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.

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 ...

A pilot study assessing the feasibility of a home-based progressive resistance exercise program and trend toward healing rates for patients with venous leg ulcers

Venous leg ulceration is a serious condition affecting 1 – 3% of the population. Decline in the function of the calf muscle pump is correlated with venous ulceration. Many previous studies have reported an improvement in the function of the calf muscle pump, endurance of the calf muscle and increased range of ankle motion after structured exercise programs. However, there is a paucity of published research that assesses if these improvements result in an improvement in the healing rates of venous ulcers. The primary purpose of this pilot study was to establish the feasibility of a homebased progressive resistance exercise program and examine if there was any clinical significance or trend toward healing. The secondary aims were to examine the benefit of a home-based progressive resistance exercise program on calf muscle pump function and physical parameters. The methodology used was a randomised controlled trial where eleven participants were randomised into an intervention (n = 6) or control group (n = 5). Participants who were randomised to receive a 12-week home-based progressive resistance exercise program were instructed through weekly face-to-face consultations during their wound clinic appointment by the author. Control group participants received standard wound care and compression therapy. Changes in ulcer parameters were measured fortnightly at the clinic (number healed at 12 weeks, percentage change in area and pressure ulcer score healing score). An air plethysmography test was performed at baseline and following the 12 weeks of training to determine changes in calf muscle pump function. Functional measures included maximum number of heel raises (endurance), maximal isometric plantar flexion (strength) and range of ankle motion (ROAM); these tests were conducted at baseline, week 6 and week 12. The sample for the study was drawn from the Princess Alexandra Hospital in Brisbane, Australia. Participants with venous leg ulceration who met the inclusion criteria were recruited. The participants were screened via duplex scanning and ankle brachial pressure index (ABPI) to ensure they did not have any arterial complications. Participants were excluded if there was evidence of cellulitis. Demographic data were obtained from each participant and details regarding medical history, quality of life and geriatric depression scores were collected at baseline. Both the intervention and control group were required to complete a weekly exercise diary to monitor activity levels between groups. To test for the effect of the intervention over time, a repeated measures analysis of variance was conducted on the major outcome variables. Group (intervention versus control) was the between subject factor and time (baseline, week 6, week 12) was the within subject or repeated measures factor. Due to the small sample size, further tests were conducted to check the assumptions of the statistical test to be used. The results showed that Mauchly.s Test, the Sphericity assumptions of repeated measures for ANOVA were met. Further tests of homogeneity of variance assumptions also confirmed that this assumption was met. Data analysis was conducted using the software package SPSS for Windows Release 17.0. The pilot study proved feasible with all of the intervention (n=6) participants continuing with the resistance program for the 12 week duration and no deleterious effects noted. Clinical significance was observed in the intervention group with a 32% greater change in ulcer size (p= 0.26) than the control group, and a 10% (p = 0.74) greater difference between the numbers healed compared to the control group. Statistical significance was observed for the ejection fraction (p = 0.05), residual volume fraction (p = 0.04) and ROAM (p = 0.01), which all improved significantly in the intervention group over time. These results are encouraging, nevertheless, further investigations seem warranted to examine the effect exercise has on the healing rates of venous leg ulcers, with a multistudy site, larger sample size and longer follow up period.

Increased generation of platelet-derived microparticles following percutaneous transluminal coronary angioplasty

Platelet-derived microparticles (PMPs) which are produced during platelet activation contribute to coagulation1 and bind to traumatized endothelium in an animal model2. Such endothelial injury occurs during percutaneous transluminal coronary angioplasty (PTCA), a procedure which restores the diameter of occluded coronary arteries using balloon inflations. However, re-occlusions subsequently develop in 20-25% of patients3, although this is limited by treatment with anti-platelet glycoprotein IIb/IIIa receptor drugs such as abciximab4. However, abciximab only partially decreases the need for revascularisation5, and therefore other mechanisms appear to be involved. As platelet activation occurs during PTCA, it is likely that PMPs may be produced and contribute to restenosis. This study population consisted of 113 PTCA patients, of whom 38 received abciximab. Paired peripheral arterial blood samples were obtained from the PTCA sheath: 1) following heparinisation (baseline); and 2) subsequent to all vessel manipulation (post-PTCA). Blood was prepared with an anti-CD61 (glycoprotein IIIa) fluorescence conjugated antibody to identify PMPs using flow cytometry, and PMP results expressed as a percentage of all CD61 events. The level of PMPs increased significantly from baseline following PTCA in the without abciximab group (paired t test, P=0.019). However, there was no significant change in the level of PMPs following PTCA in patients who received abciximab. Baseline clinical characteristics between patient groups were similar, although patients administered abciximab had more complex PTCA procedures, such as increased balloon inflation pressures (ANOVA, P=0.0219). In this study, we have clearly demonstrated that the level of CD61-positive PMPs increased during PTCA. This trend has been demonstrated previously, although a low sample size prevented statistical significance being attained6. The results of our work also demonstrate that there was no increase in PMPs after PTCA with abiciximab treatment. The increased PMPs may adhere to traumatized endothelium, contributing to re-occlusion of the arteries, but this remains to be determined. References: (1) Holme PA, Brosstad F, Solum NO. Blood Coagulation and Fibrinolysis. 1995;6:302-310. (2) Merten M, Pakala R, Thiagarajan P, Benedict CR. Circulation. 1999;99:2577-2582. (3) Califf RM. American Heart Journal.1995;130:680-684. (4) Coller BS, Scudder LE. Blood. 1985;66:1456-1459. (5) Topol EJ, Califf RM, Weisman HF, Ellis SG, Tcheng JE, Worley S, Ivanhoe R, George BS, Fintel D, Weston M, Sigmon K, Anderson KM, Lee KL, Willerson JT on behalf of the EPIC investigators. Lancet. 1994;343:881-886. (6) Scharf RE, Tomer A, Marzec UM, Teirstein PS, Ruggeri ZM, Harker LA. Arteriosclerosis and Thrombosis. 1992;12:1475-87.

Estimation of the time of a linear trend in monitoring survival time

Change point estimation is recognized as an essential tool of root cause analyses within quality control programs as it enables clinical experts to search for potential causes of change in hospital outcomes more effectively. In this paper, we consider estimation of the time when a linear trend disturbance has occurred in survival time following an in-control clinical intervention in the presence of variable patient mix. To model the process and change point, a linear trend in the survival time of patients who underwent cardiac surgery is formulated using hierarchical models in a Bayesian framework. The data are right censored since the monitoring is conducted over a limited follow-up period. We capture the effect of risk factors prior to the surgery using a Weibull accelerated failure time regression model. We use Markov Chain Monte Carlo to obtain posterior distributions of the change point parameters including the location and the slope size of the trend and also corresponding probabilistic intervals and inferences. The performance of the Bayesian estimator is investigated through simulations and the result shows that precise estimates can be obtained when they are used in conjunction with the risk-adjusted survival time cumulative sum control chart (CUSUM) control charts for different trend scenarios. In comparison with the alternatives, step change point model and built-in CUSUM estimator, more accurate and precise estimates are obtained by the proposed Bayesian estimator over linear trends. These superiorities are enhanced when probability quantification, flexibility and generalizability of the Bayesian change point detection model are also considered.

A methodology for the semiautomatic annotation of EPEC-RolSem, a basque corpus labeled at predicative level following the PropBank-Verb Net model

In this article we describe the methodology developed for the semiautomatic annotation of EPEC-RolSem, a Basque corpus labeled at predicate level following the PropBank-VerbNet model. The methodology presented is the product of detailed theoretical study of the semantic nature of verbs in Basque and of their similarities and differences with verbs in other languages. As part of the proposed methodology, we are creating a Basque lexicon on the PropBank-VerbNet model that we have named the Basque Verb Index (BVI). Our work thus dovetails the general trend toward building lexicons from tagged corpora that is clear in work conducted for other languages. EPEC-RolSem and BVI are two important resources for the computational semantic processing of Basque; as far as the authors are aware, they are also the first resources of their kind developed for Basque. In addition, each entry in BVI is linked to the corresponding verb-entry in well-known resources like PropBank, VerbNet, WordNet, Levin’s Classification and FrameNet. We have also implemented several automatic processes to aid in creating and annotating the BVI, including processes designed to facilitate the task of manual annotation.

Size-composition of Annual Landings in the White Shrimp, Litopenaeus setiferus, Fishery of the Northern Gulf of Mexico, 1960–2006: Its Trend and Relationships with Other Fishery-dependent Variable

The potential for growth overfishing in the white shrimp, Litopenaeus setiferus, fishery of the northern Gulf of Mexico appears to have been of limited concern to Federal or state shrimp management entities, following the cataclysmic drop in white shrimp abundance in the 1940’s. As expected from surplus production theory, a decrease in size of shrimp in the annual landings accompanies increasing fishing effort, and can eventually reduce the value of the landings. Growth overfishing can exacerbate such decline in value of the annual landings. We characterize trends in size-composition of annual landings and other annual fishery-dependent variables in this fishery to determine relationships between selected pairs of these variables and to determine whether growth overfishing occurred during 1960–2006. Signs of growth overfishing were equivocal. For example, as nominal fishing effort increased, the initially upward, decelerating trend in annual yield approached a local maximum in the 1980’s. However, an accelerating upward trend in yield followed as effort continued to increase. Yield then reached its highest point in the time series in 2006, as nominal fishing effort declined due to exogenous factors outside the control of shrimp fishery managers. The quadratic relationship between annual yield and nominal fishing effort exhibited a local maximum of 5.24(107) pounds (≈ MSY) at a nominal fishing effort level of 1.38(105) days fished. However, annual yield showed a continuous increase with decrease in size of shrimp in the landings. Annual inflation-adjusted ex-vessel value of the landings peaked in 1989, preceded by a peak in annual inflation-adjusted ex-vessel value per pound (i.e. price) in 1983. Changes in size composition of shrimp landings and their economic effects should be included among guidelines for future management of this white shrimp

Liver genomic responses to ciguatoxin: evidence for activation of Phase I and Phase II detoxification pathways following an acute hypothermic response in mice

Ciguatoxins (CTX) are polyether neurotoxins that target voltage-gated sodium channels and are responsible for ciguatera, the most common fish-borne food poisoning in humans. This study characterizes the global transcriptional response of mouse liver to a symptomatic dose (0.26 ng/g) of the highly potent Pacific ciguatoxin-1 (P-CTX-1). At 1 h post-exposure 2.4% of features on a 44K whole genome array were differentially expressed (p ≤ 0.0001), increasing to 5.2% at 4 h and decreasing to 1.4% by 24 h post-CTX exposure. Data were filtered (|fold change| ≥ 1.5 and p ≤ 0.0001 in at least one time point) and a trend set of 1550 genes were used for further analysis. Early gene expression was likely influenced prominently by an acute 4°C decline in core body temperature by 1 h, which resolved by 8 h following exposure. An initial downregulation of 32 different solute carriers, many involved in sodium transport, was observed. Differential gene expression in pathways involving eicosanoid biosynthesis and cholesterol homeostasis was also noted. Cytochrome P450s (Cyps) were of particular interest due to their role in xenobiotic metabolism. Twenty-seven genes, mostly members of Cyp2 and Cyp4 families, showed significant changes in expression. Many Cyps underwent an initial downregulation at 1 h but were quickly and strongly upregulated at 4 and 24 h post-exposure. In addition to Cyps, increases in several glutathione S-transferases were observed, an indication that both phase I and phase II metabolic reactions are involved in the hepatic response to CTX in mice.