Risk and Return Analysis of Closed-End Mutual Fund in Bangladesh

This study attempts to conduct a five-year performance assessment by analyzing all 24 closed-end mutual funds that had been trading at Dhaka Stock Exchange from December 2011 to January 2017. While analyzing the risk-return profile, the research incorporated both market price and net asset value (NAV) of the mutual funds.NAV depends on the price of securities included in a fund's portfolio whereas, the market price is determined by demand and supply forces. Thus, the market price of a fund is not always equal to its NAV. The study uses market price as a basis for analyzing the risk-return profile of the funds for evaluating the performance of the funds in the market. With the purpose of assessing the performance of asset managers, the study uses NAV as a basis for computing Jensen's α and M squared measure. While assessing performance the study focuses on Jensen’s α and M squared measure as other measures like Sharpe and Treynor do not work with negative numerators and do not provide information on whether the mutual fund outperformed the market portfolio. Both Jensen’s α and M squared measure can independently describe whether a fund beat the market or not. A positive value of Jensen’s α and M squared measure indicates that the fund outperformed the market considering respectively β and σ as a measure of risk. SEBL1STMF, POPULAR1MF, and IFILISLMF1 were among top four funds considering both M2 and Jensen’s alpha measures based on both market price and NAV. The M2 measure, a coefficient of variation, Sharpe ratio, and Treynor ranked SEBL1STMF as the best performer in the market. This fund also topped while assessing performance by M2 measure on the basis of NAV. On the basis of market price and NAV, 21 funds and 22 funds could produce positive M2 respectively. In the year 2012, 2013 and 2014 mutual funds provided negative annualized return on an average (On the basis of market price). The average annualized return rebounded on 2015 and further increased on 2016. All mutual funds provided a positive return in 2016. A different picture was found while calculating annualized return on the basis of NAV, asset managers could generate positive annualized returns on an average in 2013, 2014, 2015 and 2016

Spontaneous Quaternary and Tertiary T-R Transitions of Human Hemoglobin in Molecular Dynamics Simulation

We present molecular dynamics simulations of unliganded human hemoglobin (Hb) A under physiological conditions, starting from the R, R2, and T state. The simulations were carried out with protonated and deprotonated HC3 histidines His(β)146, and they sum up to a total length of 5.6µs. We observe spontaneous and reproducible T→R quaternary transitions of the Hb tetramer and tertiary transitions of the α and β subunits, as detected from principal component projections, from an RMSD measure, and from rigid body rotation analysis. The simulations reveal a marked asymmetry between the α and β subunits. Using the mutual information as correlation measure, we find that the β subunits are substantially more strongly linked to the quaternary transition than the α subunits. In addition, the tertiary populations of the α and β subunits differ substantially, with the β subunits showing a tendency towards R, and the α subunits showing a tendency towards T. Based on the simulation results, we present a transition pathway for coupled quaternary and tertiary transitions between the R and T conformations of Hb

Conditional R\'enyi entropy and the relationships between R\'enyi capacities

The analogues of Arimoto's definition of conditional R\'enyi entropy and R\'enyi mutual information are explored for abstract alphabets. These quantities, although dependent on the reference measure, have some useful properties similar to those known in the discrete setting. In addition to laying out some such basic properties and the relations to R\'enyi divergences, the relationships between the families of mutual informations defined by Sibson, Augustin-Csisz\'ar, and Lapidoth-Pfister, as well as the corresponding capacities, are explored.Comment: 17 pages, 1 figur

Mutual information in classical spin models

The total many-body correlations present in finite temperature classical spin systems are studied using the concept of mutual information. As opposed to zero-temperature quantum phase transitions, the total correlations are not maximal at the phase transition, but reach a maximum in the high temperature paramagnetic phase. The Shannon and Renyi mutual information in both Ising and Potts models in 2 dimensions are calculated numerically by combining matrix product states algorithms and Monte Carlo sampling techniques

A Recursive Quantizer Design Algorithm for Binary-Input Discrete Memoryless Channels

The optimal quantization of the outputs of binary-input discrete memoryless channels is considered, whereby the optimal quantizer preserves at least a constant α-fraction of the original mutual information, with the smallest output cardinality. Two recursive methods with top-down and bottom-up approaches are developed; these methods lead to a new necessary condition for the recursive quantizer design. An efficient algorithm with linear complexity, based on dynamic programming and the new necessary optimality condition, is proposed.This work has been funded in part by the European Research Council under grant 725411, and by the Spanish Ministry of Economy and Competitiveness under grant TEC2016-78434-C3-1-R