On performance persistence in emerging markets: Empirical evidence from Asia-Pacific

The purpose of this study is to investigate the performance persistence of international mutual funds, employing a data sample which includes 2,168 European mutual funds investing in Asia-Pacific region; Japan excluded. Also, a number of performance measures is tested and compared, and especially, this study tries to find out whether iterative Bayesian procedure can be used to provide more accurate predictions on future performance. Finally, this study examines whether the cross-section of mutual fund returns can be explained with simple accounting variables and market risk. To exclude the effect of the Asian currency crisis in 1997, the studied time period includes years from 1999 to 2007. The overall results showed significant performance persistence for repeating winners when performance was tested with contingency tables. Also the annualized alpha spreads between the top and bottom portfolios were more than ten percent at their highest. Nevertheless, the results do not confirm the improved prediction accuracy of the Bayesian alphas.

Chasing performance persistence of hedge funds

The thesis examines the performance persistence of hedge funds using complement methodologies (namely cross-sectional regressions, quantile portfolio analysis and Spearman rank correlation test). In addition, six performance ranking metrics and six different combinations of selection and holding periods are compared. The data is gathered from HFI and Tremont databases covering over 14,000 hedge funds and time horizon is set from January 1996 to December 2007. The results suggest that there definitely exists performance persistence among hedge funds and the strength and existence of persistence vary among fund styles. The persistence depends on the metrics and combination of selection and prediction period applied. According to the results, the combination of 36-month selection and holding period outperforms other five period combinations in capturing performance persistence within the sample. Furthermore, model-free performance metrics capture persistence more sensitively than model-specific metrics. The study is the first one ever to use MVR as a performance ranking metric, and surprisingly MVR is more sensitive to detect persistence than other performance metrics employed.

Persistence of the biocide activity of atrazine in soils of the southeast of Buenos Aires Province

Atrazine persistence in soils of the southeast of Buenos Aires Province, was studied by an oat bioassay. Atrazine doses of 0.58, 1.16, and 2.32 mg.g-1 dry soil weight (DSW) were applied to pots containing soils from Balcaree, A. Gonzáles Chaves and San Cayetano sites, whose organic matter (OM) content of soils were 5.70, 5.15, and 3,84%, respectively. Avena sativa cv. Millauquén plants were grownth in the pots under greenhouse conditions at different times after atrazine application. Shoots were evenly cut above the soil and dry weight determined as a measure of plant growth. Plants grown in non-sprayed soil were used as controls. Relative dry weight (RDW) of shoots was calculated as percentage of control. Atrazine phytotoxicity was expressed in terms of 50 % plant growth reduction (GR50) in the soils under study. Herbicide persistence was expressed in terms of days after treatment (DAT) needed for the plant to achieve 80% of RDW. Atrazine GR50 values of 0.30, 0.64, and 0.90 mg.g-1 DSW in soils from San Cayetano, Balcare and A.G. Chaves, were respectively obtained at 42 DAT. Herbicide persistences at the recommended dose (1.16 mg.g-1) were 100, 143, and 221 DAT for A.G. Chaves, Balcarce and San Cayetano soils, respectively. San Cayetano soil had both the lowest OM content and cation exchange capacity (CEC), as well as the highest pH, of all the soil studied here. These results were consistent with both the lowest GR50 and the highest persistence abtained for atrazine in this soil.

Atrazine persistence applied as commercial and xerogel formulations in oxisol

The intensive use of pesticides have contaminated the soil and groundwater. The application of herbicides as controlled release formulations may reduce the environmental damage related to their use because it may optimize the efficiency of the active ingredient and reducing thus the recommended dose. The objective of this study was to evaluate the persistence of the herbicide atrazine applied as commercial formulation (COM) and as controlled release formulation (xerogel - XER) in Oxisol. The experimental design used was split-plot randomized-blocks with four replications, in a (2 x 6) + 1 arrangement. The two formulations (COM and XER) were assigned to main plots and different atrazine concentrations (0, 3.200, 3.600, 4.200, 5.400 and 8.000 g atrazine ha-1) were assigned to sub-plots. Persistence was determined by means of dissipation kinetics and bioavailability tests. The methodology of bioassays to assess the atrazine availability is efficient and enables to distinguish the tested formulations. The availability of atrazine XER is higher than the commercial in two different periods: up to 5 days after herbicide application and at the 35th day after application. The XER formulation tends to be more persistent in relation to COM formulation.

Soil Persistence of Chlorimuron-Ethyl and Metsulfuron-Methyl and Phytotoxicity to Corn Seeded as a Succeeding Crop

Two experiments were carried out to evaluate soil persistence of chlorimuron-ethyl and metsulfuron-methyl and phytotoxicity to corn seeded as a succeeding crop. One experiment was conducted with chlorimuron-ethyl applied at 20 g ha-1, and one with metsulfuron-methyl applied at 3.96 g ha-1. Treatments were arranged in a factorial design with two types of soil (sandy and clay), three irrigation regimes (daily, weekly and no irrigation) and four application timings (90, 60 and 30 days before corn seeding, as well as untreated plots). Soil persistence of the herbicides was influenced by water availability, molecule water solubility (leaching potential) and application timings prior to corn seeding. In sandy soil, with adequate water availability, leaching probably had the greatest influence, reducing the persistence of the products, and consequently allowing less time between product application and corn seeding. In clay soil, microbial degradation was probably more important, because it was assumed that the lesser time available for microorganism activity, the lesser the damage was observed for corn, as long as the crop had enough water availability. Metsulfuron-methyl was the least phytotoxic herbicide, possibly as a result of the properties of its molecule and its higher leaching potential.

The Agamma-195 (C->G) mutation in hereditary persistence of fetal hemoglobin is not associated with activation of a reporter gene in vitro

Hereditary persistence of fetal hemoglobin is an uncommon, benign disorder in which the expression of gamma-globin genes persists into adult life. Several point mutations have been associated with the increased gamma-globin gene promoter activity. We evaluated the -195 (C->G) mutation by a functional in vitro assay based on the luciferase reporter gene system. The results indicated that the increased promoter activity observed in vivo could not be reproduced in vitro under the conditions employed, suggesting that other factors may be involved in the overexpression of the gamma-globin gene containing the -195 (C->G) mutation. Furthermore, this is the first time that the -195 (C->G) mutation of the Agamma-globin gene has been evaluated by in vitro gene expression.

Analyses, persistence an degradation of the synthetic pyrethroid insecticides permethrin and fenvalerate

Studies on persistence and degradation of the synthetic pyrethroid insecticides, permethrin and fenvalerate, were carried out under natural environmental conditions of the Niagara Peninsula. Permethrin and fenvalerate were treated on apple foliage atrat~s of 0.21 kg(AI)!ha and 0.14 kg(AI)/ha, respectively. The initial cis- and trans-permethrin spray deposits were found to be 13.5 ppm and 19.2 ppm, respectively and 38.0 ppm was observed for the fenvalerate treated sample. Twenty-three days and 84 days after spray application, permethrin residues were 4.0 ppm and 2.7 ppm for the cis-isomer, whereas they were 7.9 ppm and 4.7 ppm for the trans-isomer, respectively. Residues of fenvalerate 23 days and 84 days after spray application were 13.4 ppm and 8.0 ppm, respectively. The values of observed half-life of cis-permethrin, trans-permethrin and fenvalerate were found to be 42 days, 46 days and 51 days, respectively. Studies were extended to quantitatively determine some of the major degradation compounds of permethrin and fenvalerate, which were expected to be produced as results of ester cleavage of the parent compounds. A permethrin treated sample, 84 days after initial spray application, showed 0.25 and 0.8 ppm of cis- and trans-3-(2,2-dichlorovinyl)-2,2-dimethylcyclopropanecarboxylic acid (C12CA (18), respectively. These two acids were not found as free acids, but found as conjugated compounds. The other expected degradation compounds, 3-phenoxybenzyl alcohol (PBalc (~)),3-phenoxybenz.aldehyde (PBald (38)) and 2- (4-chlorophenyl) isovaleric acid (CPIA (31)) were not detected by the methods employed in this study. The results indicate that these degradation compounds were not present, or, if they were present, their concentrations were too low to detect by the methods used.

The identification, distribution and persistence of oxamyl and its degradation products in planted corn seed, seedling root and soil from oxamyl-treated corn seeds

A simple method was developed for treating corn seeds with oxamyl. It involved soaking the seeds to ensure oxamyl uptake, centrifugation to draw off excess solution, and drying under a stream of air to prevent the formation of fungus. The seeds were found to have an even distribution of oxamyl. Seeds remained fungus-free even 12 months after treatment. The highest nonphytotoxic treatment level was obtained by using a 4.00 mg/mL oxamyl solution. Extraction methods for the determination of oxamyl (methyl-N'N'-dimethyl-N-[(methylcarbamoyl)oxy]-l-thiooxamimidate), its oxime (methyl-N',N'-dimethyl-N-hydroxy-1-thiooxamimidate), and DMCF (N,N-dimethyl-1-cyanoformanade) in seed" root, and soil were developed. Seeds were processed by homogenizing, then shaking in methanol. Significantly more oxamyl was extracted from hydrated seeds as opposed to dry seeds. Soils were extracted by tumbling in methanol; recoveries range~ from 86 - 87% for oxamyl. Root was extracted to 93% efficiency for oxamyl by homogenizing the tissue in methanol. NucharAttaclay column cleanup afforded suitable extracts for analysis by RP-HPLC on a C18 column and UV detection at 254 nm. In the degradation study, oxamyl was found to dissipate from the seed down into the soil. It was also detected in the root. Oxime was detected in both the seed and soil, but not in the root. DMCF was detected in small amounts only in the seed.

Habit Formation and the Persistence of Monetary Shocks

This paper studies the persistent effects of monetary shocks on output. Previous empirical literature documents this persistence, but standard general equilibrium models with sticky prices fail to generate output responses beyond the duration of nominal contracts. This paper constructs and estimates a general equilibrium model with price rigidities, habit formation, and costly capital adjustment. The model is estimated via Maximum Likelihood using US data on output, the real money stock, and the nominal interest rate. Econometric results suggest that habit formation and adjustment costs to capital play an important role in explaining the output effects of monetary policy. In particular, impulse response analysis indicates that the model generates persistent, hump-shaped output responses to monetary shocks.

Explaining the Persistence of Commodity Prices

This paper extends the Competitive Storage Model by incorporating prominent features of the production process and financial markets. A major limitation of this basic model is that it cannot successfully explain the degree of serial correlation observed in actual data. The proposed extensions build on the observation that in order to generate a high degree of price persistence, a model must incorporate features such that agents are willing to hold stocks more often than predicted by the basic model. We therefore allow unique characteristics of the production and trading mechanisms to provide the required incentives. Specifically, the proposed models introduce (i) gestation lags in production with heteroskedastic supply shocks, (ii) multiperiod forward contracts, and (iii) a convenience return to inventory holding. The rational expectations solutions for twelve commodities are numerically solved. Simulations are then employed to assess the effects of the above extensions on the time series properties of commodity prices. Results indicate that each of the features above partially account for the persistence and occasional spikes observed in actual data. Evidence is presented that the precautionary demand for stocks might play a substantial role in the dynamics of commodity prices.

Tests GMM pour caractériser le biais de simultanéité de la persistence de volatilité.

Rapport de stage (maîtrise en finance mathématique et computationnelle)

Impact of type of drug insurance on adherence, persistence and costs of antidepressant drugs : a Quebec population-based study

Contexte: À date, il existe peu de données sur l’adhésion, la persistance et les coûts associés aux antidépresseurs selon le type d’assurance médicament (privé ou public). Objectif: Comparer selon le régime d’assurance médicament (privé ou public), l'adhésion, la persistance et les coûts des antidépresseurs. Méthodes de recherche: Une étude de cohorte appariée a été réalisée en utilisant des bases de données du Québec. Sujets: Nous avons sélectionné 194 patients assurés par un régime privé et 1923 patients assurés par le régime public de la Régie de l’assurance maladie du Québec (RAMQ) (18-64 ans) qui ont rempli au moins une ordonnance pour un antidépresseur entre décembre 2007 et septembre 2009. Mesures: L’adhésion, mesurée sur une période d’un an, a été estimée en utilisant le proportion of prescribed days covered (PPDC). Un modèle de régression linéaire a été utilisé afin d’estimer la différence moyenne en PPDC entre les patients assurés par un régime privé et ceux assurés par le régime public de la RAMQ. La persistance a été comparé entre ces deux groupes avec un modèle de régression de survie Cox, et le coût mensuel d'antidépresseurs ($ CAN) a été comparé entre ces deux groupes en utilisant un modèle de régression linéaire. Résultats: Le PPDC parmi les patients assurés par un régime privé était de 86,4% (intervalle de confiance (IC) 95%: 83,3%-89,5%) versus 81,3% (IC 95%: 80,1%-82,5%) pour les patients assurés par le régime public de la RAMQ, pour une différence moyenne ajustée de 6,7% (IC 95%: 3,0%-10,4%). La persistance après un an parmi les patients assurés par un régime privé était de 49,5% versus 18,9% pour les patients assurés par le régime public de la RAMQ (p <0,001), et le rapport de risque ajusté était de 0,48 (IC 95%: 0,30-0,76). Comparativement aux patients assurés par le régime public de la RAMQ, les patients ayant une assurance privée ont payé 14,94 $ CAD (95% CI: $12,30-$17,58) de plus par mois en moyenne pour leurs antidépresseurs. Conclusion: Les patients assurés par un régime privé avaient une meilleure adhésion, persistance, mais avaient aussi un plus haut coût pour leurs antidépresseurs que ceux assurés par le régime public de la RAMQ. Cette différence de coûts peut être due aux différentes exigences de paiement en pharmacie entre les deux régimes ainsi qu’aux limites des honoraires des pharmaciens imposés par le régime public.

Impact of pesticides on indicator and pathogenic microorganism persistence under laboratory and field conditions

On s’intéresse aux impacts des pesticides sur la microflore des plantes surtout dans le contexte des légumes contaminés par des agents pathogènes. Le but de cette étude est d'évaluer l'impact de certains pesticides sur la persistance de micro-organismes indicateurs et pathogènes. En laboratoire, la persistance d’E. coli et de Salmonella en présence de quatre pesticides (Ripcord 400EC, Copper 53W, Bioprotec CAF, Serenade MAX) a été étudiée. Les plaques de Pétrifilm et le milieu sélectif XLD sont utilisés pour énumérer les populations d’E. coli et de Salmonella. Il a été démontré que le Serenade MAX favorisait la croissance microbienne, le Bioprotec CAF et le Ripcord 400EC soutenaient la survie microbienne et le Copper 53W inhibait la croissance, à la fois d’E. coli et de Salmonella. En conditions terrain, Ripcord 400EC, Copper 53W, Bioprotec CAF ont été étudiés sur une culture de brocoli irriguée avec de l'eau expérimentalement contaminée par E. coli. Dans tous les traitements, un impact de l’irrigation a été observé sur les populations de levures et de moisissures (diminution) et les bactéries aérobies totales (augmentation). Une prévalence supérieure d’E. coli a été observée dans les parcelles traitées avec le Bioprotec CAF comparativement aux traitements au Copper 53W, ce qui est en accord avec les résultats observés lors de l'essai en laboratoire. Cependant, l'analyse statistique n'a montré aucune différence significative entre les traitements appliqués. Les effets directs des pesticides sur les micro-organismes sont confirmés dans des conditions de laboratoire mais demeurent méconnus dans les conditions expérimentales au champ.

Persistence of porcine reproductive and respiratory syndrome virus and porcine circovirus type 2 in bacterial biofilms.

The aim of this pilot project was to investigate association of viruses with bacterial biofilms. Our preliminary data indicate that important viral pathogens of swine, namely, porcine reproductive and respiratory syndrome virus and porcine circovirus type 2, can associate with and persist within bacterial biofilms for several days.

Socio economic factors influencing the persistence and control of filariasis in Kerala-A case study of malayan filariasis in Cherthala

In general the behavioural sciences have contributed very little to filariasis research.Man's actions in creating vector breeding sites have been noted and discussed frequently inthe frlariasis literature. but virtually no systematic studies of these fonns of behavior have been undertaken (Dunn. 1979). Human behavioural observations and inquires into values and attitudes atfecting behavior that inhibits or promotes vector breeding are essential if any progress is to be made in developing self help programmes of vector control. Therefore, a systematic study on the socio-economic aspect of the community is warranted before undertaking any control programme against filariasis. In view of this the present study has been carried out which reveals the knowledge, attitude and practice concerning the causation, transmission, treatment and control of the disease. Socio economic factors that influence the creation and maintenance of vector breeding habitats were identified. characterization and ranking of these sociological factors will be helpful in identifying the determinants of human behavioural changes towards the containment of the disease- Information on the existing indigenous perception of the disease and the factors that hinder the control will be useful in developing a sound strategy from the human angle, which can be put to practical use.