The relationship between concentration and realised volatility: an empirical investigation of the FTSE 100 Index January 1984 through March 2003

Few studies have examined the impact of portfolio concentration upon the realised volatility of stock index portfolios, such as the FTSE 100. Instead, previous research has focused upon diversification across industries, across geographic regions and across different firms. The present study addresses this imbalance by calculating the daily time series of four concentration metrics for the FTSE 100 Index over the period from January 1984 through March 2003. In addition, the value weighted variance covariance matrix (VCM) of daily FTSE 100 Index constituent returns is decomposed into four sub-components: two from the diagonal elements and two from the off-diagonal elements of the VCM. These consist of the average variance of constituent returns, represented by the sum of diagonal elements in the VCM, and the average covariance represented by the sum of off-diagonal elements in the VCM. The value weighted average variance (VAV) and covariance (VAC) are each subdivided into the equally weighted average variance (EAV) the equally weighted average covariance (EAC) and incremental components that represent the difference between the respective value-weighted and equally weighted averages. These are referred to as the incremental average variance (IAV) and the incremental average covariance (IAC) respectively. The incremental average variance and the incremental average covariance are then combined, additively, to produce the incremental realised variance (IRV) of the FTSE 100 Index. The incremental average covariance and the incremental realised variance are found to be negative during the 1987 crash and the 1992 ERM crisis. They are also negative for a substantial part of the study period, even when concentration was at its highest level. Hence the findings of the study are consistent with the notion that the value weighted, and hence concentrated, FTSE 100 Index portfolio is generally less risky than a hypothetical equally weighted portfolio of FTSE 100 Index constituents. Furthermore, increases in concentration tend to precede decreases in incremental realised volatility and increases in the equally weighted components of the realised VCM. The results have important implications for portfolio managers concerned with the effect of changing portfolio weights upon portfolio volatility. They are also relevant to passive investors concerned about the effects of increased concentration upon their benchmark indices, and to providers of stock market indices

The relationship between concentration and realised volatility : an empirical investigation of the FTSE 100 Index January 1984 through March 2003

Few studies have examined the impact of portfolio concentration upon the realised volatility of stock index portfolios, such as the FTSE 100. Instead, previous research has focused upon diversification across industries, across geographic regions and across different firms. The present study addresses this imbalance by calculating the daily time series of four concentration metrics for the FTSE 100 Index over the period from January 1984 through March 2003. In addition, the value weighted variance covariance matrix (VCM) of daily FTSE 100 Index constituent returns is decomposed into four sub-components: two from the diagonal elements and two from the off-diagonal elements of the VCM. These consist of the average variance of constituent returns, represented by the sum of diagonal elements in the VCM, and the average covariance represented by the sum of off-diagonal elements in the VCM. The value weighted average variance (VAV) and covariance (VAC) are each subdivided into the equally weighted average variance (EAV) the equally weighted average covariance (EAC) and incremental components that represent the difference between the respective value-weighted and equally weighted averages. These are referred to as the incremental average variance (IAV) and the incremental average covariance (IAC) respectively. The incremental average variance and the incremental average covariance are then combined, additively, to produce the incremental realised variance (IRV) of the FTSE 100 Index. The incremental average covariance and the incremental realised variance are found to be negative during the 1987 crash and the 1992 ERM crisis. They are also negative for a substantial part of the study period, even when concentration was at its highest level. Hence the findings of the study are consistent with the notion that the value weighted, and hence concentrated, FTSE 100 Index portfolio is generally less risky than a hypothetical equally weighted portfolio of FTSE 100 Index constituents. Furthermore, increases in concentration tend to precede decreases in incremental realised volatility and increases in the equally weighted components of the realised VCM. The results have important implications for portfolio managers concerned with the effect of changing portfolio weights upon portfolio volatility. They are also relevant to passive investors concerned about the effects of increased concentration upon their benchmark indices, and to providers of stock market indices.EThOS - Electronic Theses Online ServiceUniversity of StirlingGBUnited Kingdo

Eastern Illinois University Undergraduate Catalog 1992 - 1993

This Catalog lists available courses for the 1992-1993 term.https://thekeep.eiu.edu/eiu_catalogs/1028/thumbnail.jp

Neolithic land-use in the Dutch wetlands: estimating the land-use implications of resource exploitation strategies in the Middle Swifterbant Culture (4600-3900 BCE)

The Dutch wetlands witness the gradual adoption of Neolithic novelties by foraging societies during the Swifterbant period. Recent analyses provide new insights into the subsistence palette of Middle Swifterbant societies. Small-scale livestock herding and cultivation are in evidence at this time, but their importance if unclear. Within the framework of PAGES Land-use at 6000BP project, we aim to translate the information on resource exploitation into information on land-use that can be incorporated into global climate modelling efforts, with attention for the importance of agriculture. A reconstruction of patterns of resource exploitation and their land-use dimensions is complicated by methodological issues in comparing the results of varied recent investigations. Analyses of organic residues in ceramics have attested to the cooking of aquatic foods, ruminant meat, porcine meat, as well as rare cases of dairy. In terms of vegetative matter, some ceramics exclusively yielded evidence of wild plants, while others preserve cereal remains. Elevated δ15N values of human were interpreted as demonstrating an important aquatic component of the diet well into the 4th millennium BC. Yet recent assays on livestock remains suggest grazing on salt marshes partly accounts for the human values. Finally, renewed archaeozoological investigations have shown the early presence of domestic animals to be more limited than previously thought. We discuss the relative importance of exploited resources to produce a best-fit interpretation of changing patterns of land-use during the Middle Swifterbant phase. Our review combines recent archaeological data with wider data on anthropogenic influence on the landscape. Combining the results of plant macroremains, information from pollen cores about vegetation development, the structure of faunal assemblages, and finds of arable fields and dairy residue, we suggest the most parsimonious interpretation is one of a limited land-use footprint of cultivation and livestock keeping in Dutch wetlands between 4600 and 3900 BCE.NWOVidi 276-60-004Human Origin

Ways and Capacity in Archaeological Data Management in Serbia

Over the past year and due to the COVID-19 pandemic, the entire world has witnessed inequalities across borders and societies. They also include access to archaeological resources, both physical and digital. Both archaeological data creators and users spent a lot of time working from their homes, away from artefact collections and research data. However, this was the perfect moment to understand the importance of making data freely and openly available, both nationally and internationally. This is why the authors of this paper chose to make a selection of data bases from various institutions responsible for preservation and protection of cultural heritage, in order to understand their policies regarding accessibility and usage of the data they keep. This will be done by simple visits to various web-sites or data bases. They intend to check on the volume and content, but also importance of the offered archaeological heritage. In addition, the authors will estimate whether the heritage has adequately been classified and described and also check whether data is available in foreign languages. It needs to be seen whether it is possible to access digital objects (documents and the accompanying metadata), whether access is opened for all users or it requires a certain hierarchy access, what is the policy of usage, reusage and distribution etc. It remains to be seen whether there are public API or whether it is possible to collect data through API. In case that there is a public API, one needs to check whether datasets are interoperable or messy, requiring data cleaning. After having visited a certain number of web-sites, the authors expect to collect enough data to make a satisfactory conclusion about accessibility and usage of Serbian archaeological data web bases

Taphonomy, environment or human plant exploitation strategies?: Deciphering changes in Pleistocene-Holocene plant representation at Umhlatuzana rockshelter, South Africa

The period between ~40 and 20 ka BP encompassing the Middle Stone Age (MSA) and Later Stone Age (LSA) transition has long been of interest because of the associated technological change. Understanding this transition in southern Africa is complicated by the paucity of archaeological sites that span this period. With its occupation sequence spanning the last ~70,000 years, Umhlatuzana Rock Shelter is one of the few sites that record this transition. Umhlatuzana thus offers a great opportunity to study past environmental dynamics from the Late Pleistocene (MIS 4) to the Late Holocene, and past human subsistence strategies, their social organisation, technological and symbolic innovations. Although organic preservation is poor (bones, seeds, and charcoal) at the site, silica phytoliths preserve generally well throughout the sequence. These microscopic silica particles can identify different plant types that are no longer visible at the site because of decomposition or burning to a reliable taxonomical level. Thus, to trace site occupation, plant resource use, and in turn reconstruct past vegetation, we applied phytolith analyses to sediment samples of the newly excavated Umhlatuzana sequence. We present results of the phytolith assemblage variability to determine change in plant use from the Pleistocene to the Holocene and discuss them in relation to taphonomical processes and human plant gathering strategies and activities. This study ultimately seeks to provide a palaeoenvironmental context for modes of occupation and will shed light on past human-environmental interactions in eastern South Africa.NWOVidi 276-60-004Human Origin

A Comprehensive Study of the Internship in Educational Administration Focusing on a Central Office Administrative Internship in Community Unit School District Number One of Coles and Cumberland Counties in Illinois

Succinctly stated, the purpose of this field study manuscript is twofold: first, to present an overview of the internship in the field of educational administration, and second, to reveal the particulars involved in the central office administrative internship which this author participated in at the Administrative Offices of Community Unit School District Number One of Coles and Cumberland Counties, Illinois, between May 19, 1982, and August 13, 1982. The actual composition of the report can be delineated as follows: Chapter II--The Dynamics of an Internship Program and Chapter III--The Internship in its Proper Perspective constitute a review of the literature pertaining to the internship in educational administration; the remaining chapters, Chapter I--Introduction to the Project, Chapter IV--Elaboration on Selected Activities and Projects Undertaken During the Internship, and Chapter V--Summary, Conclusions, and Recommendations, focus on the specifics involved in this writer’s central office administrative internship. Yet, the material contained in the chapters which concentrate on the central office internship in Community Unit School District Number One of Coles and Cumberland Counties, Illinois relies heavily on the literature for substantiation and can easily be generalized to other school systems The field-based learning experience in which this author participated at the central office level was professionally supervised by the Eastern Illinois University coordinator, Dr. Gerhard C. Matzner, from the Department of School Service Personnel. The capable, experienced on-site cooperating administrators from Community Unit School District Number One of Coles and Cumberland Counties, Illinois were Dr. William E. Hill, Superintendent of Schools and Mr. Terry W. Weir, the Assistant Superintendent for Business Affairs. The writing of this field study has been completed with the utmost attention to detail and accuracy, and it contains many ideas which should prove helpful in the initiation or operation of internship programs and, hence, should be of special interest to practicing administrators, interns, and professors of educational administration. This document is comprehensive in nature because it deals with both a general look at the administrative internship and an in-depth review of one intern’s experience in a medium-sized, K-12 unit district located in east-central Illinois