Momentum and Contrarian Stock-Market Indices

We propose a new class of investable momentum and contrarian stock-market indices that partition a benchmark index, such as the Russell 1000. Our momentum indices overweight stocks that have recently outperformed, while our contrarian indices underweight these same stocks. Our index construction methodology is extremely flexible, and allows the index provider to trade-off the distinctiveness of the momentum/contrarian strategies with portfolio turnover. Momentum investment styles in particular typically entail a high level of turnover, and hence high associated transaction costs. The creation of momentum and contrarian indices and exchange traded funds (ETFs) based on our methodology would allow investors to access these styles at lower cost than is currently possible. Our indices also provide performance benchmarks for momentum/contrarian investment managers, and good proxies for a momentum factor. Over the period 1995- 2007 we find that short term momentum and long term contrarian indices outperform the reference Russell 1000 index. We also document the changing interaction between the momentum/contrarian and value/growth styles.Momentum index; Contrarian index; Performance measurement; Turnover; Momentum factor; Behavioral finance

Mutual Fund Style, Characteristic-Matched Performance Benchmarks and Activity Measures: A New Approach

We propose a new approach for measuring mutual fund style and constructing characteristic-matched performance benchmarks that requires only portfolio holdings and two reference portfolios in each style dimension. The characteristic-matched performance benchmark literature typically follows a bottom-up approach by first matching individual stocks with benchmarks and then obtaining a portfolio’s excess return as a weighted average of the excess returns on each of its constituent stocks. Our approach is fundamentally different in that it matches portfolios and benchmarks directly. We illustrate our approach using portfolio holdings of 1183 fund managers over the period 2002-2009. We characterize the cross-section of fund manager styles and show how average style changes over time. The tracking error volatilities of our characteristic-matched benchmarks compare favorably with those of existing methods. Using our benchmarks we explore the link between activity and performance.Performance Measurement; Tailored Benchmark; Characteristic Matching; Size Profile; Growth Profile; Activity; Excess Return.

Kimberlites reveal 2.5-billion-year evolution of a deep, isolated mantle reservoir

The widely accepted paradigm of Earth's geochemical evolution states that the successive extraction of melts from the mantle over the past 4.5 billion years formed the continental crust, and produced at least one complementary melt-depleted reservoir that is now recognized as the upper-mantle source of mid-ocean-ridge basalts1. However, geochemical modelling and the occurrence of high 3He/4He (that is, primordial) signatures in some volcanic rocks suggest that volumes of relatively undifferentiated mantle may reside in deeper, isolated regions2. Some basalts from large igneous provinces may provide temporally restricted glimpses of the most primitive parts of the mantle3,4, but key questions regarding the longevity of such sources on planetary timescales—and whether any survive today—remain unresolved. Kimberlites, small-volume volcanic rocks that are the source of most diamonds, offer rare insights into aspects of the composition of the Earth’s deep mantle. The radiogenic isotope ratios of kimberlites of different ages enable us to map the evolution of this domain through time. Here we show that globally distributed kimberlites originate from a single homogeneous reservoir with an isotopic composition that is indicative of a uniform and pristine mantle source, which evolved in isolation over at least 2.5 billion years of Earth history—to our knowledge, the only such reservoir that has been identified to date. Around 200 million years ago, extensive volumes of the same source were perturbed, probably as a result of contamination by exogenic material. The distribution of affected kimberlites suggests that this event may be related to subduction along the margin of the Pangaea supercontinent. These results reveal a long-lived and globally extensive mantle reservoir that underwent subsequent disruption, possibly heralding a marked change to large-scale mantle-mixing regimes. These processes may explain why uncontaminated primordial mantle is so difficult to identify in recent mantle-derived melts

Coupled Hf-Nd-Pb isotope co-variations of HIMU oceanic island basalts from Mangaia, Cook-Austral islands, suggest an Archean source component in the mantle transition zone

Although it is widely accepted that oceanic island basalts (OIB) sample geochemically distinct mantle reservoirs including recycled oceanic crust, the composition, age, and locus of these reservoirs remain uncertain. OIB with highly radiogenic Pb isotope signatures are grouped as HIMU (high-μ, with μ = 238U/204Pb), and exhibit unique Hf–Nd isotopic characteristics, defined as ΔεHf, deviant from a terrestrial igneous rock array that includes all other OIB types. Here we combine new Hf isotope data with previous Nd–Pb isotope measurements to assess the coupled, time-integrated Hf–Nd–Pb isotope evolution of the most extreme HIMU location (Mangaia, French Polynesia). In comparison with global MORB and other OIB types, Mangaia samples define a unique trend in coupled Hf–Nd–Pb isotope co-variations (expressed in 207Pb/206Pb vs. ΔεHf). In a model employing subducted, dehydrated oceanic crust, mixing between present-day depleted MORB mantle (DMM) and small proportions (∼5%) of a HIMU mantle endmember can re-produce the Hf–Nd–Pb isotope systematics of global HIMU basalts (sensu stricto; i.e., without EM-1/EM-2/FOZO components). An age range of 3.5 to sensu stricto) or HIMU affected by other enriched mantle endmembers (sensu lato). If correct, this requires isolation of parts of the mantle transition zone for >3 Gyr and implies that OIB chemistry can be used to test geodynamic models

Multiple mantle plume components involved in the petrogenesis of subduction-related lavas from the northern termination of the Tonga Arc and northern Lau Basin: Evidence from the geochemistry of arc and backarc submarine volcanics

We report new geochemical data for boninites and backarc basin-type basalts recovered from the northern termination of the Tonga trench and Lau Basin. Boninitic pillow lavas, ranging from high-Mg compositions to andesites and dacites, have been erupted within large submarine volcanic edifices (calderas and volcanoes) associated with active rifting of both the northern end of the Tofua volcanic arc and in a backarc position relative to the arc volcanoes on the northern Tonga Ridge. The mantle sources in the area are a complex mixture of (1) the “normal” Tongan mantle wedge source that has “Pacific”-type isotopic signature with (2) the plume-related components (EMI, EMII, and HIMU) and (3) an “Indian”-type source upwelling beneath the backarc spreading. Some of these sources, such as the “normal” mantle wedge and variably depleted residual plume mantle, are fluxed by subduction components from the slab, which produces boninites, tholeiites, and mixtures thereof. Other mantle sources, such as “Indian”-type backarc mantle and also some of the plume mantle, produce melts due to adiabatic decompression. These melts are variably mixed with each other and with the slab-fluid fluxed subduction-related melts to form the observed spectrum of magma compositions.Keywords: trench-transform intersection, Lau Basin, boninites, subduction-related magma genesis, Tong

Multiple mantle plume components involved in the petrogenesis of subduction-related lavas from the northern termination of the Tonga Arc and northern Lau Basin: Evidence from the geochemistry of arc and backarc submarine volcanics

New seafloor mapping and sampling demonstrates that the eruption of the high-Ca boninites is clearly associated with rifting of the northern Tonga ridge and the northern Lau Basin at the northern termination of the Tonga Trench. There is very strong evidence for OIB plume related mantle sources involved in the petrogenesis of lavas erupted in the northern Lau Basin and at the termination of north Tonga ridge. Evidence comes from 1) geophysics, which indicates there is a deep flow of mantle across the ’slab window’ formed by the trench- transform fault transition 2) geochemistry of boninites and associated rift related lavas which display strongly LREE enriched patterns, enrichment in HFSE such as Nb and Ta and low 143Nd/144Nd isotope values and 3) petrogenetic conditions of Tongan boninites, whose primary magmas have ~24 wt% MgO, require refractory lherzolite-harzburgite sources and temperates of at least ~1480°C at 1.5 Gpa. The presence of abnormally hot mantle at relatively shallow depths at the northern Tonga ridge, results from intrusion of a hot refractory OIB Samoan plume mantle source into the mantle wedge. The isotope results from this study supports the view that mantle mixing between Samoan plume mantle and an Indian-type mantle source beneath northern Lau Basin is the dominant influence on isotope compositions of lavas erupted in the northern Lau Basin, including the island of Niua Fo’ou. However the source mantle of the active Tofua Arc is more consistent with mixing between a Pacifictype mantle source and material derived from the Society Island plume. It is speculated that mantle flow through the slab ‘window’ at the northern termination of the Tonga Trench is relatively long-lived (at least as old as the earliest of Lau Basin opening) which has allowed a range of source components to mix with mantle sources involved in Lau back-arc magma genesis