Landslides, river incision and environmental change : the Ruzizi gorge in the Kivu Rift

The understanding of the interplay between natural and human induced factors in the occurrence of landslides remains poorly constrained in many regions, especially in tropical Africa where data-scarcity is high. In these regions where population growth is significant and causes changes in land use/cover, the need for a sustainable management of the land is on the rise. Here, we aim to unravel the occurrence of landslides in the 40 km-long Ruzizi gorge, a rapidly incising bedrock river in the Kivu Rift in Africa that has seen its landscape disturbed over the last decades by the development of the city of Bukavu (DR Congo). Careful field observations, historical aerial photographs, satellite imagery and archive analysis are combined to produce a multi-temporal inventory of 264 landslides. We show that the lithological context of the gorge and its extremely high incision rate (> 20 mm year-1) during the Holocene explains the presence of a concentration of large landslides (up to 2 km²) of undetermined age (well before the first observations of 1959) whose occurrence is purely natural. They are mostly of the slide type and do not show morphologic patterns of recent activity. The landslides that occurred during the last 60 years are flow-like shallower slope failures of smaller size (up to 0.12 km²) and tend to disappear rather quickly (sometimes within a few years) from the landscape as a result of rapid vegetation growth, land reclamation and (human-induced) soil erosion. They are primarily related to threshold slopes and precipitation plays a frequent role in their onset. However, land use/cover changes also affect their occurrence. This study provides useful information for a more accurate evaluation of the landslide hazard in the area, particularly with respect to the growth of the city of Bukavu that has developed without the consideration of naturally instable slopes. It also stresses the need and added value of building accurate landslide inventories in data-scarce regions

Discourse and religion in educational practice

Despite the existence of long-held binaries between secular and sacred, private and public spaces, school and religious literacies in many contemporary societies, the significance of religion and its relationship to education and society more broadly has become increasingly topical. Yet, it is only recently that the investigation of the nexus of discourse and religion in educational practice has started to receive some scholarly attention. In this chapter, religion is understood as a cultural practice, historically situated and embedded in specific local and global contexts. This view of religion stresses the social alongside the subjective or experiential dimensions. It explores how through active participation and apprenticeship in culturally appropriate practices and behaviors often mediated intergenerationally and the mobilisation of linguistic and other semiotic resources but also affective, social and material resources, membership in religious communities is constructed and affirmed. The chapter reviews research strands that have explored different aspects of discourse and religion in educational practice as a growing interdisciplinary field. Research strands have examined the place and purpose of religion in general and evangelical Christianity in particular in English Language Teaching (ELT) programmes and the interplay of religion and teaching and learning in a wide range of religious and increasingly secular educational contexts. They provide useful insights for scholars of discourse studies to issues of identity, socialisation, pedagogy and language policy

Leverage and Alpha: The Case of Funds of Hedge Funds

In this paper, we develop a theoretical model of fund of hedge fund net leverage and alpha where the cost of borrowing is increasing with net leverage, thereby impacting the performance. We use this model to determine the conditions under which the leverage has a negative or a positive impact on investor’s alpha. Moreover, we show that the manager of a fund of hedge fund has an incentive to take a leverage that hurts the investor’s alpha. Next, we develop a statistical method combining the Sharpe style analysis and a time-varying coefficient model; this method allows the weights of the regression to vary over time while being constrained to sum up to 1. Subsequently, we use this method to get estimates of the leverages of a sample of funds of hedge funds. The estimates of leverages are then used in predictive regression analyses to confirm the negative impact of leverage on fund of hedge fund alphas and appraisal ratios. Finally, our results being robust to various robustness checks, we argue that this effect may be an explanation for the disappointing alpha delivered by funds of hedge funds.info:eu-repo/semantics/publishe

On the performance of hedge funds

This thesis investigates the performance of hedge funds, funds of hedge funds and alternative Ucits together with the determinants of this performance by using new or well-suited econometric techniques. As such, it lies at the frontier of finance and financial econometrics and contributes to both fields. For the sake of clarity, we summarize the main contributions to each field separately. The contribution of this thesis to the field of financial econometrics is the time-varying style analysis developed in the second chapter. This statistical tool combines the Sharpe analysis with a time-varying coefficient method; thereby, it is taking the best of both worlds. Sharpe (1992) has developed the idea of “style analysis”, building on the conclusion that a regression taking into account the constraints faced by mutual funds should give a better picture of their holdings. To get an estimate of their holdings, he incorporates, in a standard regression, typical constraints related to the regulation of mutual funds, such as no short-selling and value preservation. He argues that this gives a more realistic picture of their investments and consequently better estimations of their future expected returns.Unfortunately, in the style analysis, the weights are constrained to be constant. Even if, for funds of hedge funds the weights should also sum up to 1, given their dynamic nature, the constant weights seem more restrictive than for mutual funds. Hence, the econometric literature was lacking a method incorporating the constraints and the possibility for the weights to vary. Motivated by this gap, we develop a method that allows the weights to vary while being constrained to sum up to 1 by combining the Sharpe analysis with a time-varying coefficient model. As the style analysis has proven to be a valuable tool for mutual fund analysis, we believe our approach offers many potential fields of application both for funds of hedge funds and mutual funds.The contributions of our thesis to the field of finance are numerous. Firstly, we are the first to offer a comprehensive and exhaustive assessment of the world of FoHFs. Using both a bootstrap analysis and a method that allows dealing with multiple hypothesis tests straightforwardly, we show that after fees, the majority of FoHFs do not channel alpha from single-manager hedge funds and that only very few FoHFs deliver after-fee alpha per se, i.e. on top of the alpha of the hedge fund indices. We conclude that the added value of the vast majority of FoHFs should thus not be expected to come from the selection of the best HFs but from the risk management-monitoring skills and the easy access they provide to the HF universe. Secondly, despite that the leverage is one of the key features of funds of hedge funds, there was a gap in the understanding of the impact it might have on the investor’s alpha. This was likely due to the quasi-absence of data about leverage and to the fact that literature was lacking a proper tool to implicitly estimate this leverage. We fill this gap by proposing a theoretical model of fund of hedge fund leverage and alpha where the cost of borrowing is increasing with leverage. In the literature, this is the first model which integrates the rising cost of borrowing in the leverage decision of FoHFs. We use this model to determine the conditions under which the leverage has a negative or a positive impact on investor’s alpha and show that the manager has an incentive to take a leverage that hurts the investor’s alpha. Next, using estimates of the leverages of a sample of FoHFs obtained through the time-varying style analysis, we show that leverage has indeed a negative impact on alphas and appraisal ratios. We argue that this effect may be an explanation for the disappointing alphas delivered by funds of hedge funds and can be interpreted as a potential explanation for the “capacity constraints ” effect. To the best of our knowledge, we are the first to report and explain this negative relationship between alpha and leverage in the industry. Thirdly, we show the interest of the time-varying coefficient model in hedge fund performance assessment and selection. Since the literature underlines that manager skills are varying with macro-economic conditions, the alpha should be dynamic. Unfortunately, using ordinary least-squares regressions forces the estimate of the alpha to be constant over the estimation period. The alpha of an OLS regression is thus static whereas the alpha generation process is by nature varying. On the other hand, we argue that the time-varying alpha captures this dynamic behaviour. As the literature shows that abnormal-return persistence is essentially short-term, we claim that using the quasi-instantaneous detection ability of the time-varying model to determine the abnormal-return should lead to outperforming portfolios. Using a persistence analysis, we check this conjecture and show that contrary to top performers in terms of OLS alpha, the top performers in terms of past time-varying alpha generate superior and significant ex-post performance. Additionally, we contribute to the literature on the topic by showing that persistence exists and can be as long as 3 years. Finally, we use the time-varying analysis to obtain estimates of the expected returns of hedge funds and show that using those estimates in a mean-variance framework leads to better ex-post performance. Therefore, we conclude that in terms of hedge fund performance detection, the time-varying model is superior to the OLS analysis.Lastly, we investigate the funds that have chosen to adopt the “Alternative UCITS” framework. Contrary to the previous frameworks that were designed for mutual fund managers, this new set of European Union directives can be suited to hedge fund-like strategies. We show that for Ucits funds there is some evidence, although weak, of the added value of offshore experience. On the other hand, we find no evidence of added value in the case of non-offshore experienced managers. Motivated to further refine our results, we separate Ucits with offshore experienced managers into two groups: those with equivalent offshore hedge funds (replicas) and those without (new funds). This time, Ucits with no offshore equivalents show low volatility and a strongly positive alpha. Ucits with offshore equivalents on the other hand bring no added value and, not surprisingly, bear no substantial differences in their risk profile with their paired funds offshore. Therefore, we conclude that offshore experience plays a significant role in creating positive alpha, as long as it translates into real innovations. If the fund is a pure replica, the additional costs brought by the Ucits structure represent a handicap that is hardly compensated. As “Alternative Ucits” have only been scarcely investigated, this paper represents a contribution to the better understanding of those funds.In summary, this thesis improves the knowledge of the distribution, detection and determinants of the performance in the industry of hedge funds. It also shows that a specific field such as the hedge fund industry can still tell us more about the sources of its performance as long as we can use methodologies in adequacy with their behaviour, uses, constraints and habits. We believe that both our results and the methods we use pave the way for future research questions in this field, and are of the greatest interest for professionals of the industry as well.Doctorat en Sciences économiques et de gestioninfo:eu-repo/semantics/nonPublishe

Portfolio Optimization for Hedge Funds through Time-Varying Coefficients

In this paper, we show the interest of the time-varying coefficient model in hedge fund performance assessment and selection. We argue that the alpha of hedge funds is dynamic and that the time-varying alpha captures this dynamic behavior. Therefore, forming portfolios based on their time-varying alpha should lead to outperforming portfolios. Using a persistence analysis, we check this conjecture and show that contrary to top performers in terms of OLS alpha, the top performers in terms of past time-varying alpha generate superior and significant ex-post performance. Additionally, this analysis shows that persistence exists in the hedge fund industry and can be as long as 3 years.Secondly, building on the conclusion that the time-varying analysis gives a better picture of the alpha of the manager at a certain point in time, we use the timevarying analysis to obtain estimates of the expected returns of hedge funds. Using those estimates to construct a mean-variance optimal portfolio enhances the performance of this portfolio, suggesting that in terms of hedge fund performance detection, the time-varying model is superior to the OLS analysis.info:eu-repo/semantics/publishe

Assessing the Performance of Funds of Hedge Funds

This paper studies the performance of a sample of funds of hedge funds (FoHFs) from January 1994 to August 2009. We apply the false discoveries (FD) technique of Barras, Scaillet and Wermers (2010) to separate the FoHFs into skilled, zero-alpha and unskilled. We measure the alpha of the FoHFs using two models – (1) a 16-factor model with a combination of factors from Fung and Hsieh (2004) and Capocci, Corhay and Hübner (2005) and (2) a 13-factor model of hedge fund indices from Dow Jones Credit Suisse. Applying the FD procedure to the first model, we find that, after fees, the majority of FoHFs do not channel alpha from single-manager hedge funds. Applying the FD procedure to the second model, we find that only a very small fraction of FoHFs deliver after-fees alpha per se, i.e. on top of the alpha of the hedge fund indices. A series of robustness checks confirms the results of the FD procedure. We also compare the performance of our sample of FoHFs to artificial FoHFs constructed by randomly picking hedge funds. The lack of significant differences in the average performance of the real and artificial FoHFs confirms the results obtained by the FD procedure.info:eu-repo/semantics/publishe

Does manager offshore experience count in the alternative ucits universe

SCOPUS: ar.jinfo:eu-repo/semantics/publishe

Does manager offshore experience count in the alternative UCITS universe?

This article examines the performance of alternative UCITS funds on the basis of manager offshore experience and, additionally, the existence of an “equivalent” offshore hedge fund. Managers with offshore experience are defined as management companies managing offshore hedge funds in addition to managing UCITS. For a sample period from 2008 to 2011, we find that such UCITS have a positive alpha, still with a p-value of 0.12 due to the limited size of the subsamples, which could provide some evidence of offshore manager added value. Among these UCITS, we identify further those which have an equivalent offshore hedge fund whose performance is replicated by using the same or a similar strategy, or through a swap. We find that “offshore-experienced” UCITS without offshore equivalents (1) exhibit no meaningful differences in mean performance compared to those with equivalents, but are (2) generally less volatile and show a positive significant alpha at the 95% level. Concentrating then on those with equivalent offshore hedge funds, the onshore-offshore comparison shows no significant differences in mean performance and volatility when we use equally-weighted indices but an offshore outperformance when we do a cross-sectional study. We also find a sizable regulation-induced tracking error.info:eu-repo/semantics/publishe