data to be processed and further classified has increased in the last years, there is a need for faster and more precise pattern recognition algorithms in order to perform online and offline training and classification procedures. We deal here with the problem of moist area classification in radar image in a fast manner. Experimental results using Optimum-Path Forest and its training set pruning algorithm also provided and discussed. © 2011 IEEE.