Mutual Fund Performance Evaluation

A narrow review on mutual fund performance evaluation methods.

A university fund for Article Processing Charges - experiences from Lund University

Presentation at the Nordic Perspectives on Open Access and Open Science seminar, Helsinki, October 15, 2013

Our publication fund - what have we learnt?

Presentation at the Nordic Perspectives on Open Access and Open Science seminar, Helsinki, October 15, 2013

Negative refractive index materials and propagation

Negative refractive index materials and propagation of electromagnetic waves in them started to draw attention of scientists not so long ago. This review highlights historically important and recent papers on practical and theoretical aspects related to these issues. Namely, basic properties and peculiarities of such materials related to both their design and wave propagation in them, experimental verification of predictions theoretically made for them, possible practical applications and prospects in this area are considered.

Hedge-rahastojen menestyksen pysyvyys ja suhteellinen suoriutuminen sijoittajan näkökulmasta

The purpose of the thesis is to examine the long-term performance persistence and relative performance of hedge funds during bear and bull market periods. Performance metrics applied for fund rankings are raw return, Sharpe ratio, mean variance ratio and strategy distinctiveness index calculated of the original and clustered data correspondingly. Four different length combinations for selection and holding periods are employed. The persistence is examined using decile and quartile portfolio formatting approach and on the basis of Sharpe ratio and SKASR as performance metrics. The relative performance persistence is examined by comparing hedge portfolio returns during varying stock market conditions. The data is gathered from a private database covering 10,789 hedge funds and time horizon is set from January 1990 to December 2012. The results of this thesis suggest that long-term performance persistence of the hedge funds exists. The degree of persistence also depends on the performance metrics employed and length combination of selection and holding periods. The best results of performance persistence were obtained in the decile portfolio analysis on the basis of Sharpe ratio rankings for combination of 12-month selection period and the holding period of equal length. The results also suggest that the best performance persistence occurs in the Event Driven and Multi strategies. Dummy regression analysis shows that a relationship between hedge funds and stock market returns exists. Based on the results, Dedicated Short Bias, Global Macro, Managed Futures and Other strategies perform well during bear market periods. The results also indicate that the Market Neutral strategy is not absolutely market neutral and the Event Driven strategy has the best performance among all hedge strategies.

Effects of caffeine on mitotic index in Drosophila prosaltans (Diptera)

The effect of two concentrations of caffeine (1500 mg/ml and 2500 mg/ml) on mitotic indices of Drosophila prosaltans was analyzed in larval brain cells. Although the differences detected between treated and control cells were not significant, the percentages obtained suggest a possible effect of caffeine in slowing the process of cell division

Nova & accuratissima totus terrarum orbis tabula nautica variationum magneticarum index juxta observationes anno 1700 habitas

Julkaisussa: Atlas van zeevaert en koophandel door de geheele weereldt

Private Equity Fund Performance Determinants: Evidence From Fund Characteristics

The purpose of this thesis is to investigate whether different private equity fund characteristics have any influence on the fund performance. Fund characteristics include fund type (venture capital or buyouts), fund size (sizes of funds are divided into six ranges), fund investment industry, fund sequence (first fund or follow-on fund) and investment market (US or EMEA). Fund performance is measured by internal rate of return, and tested by cross-sectional regression analysis with the method of Ordinary Least Squares. The data employs performance and characteristics of 997 private equity funds between 1985 and 2008. Our findings are that fund type has effect on fund performance. The average IRR of venture capital funds is 2.7% less than average IRR of buyout funds. However, We did not find any relationship between fund size and performance, and between fund sequence and performance. Funds based on US market perform better than funds based on EMEA market. The fund performance differs across different industries. The average IRRs of industrial/energy industry, consumer related industry, communications and media industry and medical/health industry are higher than the average IRR of other industries.

Combined effect of short stature and socioeconomic status on body mass index and weight gain during reproductive age in Brazilian women

Short stature, a marker for undernutrition early in life, has been associated with obesity in Brazilian women, but not in men. We tested the hypothesis that weight gain during the reproductive years could explain this gender difference. A national two-stage household survey of mothers with one or more children under five years of age was conducted in Brazil in 1996. The subjects were women aged 20 to 45 years (N = 2297), with last delivery seven months or more prior to the interview. The regions of the country were divided into rural, North/Northeast (urban underdeveloped) and South/Southeast/Midwest (urban developed). The dependent variables were current body mass index (BMI) measured, BMI prior to childbearing (reported), and BMI change. Socioeconomic variables included mother's years of education and family purchasing power score. A secondary analysis was restricted to primiparous women. The prevalence of current overweight and overweight prior to childbearing (BMI > or = 25 kg/m²) was higher among shorter women (<1.50 m) compared to normal stature women only in the urban developed region (P < 0.05). After adjustment for socioeconomic variables, age, parity, BMI prior to childbearing, and age at first birth, current BMI was 2.39 units higher (P = 0.008) for short stature women living in the urban developed area compared with short stature women living in the urban underdeveloped area. For both multiparous and primiparous women, BMI gain compared to the value prior to childbearing was significantly higher among short stature women living in the urban developed region (P <= 0.04). These results provide clear evidence that short stature was associated with a higher BMI and with an increased risk of weight gain/retention with pregnancy in the developed areas of Brazil, but not in the underdeveloped ones.

Transitory increased blood pressure after upper airway surgery for snoring and sleep apnea correlates with the apnea-hypopnea respiratory disturbance index

A transitory increase in blood pressure (BP) is observed following upper airway surgery for obstructive sleep apnea syndrome but the mechanisms implicated are not yet well understood. The objective of the present study was to evaluate changes in BP and heart rate (HR) and putative factors after uvulopalatopharyngoplasty and septoplasty in normotensive snorers. Patients (N = 10) were instrumented for 24-h ambulatory BP monitoring, nocturnal respiratory monitoring and urinary catecholamine level evaluation one day before surgery and on the day of surgery. The influence of postsurgery pain was prevented by analgesic therapy as confirmed using a visual analog scale of pain. Compared with preoperative values, there was a significant (P < 0.05) increase in nighttime but not daytime systolic BP (119 ± 5 vs 107 ± 3 mmHg), diastolic BP (72 ± 4 vs 67 ± 2 mmHg), HR (67 ± 4 vs 57 ± 2 bpm), respiratory disturbance index (RDI) characterized by apnea-hypopnea (30 ± 10 vs 13 ± 4 events/h of sleep) and norepinephrine levels (22.0 ± 4.7 vs 11.0 ± 1.3 µg l-1 12 h-1) after surgery. A positive correlation was found between individual variations of BP and individual variations of RDI (r = 0.81, P < 0.01) but not between BP or RDI and catecholamines. The visual analog scale of pain showed similar stress levels on the day before and after surgery (6.0 ± 0.8 vs 5.0 ± 0.9 cm, respectively). These data strongly suggest that the cardiovascular changes observed in patients who underwent uvulopalatopharyngoplasty and septoplasty were due to the increased postoperative RDI.

Comparison of the homeostasis model assessment and quantitative insulin sensitivity check index with data from forearm metabolic studies for the in vivo assessment of insulin sensitivity

The present study was designed to compare the homeostasis model assessment (HOMA) and quantitative insulin sensitivity check index (QUICKI) with data from forearm metabolic studies of healthy individuals and of subjects in various pathological states. Fifty-five healthy individuals and 112 patients in various pathological states, including type 2 diabetes mellitus, essential hypertension and others, were studied after an overnight fast and for 3 h after ingestion of 75 g of glucose, by HOMA, QUICKI and the forearm technique to estimate muscle uptake of glucose combined with indirect calorimetry (oxidative and non-oxidative glucose metabolism). The patients showed increased HOMA (1.88 ± 0.14 vs 1.13 ± 0.10 pmol/l x mmol/l) and insulin/glucose (I/G) index (1.058.9 ± 340.9 vs 518.6 ± 70.7 pmol/l x (mg/100 ml forearm)-1), and decreased QUICKI (0.36 ± 0.004 vs 0.39 ± 0.006 (µU/ml + mg/dl)-1) compared with the healthy individuals. Analysis of the data for the group as a whole (patients and healthy individuals) showed that the estimate of insulin resistance by HOMA was correlated with data obtained in the forearm metabolic studies (glucose uptake: r = -0.16, P = 0.04; non-oxidative glucose metabolism: r = -0.20. P = 0.01, and I/G index: r = 0.17, P = 0.03). The comparison of QUICKI with data of the forearm metabolic studies showed significant correlation between QUICKI and non-oxidative glucose metabolism (r = 0.17, P = 0.03) or I/G index (r = -0.37, P < 0.0001). The HOMA and QUICKI are good estimates of insulin sensitivity as data derived from forearm metabolic studies involving direct measurements of insulin action on muscle glucose metabolism.

Do early life factors influence body mass index in adolescents?

The association between early life factors and body mass index (BMI) in adulthood has been demonstrated in developed countries. The aim of the present study was to assess the influence of early life factors (birth weight, gestational age, maternal smoking, and social class) on BMI in young adulthood with adjustment for adult socioeconomic position. A cohort study was carried out in 1978/79 with 6827 mother-child pairs from Ribeirão Preto city, located in the most developed economic area of the country. Biological, economic and social variables and newborn anthropometric measurements were obtained shortly after delivery. In 1996, 1189 males from this cohort, 34.3% of the original male population, were submitted to anthropometric measurements and were asked about their current schooling on the occasion of army recruitment. A multiple linear regression model was applied to determine variables associated with BMI. Mean BMI was 22.7 (95%CI = 22.5-23.0). After adjustment, BMI was 1.22 kg/m² higher among infants born with high birth weight (³4000 g), 1.21 kg/m² higher among individuals of low social class at birth and 0.69 kg/m² higher among individuals whose mothers smoked during pregnancy (P < 0.05). The association between social class at birth and BMI remained statistically significant (P < 0.05) even after adjustment for adult schooling. These findings suggest that early life social influences on BMI were more important and were not reversed by late socioeconomic position. Therefore, prevention of overweight and obesity should focus not only on changes in adult life styles but also on factors such as high birth weight.

The Performance of European Small Cap Equity Funds

The thesis examines the risk-adjusted performance of European small cap equity funds between 2008 and 2013. The performance is measured using several measures including Sharpe ratio, Treynor ratio, Modigliani measure, Jensen alpha, 3-factor alpha and 4-factor alpha. The thesis also addresses the issue of persistence in mutual fund performance. Thirdly, the relationship between the activity of fund managers and fund performance is investigated. The managerial activity is measured using tracking error and R-squared obtained from a 4-factor asset pricing model. The issues are investigated using Spearman rank correlation test, cross-sectional regression analysis and ranked portfolio tests. Monthly return data was provided by Morningstar and consists of 88 mutual funds. Results show that small cap funds earn back a significant amount of their expenses, but on average loose to their benchmark index. The evidence of performance persistence over 12-month time period is weak. Managerial activity is shown to positively contribute to fund performance

Do intrauterine growth restriction and overweight at primary school age increase the risk of elevated body mass index in young adults?

Obesity is one of the rising public health problems characterized as a risk factor for many chronic diseases in adulthood. Early life events such as intrauterine growth restriction, as well as life style, are associated with an increased prevalence of this disease. The present study was performed to determine if intrauterine growth restriction interacts with overweight at primary school age to affect body mass index (BMI) in young adults. From June 1, 1978 to May 31, 1979, 6827 singleton liveborns from Ribeirão Preto, São Paulo State, Brazil, corresponding to 98% of all births at the 8 maternity hospitals, were examined and their mothers were interviewed. Samples from the initial cohort were examined again at primary school age (8 to 11 years of age) and at the time of military service (18 years of age). There were 519 male individuals with complete measurements taken in the three surveys. Intrauterine growth-restricted individuals had a BMI 0.68 kg/m² lower than that of individuals who were not restricted (95%CI = -1.34 to -0.03) and overweight at primary school age showed a positive and strong effect on BMI at 18 years of age (coefficient 5.03, 95%CI = 4.27 to 5.79). However, the increase in BMI was much higher - 6.90 kg/m² - when the conscript had been born with intrauterine growth restriction and presented overweight at primary school age (95%CI = 4.55 to 9.26). These findings indicate that the effect of intrauterine growth restrictionon BMI at 18 years of age is modified by later weight gain during school age.