Search-for-yield in Portuguese fixed-income mutual funds and monetary policy

This paper studies the effects of monetary policy on mutual fund risk taking using a sample of Portuguese fixed-income mutual funds in the 2000-2012 period. Firstly I estimate time-varying measures of risk exposure (betas) for the individual funds, for the benchmark portfolio, as well as for a representative equally-weighted portfolio, through 24-month rolling regressions of a two-factor model with two systematic risk factors: interest rate risk (TERM) and default risk (DEF). Next, in the second phase, using the estimated betas, I try to understand what portion of the risk exposure is in excess of the benchmark (active risk) and how it relates to monetary policy proxies (one-month rate, Taylor residual, real rate and first principal component of a cross-section of government yields and rates). Using this methodology, I provide empirical evidence that Portuguese fixed-income mutual funds respond to accommodative monetary policy by significantly increasing exposure, in excess of their benchmarks, to default risk rate and slightly to interest risk rate as well. I also find that the increase in funds’ risk exposure to gain a boost in return (search-for-yield) is more pronounced following the 2007-2009 global financial crisis, indicating that the current historic low interest rates may incentivize excessive risk taking. My results suggest that monetary policy affects the risk appetite of non-bank financial intermediaries.

Modeling and forecasting value-at-risk for the Portuguese stock market

The aim of this work project is to find a model that is able to accurately forecast the daily Value-at-Risk for PSI-20 Index, independently of the market conditions, in order to expand empirical literature for the Portuguese stock market. Hence, two subsamples, representing more and less volatile periods, were modeled through unconditional and conditional volatility models (because it is what drives returns). All models were evaluated through Kupiec’s and Christoffersen’s tests, by comparing forecasts with actual results. Using an out-of-sample of 204 observations, it was found that a GARCH(1,1) is an accurate model for our purposes.

Nestle's dynamic forecasting process: Anticipating risks and opportunities

Nestlé’s Dynamic Forecasting Process: Anticipating Risks and Opportunities This Work Project discusses the Nestlé’s Dynamic Forecasting Process, implemented within the organization as a way of reengineering its performance management concept and processes, so as to make it more flexible and capable to react to volatile business conditions. When stressing the importance of demand planning to reallocate resources and enhance performance, Nescafé Dolce Gusto comes as way of seeking improvements on this forecasts’ accuracy and it is thus, by providing a more accurate model on its capsules’ sales, as well as recommending adequate implementations that positively contribute to the referred Planning Process, that value is brought to the Project

Analysis of classification algorithms for crop detection using LANDSAT 8 images

Remote sensing - the acquisition of information about an object or phenomenon without making physical contact with the object - is applied in a multitude of different areas, ranging from agriculture, forestry, cartography, hydrology, geology, meteorology, aerial traffic control, among many others. Regarding agriculture, an example of application of this information is regarding crop detection, to monitor existing crops easily and help in the region’s strategic planning. In any of these areas, there is always an ongoing search for better methods that allow us to obtain better results. For over forty years, the Landsat program has utilized satellites to collect spectral information from Earth’s surface, creating a historical archive unmatched in quality, detail, coverage, and length. The most recent one was launched on February 11, 2013, having a number of improvements regarding its predecessors. This project aims to compare classification methods in Portugal’s Ribatejo region, specifically regarding crop detection. The state of the art algorithms will be used in this region and their performance will be analyzed.

Saeta Yield utilities

Equity research report

Removal of Erythrosine B dye from water effluents using crop waste pumpkin seed hulls as adsorbent

Erythrosine B is widely used for coloring in various applications, especially in the food industry, despite its already proved toxicity and carcinogenicity. The agrowaste pumpkin seed hulls were applied as potential adsorbent for the removal of Erythrosine from aqueous solutions. Adsorption mechanism and kinetics were analyzed for design purposes. The seed hulls were characterized by specific techniques before and after dye retention. It was found that the attachment of Erythrosine B molecules on adsorbent surface may be attributed to the interactions between carboxyl and/or carbonyl groups of both dye and agrowaste wall components. A univariate approach followed by a factorial design was applied to study and analyze the experimental results as well as to estimate the combined effects of the process factors on the removal efficiency and dye uptake. Adsorption mechanism may be predominantly due to intraparticle diffusion, dependent on pore size. The four equilibrium models applied fitted the data well; the maximum adsorption capacity for Erythrosine was 16.4 mg/g. The results showed that adsorbent is effective for Erythrosine B removal for a large concentration range in aqueous solutions (5400 mg/L) in batch systems.

Forecasting time series combining Holt-Winters and bootstrap approaches

Publicado em "AIP Conference Proceedings", Vol. 1648

Biomass production and essential oil yield from leaves, fine stems and resprouts using pruning the crown of Aniba canelilla (H.B.K.) (Lauraceae) in the Central Amazon

Aniba canelilla (H.B.K.) Mez. is a tree species from Amazon that produces essential oil. The oil extraction from its leaves and stems can be an alternative way to avoid the tree cutting for production of essential oil. The aim of this study was to analyse factors that may influence the essential oil production and the biomass of resprouts after pruning the leaves and stems of A. canelilla trees. The tree crowns were pruned in the wet season and after nine months the leaves and stems of the remaining crown and the resprouts were collected, in the dry season. The results showed that the essential oil yield and chemical composition differed among the stems, leaves and resprouts. The stems' essential oil production differed between the seasons and had a higher production in the resprouting stems than the old stems of the remaining crown. The production of essential oil and leaf biomass of resprouts were differently related to the canopy openness, indicating that light increases the production of the essential oil and decreases the biomass of resprouting leaves. This study revealed that plant organs differ in their essential oil production and that the canopy openness must be taken into account when pruning the A. canelilla tree crown in order to achieve higher oil productivity.

Rotary peeling yield of Schizolobium amazonicum (Leguminosae - Caesalpinioideae)

The tropical tree Schizolobium amazonicum is native from the Amazonian forest, naturally occurring in Brazil, Peru and Colombia. This work aimed to study the veneer yield made from this species. For this purpose, 50 logs from S. amazonicum were rotary peeled in a plywood industry installed in Brazilian Amazon region. The results indicated that S. amazonicum had a peeling yield similar or even higher than those usually obtained for species traditionally used for this purpose in Brazil, like those of Pinus and Eucalyptus. It was also observed that the dendrometric parameters of the log can be used to estimate the peeling yield in this species.

Grasses and legumes as cover crop in no-tillage system in northeastern Pará Brazil

Studies to select one or more species of coverage plants adapted to Amazonian soil and climate conditions of the Amazon are a promising strategy for the improvement of environmental quality, establishing no-till agricultural systems, and thereby reducing the impacts of monoculture farming. The aim of this study was to assess the persistence time, half-life time, macronutrient content and accumulation, and C:N ratio of straw coverage in a Ultisol in northeastern Pará. Experimental design was randomized blocks with five treatments and five replicates. Plants were harvested after 105 days, growth and biomass production was quantified. After 84 days, soil coverage was 97, 85, 52, 50, and 15% for signalgrass (Brachiaria brizantha) (syn. Urochloa), dense crowngrass (Panicum purpurascens), jack bean (Canavalia ensiformes), pearl millet (Pennisetum americanum) and sunn hemp (Crotalaria juncea,), respectively. Signalgrass yielded the greatest dry matter production (9,696 kg ha-1). It also had high C:N ratio (38.4), long half-life (86.5 days) and a high persistence in the field. Jack bean also showed high dry matter production (8,950 kg ha-1), but it had low C:N ratio (17.4) and lower half-life time (39 days) than the grasses. These attributes indicate that signalgrass and jack bean have a high potential for use as cover plants in no-till agricultural systems in the State of Pará.

Yield of essential oil and safrole content based on fresh and dry biomass of long pepper in the Brazilian Amazon

Long pepper (Piper hispidinervum) is an Amazonian species of commercial interest due to the production of safrole. Drying long pepper biomass to extract safrole is a time consuming and costly process that can also result in the contamination of the material by microorganisms. The objective of this study was to analyze the yield of essential oil and safrole content of fresh and dried biomass of long pepper accessions maintained in the Active Germoplasm Bank of Embrapa Acre, in the state of Acre, Brazil, aiming at selecting genotypes with best performance on fresh biomass to recommend to the breeding program of the species. Yield of essential oil and safrole content were assessed in 15 long pepper accessions. The essential oil extraction was performed by hydrodistillation and analyzed by gas chromatography. A joint analysis of experiments was performed and the means of essential oil yield and safrole content for each biomass were compared by Student's t-test. There was variability in the essential oil yield and safrole content. There was no difference between the types of biomass for oil yield; however to the safrole content there was difference. Populations 9, 10, 12 and 15 had values of oil yield between 4.1 and 5.3%, and safrole content between 87.2 and 94.3%. The drying process does not interfere in oil productivity. These populations have potential for selection to the long pepper breeding program using oil extraction in the fresh biomass

Biotechnological approaches for yield improvement of anticancer alkaloids in the plant Catharanthus roseus

Dissertação de mestrado em Biologia Molecular, Biotecnologia e Bioempreendedorismo em Plantas

Forecasting human entrances at a commercial store using facial recognition data

Dissertação de mestrado integrado em Engenharia e Gestão de Sistemas de Informação

Improving diagnostic yield in obscure gastrointestinal bleeding - how virtual chromoendoscopy may be the answer

Background and aim: A significant proportion of patients presenting with obscure gastrointestinal bleeding (OGIB) have negative small bowel capsule endoscopy (SBCE) examinations, and yet remain at risk of rebleeding. We aimed to evaluate whether a second-look review of SBCE images using flexible spectral color enhancement (FICE) may improve the detection of potentially bleeding lesions. Materials and methods: This was a retrospective, single-center study including consecutive patients with OGIB subjected to SBCE, whose standard white light examination was nondiagnostic. Each SBCE was reviewed using FICE 1. New findings were labeled as either P1 or P2 lesions according to bleeding potential. Patients were followed up to assess the incidence of rebleeding. Results: A total of 42 consecutive patients were included. Sixteen patients (38%) experienced rebleeding after a mean follow-up of 26 months. Review of SBCE images using FICE 1 enabled the identification of previously unrecognized P2 lesions, mainly angioectasias, in nine patients (21%) and P1 lesions, mainly erosions, in 26 patients (62%). Among patients who experienced rebleeding, 13/16 (81%) were diagnosed with P1 lesions with FICE 1 (P=0.043), whereas 3/16 (19%) had confirmed nondiagnostic SBCE and only 1/16 (6%) had newly diagnosed P2 (plus P1) lesions. An alternative source of bleeding outside the small bowel was found in only 3/16 (19%) patients with rebleeding during the follow-up. Conclusion: In a significant proportion of patients with OGIB, FICE 1 may detect potentially bleeding lesions previously missed under conventional white light SBCE. Review of nondiagnostic SBCE with FICE 1 may be a valuable strategy to obviate the need for further investigations in patients with OGIB, particularly for those who experience rebleeding.

Inducción sistémica de la biosintesis de metabolitos secundarios en plantas aromáticas mediada por rizobacterias. Systemic induction of secondary metablolites biosynthesis in aromatic plants by rhizobacteria.

El uso de microorganismos como inoculantes para incrementar la disponibilidad y toma de nutrientes por parte de los cultivos, es una nueva tecnología que ha dado buenos resultados, observándose un incremento en la emergencia, vigor, mayor desarrollo en la parte aérea y de raíces, registrándose aumentos considerables de los rendimientos en cultivos de interés comercial. Esto es debido a que los microorganismos PGPR (Plant Growth promoting rhizobacteria) sintetizan ciertas sustancias reguladoras del crecimiento como giberelinas, citoquininas y auxinas; las cuales estimulan la densidad y longitud de los pelos radicales, aumentando así la cantidad y longitud de las raíces de los vegetales. Así, se incrementa la capacidad de absorción de agua y nutrientes, haciendo que las plantas sean más vigorosas, productivas y tolerantes a condiciones climáticas adversas, como sequías o heladas. Otro factor benéfico es que ciertos microorganismos solubilizan nutrientes poco móviles en el suelo como el caso del fósforo, segundo nutriente, después del nitrógeno en importancia para el crecimiento de los cultivos. Estos microorganismos también tienen una función muy importante en el control natural de agentes patógenos, a través de la inducción del sistema de defensa en las plantas, aumentando su resistencia a enfermedades, a través de la producción de compuestos bacterianos como antibióticos y sideróforos. Los variados mecanismos mediante los cuales la acción PGPR se lleva a cabo no son plenamente conocidos y, por lo tanto, es necesario determinar con precisión su efecto particular en la biología de la planta beneficiada. Las plantas aromáticas y medicinales inoculadas con microorganismos (rizobacterias) registran un incremento en varios parámetros de crecimiento vegetal (peso fresco parte aérea, peso seco de raíz, número de hojas, etc) y en el rendimiento de aceite esencial (AE). El aumento de la síntesis, y la variación de los porcentajes relativos de los componentes principales de AE en plantas aromáticas, como efecto de la inoculación, podría considerarse como una respuesta defensiva de la planta frente a la colonización de microorganismos dado que varios AE poseen propiedades antimicrobianas. El incremento de estos metabolitos también se ha registrado como respuesta frente a la herbivoría. En el presente proyecto se propone dilucidar la existencia de una relación entre las defensas inducidas por rizobacterias con la producción de metabolitos secundarios en plantas aromaticas y medicinales. The use of microorganisms as inoculants to increase the availability and nutrient uptake by crops, is a new technology that has been successfully applied, with an increase in the emergence, vigor, greater development in the shoot and roots, recording significant increases in yields of crop with commercial interest. This is because microorganisms PGPR (Plant Growth Promoting rhizobacteria) synthesize certain growth regulating substances such as gibberellins, cytokinins and auxins, which stimulate the density and length of root hairs, increasing the number and length of roots. Thus, increase the capacity of absorbing water and nutrients, make the plants more vigorous, productive and tolerant to adverse climatic conditions such as drought or frost.Another beneficial factor is that some microorganisms solubilize nutrients mobile in the soil as the case of phosphorus, second nutrient after nitrogen important for plant growth. These organisms also have an important role in the natural control of pathogens through the induction of the plants defense system, increasing their resistance to disease through the production of compounds such as antibiotics and bacterial siderophores. The various mechanisms by which PGPR action takes place are not fully known and therefore it is necessary to accurately determine its particular effect on the biology of the specific plant benefit. Aromatic and medicinal plants inoculated with microorganisms (rhizobacteria) recorded an increase in several parameters of plant growth (shoot fresh weight, root dry weight, leaf number, etc) and essential oil yield (AE). The increase in the biosynthesis, and changes in the relative percentages of the main components of AE in aromatic plants inoculated with rizobacterias, could be regarded as a plant defense response against microbial colonization, since several AE have antimicrobial properties. The increase of these metabolites have also been recorded as a response to herbivory.