Italian Equity Funds: Efficiency and Performance Persistence

Have Italian mutual funds been able to generate “extra-return”? Were some of them able to persistently beat the competitors? In this paper we address these questions and provide a detailed and systematic performance and return persistence analysis of the Italian equity mutual funds. We show that, in general, fund managers have not been able to score extra-performances and only few managers had stock picking ability or market timing ability. This evidence is consistent with the market efficiency hypothesis. Moreover, concerning performance persistence, first, we cannot trace out the hot-hand phenomenon on raw returns. The no persistence effect is fairly robust to: the performance measure, the temporal lag and the different methodology employed for testing persistence. Second, there has not been long-run persistence on risk-adjusted returns (we find a weak evidence of the reversal effect). Finally, the past performance displays weak evidence of the hot-hand effect on risk-adjusted returns on four-month using cross-section tests. However, as soon as we analyse yearly intervals any evidence of persistence disappears.Mutual funds, Performance evaluation

An empirical analysis of source code metrics and smart contract resource consumption

A smart contract (SC) is a programme stored in the Ethereum blockchain by a contract‐creation transaction. SC developers deploy an instance of the SC and attempt to execute it in exchange for a fee, paid in Ethereum coins (Ether). If the computation needed for their execution turns out to be larger than the effort proposed by the developer (i.e., the gasLimit ), their client instantiation will not be completed successfully. In this paper, we examine SCs from 11 Ethereum blockchain‐oriented software projects hosted on GitHub.com, and we evaluate the resources needed for their deployment (i.e., the gasUsed ). For each of these contracts, we also extract a suite of object‐oriented metrics, to evaluate their structural characteristics. Our results show a statistically significant correlation between some of the object‐oriented (OO) metrics and the resources consumed on the Ethereum blockchain network when deploying SCs. This result has a direct impact on how Ethereum developers engage with a SC: evaluating its structural characteristics, they will be able to produce a better estimate of the resources needed to deploy it. Other results show specific source code metrics to be prioritised based on application domains when the projects are clustered based on common themes

Modeling Within- and Across-Customer Association in Lifetime Value with Copulas

Recent advances in linking Recency-Frequency-Monetary value (RFM) data to Customer Lifetime Value (CLV) in non-contractual settings rely on the assumption of independence between the transaction and spend processes. We propose to model jointly the inter- and intra-customer dependency between both processes using copulas, hereby accounting for the double correlation within and across customers. Applied to a unique data set of securities' transactions, we nd that modeling both associations enhances the accuracy of CLV predictions, thus improving customer valuation and selection tasks.Association;Copula;Customer Lifetime Value;Across and Within Customers

Measuring social structure in the past: A comparison of historical class schemes and occupational stratification scales on Dutch 19th and early 20th century data

To what degree are HISCO based measures of class (HISCLASS and SOCPO) and occupational stratification (HIS-CAM) comparable with each other and contemporary measures? Next to a large degree of congruency, we find considerable differences between the measures, raising questions concerning the comparability of occupation-based measures across studies

Some applications of quantitative techniques in the Asset Management Industry

Includes bibliographical references.The aim of this thesis is to provide the reader with some practical applications of quantitative techniques in the area of portfolio management. The theme of the thesis is on the use of basic quantitative applications, with an emphasis on issues pertaining to optimisation, benchmarking and risk management. Most of the contributions and analysis performed in this thesis has been borne out of actual applications in the financial market industry - thus the style of the thesis reflects an application level relevant to practitioners, and is not esoteric

Which health-related quality of life score? A comparison of alternative utility measures in patients with Type 2 diabetes in the ADVANCE trial.

BACKGROUND: Diabetes has a high burden of illness both in life years lost and in disability through related co-morbidities. Accurate assessment of the non-mortality burden requires appropriate health-related quality of life and summary utility measures of which there are several contenders. The study aimed to measure the impact of diabetes on various health-related quality of life domains, and compare several summary utility measures. METHODS: In the ADVANCE (Action in Diabetes and Vascular Disease: Preterax and Diamicron MR Controlled Evaluation) study, 978 Australian patients with Type 2 diabetes completed two health-related quality of life questionnaires at baseline: the EQ-5D and the SF-36v2, from which nine summary utility measures were calculated, and compared. The algorithms were grouped into four classes: (i) based on the EQ-5D; (ii) using fewer items than those in the SF-12 (iii) using the items in the SF-12; and (iv) using all items of the SF-36. RESULTS: Overall health-related quality of life of the subjects was good (mean utility ranged from 0.68 (+/-0.08) to 0.85(+/-0.14) over the nine utility measures) and comparable to patients without diabetes. Summary indices were well correlated with each other (r = 0.76 to 0.99), and showed lower health-related quality of life in patients with major diabetes-related events such as stroke or myocardial infarction. Despite the smaller number of items used in the scoring of the EQ-5D, it generally performed at least as well as SF-36 based methods. However, all utility measures had some limitation such as limited range or ceiling effects. CONCLUSION: The summary utility measures showed good agreement, and showed good discrimination between major and minor health state changes. However, EQ-5D based measures performed as well and are generally simpler to use

Ordinal Multivariate Analysis

The essential feature of multivariate methods is that they aim at reducing the complexity of phenomena in which many variables or attributes are involved. Given this general feature , it is no surprise to see that these methods have been applied in various fields of research, such as economics, geography, medicine, biology, etc. This paper will be devoted to the development of some methods for ordinally measurable data and its implications for regional statistical and econometric analyses. We will deal with the following methods: multiple regression analysis (and related subjects such as interdependence analysis and discriminant analysis); clustering and classification; principal component analysis (and related subjects such as canonical correlations and partial least squares)