Carry and trend-following strategies

Recent research has shown that carry and trend strategies when combined lead to significant risk-adjusted returns that can be very attractive to investors, at a low cost with small and positive skewness. This study proposes to combine both carry and trend-following, considering a data set of ten years (09/2005-09/2015), within a portfolio composed by three major asset classes: currencies, commodities and equity indices. Following a futures-based methodology, the obtained results show that, indeed, the strategy results inevitably in higher returns and greater sharpe ratios for every asset class in study. This outcome results from the fact that trend proved to provide a significant hedge to the downside risk that carry is exposed to.

Trend following performance with size and liquidity: evidence from US, Brazil and Portugal

Neste trabalho, eu analiso a eficiência de se aplicar estratégias que identificam tendências em mercados de capitais, em três países diferentes, usando um conjunto de variáveis macroeconómicas. Em cada país, a estratégia é testada contra os índices de grande capitalização, pequena capitalização e o índice principal. Eu concluo que, ao combinar os sinais diários obtidos pela estratégia, é possível alcançar retornos ajustados ao risco superiores e reduzir as perdas possíveis do portfólio. No geral, enfatizo os benefícios de usar estratégias que exploram tendências para investidores avessos ao risco, obtendo retornos característicos de capitais próprios com a volatilidade característica de obrigações.

Confronto tra sistemi trend following e mean reversion

Si descrivono strategie di trading trend following e strategie mean reversion applicate a vari strumenti finanziari

Age-period-cohort effects in the incidence of hip fractures: political and economic events are coincident with changes in risk

Introduction: Healthcare improvements have allowed prevention but have also increased life expectancy, resulting in more people being at risk. Our aim was to analyse the separate effects of age, period and cohort on incidence rates by sex in Portugal, 2000–2008. Methods: From the National Hospital Discharge Register, we selected admissions (aged ≥49 years) with hip fractures (ICD9-CM, codes 820.x) caused by low/moderate trauma (falls from standing height or less), readmissions and bone cancer cases. We calculated person-years at risk using population data from Statistics Portugal. To identify period and cohort effects for all ages, we used an age–period–cohort model (1-year intervals) followed by generalised additive models with a negative binomial distribution of the observed incidence rates of hip fractures. Results: There were 77,083 hospital admissions (77.4 % women). Incidence rates increased exponentially with age for both sexes (age effect). Incidence rates fell after 2004 for women and were random for men (period effect). There was a general cohort effect similar in both sexes; risk of hip fracture altered from an increasing trend for those born before 1930 to a decreasing trend following that year. Risk alterations (not statistically significant) coincident with major political and economic change in the history of Portugal were observed around birth cohorts 1920 (stable–increasing), 1940 (decreasing–increasing) and 1950 (increasing–decreasing only among women). Conclusions: Hip fracture risk was higher for those born during major economically/politically unstable periods. Although bone quality reflects lifetime exposure, conditions at birth may determine future risk for hip fractures.

Predicting market movement with Artificial Neural Networks

This paper presents an application of an Artificial Neural Network (ANN) to the prediction of stock market direction in the US. Using a multilayer perceptron neural network and a backpropagation algorithm for the training process, the model aims at learning the hidden patterns in the daily movement of the S&P500 to correctly identify if the market will be in a Trend Following or Mean Reversion behavior. The ANN is able to produce a successful investment strategy which outperforms the buy and hold strategy, but presents instability in its overall results which compromises its practical application in real life investment decisions.

Study and implementation of some quantitative trading models

Quantitative or algorithmic trading is the automatization of investments decisions obeying a fixed or dynamic sets of rules to determine trading orders. It has increasingly made its way up to 70% of the trading volume of one of the biggest financial markets such as the New York Stock Exchange (NYSE). However, there is not a signi cant amount of academic literature devoted to it due to the private nature of investment banks and hedge funds. This projects aims to review the literature and discuss the models available in a subject that publications are scarce and infrequently. We review the basic and fundamental mathematical concepts needed for modeling financial markets such as: stochastic processes, stochastic integration and basic models for prices and spreads dynamics necessary for building quantitative strategies. We also contrast these models with real market data with minutely sampling frequency from the Dow Jones Industrial Average (DJIA). Quantitative strategies try to exploit two types of behavior: trend following or mean reversion. The former is grouped in the so-called technical models and the later in the so-called pairs trading. Technical models have been discarded by financial theoreticians but we show that they can be properly cast into a well defined scientific predictor if the signal generated by them pass the test of being a Markov time. That is, we can tell if the signal has occurred or not by examining the information up to the current time; or more technically, if the event is F_t-measurable. On the other hand the concept of pairs trading or market neutral strategy is fairly simple. However it can be cast in a variety of mathematical models ranging from a method based on a simple euclidean distance, in a co-integration framework or involving stochastic differential equations such as the well-known Ornstein-Uhlenbeck mean reversal ODE and its variations. A model for forecasting any economic or financial magnitude could be properly defined with scientific rigor but it could also lack of any economical value and be considered useless from a practical point of view. This is why this project could not be complete without a backtesting of the mentioned strategies. Conducting a useful and realistic backtesting is by no means a trivial exercise since the \laws" that govern financial markets are constantly evolving in time. This is the reason because we make emphasis in the calibration process of the strategies' parameters to adapt the given market conditions. We find out that the parameters from technical models are more volatile than their counterpart form market neutral strategies and calibration must be done in a high-frequency sampling manner to constantly track the currently market situation. As a whole, the goal of this project is to provide an overview of a quantitative approach to investment reviewing basic strategies and illustrating them by means of a back-testing with real financial market data. The sources of the data used in this project are Bloomberg for intraday time series and Yahoo! for daily prices. All numeric computations and graphics used and shown in this project were implemented in MATLAB^R scratch from scratch as a part of this thesis. No other mathematical or statistical software was used.

Risk Parity: A Modern Tool for Diversification

The purpose of this study is to examine how well risk parity works in terms of risk, return and diversification relative to more traditional minimum variance, 1/N and 60/40 portfolios. Risk parity portfolios were constituted of five risk sources; three common asset classes and two alternative beta investment strategies. The three common asset classes were equities, bonds and commodities, and the alternative beta investment strategies were carry trade and trend following. Risk parity portfolios were constructed using five different risk measures of which four were tail risk measures. The risk measures were standard deviation, Value-at-Risk, Expected Shortfall, modified Value-at-Risk and modified Expected Shortfall. We studied also how sensitive risk parity is to the choice of risk measure. The hypothesis is that risk parity portfolios provide better return with the same amount of risk and are better diversified than the benchmark portfolios. We used two data sets, monthly and weekly data. The monthly data was from the years 1989-2011 and the weekly data was from the years 2000-2011. Empirical studies showed that risk parity portfolios provide better diversification since the diversification is made at the risk level. Risk based portfolios provided superior return compared to the asset based portfolios. Using tail risk measures in risk parity portfolios do not necessarily provide better hedge from tail events than standard deviation.

Do retail investors use technical analysis? Evidence from Stuttgart stock exchange.

Tutkielma käyttää automaattista kuviontunnistusalgoritmia ja yleisiä kahden liukuvan keskiarvon leikkauspiste –sääntöjä selittääkseen Stuttgartin pörssissä toimivien yksityissijoittajien myynti-osto –epätasapainoa ja siten vastatakseen kysymykseen ”käyttävätkö yksityissijoittajat teknisen analyysin menetelmiä kaupankäyntipäätöstensä perustana?” Perusolettama sijoittajien käyttäytymisestä ja teknisen analyysin tuottavuudesta tehtyjen tutkimusten perusteella oli, että yksityissijoittajat käyttäisivät teknisen analyysin metodeja. Empiirinen tutkimus, jonka aineistona on DAX30 yhtiöiden data vuosilta 2009 – 2013, ei tuottanut riittävän selkeää vastausta tutkimuskysymykseen. Heikko todistusaineisto näyttää kuitenkin osoittavan, että yksityissijoittajat muuttavat kaupankäyntikäyttäytymistänsä eräiden kuvioiden ja leikkauspistesääntöjen ohjastamaan suuntaan.

The blended approach to real estate allocations: performance implications of combining an exposure to German Spezialfonds with Global Listed Real Estate Securities

This paper seeks to increase the understanding of the performance implications for investors who choose to combine an unlisted real estate portfolio (in this case German Spezialfonds) with a (global) listed real estate element. We call this a “blended” approach to real estate allocations. For the avoidance of doubt, in this paper we are dealing purely with real estate equity (listed and unlisted) allocations, and do not incorporate real estate debt (listed or unlisted) or direct property into the process. A previous paper (Moss and Farrelly 2014) showed the benefits of the blended approach as it applied to UK Defined Contribution Pension Schemes. The catalyst for this paper has been the recent attention focused on German pension fund allocations, which have a relatively low (real estate) equity content, and a high bond content. We have used the MSCI Spezialfonds Index as a proxy for domestic German institutional real estate allocations, and the EPRA Global Developed Index as a proxy for a global listed real estate allocation. We also examine whether a rules based trading strategy, in this case Trend Following, can improve the risk adjusted returns above those of a simple buy and hold strategy for our sample period 2004-2015. Our findings are that by blending a 30% global listed portfolio with a 70% allocation (as opposed to a typical 100% weighting) to Spezialfonds, the real estate allocation returns increase from 2.88% p.a. to 5.42% pa. Volatility increases, but only to 6.53%., but there is a noticeable impact on maximum drawdown which increases to 19.4%. By using a Trend Following strategy raw returns are improved from 2.88% to 6.94% p.a. , The Sharpe Ratio increases from 1.05 to 1.49 and the Maximum Drawdown ratio is now only 1.83% compared to 19.4% using a buy and hold strategy . Finally, adding this (9%) real estate allocation to a mixed asset portfolio allocation typical for German pension funds there is an improvement in both the raw return (from 7.66% to 8.28%) and the Sharpe Ratio (from 0.91 to 0.98).

An equity wealth preservation strategy: Following the macro trend

Financial crisis have happened in the past and will continue to do so in the future. In the most recent 2008 crisis, global equities (as measured by the MSCI ACWI index) lost a staggering 54.2% in USD, on the year. During those periods wealth preservation becomes at the top of most investor’s concerns. The purpose of this paper is to develop a strategy that protects the investment during bear markets and significant market corrections, generates capital appreciation, and that can support Millennium BCP’s Wealth Management Unit on their asset allocation procedures. This strategy extends the Dual Momentum approach introduced by Gary Antonacci (2014) in two ways. First, the investable set of securities in the equities space increases from two to four. Besides the US it will comprise the Japanese, European (excl. UK) and EM equity indices. Secondly, it adds a volatility filter as well as three indicators related to the business cycle and the state of the economy, which are relevant to decide on the strategy’s exposure to equities. Overall the results attest the resiliency of the strategy before, during and after historical financial crashes, as it drastically reduces the downside exposure and consistently outperforms the benchmark index by providing higher mean returns with lower variance.

Women in gainful occupations, 1870 to 1920: A study of the trend of recent changes in the numbers, occupational distribution, and family relationship of women reported in the census as following a gainful occupation

by Joseph A. Hill ...

Mesenchymal Stem Cells Engrafted In A Fibrin Scaffold Stimulate Schwann Cell Reactivity And Axonal Regeneration Following Sciatic Nerve Tubulization.

The present study investigated the effectiveness of mesenchymal stem cells (MSCs) associated with a fibrin scaffold (FS) for the peripheral regenerative process after nerve tubulization. Adult female Lewis rats received a unilateral sciatic nerve transection followed by repair with a polycaprolactone (PCL)-based tubular prosthesis. Sixty days after injury, the regenerated nerves were studied by immunohistochemistry. Anti-p75NTR immunostaining was used to investigate the reactivity of the MSCs. Basal labeling, which was upregulated during the regenerative process, was detected in uninjured nerves and was significantly greater in the MSC-treated group. The presence of GFP-positive MSCs was detected in the nerves, indicating the long term survival of such cells. Moreover, there was co-localization between MSCs and BNDF immunoreactivity, showing a possible mechanism by which MSCs improve the reactivity of SCs. Myelinated axon counting and morphometric analyses showed that MSC engrafting led to a higher degree of fiber compaction combined with a trend of increased myelin sheath thickness, when compared with other groups. The functional result of MSC engrafting was that the animals showed higher motor function recovery at the seventh and eighth week after lesion. The findings herein show that MSC+FS therapy improves the nerve regeneration process by positively modulating the reactivity of SCs.

The Inter-municipal Cooperation in Switzerland and the Trend towards Amalgamation

In Switzerland, the ongoing reforms of fiscal federalism put municipalities under increased fiscal stress. A majority of the municipalities had responded by increasing the cooperation with neighbouring municipalities over the last few years. Simultaneously, many discuss or are directly involved in a possible amalgamation project. Accordingly, the paper aimed at describing how cooperation has presently developed between Swiss municipalities, in order to illustrate the existing trend towards amalgamation. Current surveys helped us estimate the growing importance of inter-municipal arrangements together with the surge of amalgamations. A further goal was to investigate if cantonal financial incentives to municipal amalgamation essentially benefit the cantonal community, following the fiscal equivalence principle, or if they rather benefit amalgamating municipalities. In reality, equivalence does not exist. However, this may possibly be the condition to reduce inequality among amalgamating municipalities.

Pregnancy outcome following maternal exposure to Mirtazapine: Preliminary results of a collaborative ENTIS study.

Introduction: Mirtazapine is a noradrenergic and serotonergic antidepressant mainly acting through blockade of presynaptic alpha-2 receptors. Published data on pregnancy outcome after exposure to mirtazapine are scarce. This study addresses the risk associated with exposure to mirtazapine during pregnancy. Patients (or Materials) and Methods: Multicenter (n = 11), observational prospective cohort study comparing pregnancy outcomes after exposure to mirtazapine with 2 matched control groups: exposure to any selective serotonin reuptake inhibitor (SSRI) as a diseasematched control group, and general controls with no exposure to medication known to be teratogenic or to any antidepressant. Data were collected by members of the European Network of Teratology Information Services (ENTIS) during individual risk counseling between 1995 and 2011. Standardized procedures for data collection were used in each center. Results: A total of 357 pregnant women exposed to mirtazapine at any time during pregnancy were included in the study and compared with 357 pregnancies from each control group. The rate of major birth defects between the mirtazapine and the SSRI group did not differ significantly (4.5% vs 4.2%; unadjusted odds ratio, 1.1; 95% confidence interval, 0.5-2.3, P = 0.9). A trend toward a higher rate of birth defects in the mirtazapine group compared with general controls did not reach statistical significance (4.2% vs 1.9%; OR, 2.4; 95% CI, 0.9-6.3; P = 0.08). The crude rate of spontaneous abortions did not differ significantly between the mirtazapine, the SSRI, and the general control groups (9.5% vs 10.4% vs 8.4%; P = 0.67), neither did the rate of deliveries resulting in live births (79.6% vs 84.3% in both control groups; P = 0.15). However, a higher rate of elective pregnancy-termination was observed in the mirtazapine group compared with SSRI and general controls (7.8% vs 3.4% vs 5.6%; P = 0.03). Premature birth (< 37 weeks) (10.6% vs 10.1% vs 7.5%; P = 0.38), gestational age at birth (median, 39 weeks; interquartile range (IQR), 38-40 in all groups; P = 0.29), and birth weight (median, 3320 g; IQR, 2979-3636 vs 3230 g; IQR, 2910-3629 vs 3338 g; IQR, 2967-3650; P = 0.34) did not differ significantly between the groups. Conclusion: This study did not observe a statistically significant difference in the rate of major birth defects between mirtazapine, SSRI-exposed, and nonexposed pregnancies. A slightly higher rate of birth defects was, however, observed in the mirtazapine and SSRI groups compared with the low rate of birth defects in our general controls. Overall, the pregnancy outcome after mirtazapine exposure in this study is very similar to that of the SSRI-exposed control group.