Exchange-Trade Funds Evaluation using Performance Measures Distribution

In this study we propose the use of the performance measure distribution rather than its punctual value to rank hedge funds. Generalized Sharpe Ratio and other similar measures that take into account the higher-order moments of portfolio return distributions are commonly used to evaluate hedge funds performance. The literature in this field has reported non-significant difference in ranking between performance measures that take, and those that do not take, into account higher moments of distribution. Our approach provides a much more powerful manner to differentiate between hedge funds performance. We use a non-semiparametric density based on Gram-Charlier expansions to forecast the conditional distribution of hedge fund returns and its corresponding performance measure distribution. Through a forecasting exercise we show the advantages of our technique in relation to using the more traditional punctual performance measures.

Money Market Funds in the EU and US, Regulations and Practice

This is the first comprehensive analysis of the regulation of money market funds in the EU and US at both the theoretical and practical levels.  Its unique mutli-disciplinary approach provides a rigorous framework for comparative analysis and expert opinions on complex regulations that will help practitioners with decisions on portfolio management and in solving regulatory compliance issues. The theoretical framework has unique cases and examples and includes checklists to assist with the practice of fund management and legal risk analysis.

Comparative analysis of the US and the EU Regulatory Models for Money Market Funds

This chapter sets out a comprehensive analysis of the regulation of money market funds in the EU and US. The theoretical framework has unique cases and examples and includes checklists to assist with the practice of fund management and legal risk analysis.

Money Market Funds Outside the EU and the US

This chapter sets out a comprehensive analysis of the regulation of money market funds outside of the EU and US. The theoretical framework includes unique cases and examples and recommendations for regulations and policy developments.

Bond Fund Performance During Recessions and Expansions: Empirical Evidence from a Small Market

This paper provides the first investigation about bond mutual fund performance during recession and expansion periods separately. Based on multi-factor performance evaluation models, results show that bond funds significantly underperform the market during both phases of the business cycle. Nevertheless, unlike equity funds, bond funds exhibit considerably higher alphas during good economic states than during market downturns. These results, however, seem entirely driven by the global financial crisis subperiod. In contrast, during the recession associated to the Euro sovereign debt crisis, bond funds are able to accomplish neutral performance. This improved performance throughout the debt crisis seems to be related to more conservative investment strategies, which reflect an increase in managers’ risk aversion.

Short-term Trading in Long-term Funds: Implications for Financial Managers

Most hospitality firms do not consider managing stock portfolios to be a main part of their operations. They are in the service business, using their real assets and the services provided by employees to create valuable experiences for guests. However, the need to focus on stock investments arises through those employees. Employees consistently rank benefits, including retirement benefits, among the top five contributors to job satisfaction and as a key consideration in accepting a job.1 It is not surprising, then, that more than 90 percent of companies with 500 or more employees offer retirement plans. The five largest hotel companies in the U.S. have over $10 billion in assets under management in their retirement plans, making these plans a key component in retirement investment decisions.

The Great Irish Famine in history-writing and prose fiction : "the mutual interplay of two narrative genres"

Denna tvärvetenskapliga studie kontextualiserar den skönlitterära framställningen av hungersnöden i Irland i mitten av 1800-talet i förhållande till tre olika faser av irländsk historieskrivning ‒ den nationalistiska, den revisionistiska, och den postrevisionistiska ‒ med syfte att granska i vilken mån prosafiktionen antingen återspeglar eller motsäger historikernas tolkningar. År 1845 drabbades landet av en dittills okänd potatispest som förstörde skörden helt eller delvis under de följande fem åren. Missväxten ledde till utbredd svält och epidemiska sjukdomar som dödade åtminstone en miljon människor, medan ytterligare en och en halv miljon flydde, huvudsakligen till Förenta Staterna, England, och Kanada. I sina försök att hitta en rationell förklaring till hur potatispesten kunde utvecklas till den värsta svältkatastrofen i Europa under modern tid, har historiker påvisat ett antal bidragande faktorer, till exempel överbefolkning, de fattigaste jordlösa småbrukarnas och lantarbetarnas beroende av potatisen som sitt baslivsmedel, underutveckling inom jordbruket, det rådande jordegendomssystemet, och den dåvarande brittiska regeringens misslyckande att tillhandahålla effektiv och tillräcklig nödhjälp. Historiska förklaringar är naturligtvis nödvändiga för att vi skall kunna bilda oss en uppfattning om hungersnödens orsaker och konsekvenser, men svårigheten med att skildra offrens situation i en historiografisk analys baserad på fakta är uppenbar då deras egna vittnesmål till största delen saknas i källmaterialet. Följaktligen finns det en risk att historieskrivningen förmörkar det som onekligen var centrala realiteter för de värst drabbade, nämligen svält, vräkning, sjukdom och död. Här kan skönlitteraturen bidra till att komplettera historien. Genom att fokusera på ett specifikt (fiktivt) samhälle och dess (fiktiva) individer, kan skönlitterära verk ge en inblick i hur hungersnöden inverkade på olika samhällsskikt, vad människorna gjorde för att överleva, hur nöden och fasorna påverkade deras psyke, och vad eller vem de höll ansvariga för katastrofen. Å andra sidan kan denna fokusering innebära att författaren misslyckas med att ge en helhetsbild av hungersnödens enorma omfattning och att redogöra för alla faktorer som orsakade och förlängde den. Paul Ricoeurs teori om samspelet mellan historia och fiktion (the interweaving of history and fiction) är därför ett nyckelbegrepp för att bättre förstå denna traumatiska period i Irlands historia. Avhandlingen omfattar en textanalytisk, komparativ kritik av ett antal historiska och skönlitterära verk. Genom närläsning av dessa texter granskar jag vilka aspekter av hungersnöden (politiska, ekonomiska, sociala) de olika författarna valt att behandla, och på vilket sätt, samt hur deras synvinklar har format tolkningarna i sin helhet. I detta sammanhang tar jag också upp skillnaderna mella fakta och fiktion, och speciellt de etiska problem som är förknippade med skildringen av traumatiska händelser och mänskligt lidande. Samtidigt undersöker jag, med hänvisning till Roger D. Sells kommunikationsteori, huruvida vissa författare anslår en påstridig ton i sina verk och hur detta påverkar dialogen mellan författare och läsare. Med utgångspunkt i Ricoeurs teori argumenterar jag för att historia och fiktion inte bör ses som ömsesidigt antitetiska diskurser i skildringen och tolkningen av det förflutna, och att skönlitteraturen genom fokuseringen på offren, som ofta tenderar att reduceras till statistik i historieskrivningen, kan förmedla en bättre förståelse och en djupare känsla för den mänskliga dimensionen av den tragedi som utspelades under hungeråren.

Impact of PL 94-566 on agricultural employers and UI trust funds in selected states.

"Prepared by G. Joachim [i.e. Joachim G.] Elterich and Linda Graham"--Prelim. p.

Conditional mutual inclusive information enables accurate quantification of associations in gene regulatory networks

International audience

Impact of the cation symmetry on the mutual solubilities between water and imidazolium-based ionic liquids

Aiming at the evaluation of the impact of the ionic liquids (ILs) cation symmetry on their phase behaviour, in this work, novel mutual solubilities with water of the symmetric series of [C(n)C(n)im][NTf2] (with n=1-5) were determined and compared with their isomeric forms of the asymmetric [C(n)C(1)im][NTf2] group. While the solubility of isomeric ILs in water was found to be similar, the solubility of water in ILs follows the same trend up to a maximum cation alkyl side chain length. For n >= 4 in [C(n)C(n)im][NTf2] the solubility of water in the asymmetric ILs is slightly higher than that observed in the symmetric counterparts. The thermodynamic properties of solution and solvation derived from the experimental solubility data of ILs in water at infinite dilution, namely the Gibbs energy, enthalpy and entropy were used to evaluate the cation symmetry effect on the ILs solvation. It is shown that the solubility of ILs in water is entropically driven and highly influenced by the cation size. Accordingly, it was found that the ILs solubility in water of both symmetric and asymmetric series depends on their molecular volume. Based on these findings, a linear correlation between the logarithm of the solubility of ILs in water and their molar volume is here proposed for the [NTf2]-based ILs at a fixed temperature.

Analysis of the isomerism effect on the mutual solubilities of bis(trifluoromethylsulfonyl)imide-based ionic liquids with water

The knowledge of the liquid-liquid equilibria (LLE) between ionic liquids (ILs) and water is of utmost importance for environmental monitoring, process design and optimization. Therefore, in this work, the mutual solubilities with water, for the ILs combining the 1-methylimidazolium, [C(1)im](+); 1-ethylimidazolium, [C(2)im](+); 1-ethyl-3-propylimidazolium, [C(2)C(3)im](+); and 1-butyl-2,3-dimethylimidazolium, [C(4)C(1)C(1)im](+) cations with the bis(trifluoromethylsulfonyl)imide anion, were determined and compared with the isomers of the symmetric 1,3-dialkylimidazolium bis(trifluoromethylsulfonyl)imide ([C(n)C(n)im][NTf2], with n=1-3) and of the asymmetric 1-alkyl-3-methylimidazolium bis(trifluoromethylsulfonyl)imide ([C(n)C(1)im][NTf2], with n = 2-5) series of ILs. The results obtained provide a broad picture of the impact of the IL cation structural isomerism, including the number of alkyl side chains at the cation, on the water-IL mutual solubilities. Despite the hydrophobic behaviour associated to the [NTf2](-) anion, the results show a significant solubility of water in the IL-rich phase, while the solubility of ILs in the water-rich phase is much lower. The thermodynamic properties of solution indicate that the solubility of ILs in water is entropically driven and highly influenced by the cation size. Using the results obtained here in addition to literature data, a correlation between the solubility of [NTf2]-based ILs in water and their molar volume, for a large range of cations, is proposed. The COnductor like Screening MOdel for Real Solvents (COSMO-RS) was also used to estimate the LLE of the investigated systems and proved to be a useful predictive tool for the a priori screening of ILs aiming at finding suitable candidates before extensive experimental measurements.

Mutual Information-based RBM Neural Networks

(Deep) neural networks are increasingly being used for various computer vision and pattern recognition tasks due to their strong ability to learn highly discriminative features. However, quantitative analysis of their classication ability and design philosophies are still nebulous. In this work, we use information theory to analyze the concatenated restricted Boltzmann machines (RBMs) and propose a mutual information-based RBM neural networks (MI-RBM). We develop a novel pretraining algorithm to maximize the mutual information between RBMs. Extensive experimental results on various classication tasks show the eectiveness of the proposed approach.