Enhancement of an implemented rating model and impact on existing risk management processes: A hands-on approach from financial supplier risk management within the automotive industry

The purpose of this paper is to conduct a methodical drawback analysis of a financial supplier risk management approach which is currently implemented in the automotive industry. Based on identified methodical flaws, the risk assessment model is further developed by introducing a malus system which incorporates hidden risks into the model and by revising the derivation of the most central risk measure in the current model. Both methodical changes lead to significant enhancements in terms of risk assessment accuracy, supplier identification and workload efficiency.

Occurrence and risk factors associated with infection by Toxoplasma gondii in goats in the State of Alagoas, Brazil

INTRODUCTION: Goats are considered very susceptible to infection by Toxoplasma gondii and when this occurs during pregnancy, it may cause fetal death with subsequent fetal resorption, abortion, mummification, stillborn or the birth of weak goats. The objective of this work was to determine the occurrence of and identify risk factors for T. gondii infection in goats in different mesoregions in the State of Alagoas. METHODS: The research was conducted on 24 goat breeding farms in 10 municipalities. A total of 454 blood samples were examined for anti-T. gondii antibodies by indirect immunofluorescence antibody test. To evaluate the risk factors of toxoplasmosis in goats, questionnaires were applied analyzing the farm's production system and nutritional, reproductive and sanitary management. RESULTS: Disease occurrence was 39% with 95.8% of farms presenting seropositive animals. Significant associations were observed for mesoregion (OR = 0.23; 95%CI = 0.09 - 0.57), age (OR = 0.36; 95%CI = 0.20 - 0.64), semi-intensive herd management (OR = 8.70; 95%CI = 1.87 - 40.43), access of cats to water provided for goats (OR = 3.38; 95%CI = 1.89-6.02) and cats feeding on placental remnants (OR = 2.73; 95%CI = 1.38 - 5.40). CONCLUSIONS: Toxoplasma gondii infection is disseminated in the State of Alagoas and the adoption of a program that monitors infection foci is required to reduce the risk factors identified in the present study.

Co-infection and risk factors of tuberculosis in a Mexican HIV+ population

INTRODUCTION: The situation of tuberculosis (TB) is being modified by the human immunodeficiency virus (HIV), which is increasing the occurrence of new cases and the generation of drug resistant strains, affecting not only the people infected with HIV, but also their close contacts and the general population, conforming a serious public health concern. However, the magnitudes of the factors associated to this co-infection differ considerably in relation to the population groups and geographical areas. METHODS: In order to evaluate the prevalence and risk factors for the co-infection of tuberculosis (TB) in a population with human immunodeficiency virus (HIV+) in the Southeast of Mexico, we made the analysis of clinical and epidemiological variables and the diagnosis of tuberculosis by isolation of mycobacteria from respiratory samples. RESULTS: From the 147 HIV+ individuals analyzed, 12 were culture positive; this shows a prevalence of 8% for the co-infection. The only variable found with statistical significance for the co-infection was the number of CD4-T < 200 cells/mm³, OR 13 (95%, CI 2-106 vs 12-109). CONCLUSIONS: To our knowledge this is the first report describing the factors associated with tuberculosis co -infection with HIV in a population from Southern Mexico. The low number of CD4 T-cells was the only variable associated with the TB co-infection and the rest of the variables provide scenarios that require specific and particular interventions for this population group.

Métodos estatísticos aplicados à modelação de dados oncológicos

RESUMO: A estrutura demográfica portuguesa é marcada por baixas taxas de natalidade e mortalidade, onde a população idosa representa uma fatia cada vez mais representativa, fruto de uma maior longevidade. A incidência do cancro, na sua generalidade, é maior precisamente nessa classe etária. A par de outras doenças igualmente lesivas (e.g. cardiovasculares, degenerativas) cuja incidência aumenta com a idade, o cancro merece relevo. Estudos epidemiológicos apresentam o cancro como líder mundial na mortalidade. Em países desenvolvidos, o seu peso representa 25% do número total de óbitos, percentagem essa que mais que duplica noutros países. A obesidade, a baixa ingestão de frutas e vegetais, o sedentarismo, o consumo de tabaco e a ingestão de álcool, configuram-se como cinco dos fatores de risco presentes em 30% das mortes diagnosticadas por cancro. A nível mundial e, em particular no Sul de Portugal, os cancros do estômago, recto e cólon apresentam elevadas taxas de incidência e de mortalidade. Do ponto de vista estritamente económico, o cancro é a doença que mais recursos consome enquanto que do ponto de vista físico e psicológico é uma doença que não limita o seu raio de ação ao doente. O cancro é, portanto, uma doença sempre atual e cada vez mais presente, pois reflete os hábitos e o ambiente de uma sociedade, não obstante as características intrínsecas a cada indivíduo. A adoção de metodologia estatística aplicada à modelação de dados oncológicos é, sobretudo, valiosa e pertinente quando a informação é oriunda de Registos de Cancro de Base Populacional (RCBP). A pertinência é justificada pelo fato destes registos permitirem aferir numa população específica, o risco desta sofrer e/ou vir a sofrer de uma dada neoplasia. O peso que as neoplasias do estômago, cólon e recto assumem foi um dos elementos que motivou o presente estudo que tem por objetivo analisar tendências, projeções, sobrevivências relativas e a distribuição espacial destas neoplasias. Foram considerados neste estudo todos os casos diagnosticados no período 1998-2006, pelo RCBP da região sul de Portugal (ROR-Sul). O estudo descritivo inicial das taxas de incidência e da tendência em cada uma das referidas neoplasias teve como base uma única variável temporal - o ano de diagnóstico - também designada por período. Todavia, uma metodologia que contemple apenas uma única variável temporal é limitativa. No cancro, para além do período, a idade à data do diagnóstico e a coorte de nascimento, são variáveis temporais que poderão prestar um contributo adicional na caracterização das taxas de incidência. A relevância assumida por estas variáveis temporais justificou a sua inclusão numaclasse de modelos designada por modelos Idade-Período-Coorte (Age-Period-Cohort models - APC), utilizada na modelação das taxas de incidência para as neoplasias em estudo. Os referidos modelos permitem ultrapassar o problema de relações não lineares e/ou de mudanças súbitas na tendência linear das taxas. Nos modelos APC foram consideradas a abordagem clássica e a abordagem com recurso a funções suavizadoras. A modelação das taxas foi estratificada por sexo. Foram ainda estudados os respectivos submodelos (apenas com uma ou duas variáveis temporais). Conhecido o comportamento das taxas de incidência, uma questão subsequente prende-se com a sua projeção em períodos futuros. Porém, o efeito de mudanças estruturais na população, ao qual Portugal não é alheio, altera substancialmente o número esperado de casos futuros com cancro. Estimativas da incidência de cancro a nível mundial obtidas a partir de projeções demográficas apontam para um aumento de 25% dos casos de cancro nas próximas duas décadas. Embora a projeção da incidência esteja associada a alguma incerteza, as projeções auxiliam no planeamento de políticas de saúde para a afetação de recursos e permitem a avaliação de cenários e de intervenções que tenham como objetivo a redução do impacto do cancro. O desconhecimento de projeções da taxa de incidência destas neoplasias na área abrangida pelo ROR-Sul, levou à utilização de modelos de projeção que diferem entre si quanto à sua estrutura, linearidade (ou não) dos seus coeficientes e comportamento das taxas na série histórica de dados (e.g. crescente, decrescente ou estável). Os referidos modelos pautaram-se por duas abordagens: (i)modelos lineares no que concerne ao tempo e (ii) extrapolação de efeitos temporais identificados pelos modelos APC para períodos futuros. Foi feita a projeção das taxas de incidência para os anos de 2007 a 2010 tendo em conta o género, idade e neoplasia. É ainda apresentada uma estimativa do impacto económico destas neoplasias no período de projeção. Uma questão pertinente e habitual no contexto clínico e a que o presente estudo pretende dar resposta, reside em saber qual a contribuição da neoplasia em si para a sobrevivência do doente. Nesse sentido, a mortalidade por causa específica é habitualmente utilizada para estimar a mortalidade atribuível apenas ao cancro em estudo. Porém, existem muitas situações em que a causa de morte é desconhecida e, mesmo que esta informação esteja disponível através dos certificados de óbito, não é fácil distinguir os casos em que a principal causa de morte é devida ao cancro. A sobrevivência relativa surge como uma medida objetiva que não necessita do conhecimento da causa específica da morte para o seu cálculo e dar-nos-á uma estimativa da probabilidade de sobrevivência caso o cancro em análise, num cenário hipotético, seja a única causa de morte. Desconhecida a principal causa de morte nos casos diagnosticados com cancro no registo ROR-Sul, foi determinada a sobrevivência relativa para cada uma das neoplasias em estudo, para um período de follow-up de 5 anos, tendo em conta o sexo, a idade e cada uma das regiões que constituem o registo. Foi adotada uma análise por período e as abordagens convencional e por modelos. No epílogo deste estudo, é analisada a influência da variabilidade espaço-temporal nas taxas de incidência. O longo período de latência das doenças oncológicas, a dificuldade em identificar mudanças súbitas no comportamento das taxas, populações com dimensão e riscos reduzidos, são alguns dos elementos que dificultam a análise da variação temporal das taxas. Nalguns casos, estas variações podem ser reflexo de flutuações aleatórias. O efeito da componente temporal aferida pelos modelos APC dá-nos um retrato incompleto da incidência do cancro. A etiologia desta doença, quando conhecida, está associada com alguma frequência a fatores de risco tais como condições socioeconómicas, hábitos alimentares e estilo de vida, atividade profissional, localização geográfica e componente genética. O “contributo”, dos fatores de risco é, por vezes, determinante e não deve ser ignorado. Surge, assim, a necessidade em complementar o estudo temporal das taxas com uma abordagem de cariz espacial. Assim, procurar-se-á aferir se as variações nas taxas de incidência observadas entre os concelhos inseridos na área do registo ROR-Sul poderiam ser explicadas quer pela variabilidade temporal e geográfica quer por fatores socioeconómicos ou, ainda, pelos desiguais estilos de vida. Foram utilizados os Modelos Bayesianos Hierárquicos Espaço-Temporais com o objetivo de identificar tendências espaço-temporais nas taxas de incidência bem como quantificar alguns fatores de risco ajustados à influência simultânea da região e do tempo. Os resultados obtidos pela implementação de todas estas metodologias considera-se ser uma mais valia para o conhecimento destas neoplasias em Portugal.------------ABSTRACT: mortality rates, with the elderly being an increasingly representative sector of the population, mainly due to greater longevity. The incidence of cancer, in general, is greater precisely in that age group. Alongside with other equally damaging diseases (e.g. cardiovascular,degenerative), whose incidence rates increases with age, cancer is of special note. In epidemiological studies, cancer is the global leader in mortality. In developed countries its weight represents 25% of the total number of deaths, with this percentage being doubled in other countries. Obesity, a reduce consumption of fruit and vegetables, physical inactivity, smoking and alcohol consumption, are the five risk factors present in 30% of deaths due to cancer. Globally, and in particular in the South of Portugal, the stomach, rectum and colon cancer have high incidence and mortality rates. From a strictly economic perspective, cancer is the disease that consumes more resources, while from a physical and psychological point of view, it is a disease that is not limited to the patient. Cancer is therefore na up to date disease and one of increased importance, since it reflects the habits and the environment of a society, regardless the intrinsic characteristics of each individual. The adoption of statistical methodology applied to cancer data modelling is especially valuable and relevant when the information comes from population-based cancer registries (PBCR). In such cases, these registries allow for the assessment of the risk and the suffering associated to a given neoplasm in a specific population. The weight that stomach, colon and rectum cancers assume in Portugal was one of the motivations of the present study, that focus on analyzing trends, projections, relative survival and spatial distribution of these neoplasms. The data considered in this study, are all cases diagnosed between 1998 and 2006, by the PBCR of Portugal, ROR-Sul.Only year of diagnosis, also called period, was the only time variable considered in the initial descriptive analysis of the incidence rates and trends for each of the three neoplasms considered. However, a methodology that only considers one single time variable will probably fall short on the conclusions that could be drawn from the data under study. In cancer, apart from the variable period, the age at diagnosis and the birth cohort are also temporal variables and may provide an additional contribution to the characterization of the incidence. The relevance assumed by these temporal variables justified its inclusion in a class of models called Age-Period-Cohort models (APC). This class of models was used for the analysis of the incidence rates of the three cancers under study. APC models allow to model nonlinearity and/or sudden changes in linear relationships of rate trends. Two approaches of APC models were considered: the classical and the one using smoothing functions. The models were stratified by gender and, when justified, further studies explored other sub-models where only one or two temporal variables were considered. After the analysis of the incidence rates, a subsequent goal is related to their projections in future periods. Although the effect of structural changes in the population, of which Portugal is not oblivious, may substantially change the expected number of future cancer cases, the results of these projections could help planning health policies with the proper allocation of resources, allowing for the evaluation of scenarios and interventions that aim to reduce the impact of cancer in a population. Worth noting that cancer incidence worldwide obtained from demographic projections point out to an increase of 25% of cancer cases in the next two decades. The lack of projections of incidence rates of the three cancers under study in the area covered by ROR-Sul, led us to use a variety of forecasting models that differ in the nature and structure. For example, linearity or nonlinearity in their coefficients and the trend of the incidence rates in historical data series (e.g. increasing, decreasing or stable).The models followed two approaches: (i) linear models regarding time and (ii) extrapolation of temporal effects identified by the APC models for future periods. The study provide incidence rates projections and the numbers of newly diagnosed cases for the year, 2007 to 2010, taking into account gender, age and the type of cancer. In addition, an estimate of the economic impact of these neoplasms is presented for the projection period considered. This research also try to address a relevant and common clinical question in these type of studies, regarding the contribution of the type of cancer to the patient survival. In such studies, the primary cause of death is commonly used to estimate the mortality specifically due to the cancer. However, there are many situations in which the cause of death is unknown, or, even if this information is available through the death certificates, it is not easy to distinguish the cases where the primary cause of death is the cancer. With this in mind, the relative survival is an alternative measure that does not need the knowledge of the specific cause of death to be calculated. This estimate will represent the survival probability in the hypothetical scenario of a certain cancer be the only cause of death. For the patients with unknown cause of death that were diagnosed with cancer in the ROR-Sul, the relative survival was calculated for each of the cancers under study, for a follow-up period of 5 years, considering gender, age and each one of the regions that are part the registry. A period analysis was undertaken, considering both the conventional and the model approaches. In final part of this study, we analyzed the influence of space-time variability in the incidence rates. The long latency period of oncologic diseases, the difficulty in identifying subtle changes in the rates behavior, populations of reduced size and low risk are some of the elements that can be a challenge in the analysis of temporal variations in rates, that, in some cases, can reflect simple random fluctuations. The effect of the temporal component measured by the APC models gives an incomplete picture of the cancer incidence. The etiology of this disease, when known, is frequently associated to risk factors such as socioeconomic conditions, eating habits and lifestyle, occupation, geographic location and genetic component. The "contribution"of such risk factors is sometimes decisive in the evolution of the disease and should not be ignored. Therefore, there was the need to consider an additional approach in this study, one of spatial nature, addressing the fact that changes in incidence rates observed in the ROR-Sul area, could be explained either by temporal and geographical variability or by unequal socio-economic or lifestyle factors. Thus, Bayesian hierarchical space-time models were used with the purpose of identifying space-time trends in incidence rates together with the the analysis of the effect of the risk factors considered in the study. The results obtained and the implementation of all these methodologies are considered to be an added value to the knowledge of these neoplasms in Portugal.

Dengue: clinical forms and risk groups in a high incidence city in the southeastern region of Brazil

INTRODUCTION: The article describes the epidemiologic profile of dengue cases in Vitória, the capital of Espírito Santo, Brazil, from 2000 to 2009, aimed at identifying risk groups regarding the incidence and severity of the disease. METHODS: Confirmed cases of dengue among city residents during ten years were classified as dengue fever, dengue hemorrhagic fever, dengue shock syndrome and dengue with complications, and analyzed according to sex, age, race-color and education. RESULTS: The proportion of dengue cases was highest among women aged 20 to 29 years-old and similar between whites and blacks. A gradual decrease occurred in the percentage of dengue cases in the population aged 15 years-old or more, in the historical series of 10 years, and a growing increase in individuals less than 15 years-old, showing statistical significance. The fatality rate ranged from zero to 0.3% for all forms of dengue and from 0.2% to 18.2% for severe forms. CONCLUSIONS: The profile of those affected by the disease in the municipality is similar to those affected in Brazil. The increasing number of cases in individuals under 15 years-old corroborates the results of recent studies in other Brazilian municipalities.

Epidemiological factors related to the transmission risk of Trypanosoma cruzi in a Quilombola community, State of Mato Grosso do Sul, Brazil

INTRODUCTION: This work was an epidemiological investigation of the risk of Trypanosoma cruzi transmission in the rural Quilombola community of Furnas do Dionízio, State of Mato Grosso do Sul, Brazil. METHODS: Of the 71 animals examined, seven were captured (two opossums, Didelphis albiventris; four rats, Rattus rattus; and one nine-banded armadillo, Dasypus novemcinctus) and 64 were domestic (one canine, Canis familiaris; five pigs, Sus scrofa; two bovines, Bos taurus; five caprines, Capra sp.; and 51 ovines, Ovis aries). Parasitological tests were performed to detect parasites in the blood and to identify the morphology of flagellates. These methods included fresh examinations, buffy coat tests and blood cultures. Molecular analysis of DNA for identification of trypanosomatids was performed by polymerase chain reaction (PCR) with primers S35 and S36. RESULTS: The parasitological tests showed flagellates in an opossum and two cattle. The molecular tests showed DNA from T. cruzi in an opossum and a pig. Triatoma sordida was the only triatomine species found in the community, and it colonized households (four specimens) and the surrounding areas (124 specimens). Twenty-three specimens tested positive for flagellates, which were subsequently identified as T. cruzi by PCR. CONCLUSIONS: Data analysis demonstrated that T. cruzi has a peridomestic life cycle that involves both domestic and wild mammals.

Support in decision-making under uncertainty: a project risk assessment tool development and supplementary advances

A foremost dispute that persists on the contemporary world’s agenda is change. The on-going social/technological/economic changes create a competitive and challenging environment for companies to endure. To benefit from these changes, world economies partially depend on emerging Small and Medium Enterprises (SMEs) and their adaptability skills, and subsequently the development of an integrated capability to innovate has become the prime strategy for most of SMEs to subsist and grow. However, innovation and change are always somewhat bonded to an inherent risk development, which subsequently brings on the necessity of a revision of risk management approaches in innovative processes, whose importance SMEs tend to disregard. Additionally, little efforts have been made to improve and create empirical models, metrics and tools to assist SMEs managing latent risks in their innovative projects. This work seeks to present and discuss a solution to support SMEs in engaging on systematic risk management practices, which consists on an integrated risk assessment and response support web-based tool - Spotrisk® - designed for SMEs. On the other hand, an inherent subjectivity is linked with risk management and identification processes, due to uncertainty trait of its nature, for each individual perceives situations according to his own idiosyncrasy, which brings complications in normalizing risk profiles and procedures. This essay aims to bring insights concerning the support in decision-making processes under uncertainty, by addressing issues related with the risk behavior character among individuals. To address such issues, subjects of neuroscience or psychology are explored and models to identify such character are proposed, as well as models to improve presented tool. This work attempts to go beyond the restrictive aim of endeavoring on technical improvement dissertation, and in embraces an exploratory conceptualization concerning micro, small and medium businesses’ traits regarding risk characters and project risk assessment tools.

Risk factors for Leishmania chagasi infection in an endemic area in Raposa, State of Maranhão, Brazil

INTRODUCTION: Infection with Leishmania chagasi is the most common clinical presentation for visceral leishmaniaisis in endemic areas. The municipality of Raposa is an endemic area in State of Maranhão, Brazil, and have had registration cases of visceral leishmaniasis disease. For this reason, a cross- sectional study was conducted to evaluate the risk factors for infection with L. chagasi detected by Montenegro skin test. METHODS: The sample comprised 96% of the inhabitants of the villages of Maresia, Pantoja, and Marisol located in the municipality of Raposa, corresponding to 1,359 subjects. Data were collected using a questionnaire. Univariate and multivariate logistic regression models were applied to evaluate the association between the variables studied and infection of L. chagasi. RESULTS: The variables associated with infection upon nonadjusted analysis were a straw roof, mud walls, floors of beaten earth, presence of sand flies inside or outside of the dwelling, and bathing outdoors. Adjusted analysis showed that the presence of sand flies inside/outside the dwelling was a risk factor, and age younger than 10 years was a protective factor against asymptomatic infection. CONCLUSIONS: The results highlight the extent to which precarious living conditions of the population strengthen the epidemiological chain of visceral leishmaniasis.

Risk parity: True versus naive approach

This paper studies the performance of two different Risk Parity strategies, one from Maillard (2008) and a “naïve” that was already used by market practitioners, against traditional strategies. The tests will compare different regions (US, UK, Germany and Japan) since 1991 to 2013, and will use different ways of volatility. The main findings are that Risk Parity outperforms any traditional strategy, and the “true” (by Maillard) has considerable better results than the “naïve” when using historical volatility, while using EWMA there are significant differences.

Methicillin-resistant Staphylococcus aureus bloodstream infection: risk factors and clinical outcome in non-intensive-care units

INTRODUCTION: Methicillin-resistant Staphylococcus aureus (MRSA) is spread out in hospitals across different regions of the world and is regarded as the major agent of nosocomial infections, causing infections such as skin and soft tissue pneumonia and sepsis. The aim of this study was to identify risk factors for methicillin-resistance in Staphylococcus aureus bloodstream infection (BSI) and the predictive factors for death. METHODS: A retrospective cohort of fifty-one patients presenting bacteraemia due to S. aureus between September 2006 and September 2008 was analysed. Staphylococcu aureus samples were obtained from blood cultures performed by clinical hospital microbiology laboratory from the Uberlândia Federal University. Methicillinresistance was determined by growth on oxacillin screen agar and antimicrobial susceptibility by means of the disk diffusion method. RESULTS: We found similar numbers of MRSA (56.8%) and methicillin-susceptible Staphylococcus aureus (MSSA) (43.2%) infections, and the overall hospital mortality ratio was 47%, predominantly in MRSA group (70.8% vs. 29.2%) (p=0.05). Age (p=0.02) was significantly higher in MRSA patients as also was the use of central venous catheter (p=0.02). The use of two or more antimicrobial agents (p=0.03) and the length of hospital stay prior to bacteraemia superior to seven days (p=0.006) were associated with mortality. High odds ratio value was observed in cardiopathy as comorbidity. CONCLUSIONS: Despite several risk factors associated with MRSA and MSSA infection, the use of two or more antimicrobial agents was the unique independent variable associated with mortality.

Brazilian equity risk premium analysis: A macroeconomic approach

Double Degree Masters in Economics Program from Insper and NOVA School of Business and Economics

HAART: a risk factor for development of porphyria cutanea tarda?

Porphyria cutanea tarda (PCT) is caused by inherited or acquired partial deficiency of the uroporphyrinogen-decarboxylase (Uro-D) enzyme activity. It is the most common form of porphyria. The main triggering factors to the development of porphyria cutanea tarda are alcohol, hepatitis C virus and human immunodeficiency virus. There are several reports of PCT associated with drugs, among them, antiretroviral therapy. We describe three HIV-positive patients, which showed photosensitivity as well as the emergence of tense blisters on sun-exposed areas during the use of highly active antiretroviral therapy (HAART) and discuss the possibility of PCT after the use of these drugs by those patients.

Market risk charge of the trading book: a comparison of the Basel II and Basel III

This paper aims to investigate if the market capital charge of the trading book increased in Basel III compared to Basel II. I showed that the capital charge rises by 232% and 182% under the standardized and internal model, respectively. The varying liquidity horizons, the calibration to a stress period, the introduction of credit spread risk, the restrictions on correlations across risk categories and the incremental default charge boost Basel III requirements. Nevertheless, the impact of Expected shortfall at 97.5% is low and long term shocks decrease the charge. The standardized approach presents advantages and disadvantages relative to internal models.

The good, the bad and the ugly: The fall and resolution of Banco Espírito Santo

This case study – and accompanying teaching note – briefly describes the history of the Espírito Santo family, a banking dynasty who led one of Portugal’s leading economic and financial groups, along with its “crown jewel”, Banco Espírito Santo. It chronicles how the corporate governance issues at BES allowed the family to exploit the bank, its shareholders and its customers, so as to support its unprofitable non-financial businesses. This left the bank in a poor financial situation, which deteriorated beyond control, leaving regulators – whose actions are also analysed here – with no alternative, amidst a severe liquidity crisis, but to apply a resolution measure, pinning large losses on junior bondholders and shareholders before recapitalising the bank.

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.