Alocação de ativos através de estratégias momentum utilizando máximas de 52 semanas

Foram comparados os resultados de quatro estratégias de investimento associadas ao efeito momentum que utilizam a cotação máxima dos ativos nas últimas 52 semanas como critério de escolha das ações. Os resultados das estratégias foram comparados entre si e também em relação ao IBOVESPA no período de 03/01/2000 e 01/07/2010. Em todas elas é encontrado um índice resultante da divisão do preço do ativo na data de composição do portfólio pela sua cotação máxima nas últimas 52 semanas, de acordo com este índice são escolhidos os portfólios comprados, neutros e vendidos. Primeiramente, foram reproduzidas uma estratégia ativa (I52- ATIVA) e outra neutra (I52-NEUTRA) de acordo com a proposta de George e Hwang (2004). As outras duas estratégias (I52-PESOATIVA e I52-PESONEUTRA) apresentam uma extensão da proposta inicial de George e Hwang (2004), em que é adicionado um fator de peso que pondera o tempo decorrido entre a data de ocorrência da cotação máxima observada nas últimas 52 semanas e a data de composição dos portfólios; o objetivo desta extensão é verificar se a data de ocorrência da cotação máxima é um diferencial para a estratégia momentum. Houve destaque, sob os diversos critérios analisados, das estratégias que utilizaram o fator de ponderação do tempo decorrido entre a data de ocorrência da cotação máxima observada nas últimas 52 semanas e a data de composição dos portfólios, mostrando que este critério pode contribuir positivamente para a composição da estratégia original proposta por George e Hwang (2004). O trabalho corrobora os resultados apresentados nos trabalhos de Jegadeesh e Titman (1993) e de George e Hwang (2004) e denota um desafio à visão de que os mercados são eficientes na forma semi-forte, conforme proposto por Fama (1970), afinal foram construídos a partir de informações públicas e de ampla divulgação e mesmo assim apresentam algum fator preditivo nos retornos futuros.

Value and momentum strategies in the Brazilian stock market: the 2008 financial crisis and its aftermath

Esta dissertação analisa o desempenho de três estratégias de investimento em carteiras de custo zero (“value”, “momentum” e uma combinação 50/50 delas, que é chamada de “combo”) no mercado de ações brasileiro durante a última década. Os resultados são comparados aos encontrados por Asness, Moskowitz e Pedersen (2009) para quatro mercados: EUA, Reino Unido, Europa Continental, e Japão. Uma análise específica é feita em torno da crise financeira de 2008, comparando os resultados pré- e pós-crise. O índice de Sharpe é usado para ajustar os desempenhos por seus riscos, e para classificar as estratégias para diferentes horizontes de investimento. Os resultados mostram um ótimo desempenho da estratégia “combo” nos últimos três anos, período que inclui a crise de 2008, mas considerando todo o período analisado a estratégia “value” obteve o melhor desempenho. Esse resultado difere dos resultados encontrados para os quatro mercados de referência, onde a estratégia combo tem o melhor desempenho. A análise do horizonte de investimento mostra que a escolha do investidor pode mudar com diferentes horizontes.

Estratégias de momentum no mercado cambial

Utilizo dados semanais para investigar a lucratividade de estratégias de momentum no mercado de câmbio baseadas em dois diferentes métodos de extração da tendência, possivelmente não linear. Comparo a performance com as tradicionais regras de médias móveis, método linear bastante utilizado pelos profissionais do mercado. Eu encontro que o desempenho de todas as estratégias é extremamente sensível à escolha da moeda, às defasagens utilizadas e ao critério de avaliação escolhido. A despeito disso, as moedas dos países do G10 apresentam resultados médios melhores com a utilização dos métodos não lineares, enquanto as moedas dos países emergentes apresentam resultados mistos. Adoto também uma metodologia para o gerenciamento do risco das estratégias de momentum, visando minimizar as “grandes perdas”. Ela tem êxito em diminuir as perdas máximas semanais, o desvio-padrão, a assimetria e curtose para a maior parte das moedas em ambas as estratégias. Quanto ao desempenho, as operações baseadas no filtro HP com gestão do risco apresentam retornos e índices de Sharpe maiores para cerca de 70% das estratégias, enquanto as baseadas na regressão não paramétrica apresentam resultados melhores para cerca de 60% das estratégias.

Spontaneous Interblink Time Distributions in Patients with Graves' Orbitopathy and Normal Subjects

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Estudo numérico de escoamento turbulento em padrão anular gás-líquido em dutos verticais

Multiphase flows in ducts can adopt several morphologies depending on the mass fluxes and the fluids properties. Annular flow is one of the most frequently encountered flow patterns in industrial applications. For gas liquid systems, it consists of a liquid film flowing adjacent to the wall and a gas core flowing in the center of the duct. This work presents a numerical study of this flow pattern in gas liquid systems in vertical ducts. For this, a solution algorithm was developed and implemented in FORTRAN 90 to numerically solve the governing transport equations. The mass and momentum conservation equations are solved simultaneously from the wall to the center of the duct, using the Finite Volumes Technique. Momentum conservation in the gas liquid interface is enforced using an equivalent effective viscosity, which also allows for the solution of both velocity fields in a single system of equations. In this way, the velocity distributions across the gas core and the liquid film are obtained iteratively, together with the global pressure gradient and the liquid film thickness. Convergence criteria are based upon satisfaction of mass balance within the liquid film and the gas core. For system closure, two different approaches are presented for the calculation of the radial turbulent viscosity distribution within the liquid film and the gas core. The first one combines a k- Ɛ one-equation model and a low Reynolds k-Ɛ model. The second one uses a low Reynolds k- Ɛ model to compute the eddy viscosity profile from the center of the duct right to the wall. Appropriate interfacial values for k e Ɛ are proposed, based on concepts and ideas previously used, with success, in stratified gas liquid flow. The proposed approaches are compared with an algebraic model found in the literature, specifically devised for annular gas liquid flow, using available experimental results. This also serves as a validation of the solution algorithm

Spatial variations at different observational scales and the seasonal distributions of stream macroalgae in a Brazilian subtropical region

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Formação de caudas maxwellianas no Contexto da rotação estelar

In this Thesis, we analyzed the formation of maxwellian tails of the distributions of the rotational velocity in the context of the out of equilibrium Boltzmann Gibbs statistical mechanics. We start from a unified model for the angular momentum loss rate which made possible the construction of a general theory for the rotational decay in the which, finally, through the compilation between standard Maxwellian and the relation of rotational decay, we defined the (_, _) Maxwellian distributions. The results reveal that the out of equilibrium Boltzmann Gibbs statistics supplies us results as good as the one of the Tsallis and Kaniadakis generalized statistics, besides allowing fittings controlled by physical properties extracted of the own theory of stellar rotation. In addition, our results point out that these generalized statistics converge to the one of Boltzmann Gibbs when we inserted, in your respective functions of distributions, a rotational velocity defined as a distribution

Um estudo sobre o momentum angular total de estrelas com planetas

Since Michel Mayor and his student Didier Queloz s pioneer announcement, in 1995, of the existence of a planet orbiting the star 51 Peg, up to present date, 695 extrasolar planets orbiting stars of spectral type F, G, K and M have been discovered. A study on the behavior of the total angular momentum of the planetary systems known up to present date becomes relevant when we know that about 98% of the angular momentum of the solar system is associated with the planets, although they represent only 0.15 percent of the mass of the whole system. In this dissertation we study the behavior of stellar angular momentum, orbital angular momentum and total angular momentum in a sample of 282 stars harboring planets, including 40 multiple systems. We observed that planetary systems containing more than one known planet have both higher orbital angular momentum and total angular momentum compared to those who have only one planet. This analysis shows that multiplanet systems tend to have higher momenta, suggesting that the planets in such systems that contribute to the greater portion momenta have been found. Thus, planetary systems with lower values for the momenta represent the best candidates to the discovery of new planets

Cubic approximation for the transverse displacement in BEM for elastic plates analysis

This work presents an application for the plate analysis formulation by BEM where 3 boundary equations are used, written for the transverse displacement w and the normal and tangential derivatives partial derivativew/partial derivativen and partial derivativew/partial derivatives. In this extension, the transverse displacement w is approximated by a cubic polynomial and, as a consequence, partial derivativew/partial derivatives has a quadratic approximation. This alternative BEM formulation improves the analysis of thin plates, when compared to the formulation using the linear approximation for the displacements, mainly in the obtaining of the bending moments at the boundary of the plate. The implementation of this proposal to the computational codes is simple. (C) 2004 Published by Elsevier Ltd.

Parturition intervals and distributions of parturitions by months of buffalo in Southern and South-eastern Brazil

Reproductive rate is an important component of economic success in livestock production. Parturition interval (IEP) is a direct measure of the productivity of the animal. Long IEP reduce the number of calves produced per year. The objective this study was to determine the distribution of parturitions across month and to evaluate factors affecting IEP. The data included 7,588 parturitions of Murrah, Mediterranean and Carabobo buffalo from 10 herds in Southern and South-eastern Brazil. The analysis of distribution of parturitions evaluated the effects of month, year and their interaction on birth date of calves by using a Chi-Square test in SAS PROC FREQ (SAS Institute, Cary, NC, USA). Parturition intervals (n = 2,630) were evaluated using analysis of variance in SAS PROC GLM. The model for IEP included the fixed effects of season (December to May = 1, June to November = 2), year, season x year, sex of the preceding parturition, age of weaning of the previous calf, and herd. All sources of variation were significant (P<0.0001) except sex of the preceding parturition (P <0.85). The mean IEP was 446.7 +/- 10.4 days, for seasons 1 and 2 IEP were 419.8 +/- 11.3 and 473.6 +/- 40.7 days, respectively, a difference of 54 days. As weaning age increased there was a lengthening of IEP. Buffalo in Brazil showed seasonal parturition with calving concentrated from January to April, although the frequency by month differed across years (P<0.0001). These months also had the lowest calving interval.

Spatial and seasonal distributions of Callinectes danae (Decapoda, Portunidae) in Ubatuba Bay, São Paulo, Brazil

The spatial and seasonal distributions of Callinectes danae Smith, 1869, in Ubatuba Bay, São Paulo, Brazil, were investigated as a part of a broad study on the general biology of portunids along the northern coast of São Paulo State, Brazil. Swimming crabs were collected during one year, from September 1995 to August 1996, along eight transects determined according to local physiographic features. Three replicate trawls were performed monthly at each transect. Depth. salinity, dissolved oxygen, temperature, organic matter content, and texture of the sediment were measured. Callinectes danae individuals were concentrated in shallow water close to the discharge of estuaries where the bottom is composed of fine and very fine sand. The species was more abundant in the warmer months. During the study period, C. danae exhibited continuous reproduction with a peak of reproductive intensity in June. Within this area, some sites are particularly favorable for C. danae establishment due to a combination of factors and prevailing local conditions.

On a symmetry in strong distributions

A strong Stieltjes distribution d psi(t) is called symmetric if it satisfies the propertyt(omega) d psi(beta(2)/t) = -(beta(2)/t)(omega) d psi(t), for t is an element of (a, b) subset of or equal to (0, infinity), 2 omega is an element of Z, and beta > 0.In this article some consequences of symmetry on the moments, the orthogonal L-polynomials and the quadrature formulae associated with the distribution are given. (C) 1999 Elsevier B.V. B.V. All rights reserved.

The influence of an abdominal support for a dental stool in the distributions and electrical activity of the longissimus and the superior trapezius muscle in dentists

This study evaluated the influence an abdominal support attached to a traditional stool, of those used by dentists, has on the body's distribution of the electrical activity of the superior trapezius and the longissimus thoracic muscles of dental students during the execution of a clinical procedure. The results showed no significant difference in the body's distribution in the seat and backrest, but did reveal there was a weight discharge of 3.1 +/- 1.9% of dentist's body weight in the abdominal support. The 9 o'clock position proved to be the best position to perform clinical procedures. It was also observed that the position was closer to the body's axis.

Muon transverse polarization in the K-l2 gamma decay in the standard model

The muon transverse polarization in the K+-->mu(+)nugamma process induced by the electromagnetic final state interaction is calculated in the framework of the standard model. It is shown that one loop contributions lead to a nonvanishing muon transverse polarization. The value of the muon transverse polarization averaged over the kinematical region of E(gamma)greater than or equal to20 MeV is equal to 5.63x10(-4).

Momentum-space non-hydrogenic wavefunction of quantum defect theory

We derive a closed-form analytic expression in momentum space for the asymptotic non-hydrogenic wavefunction of the quantum defect theory (QDT) due to Seaton and compare it with a widely used QDT-approximate wavefunction for the Rydberg states Li-3(2s), Mg-24(6s) and Rb-37(5s).